Zobrazeno 1 - 10
of 341
pro vyhledávání: '"Spread trade"'
Publikováno v:
Экономика региона, Vol 19, Iss 3 (2023)
Economic development at the national level cannot be separated from the influence of economic performance at the regional level. As a country with abundant natural resources and great human resource potential, Indonesia has 34 provinces with relative
Externí odkaz:
https://doaj.org/article/df06d5aeeb9f4682bc54631cf89c367d
Publikováno v:
Computational Economics. 58:943-964
Statistical arbitrage refers to a suite of quantitative investment strategies employed chiefly by hedge funds and proprietary trading firms. The arbitrageur can draw on a number of different approaches to identify and exploit an arbitrage opportunity
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f6092340c74b145e7072ccf04f5bf6bd
https://doi.org/10.1007/s10614-020-09980-6
https://doi.org/10.1007/s10614-020-09980-6
This paper utilizes a large universe of 18,410 technical trading rules (TTRs) and adopts a technique that controls for false discoveries to evaluate the performance of frequently traded spreads using daily data over 1990–2016. For the first time, t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f47f5e9255f6846efb06c5e6ca7bffd6
https://eprints.gla.ac.uk/253683/1/253683.pdf
https://eprints.gla.ac.uk/253683/1/253683.pdf
Publikováno v:
Journal of Futures Markets. 38:998-1023
In this paper, we adapt the demand and supply framework introduced by Figuerola‐Ferretti and Gonzalo (Journal of Econometrics, 2010) to illustrate the dynamics of Pairs‐trading. We underline the process by which a finite elasticity of demand for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f0f680abf8a34da5d92ff6b5451b7080
https://doi.org/10.1002/fut.21927
https://doi.org/10.1002/fut.21927
Publikováno v:
حولیة کلیة اللغة العربیة بجرجا. 21:6067-6112
الملخص ظهر نظام الاعتماد المستندي نتيجة للبعد المکاني بين البائع والمشتري، وهذا النظام ابتدع کوسيلة للتوفيق بين الحاجات المتباينة للبا
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::93b476cfa4d18ac8b3674640f4b3dcab
https://doi.org/10.21608/bfag.2017.21120
https://doi.org/10.21608/bfag.2017.21120
Autor:
Kyounghun Bae, Peter Nephi Dixon
Publikováno v:
Journal of Futures Markets. 38:175-198
By construction option prices are sensitive to changes in volatility whereas futures prices are not. We investigate this distinction empirically and test the hypothesis that investors with information about future returns (volatilities) will prefer t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::05ab5af75929b76f4e90f84abb6a3ab6
https://doi.org/10.1002/fut.21863
https://doi.org/10.1002/fut.21863
Autor:
Denis B. Chaves
Publikováno v:
The Journal of Alternative Investments. 19:39-52
Term premiums, defined as the excess return of long-dated contracts over short-dated contracts, in commodity futures are strongly predictable, both in the time series and in the cross section, by roll yield spreads. Strategies that exploit this predi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8221489fc340fbac261fd7a3a2aacc04
https://doi.org/10.3905/jai.2017.19.4.039
https://doi.org/10.3905/jai.2017.19.4.039
Autor:
Tim Leung, Yerkin Kitapbayev
Publikováno v:
Annals of Finance. 13:181-203
We study several optimal stopping problems that arise from trading a mean-reverting price spread over a finite horizon. Modeling the spread by the Ornstein–Uhlenbeck process, we analyze three different trading strategies: (i) the long-short strateg
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f565a60739bd411da24c19d44e124cb
https://doi.org/10.1007/s10436-017-0295-y
https://doi.org/10.1007/s10436-017-0295-y
Publikováno v:
Australian Journal of Agricultural and Resource Economics. 61:232-246
This article presents a method for measuring the functional efficiency of agricultural futures markets in terms of social welfare using a standard futures market structural model. Employing the concept of social surplus, it can be shown that, when fu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::76960e213809e2cf0694dcfe8484d93d
https://doi.org/10.1111/1467-8489.12196
https://doi.org/10.1111/1467-8489.12196
Publikováno v:
Journal of Economic Behavior & Organization, 130, 166-179. Elsevier Science BV
We study the effect of a futures market, in which contracts maturing in the last period of the life of the asset can be traded. Our experiment has two treatments, one in which a spot market operates on its own, and a second treatment, in which a spot
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e5b539a1d2786f307c374fed31fca5d5
https://doi.org/10.1016/j.jebo.2016.07.010
https://doi.org/10.1016/j.jebo.2016.07.010