sense that they are mathematical (logical) projections of it. Like the other trading instruments I have described, then, derivatives and futures options are conflations of representation and exchange, for the representations of time and risk implicit in these trades create a purely notional trading environment whose only existence is electronic. Nevertheless, these electronic trades can have ve...

This paper studies equilibrium in the futures market for a commodity in a single good economy, which is populated by heterogeneous producers and speculators. The commodity is traded only in the spot market at harvest whereas futures contracts written on the commodity are traded continuously. The model illustrates the role of heterogeneity and non-tradeness in a futures market equilibrium. The r...

We use surveys of economic forecasts to derive a forward-looking estimate of the US equity risk premium (ERP) relative to government bonds. Our ERP measure helps predict short-term relative returns between stocks and bonds. Over the period we studied, low readings of the ERP tended to adjust back to the mean via a rally in the bond market rather than a fall in stock prices. We do not generalise...

Tick data and newswire searches are used to find events that led to large and rapid changes in a stock future, a bond future, and three exchange rate futures. Knowledge of these events may be useful in future work. They have the advantages that they are truly surprises and that the sign of their effect on each financial market is known. The events are used in this study to analyze the effects o...

This paper proposes a convenience yield-based pricing for commodity futures, which embeds incompleteness of commodity futures markets in convenience yields. By using the pricing method, we conduct empirical analyses of the prices of WTI crude oil, heating oil, and natural gas futures traded on the NYMEX in order to assess the incompleteness of energy futures markets. We show that the fluctuatio...

Stock market price index prediction is regarded as a challenging task of the financial time series prediction process. Support vector regression (SVR) has successfully solved prediction problems in many domains, including the stock market. This paper hybridizes SVR with the self-organizing feature map (SOFM) technique and a filter-based feature selection to reduce the cost of training time and ...

The purpose of this paper is to analyse the impacts of adaptation to a falling health state on the demand for health and medical care. This is done by integrating adaptation processes in the pure consumption model of Grossman. We also modify the model in another direction by introducing an uncertain lifetime. Model simulations show that adaptation affects the health variables by lowering the in...

This study intends to mine reasonable trading rules using genetic algorithms for Korea Stock Price Index 200 (KOSPI 200) futures. We have found trading rule which would have yielded the highest return over a certain time period using historical data. Simulated results of buying and selling of trading rules were outstanding. These preliminary results suggest that genetic algorithms are promising...