We propose a new approach for trading VIX futures. assume that the term structure of futures follows Markov model. Our strategy selects position in by maximizing expected utility day-ahead horizon given current shape and level structure. Computationally, we model functional dependence between curve, positions, as deep neural network with five hidden layers. Out-of-sample backtests suggest this ...

We examine stock market volatility before and after the introduction of equity index futures trading in twenty-five countries, using various models that account for asynchronous data, conditional heteroskedasticity, asymmetric volatility responses, and the joint dynamics of each country’s index with the world market portfolio. We find that futures trading is related to an increase in conditiona...

the aim of this study is to explore the feasibility of setting up a commodities futures market in iran. specifications for the margin requirements, daily price movement limits, the length of expiration intervals, tick sizes and contract size of various potential future contracts are hereby examined. saffron, pistachio and rice emerge as the three suitable iranian agricultural commodities. a new...

This study tests for calendar anomalies in returns petroleum and products via the futures market, specifically, day-of-the-week (DOW) effect. The energy future contracts this are WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock Oxygenate Blending) Gasoline, Heating Oil, Natural Gas. Futures provide a more liquid insight into price movements relative to spot prices, where fina...

Rainfall derivatives are in their infancy since starting trading on the Chicago Mercentile Exchange (CME) since 2011. Being a relatively new class of financial instruments there is no generally recognised pricing framework used within the literature. In this paper, we propose a novel framework for pricing contracts using Genetic Programming (GP). Our novel framework requires generating a risk-n...

This paper provides an empirical description of the relationship between the trading system operated by a stock exchange and the transaction costs faced by heterogeneous investors who use the exchange. The recent introduction of SETS in the London Stock Exchange provides an excellent opportunity to study the impact of an electronic trading system upon transaction costs and the time taken to car...