Although frequent fluctuations in domestic hog prices seriously affect the stability and robustness of the hog supply chain, hog futures (an effective hedging instrument) have not been listed in China. To better understand hog futures market hedging, it is important to study the steady state of intersubjective bidding. This paper uses evolutionary game theory to construct a game model between h...

This paper examines the forward pricing efficiency of the local crude palm oil (CPO) futures market. In an efficient market, the relevant signal to be used by -the producers, traders and processors is simply the futures price. The forward pricing efficiency is measured in terms of the forecasting ability of Malaysian crude palm oil futures price on physical price. The relative predictive power ...

The paper investigates downtrend algorithm and trading strategy based on chart pattern recognition and technical analysis in futures market. The proposed chart formation is a pattern with the lowest low in the middle and one higher low on each side. The contribution of this paper lies in the reinforcement of statements about the profitability of momentum trend trading strategies. Practical bene...

The Federal Reserve implements monetary policy by making discrete adjustments to its target for the federal funds rate. Such adjustments are believed to have significant implications for other short-term interest rates, so considerable resources are expended on forecasting the timing and magnitude of the Fed’s next move. Many analysts, both inside and outside of the Federal Reserve System, look...

I study the properties of implied interest rates from futures and put-call parity relations, and compare it to other market rates commonly used by academics and practitioners. I show that in a market with borrowing and short-selling costs, the price of futures and put-call parity relations is a¤ected by demand pressure. I apply the model to the futures market and obtain a closed-form solution f...

a r t i c l e i n f o Keywords: Multivariate GARCH model Optimal hedge ratio Market noise conditional volatility This paper introduces a new incomplete index and establishes a new optimal hedging model. We find that when the market micro-noise is perfectly negatively correlated with the return of futures market, market incomplete-ness depends on the relative level of noise volatility. Especiall...

This article examines the impact of SGX MSCI Taiwan Index Futures on the volatility of the Taiwan stock market. The empirical work is conducted with the use of weekly stock returns from 1995 to 1998 and by applying an expanded EGARCH model. Our findings show that there is no structural change on either the conditional or the unconditional variance after the introduction of index futures contrac...

Starting from November 20, 1998, Hong Kong Futures Exchange extends its trading hours of Hang Seng Index Futures (HSIF) by opening 15 minutes earlier in the morning session, and closes 15 minutes later in the afternoon session. The longer trading period of the index futures contracts provides an opportunity for investors to trade on any new information in the absence of the underlying spot mark...

Working Papers are a series of manuscripts in their draft form. They are not intended for circulation or distribution except as indicated by the author. For that reason Working Papers may not be reproduced or distributed without the written consent of the author. Abstract This paper examines investor preferences for oil spot and futures based on mean-variance (MV) and stochastic dominance (SD)....

In this paper, we study the fractal characteristics of the futures market. We take the empirical study on London Gold Futures yield by Rescaled Range Analysis, analyzing the fractal characteristics of the futures market. We further determine fractal characteristics and the structure of the nonlinear time series through random disturb the original time series observation sequence. The result of ...