∗ The authors names are given in alphabetical order, both authors contributed equally to this paper. Abstract: This paper presents a preliminary analysis of case study based research exploring the shift from traditional ‘open-outcry’ to electronic trading in the major futures Markets in London and Chicago. We outline the emergence of electronic trading in these Markets, with the aim of examinin...

A model for optimal consumption and investment is posed whose solution is provided by the classical Merton analysis when there is zero transaction cost. A probabilistic argument is developed to identify the loss in value when a proportional transaction cost is introduced. There are two sources of this loss. The first is a loss due to “displacement” that arises because one cannot maintain the op...

To place an order under this method, the customer calls a broker, who time-stamps the order and prepares an office order ticket. The broker then sends the order to a booth on the exchange floor. There, a floor order ticket is prepared, and a clerk hand delivers the order to the floor trader for execution. In some cases, the floor clerk may use hand signals to convey the order to floor traders. ...

In this paper, we present steps towards a model-driven financial decision support system (FDSS) to pricing options on currency futures, which can be embedded in a high-frequency trading process. Due to the difficulty of option valuation, we provide an alternative heuristic option pricing approach with neural networks. We show that the use of neural networks is not only suitable in generating ac...

We examine the informational role of derivatives in price discovery in Taiwan. After controlling for market cycles, moneyness, and liquidity, we use three different methods to measure the information contents in different trading venues. We find that the trades on futures contribute the most to price discovery. The futures transactions, however, are also the most costly in executing information...

We describe a real-time, internet-based S&P futures trading system, including a description of general aspects of internet-mediated interactions with electronic exchanges. Inner-shell stochastic nonlinear dynamic models are developed, and Canonical Momenta Indicators (CMI) are derived from a fitted Lagrangian used by outer-shell trading models dependent on these indicators. Recursive and adapti...

Owning a seat is what enables locals to trade in futures markets. Seats are usually assigned by the Clearinghouse but can be successively traded among locals by paying officially quoted prices. This paper develops a pricing model for seats in futures markets. The existing literature on the argument is extended by introducing the new hypothesis that the number of contract traded since the seat’s...

Organized trading for electricity includes both the pool and the futures market. Pool prices are volatile while the prices of the futures-market products are comparatively more stable. Thus, futures-market products constitute hedging instruments to reduce the risk suffered by any market agent. Electricity market agents engage in both pool and futures market transactions seeking to maximize thei...

To hold the mixed futures directly decide whether people can better profit in the futures trading of futures price, so it is more and more important to study the situation of futures price. In view of this situation, this article studies the degree of correlation and its classification of eight kinds of material which take the date provided by the Shanghai futures exchange for promise, it true ...