Margin Changes and Futures Trading Activity: a New Approach
نویسندگان
چکیده
منابع مشابه
Futures trading with transaction costs
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...
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ژورنال
عنوان ژورنال: European Financial Management
سال: 2010
ISSN: 1354-7798
DOI: 10.1111/j.1468-036x.2010.00565.x