Various trading strategies are applied in intraday high-frequency market to provide investors with reference signals to be on the right side of market at the right time. In this paper, we apply a trading strategy based on the combination of ACD rules and pivot points system, which is first proposed by Mark B. Fisher, into Chinese market. This strategy has been used by millions of traders to ach...

The grey theory is mainly uncertainty directed against the systematic model and fit for incomplete information. This paper adopts the grey prediction methods, GM(1,1) and GM(1,1|optimal α), to investigate the return and volatility of major index futures among American and Eurasian markets. The grey relational theory and GM(1,N) model are further used to observe the volatility spillover effect a...

In the current financial crisis, promoting rapid developments of gold industry, ensuring healthy operations of national economy, and actively developing the gold futures market are very important. Functioning of the gold futures market will determine the gold market maturity and integrity. Risk transfer is one of the two basic functions of futures market. The risk transfer function is realized ...

Derivatives are alternative financial instruments which extend traders opportunities to achieve some financial goals. They are risk management instruments that are related to a data in the future, and also they react to uncertain prices. Study on pricing futures can provide useful tools to understand the stochastic behavior of prices to manage the risk of price volatility. Thus, this study eval...

This paper empirically investigates the diversification effects on a traditional portfolio by introducing alternative investments (hedge funds, managed futures, real estate, private equities and commodities). This paper is the first attempt to incorporate a variety of risk measures (Volatility, Value at Risk and Conditional Value at Risk) as the objective function for the portfolio optimization...

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the method to German data yields very sim...

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. The r...