Tables A-1 and A-2 explain how data are derived from futures prices. Panels are based on the following periods: 6/10/88-11/9/88, 1/22/92-11/4/92, 6/21/94-11/9/94, 1/2/96-11/6/96, 2/3/9811/4/98, 1/3/00-11/10/00, 7/20/02-11/6/02. These periods start on the first day in which at least one bond futures price and one election futures contract price are observed within the year of the election and th...

We analyze the effect various delivery options embedded in commodity futures contracts have on the futures price. The two embedded options considered are the timing and location options. We show that early delivery is always optimal when only a timing option is present, but not so with joint options. The estimates of the combined options are much smaller than the comparable estimates for the ti...

An appealing feature of blockchain technology is smart contracts. A smart contract is executable code that runs on top of the blockchain to facilitate, execute and enforce an agreement between untrusted parties without the involvement of a trusted third party. In this paper, we conduct a systematic mapping study to collect all research that is relevant to smart contracts from a technical perspe...

The purpose of this study is to model the nonparametric realized volatility of the futures contract as traded in domestic U.S. markets for exchange involving the South African rand and the U.S. dollar (ZAR). The study embraces a Bayesian regularization radial basis function (RBF) artificial neural network (ANN) to model the complex volatility patterns. The modeling characteristics revealed by t...

It is often presumed that higher market volatility begets more active trading in derivatives markets. A number of empirical studies have confirmed that such a positive relationship between volatility and activity exists. However, those studies have usually drawn on analyses that apply mainly to daily or intraday data. Very few studies have considered the existence of a possible relationship bet...

A sufficient condition for the existence of equilibrium in Song (2007) is given. Non-linearity and linearity of prices in the model are discussed in depth.

This paper investigates market perceptions of the risk of large exchange rate movements by using information gleaned from risk reversal contracts and macroeconomic news surprises. We focus on the height of the carry trade period in Japan (March 2004 through December 2006). Concerns about sharp yen appreciation were particularly evident during the period of heavy carry trade activity and are mor...

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term hedging horizon can be scaled and successfully applied to longer term horizons. We also test the equivalence of scaled hedge ratios with those calculated directly ...

This paper describes a set of experiments performed with an artiicial futures market simulation. The non-rational market participants, which evolve simple strategies using genetic algorithms, compete against each other to make proots by buying and selling futures contracts. The dynamic and equilibrium behavior of the participants is studied under a variety of conditions. The results suggest tha...

Hedgers located far from organized commodity exchanges suffer a mismatch between their local prices and exchange prices. Futures and options traded on the exchange may still be valuable to distant hedgers, but only to the extent that basis risk is small. Forward contracting allows hedgers to manage risk using a local delivery price, but the Commodity Futures Trading Commission has long banned t...