The futures market offers a secure, precise and quick exchange platform for traders, offering efficient transactions no triangle bonds, which is beneficial establishing improving the economy. However, trading prices, it generally difficult to predict. Therefore, this article uses big data analysis methods predict prices. research results show that after using prediction analysis, highest accura...

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...

The futures market in West Texas Intermediate crude oil was introduced in 1983 with a posted-price cash market in which the posted price changed a few times a year. By 2002, the cash price changed almost daily. Evidence from producers’ invoices shows that this initially low frequency of price changes reflects transactions prices. Using experiments, we show that the introduction of a futures mar...

The paper concerns an approximate dynamic programming. It deals with a class of tasks, where the optimal strategy on a shorter horizon is close to the global optimal strategy. This property leads to a new, specific, design of the Bellman function estimation. The paper introduces the proposed approach and provides an illustrative example performed on the futures trading data.

This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of different exchange features and the impact of market participants in different asset sectors. This paper aims to address the following questions: 1. Is there stati...

Research on the impact of the introduction of derivatives on the market volatility has reported mixed evidences. In this paper, we study the volatility implications of the introduction of derivatives on the stock market in India using S&P CNX IT index. To account for the heteroscedasticity in the time series, GARCH model is used. We find clustering and persistence of volatility in different deg...