In the international monetary system, gold plays a significant role. Predicting prices is useful and unique skill for anybody. As result, improving one's ability to anticipate futures critical. The study presented in this paper relates predictions, based on heterogeneous autoregressive (HAR) theory, Heterogeneous Autoregressive model of Realized Volatility (HAR-RV model), coupled with gold's da...

We use network analysis to quantify the flow of information through financial markets. Using unique ultra high frequency data, we compute network and financial variables for transactions that occured during August 2008 in the nearby E-mini S&P 500 futures contract – the cornerstone of price discovery for the S&P 500 Index. We find that network variables presage the information represented by fi...

The purpose of this report is to review the evidence on the profitability of technical analysis. To achieve this purpose, the report comprehensively reviews survey, theoretical and empirical studies regarding technical trading strategies. We begin by overviewing survey studies that have directly investigated market participants’ experience and views on technical analysis. The survey literature ...

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a time-frequency-scale approach (discrete and continuous), between electricity spot and futures. Simpler app...

The prices of financial futures contracts can be interpreted as forecasts of the spot rates, which will apply at the final delivery date of that contract. Financial futures contracts have been traded daily since the early 1980s and provide a substantial bank of data to test the forecasting efficiency of such contracts. Tests are carried out to examine whether the interest rates implied by the f...

sense that they are mathematical (logical) projections of it. Like the other trading instruments I have described, then, derivatives and futures options are conflations of representation and exchange, for the representations of time and risk implicit in these trades create a purely notional trading environment whose only existence is electronic. Nevertheless, these electronic trades can have ve...

The operation of futures exchanges and the trading on the fl oor is hard to be interpreted without knowing the actors’ main motivations. For the solution of this problem a lot of information is provided by theories aimed at revealing the motives of hedge deals having gained acknowledgment in the international special literature, whose short introduction in this paper is followed by the setting ...

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...

Spoofing (canonically: ‘bidding or offering with the intent to cancel bid offer before execution’), once a valued skill in face-to-face trading, has become crime punishable by jail. Echoing Riles’s call for greater attention law research on finance, this paper analyses interwoven processes of dramatic shift, including trading’s changing material form, contingencies such as Congressional respons...