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...

This paper analyses the effect of an increase in market-wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures to assess macroeconomic shocks that affect market-wide uncertainty. We use the ratio of a stock’s idiosyncratic realised volatility with respect to the S&P500 futures relative to its total realised vol...

The financial market provides a mechanism for aggregating information of heterogeneous traders, who have different beliefs, knowledge and trading strategies. This paper studies the interactions between traders their impacts on price discovery by developing pricing model futures market. With mathematical analysis, we solve equilibrium its stability conditions system. As findings show, behavioral...

We outline several fundamental themes for the WPS Handbook of the Futures Markets. The Handbook as the others in the same series intends to be a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing rem...

We employ the methods of neural network (hereafter NN) and genetic programming (hereafter GP) in this paper to construct a spread trading system, respectively, to forecast the trend of the price spread between Taiwan Stock Exchange Electronic Index Futures (hereafter TE) and Taiwan Stock Exchange Finance Sector Index Futures (hereafter TF). To forecast the trend of the spread, we use a variety ...

In the last decade, High-Frequency Trading (HFT) has become a popular issue in futures market, which attracted much attention from numerous researchers. this study, an intelligent decision support system is proposed for apple high-frequency trading. First, three eXtreme Gradient Boosting (XGBoost) based models use feature inputs multiple time scales return and direction prediction. Then, on pre...