abstract in this paper an attempt is made to determine the most suitable agricultural commodities to be adopted for establishing a futures market in iran. two different approaches are adopted: the first involves identifying factors that contribute significantly to the success or failure of existing agricultural commodities futures contracts in established futures markets. the second involves si...

The paper describes the futures trading and aims to design the speculators trading strategy. The problem is formulated as the decision making task and such as is solved. The solution of the task leads to complex mathematical problems and the approximations of the decision making is demanded. Two kind of approximation are used in the paper: Monte Carlo for the multi-step prediction and iteration...

Any announcement from the Federal Reserve has a huge impact on the interest rate markets. The press releases from the Federal Open Market Committee (FOMC) are major inputs to the market and the random intervention model is applied to interest rate futures transaction data to measure FOMC announcement impact. Missing prices during non-trading time periods are imputed iteratively during the estim...

In this paper, we visualize the behavior of a futures trading agent by using fuzzy if-then rules. The main aim of this paper is to graphically interpret how trading agents make decisions such as to buy or to sell a futures stock. Fuzzy ifthen rules are used for this aim because their antecedent part specifies the features of time series. The procedure for visualizing the behavior of trading age...

Issues of recent interest and controversy regarding bid-ask spreads in commodity futures markets are investigated. First we apply competing spread estimators to open outcry transactions data and compare resulting estimates to observed spreads. This enables market microstructure researchers, regulators, exchange officials, and traders the opportunity to evaluate the usefulness and accuracy of bi...

We study the lead±lag relationships among the spot, futures, and options markets on Hong KongÕs Hang Seng Index (HSI). The young options market experiences thin trading, and the option returns lag the cash index returns. The more mature futures market experiences active trading. Yet its lead over the cash index appears to be less than the counterparts in other countries. A possible reason is th...

Despite of the importance of effective cash management in passive investment, few analytical results could be found in this area except Connor & Leland(1995). They analyzed the cash management as a stochastic control problem. But futures are not taken into account in their model. Though the use of futures in hedging has disadvantages of possible large tracking error and extra trading cost due t...

Coffee is both an important source of export revenue for developing countries and the underlying asset for the largest futures markets in soft commodities. This paper examines the interdependence of these spot and futures markets, with particular emphasis on the effect futures trading activity, especially speculative behaviour, has on the price risk in spot markets. We identify change points as...

In the age of rapidly evolving computer technology, the trading of securities and commodities, which traditionally has occurred on exchanges and commodity markets, is now also done on electronic systems. The degree of automation varies from system to system.' The speed and degree of automation is largely dependent on historical factors, such as the existence of a highly successful stock exchang...