We explored the application of a machine learning method, Logitboost, to automatically calibrate a trading model using different versions of the same technical analysis indicators. This approach takes advantage of boosting’s feature selection capability to select an optimal combination of technical indicators and design a new set of trading rules. We tested this approach with high frequency dat...

Overnight futures trading is available in the US, France and Australia. This study investigates the efficiency of Australian overnight futures prices and shows how overnight trading offers new opportunities for short-term risk management. We find that the overnight futures traders are very much focussed on simultaneous US daytime trading with US returns and Australian overnight returns having a...

This paper examines the relative liquidity and rate of price discovery on floorbased versus screen-based trading systems in the Japanese Yen, British Pound, and Euro foreign exchange futures markets traded on the Chicago Mercantile Exchange (CME). Intra-day data from January 2, 2003 through March 5, 2004 are used in our analysis. We find that liquidity, measured by bid-ask spreads, is tighter i...

In this paper, we examine the statistical forecast accuracy of econometric models, surveys and futures rates in predicting the LIBOR-Federal Funds Rate (LIBOR-FF) spread during and after the financial crisis. We provide evidence that the futures market forecast outperforms all competing forecasts during and after the financial crisis. Our results also suggest that the predictive accuracy of the...

This paper examines volatility models of currency futures contracts for three developed markets and two emerging markets. For each contract, standard models of the Unbiased Expectations Hypothesis (UEH) and Cost-of-Carry hypothesis (COC) are extended to derive volatility models corresponding to each of the two standard approaches. Each volatility model is formulated as a system of individual eq...

Using intra-day data, this paper investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to evidence in equity markets and more recent evidence in foreign exchange markets, the spot market is fou...

In December 2010, the United Nations Food and Agriculture Organization's Food Price Index surpassed its previous peak of June 2008, and prices remained at this level through September 2011. This pattern is creating justified fears of a renewal or intensification of the global food crisis. This paper reviews arguments and evidence to inform debates on how to regulate commodity futures markets in...

We propose a new approach for trading VIX futures. assume that the term structure of futures follows Markov model. Our strategy selects position in by maximizing expected utility day-ahead horizon given current shape and level structure. Computationally, we model functional dependence between curve, positions, as deep neural network with five hidden layers. Out-of-sample backtests suggest this ...