This research applies a market profile to establish an indicator to classify the correlation between the variation in price and value with the stock trends. The indicator and technical index are neural network architecture parameters that assist to extrapolate the market logic and knowledge rules that influence the TAIEX futures market structure via an integral assessment of physical quantities...

We analyze mean-variance-optimal dynamic hedging strategies in oil futures for oil producers and consumers. In a model for the oil spot and futures market with Gaussian convenience yield curves and a stochastic market price of risk, we find analytical solutions for the optimal trading strategies. An implementation of our strategies in an out-of-sample test on market data shows that the hedging ...

This study proposes a hybrid model, which combines GARCH and Neural Network, for estimating VAR in Nasdaq 100 and Dow Jones futures index market. Empirical results demonstrated that the hybrid method has certain outperformed the conventional method (historical simulation, variance/covariance and the Monte Carlo simulation) in estimating VAR. In terms of accuracy, the hybrid method is superior t...

a r t i c l e i n f o JEL classification: C13 C32 G14 Keywords: Futures price Spot price Chinese commodity market Frequency domain approach Garbade–Silber Model This paper presents the causal relationships between futures and spot prices of six metal and agriculture commodities in Chinese commodity market, using GC test, frequency domain approach proposed by Brietung and Candelon (2006) and Gar...

Managing price risk with futures contracts creates liquidity risk through marking to market. Liquidity risk matters in an imperfect capital market where interim losses on a futures position have to be financed at a borrowing rate that is higher than the risk-free rate. However, the impact of liquidity risk can be mitigated using options on futures. This paper analyzes the optimal risk managemen...

This study is concerned with the aggregation of information in stock index cash and futures markets. The efficient price discovery is analyzed with reference to the error correction representation and to the common trend representation of cointegrated variables. The empirical evidence is based on three month of intraday data on the French CAC 40 index. The results indicate that deviations from ...

In recent years, the increasing importance of the futures market in the Indian financial markets has received considerable attention from researchers, academicians and financial analysts. This paper is an attempt to examine the time varying properties of volatility of India’s stock index futures market. The application of GARCH class models provides the evidence of the persistence of time varyi...

This paper examines the intertemporal pricing behavior between the largest futures markets within the Pacific region with those in the UK and US. Both mean return and volatility transmissions between these markets are analyzed to understand the channels by which the international pricing mechanism functions. Results obtained from using a mixture of intraday and overnight returns show a preponde...

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...

This research develops an early warning system (EWS) for equity market crises based on multinomial logit models and variables relating to the information content of index futures and options. We show that the information impounded in S&P 500 futures and options are useful as leading indicators of financial crises. The current literature is absent of such studies. Results reveal that models esti...