This paper analyses the time series properties of the daily return from the ten year bond futures contracts traded on the Sydney Futures Exchange (SFE), together with the transmission of volatility from other interest rate futures contracts. The methodology relies on appropriate modelling of the conditional hetersocedasticity observed in the futures price change series. It is then evidnt that t...

Futures are special kind of values that allow the synchronisation of different processes. Futures are in fact identifiers for promised results of function calls that are still awaited. When the result is necessary for the computation, the process is blocked until the result is returned. We are interested in this paper in transparent first-class futures, and their use within distributed componen...

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests show that spot dominates futures in the downside risk, while futures dominate spot in the upside profit...

This paper studies the dynamic relationship among futures price, spot price of Shanghai metal and futures price of London with the co-integration theory, Granger causality tests, residue analysis, impulse responses function, and variance decomposition on the VECM. The study shows the three have the long equilibrium relationship: the copper futures price of Shanghai have internalities to the fut...

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...

We study the returns to investing in VIX futures and VIX Exchange Traded Notes (ETNs). We document a substantial negative return premium for both ETNs and the futures. For example, the a constant maturity portfolio of one-month VIX futures loses about 30% per year over our sample period (2006-2013). We propose an equilibrium model to explain these negative returns. In this model, increases in v...

A single tweet brings about the end of the world as we know it. It sounds highly implausible, but in 2027, it could be our reality. Threatcasting Workshop West 2017, which was jointly sponsored by the Army Cyber Institute and Arizona State University, aimed to provide new clarity about tomorrow. In early May, 47 participants from diverse organizations used threatcasting to create 22 futures reg...

Low-carbon transitions demand long-term systemic transformations and meaningful societal engagement. Most approaches to engaging society with energy climate change fail address the nature of this challenge, focusing on discrete forms participation in specific parts wider systems. Our approach combines comparative case mapping diverse public engagements across systems participatory distributed d...