Author: Terrill Ray KeaslerPublisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 324
Book Description
The Relation Between Futures Trading and Volatility in the Major Market Index
Author: Terrill Ray KeaslerPublisher:
ISBN:
Category : Stock index futures
Languages : en
Pages : 324
Book Description
The Relation Between Futures Trading and Volatility in the Major Market Index
Author: Terrill Ray KeaslerPublisher:
ISBN:
Category : Commodity futures
Languages : en
Pages : 162
Book Description
Trading Volatility
Author: Colin BennettPublisher:
ISBN: 9781461108757
Category :
Languages : en
Pages : 316
Book Description
This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council
Trading Mechanisms, Speculative Behavior of Investors, and the Volatility of Prices
Author: Hun Y. ParkPublisher:
ISBN:
Category : Prices
Languages : en
Pages : 56
Book Description
This paper compares the volatility of spot prices (dealership market) with that of futures prices (auction market) to test the implications of different trading mechanisms for the volatility of prices. First, a natural estimator of the volatility is sued. Using the intraday data of the major Market Index and its futures prices, we show that the volatility of opening prices is higher than that of closing prices not only in the spot market but in the futures market, and that the intraday volatility patterns are U-shaped in both markets. Of particular interest is that futures prices do not appear to be as volatile as spot prices when the natural estimator of volatility is used, to the contrary of the conventional wisdom. We argue that the different volatility patterns during the day are not necessarily due to the different trading mechanisms, auction market versus dealership market. Instead, after developing a simple theoretical model of speculative prices, we show that at least part of the different volatility patterns during the day may be attributable to speculative behavior of investors based on heterogeneous information. In addition, we further investigate the volatilities of spot and futures prices using a temporal estimator of price volatility as an alternative to the natural estimator. Based on the temporal estimator, we cannot find any systematic pattern of volatilities during the day in both spot and futures markets, and that futures prices appear to be more volatile than spot prices in terms of how quickly the price moves beyond a given unit price level, but not in terms of how much the price changes during a given unit time interval. Some policy implications are also discussed.
Derivatives and Hedge Funds
Author: Stephen SatchellPublisher: Springer
ISBN: 1137554177
Category : Science
Languages : en
Pages : 416
Book Description
Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
The Stock Index Futures Market
Author: B. Thomas ByrnePublisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 380
Book Description
The Effect of Futures Trading on Cash Market Volatility
Author: Gary RobinsonPublisher:
ISBN:
Category : Finance
Languages : en
Pages : 48
Book Description
Introduction to Major Market Index Futures
Author: H. Patrick FaustPublisher:
ISBN:
Category : Hedging (Finance)
Languages : en
Pages : 40
Book Description
Futures Trading Activity and Stock Price Volatility
Author: Hendrik BessembinderPublisher:
ISBN:
Category : Futures
Languages : en
Pages : 36
Book Description
Author: Huseyin Gulen