Asian economic fears help futures prices to soar
- The pricing of SPI futures options with daily futures style margin payments. Twite, Garry // Australian Journal of Management (University of New South Wales);Dec96, Vol. 21 Issue 2, p139
Examines the pricing of share price index (SPI) futures options as traded on the Sydney Futures Exchange in Australia. Definitions of SPI, SPI futures contract and SPI futures options; Presentation of a model for pricing; Structure of predicting errors; Assumptions of frictionless markets and...
- TEMPORAL RELATIONSHIPS AMONG FUTURES PRICES: REPLY. Gray, Roger W.; Tomek, William G. // American Journal of Agricultural Economics;May71, Vol. 53 Issue 2, p362
Presents a reply to comments made by Richard G. Heifner on a study about temporal relationships among futures prices. Conceptual basis of the contrast between continuous and discontinuous inventory futures markets; Clarification on the empirical questions raised by Heifner.
- The elegance of open interest. Kleinman, George // Futures: News, Analysis & Strategies for Futures, Options & Deri;Mar2002, Vol. 31 Issue 4, p56
Focuses on the application of open interest method in the trading of futures in the U.S. Usefulness in predicting the price trends and reversals; Observations of volume in conjunction with open interest rules; Analysis on the rules of open interest.
- PolyDimensional charts and MetaTrend analysis. Boomers, Robert G. // Futures: News, Analysis & Strategies for Futures, Options & Deri;Mar2002, Vol. 31 Issue 4, p60
Focuses on the application of PolyDimensional charts and MetaTrends analysis in determining the price patterns in futures trading in the U.S. Assessment on the level of mathematical competency; Discussion on the process of price trend arrangement; Use of MetaTrends in highly liquid publicly...
- Comparing price, volume & open interest. Gould, James S. // Futures: News, Analysis & Strategies for Futures, Options & Deri;Jan2003, Vol. 32 Issue 1, p52
Compares the price, volume and open interest in forecasting future price direction. Directions for price movements; Interpretation and conversion of market data into market information; Advantages of futures traders over equity traders.
- The `spook' effect: Imports, Philadelphia. Sherman, Lynn // Bond Buyer;08/25/97, Vol. 321 Issue 30216, p31
Reports on the decline of the municipal futures prices in the United States. Factors causing the decline.
- Spot-futures spread and volatility: Evidence from metals prices. McMillan, David G. // Derivatives Use, Trading & Regulation;2003, Vol. 9 Issue 1, p32
This paper applies a recently developed multivariate GARCH model to examine whether (squared) short-run deviations from a cointegrating equilibrium relationship between spot and futures metals prices has any explanatory power for returns conditional variance. Evidence of a positive relationship...
- Effect of Stochastic Interest Rates on the Pricing of SPI Futures Contracts. Twite, Garry J. // Australian Journal of Management (University of New South Wales);Dec92, Vol. 17 Issue 2, p259
The model most often used in empirically testing the pricing of share price index futures contracts is the no-arbitrage model. But this model is actually a forward, not a futures, pricing model. To apply the model to SPI futures, we must assume the equality of forward and futures prices. But the...
- Commodities and bonds: Two steps forward, one step back. Varikooty, Ashok // Futures: News, Analysis & Strategies for Futures, Options & Deri;Sep94, Vol. 23 Issue 10, p28
Examines the time relationships and correlations between the Knight-Ridder Commodity Research Bureau Futures Price Index and benchmark long bond prices. Implications for investors wanting to sell long bonds.