Intraday Price Dynamics between EUAs and CERs in the European Carbon Futures Market

2011 ◽  
Author(s):  
Vicente Medina ◽  
Ángel Pardo Tornero ◽  
Roberto Pascual
Keyword(s):  
Futures Market ◽  
Price Dynamics

scholarly journals Analysis of the Economic Potential for a Mercosur Rice Futures Market

2015 ◽  
Vol 10 (2) ◽  
Author(s):  
Waldemar Souza ◽  
João Martines Filho ◽  
Claudio Zancan ◽  
Antonio C. S. Costa ◽  
Andreza G. A. Queiróz
Keyword(s):  
Futures Market ◽  
Economic Benefits ◽  
Price Dynamics ◽  
Basis Risk ◽  
Futures Contract ◽  
Price Series ◽  
Rough Rice ◽  
Commodity Futures Markets ◽  
Rice Price ◽  
Rice Prices

World rice production reached 488.4 thousand tons, in 2012. Asian countries are the world’s largest rice producers, followed by Latinamerica, particularly Brazil, where rice is a basic food item. In spite of the clear economic benefits bestowed by commodity futures markets, neither Asia nor Mercosur have implemented a regional rice futures market. In sum, we propose to investigate the feasibility of a Brazilian rice futures contract to serve the Mercosur region by estimating Mercosur rice price dynamics and analyze basis risk and hedging effectiveness for rice market agents in the region, in a simulation framework using a hypothetical regional contract price. Sample data and period was non-probabilistic, for accessibility and convenience. Mercosur rice price dynamics expressed Argentina and Uruguay rice prices moving in synchrony. Brazil rice prices were on lower levels. Also, all three pairs of rice price series are cointegrated, with one cointegrating equation. Again, results can be largely attributed to the different price data used, in Brazil was rough rice, while in Uruguay and Argentina milled white rice with 5%. Despite that, there are preliminary evidences that a Mercosur rice futures market could be feasible.

Monetary policy and price dynamics in a commodity futures market

2014 ◽  
Vol 29 ◽  
pp. 372-379 ◽  
Author(s):  
Meng-Yi Tai ◽  
Chi-Chur Chao ◽  
Shih-Wen Hu ◽  
Ching-Chong Lai ◽  
Vey Wang
Keyword(s):  
Monetary Policy ◽  
Futures Market ◽  
Commodity Futures ◽  
Price Dynamics

Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics

2021 ◽  
Vol 96 ◽  
pp. 105149
Author(s):  
Kun Yang ◽  
Yu Wei ◽  
Shouwei Li ◽  
Liang Liu ◽  
Lei Wang
Keyword(s):  
Crude Oil ◽  
Futures Market ◽  
Price Dynamics ◽  
Oil Futures ◽  
Crude Oil Futures

House price dynamics of the top 13 cities in China

2017 ◽  
Author(s):  
Piyush Tiwari ◽  
Alla Koblyakova ◽  
John Croucher ◽  
Justine Wang
Keyword(s):  
House Price ◽  
Price Dynamics ◽  
House Price Dynamics

Optimal Hedge Ratio and Hedging Effectiveness in Stock Futures Market: Evidence from National Stock Exchange, India

2019 ◽  
Vol 118 (3) ◽  
pp. 137-152
Author(s):  
A. Shanthi ◽  
R. Thamilselvan
Keyword(s):  
Banking Sector ◽  
Stock Exchange ◽  
Research Work ◽  
Futures Market ◽  
Least Square ◽  
Time Varying ◽  
Hedge Ratio ◽  
Hedging Effectiveness ◽  
Out Of Sample ◽  
Optimal Hedge

The major objective of the study is to examine the performance of optimal hedge ratio and hedging effectiveness in stock futures market in National Stock Exchange, India by estimating the following econometric models like Ordinary Least Square (OLS), Vector Error Correction Model (VECM) and time varying Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model by evaluating in sample observation and out of sample observations for the period spanning from 1st January 2011 till 31st March 2018 by accommodating sixteen stock futures retrieved through www.nseindia.com by considering banking sector of Indian economy. The findings of the study indicate both the in sample and out of sample hedging performances suggest the various strategies obtained through the time varying optimal hedge ratio, which minimizes the conditional variance performs better than the employed alterative models for most of the underlying stock futures contracts in select banking sectors in India. Moreover, the study also envisage about the model selection criteria is most important for appropriate hedge ratio through risk averse investors. Finally, the research work is also in line with the previous attempts Myers (1991), Baillie and Myers (1991) and Park and Switzer (1995a, 1995b) made in the US markets

The profitability of algorithmic trading systems based on football sentiment

2020 ◽  
Vol 42 (1) ◽  
pp. 33-46
Author(s):  
Raúl Gómez-Martínez ◽  
Camila Marqués-Bogliani ◽  
Jessica Paule-Vianez
Keyword(s):  
Financial Markets ◽  
Investment Decisions ◽  
Futures Market ◽  
Algorithmic Trading ◽  
Investment Strategies ◽  
Measurable Effect ◽  
Behavioural Finance ◽  
Trading Systems ◽  
European Football

Behavioural finance has shown that investment decisions are the result of not just rational but also emotional brain processes. On the assumption that emotions affect financial markets, it would seem likely that football results might have a measurable effect on financial markets. To test this, this study describes three algorithmic trading systems based exclusively on the results of three top European football teams (Juventus, Bayern München and Paris St Germain) opening long or short positions in the next market season of the futures market of the index of each country (MIB (Milano Italia Borsa), DAX (Deutscher Aktien Index) and CAC (Cotation Assistée en Continu). Depending on the outcome of the last game played a long position was taken after a victory and a short position after a draw or defeat. The results showed that the algorithmic systems were profitable in the case of Juventus and Bayern whereas in the case of PSG, the system was profitable, but in an inverse way. This study shows that investment strategies that take account of sports sentiment could have a profitable outcome.

Sign in / Sign up

Export Citation Format

Share Document