VIX Futures Trading Activity and Volatility

2013 ◽  
Author(s):  
Bujar Huskaj ◽  
Lars L. Norden
Keyword(s):  
Trading Activity ◽  
Futures Trading ◽  
Vix Futures

scholarly journals Margin Changes and Futures Trading Activity: a New Approach

2013 ◽  
Vol 19 (1) ◽  
pp. 45-71 ◽  
Author(s):  
Kate Phylaktis ◽  
Antonis Aristidou
Keyword(s):  
Trading Activity ◽  
Futures Trading ◽  
New Approach

Effect of Margin Requirement on Default Risk and Liquidity in the Korean Futures Market

2016 ◽  
Vol 24 (2) ◽  
pp. 269-299
Author(s):  
Hak-Kyum Kim ◽  
Jinwoo Park
Keyword(s):  
Default Risk ◽  
Effective Means ◽  
Simulation Method ◽  
Futures Market ◽  
Stock Index ◽  
Stock Index Futures ◽  
Trading Activity ◽  
Futures Trading ◽  
Margin Requirements ◽  
Margin Requirement

Margin requirements are often viewed as an effective policy tool to prevent the default risk and maintain market stability. For the Korean futures market, this paper examines whether the margin requirements work normally as a tool to prevent default risk and margin changes have impact on futures trading activity. KOSPI200 stock index futures, USD (U.S. Dollar) futures, and 3-year KTB (Korean Treasury Bond) futures are included in the sample for the period from 2010 to 2015. Using the simulation method assuming the worst situation, we find that the possibility of default occurs once for KOSPI200 futures, twice for 3-year KTB futures, and 7 times for USD futures during the sample period. This result suggests that active margin requirement policy is necessary to prepare for financial market turbulence. In addition, we find that the margin changes do not have a significant impact on the futures trading activity, suggesting that decreases in margins are not effective means to improve liquidity in the Korean futures market

scholarly journals Margin Changes and Futures Trading Activity: a New Approach

2010 ◽  
Vol 19 (1) ◽  
pp. 45-71 ◽  
Author(s):  
Kate Phylaktis ◽  
Antonis Aristidou
Keyword(s):  
Trading Activity ◽  
Futures Trading ◽  
New Approach

scholarly journals Trading VIX futures under mean reversion with regime switching

2016 ◽  
Vol 03 (03) ◽  
pp. 1650021 ◽  
Author(s):  
Jiao Li
Keyword(s):  
Regime Switching ◽  
Markov Chain Model ◽  
Mean Reversion ◽  
Coupled System ◽  
Numerical Approach ◽  
Trading Strategies ◽  
Chain Model ◽  
Futures Trading ◽  
Vix Futures ◽  
Nicolson Scheme

This paper studies the optimal VIX futures trading problems under a regime-switching model. We consider the VIX as mean reversion dynamics with dependence on the regime that switches among a finite number of states. For the trading strategies, we analyze the timings and sequences of the investor’s market participation, which leads to several corresponding coupled system of variational inequalities. The numerical approach is developed to solve these optimal double stopping problems by using projected-successive-over-relaxation (PSOR) method with Crank–Nicolson scheme. We illustrate the optimal boundaries via numerical examples of two-state Markov chain model. In particular, we examine the impacts of transaction costs and regime-switching timings on the VIX futures trading strategies.

The Effect of Futures Trading on Spot Market Liquidity

2005 ◽  
Vol 13 (1) ◽  
pp. 29-52
Author(s):  
Ki Yool Ohk
Keyword(s):  
Price Volatility ◽  
Spot Market ◽  
Market Liquidity ◽  
Stock Index ◽  
Spot Price ◽  
Spot Markets ◽  
Stock Index Futures ◽  
Trading Activity ◽  
Futures Trading ◽  
Index Futures

This study analyzes the effect of stock index futures trading on the price volatility and liquidity of spot markets, It is found that spot price volatility increases significantly after stock index futures are listed, This study partitions the trading activity series of sPOt markets into expected and unexpected components, and documents that unexpected spot-trading activities are associated with smaller sPOt price movements subsequent to the introduction of futures trading, This imolies that spot market liquidity has been increased by the intraduction of futures trading, Furthermore, this study examines the effect of futures-trading activity on the liquidity of spot markets, Results show that active futures markets enhance the liquidity of soot markets.

Sign in / Sign up

Export Citation Format

Share Document