scholarly journals Samuelson Hypothesis and Electricity Derivative Markets

2014 ◽  
Author(s):  
Edouard Jaeck ◽  
Delphine Lautier
Keyword(s):  
Derivative Markets ◽  
Samuelson Hypothesis

An Insight into Derivative Markets: Indian Perspective

2011 ◽  
Vol 1 (9) ◽  
pp. 14-16
Author(s):  
Dr. C.Shobha Dr. C.Shobha ◽  
◽  
Dr. T. Hanumantha raya
Keyword(s):  
Derivative Markets ◽  
Indian Perspective ◽  
Insight Into

Samuelson Hypothesis and Carry Arbitrage

CFA Digest ◽  
2013 ◽  
Vol 43 (2) ◽  
pp. 32-34
Author(s):  
Marc L. Ross
Keyword(s):  
Samuelson Hypothesis

High Frequency Trading of Commodities

2018 ◽  
Author(s):  
Raymond P. H. Fishe
Keyword(s):  
High Frequency ◽  
Equity Markets ◽  
Conclusive Evidence ◽  
Commodity Markets ◽  
High Frequency Trading ◽  
Market Quality ◽  
Market Makers ◽  
Speed Advantage ◽  
Open Outcry ◽  
Derivative Markets

Electronic platforms and high frequency traders (HFTs) have changed the nature of trading. Like equity markets, commodity markets have experienced an influx of algorithmic traders and a decline in “pit” or open outcry trading. Regulatory efforts to understand the effects of HFTs and to offer prudent guidelines or new rules are in their infancy. An overall hesitancy exists because academic studies have produced diverse results on liquidity, volatility, and market quality. This survey focuses on high frequency trading research in commodity derivative markets, documenting basic results and extracting inferences when warranted. Evidence indicates that HFTs act as market makers and their speed advantage has lowered transaction costs, generally during normal markets. Although not entirely conclusive, evidence also suggests that HFTs may exacerbate volatility by withdrawing liquidity in times of market stress, such as during “flash” crashes.

Price and volatility transmission in, and between, skimmed milk powder, livestock feed and oil markets

2017 ◽  
Vol 46 (4) ◽  
pp. 248-257 ◽  
Author(s):  
Dennis Bergmann ◽  
Declan O’Connor ◽  
Andreas Thümmel
Keyword(s):  
Crude Oil ◽  
Milk Powder ◽  
Multivariate Garch ◽  
Volatility Transmission ◽  
Crude Oil Prices ◽  
Multivariate Garch Model ◽  
Oil Markets ◽  
Skimmed Milk ◽  
Derivative Markets ◽  
Skimmed Milk Powder

Price and volatility transmission effects between European Union (EU) and World skimmed milk powder (SMP) prices, as well as those between both SMP series, soybeans and crude oil prices from 2004 to 2014 were analysed using a vector error correction model combined with a multivariate GARCH model. The results show significant transmission effects between EU and World SMP prices, but no significant transmission effects from soybeans or crude oil to either of the SMP prices. For policymakers and modellers, these results indicate the need to consider World SMP prices when considering EU prices. On the other hand, the finding of no transmission effects from soybean to SMP prices reduces the opportunity for a successful cross-hedging for dairy commodities using well-established soybean derivative markets.

Pricing Interest Rate Swaps in Malaysia

2004 ◽  
Vol 07 (04) ◽  
pp. 493-507 ◽  
Author(s):  
Dick Davies ◽  
David Hillier ◽  
Andrew Marshall ◽  
King Fui Cheah
Keyword(s):  
Interest Rate ◽  
Yield Curve ◽  
Capital Controls ◽  
Sample Period ◽  
Kuala Lumpur ◽  
Empirical Results ◽  
Illiquid Markets ◽  
Interest Rate Swaps ◽  
Derivative Markets

This paper compares the theoretical price of interest rate swaps implied from the yield curve with the actual Kuala Lumpur Interbank Offer Rates used for swap resets in the Malaysian swap market for both semi-annual and annual interest rate swaps between 1996 and 2002. As far as we are aware no previous paper has considered pricing swaps in a less established derivative markets. Our empirical results indicate significant and persistent differences between the theoretical implied price and the actual reset price for both swaps over the sample period. This finding has implications for traders and banks in pricing swaps in Malaysia and more generally for pricing swaps in less established or illiquid markets or where capital controls have been introduced.

scholarly journals Options listing and the volatility of the underling asset: a study on the derivative market function

1996 ◽  
Vol 36 (1) ◽  
pp. 28-32
Author(s):  
Marc Chesney ◽  
William Eid Júnior
Keyword(s):  
The Us ◽  
Derivative Markets ◽  
Derivative Market

There are basic misunderstandings on derivative markets. Some professionals believe that they are a kind of casinos and have no utility for the investors. This work looks at the effects of options introduction in the Brazilian market, seeking for another benefit for this introduction: changes in the stocks risk leveI. Our results are the same found in the US and other markets: the options introduction reduces the stocks volatility. We also found that there is a slight indication that the volatility becames more stochastic with this alternative.

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