Abstracts

Business, general

Search abstracts:

Does the S&P 500 futures mispricing series exhibit nonlinear dependence across time?

Article Abstract:

A study of Standard and Poor's 500 mispricing series discovered proof of low-order determinism and nonlinearities in this series. Structural problems, such as the differential delays in trading the index basket in the futures market and the cash market, combined with nonlinear adjustment processes within the system, generated sustained and irregular fluctuations in the mispricing levels, which could destabilize the market. Structural differences between the two markets should be reduced, and trading in the stock market should be speeded up to stabilize the market.

Evaluation, Standard and Poor's 500-Stock Price Index

---

Normal backwardation in short-term interest rate futures markets

Article Abstract:

Commitment of Trader's reports for the Chicago Mercantile Exchange's Eurodollar and Treasury bill futures contracts were used to test the theory of normal backwardation. The theory holds that risk premia will address imbalances between net hedging and net speculative positions in the futures market. Results, which show that net commercial open interest can be used to predict movements in contract price and that Eurodollar futures contracts can be used as inputs in pricing derivative contracts such as interest rate swaps, validate the theory.

Contango and backwardation

---

Do systematic risk premiums persist in Eurodollar futures prices?

Article Abstract:

An analysis is done to account for the systematic bias in interest rate future prices. Considerable attention has been given by academic researchers on the properties of interest rate futures contract prices due to the trading opportunities in these contracts and the use of interest rate futures contract prices in derivative product valuation. Market participants are concerned about the relationship between the contract price prior to the delivery date and the contract price on the delivery date.

Eurocurrency market, Interest rate futures

Similar abstracts:

• Abstracts: Stress on the job: an executive update. Deterring white-collar crime. The Soviet enterprise director - an important resource before and after the coup
• Abstracts: Robustness results for regression hedge ratios: futures contracts with multiple deliverable grades. Efficient use of information, convergence adjustments, and regression estimates of Hedge ratios
• Abstracts: Advanced manufacturing and new directions for competitive strategy. Quality, vendor evaluation and organizational performance: a comparison of U.S. and Japanese firms
• Abstracts: High-definition TV has networks, outlets worried about costs; they fear the revenue gains may be slight if people refuse to buy $3,500 sets; dividing rich from poor?
• Abstracts: Western Digital taps George Bragg for vice chairman. U.S. jury award aids Hayes's effort to get royalties

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.