Trading and hedging in S&P spot and futures markets using genetic programming

Article Abstract:

Futures and index market trading of the Standard and Poor 500 index was analyzed using genetic algorithms to maximize returns. Comparison showed that genetic programming did not consistently compare favorably with the strategy of buy-and-hold.

Usage, Investments, Mathematical optimization, Optimization theory

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Trading volume, bid-ask spread, and price volatility in futures markets

Article Abstract:

Analysis of trading volume, price volatility and the spread between bid and ask was performed using the generalized method of moments. A positive relationship was found between price volatility and trading volume, but an inverse relationship between bid-ask spread and trading volume.

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Future Hedging under dissappointment aversion

Article Abstract:

Research regarding optimal futures hedging decisions when hedgers is disappointment-averse is given. When the futures contract is a perfect hedge instrument, a disappointment-averse hedger always holds a position close to the full hedge than a nondisappointment-averse hedger.

Investment Offices, Investment Companies, Open-End Investment Funds, Hedge funds, Futures

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