A trading simulation test for weak-form efficiency in live cattle futures

Article Abstract:

A comprehensive trading simulation test for weak-form efficiency in the live cattle futures market is developed to test the possibility of obtaining abnormal profits using only information gleaned from futures prices and analytical methods. Based on the capital asset pricing model and results showing large risk premia exhibited by futures funds, weak-form efficiency in the cattle futures market is rejected, together with strong-form and semi-strong efficiency.

Cattle, Efficient market theory, Futures

---

Solving for optimal futures and options positions using a simulation-optimization technique

Article Abstract:

A new, simple numerical procedure called the simulation-optimization technique has been developed. The procedure can be used to compute the optimal futures and option positions for an expected utility maximizing producer encountering price and yield uncertainty. It involves stochastic simulation, discrete numerical integration and numerical optimization. The procedure has been applied to a representative Midwest corn producer.

Options (Finance), Simulation methods, Simulation, Mathematical optimization, Optimization theory

---

Lower-boundary violations and market efficiency: evidence from the German DAX-index options market

Article Abstract:

Research is presented describing the efficiency of information systems operated by the German DAX stock market for options, with violations of lower boundaries discussed.

Germany, Finance, Deutscher Aktienindex

Similar abstracts:

• Abstracts: Low duties for big suppliers. Ruling relieves retailers. World Vineyards collection aims to tap wine's cachet
• Abstracts: The interdependence of reporting discretion and information efficiency in laboratory markets. Fraud detection: a theoretical foundation
• Abstracts: Does familiarity breed trust? The implications of repeated ties for contractual choice in alliances. Is slack good or bad for innovation?
• Abstracts: Likelihood ratio derivative estimation for finite-time performance measures in generalized semi-Markov processes
• Abstracts: A dynamic model of the advertising-price sensitivity relationship for heterogeneous consumers. A brand's advertising and promotion allocation strategy: The role of the manufacturer's relationship with distributors as moderated by relative market share

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