Charting: chaos theory in disguise?

Article Abstract:

The application of technical analysis in nonlinear forecasting on high dimension systems may prove that technical modeling methods are more closely connected with nonlinear methods and pushes further study of both methods. The application proves effective although the theoretical foundation of technical methods is still new and needs further treatment. The development of broader links between the technical and nonlinear methods, on the other hand, is particularly useful for analyzing nonlinear systems of relatively high dimension.

Market Research, Models, Nonlinear theories

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Regulatory competition and the efficiency of alternative derivative product margining systems

Article Abstract:

Standard Portfolio Analysis of Risk (SPAN) provide the same portfolio margining system but with less collateral requirements than the strategy-based Regulation T (Reg T). SPAN determines potential one-day risk exposures using option pricing simulations while Reg T uses a percentage of the instrument's value. Furthermore, SPAN accord value collateral value to any option while Reg T only assigns value to those under specifically recognized strategies.

Margins (Futures trading)

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Optimal hedging with futures contracts: the case for fixed-income portfolios

Article Abstract:

An examination of a portfolio of fixed-income securities hedged with interest rate futures revealed the conditions for the optimality of the minimum volatility portfolio.

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