Testing the mixture-of-distributions hypothesis using "realized" volatility

Article Abstract:

The volume-volatility relation is examined within the context of the mixture-of-distributions hypothesis (MDH) model. A number of tests of MDH are conducted using both the daily squared return and the sum of intraday squared returns computed from a10-year sample (1990-1999) of S&P500 Index futures transactions prices.

Models, Return on investment, Rate of return

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Predicting financial volatility: high-frequency time-series forecasts vis-a-vis implied volatility

Article Abstract:

Using the historical intra day return for equity, foreign exchange, and commodities, financial volatility can be foretold with fair degree of accuracy. Such forecasts help in pricing the option and managing risks.

Management dynamics, Analysis, Management, Foreign exchange rates, Economic forecasting, Stock prices, Company business management, Global economy, Commodity price indexes

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The index futures markets: is screen trading more efficient?

Article Abstract:

The relationship between the abandonment of pit trading and market efficiency is examined. The usefulness of the proposed model in examining real-time data on four liquid futures markets is demonstrated.

Stock price indexes

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