Futures manipulation with "cash settlement." (includes appendix)

Article Abstract:

This paper investigates the susceptibility of futures markets to price manipulation in a two-period model with asymmetric information and "cash settlement" futures contracts. Without "physical delivery," strategies based on "corners" or "squeezes" are infeasible. However, uninformed investors still earn positive expected profits by establishing a futures position and then trading in the spot market to manipulate the spot price used to compute the cash settlement at delivery. We also show that as the number of manipulators grows, profits from manipulation fall to zero. However, even in the limit, manipulation still has a nontrivial impact on market liquidity. More broadly, we interpret manipulation as a form of endogenous "noise trading" which can arise in multiperiod security markets. (Reprinted by permission of the publisher.)

Research, Futures market, Futures markets, Manipulation (Securities)

---

Spot and Futures Prices and the Law of One Price

Article Abstract:

The Law of One Price is tested for its performance for internationally traded commodities. Short run deviations are observed, but the Law of One Price holds in the long run. Large riskless arbitrage returns are observed. Deviations are commodity specific.

Prices and rates, Economics

---

The effect of short selling on bubbles and crashes in experimental spot asset markets

Article Abstract:

A simulation model to explain the impact of short selling in experimental spot asset markets is presented.

Texas, Analysis, Usage, Capital assets, Simulation methods, Simulation, Short selling

Similar abstracts:

• Abstracts: Reporting on the Web: the state of the art. Agains all odds. Superhighway robbery
• Abstracts: Detour sunglasses in new counter showcase. Speedball's tilt bin display increases sales. Coca-Cola Showcase for gas stations and c-stores
• Abstracts: Consumer perceptions of non-food assortments: an empirical study. Acculturation and inter-ethnic consumer perceptions: Can you feel what we feel?
• Abstracts: The Complete Compensation Update for the Telemarketing Industry. Coordinating Inside and Outside Sales Forces: A Compensation Approach for Greater Productivity
• Abstracts: A noted on the location choice of multinational banks: the case of Japanese financial institutions. The Role of Banks in the International Financial System

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