Download or read book Arbitrage Tests of the Efficiency of the Currency Futures Options Market written by Eric C. Seale and published by . This book was released on 1986 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Arbitrage Tests and Empirical Tests of Options on Currency Futures Contracts written by Mano Vikrant Singh and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Efficiency of Futures Markets in Foreign Exchange written by Debra Ann Glassman and published by . This book was released on 1980 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Trading Signals on Currency Futures Contracts written by Erdogan Bilik and published by . This book was released on 1983 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Efficiency Tests of the Foreign Currency Options Market written by James N. Bodurtha and published by . This book was released on 1986 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Efficiency Tests of the Foreign Currency Options Market written by James N. Bodurtha and published by . This book was released on 1986 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Arbitrage and Efficiency in the Stock Index Futures and Options Markets written by Joel Stuart Sternberg and published by . This book was released on 1986 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Evidence on the Arbitrage Efficiency of SPI Index Futures and Options Markets written by Steven Li and published by . This book was released on 2005 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability written by Y. Peter Chung and published by . This book was released on 1989 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Testing of the Market Efficient Hypothesis in the Currency Futures and Interbank Markets written by Serdar Ali Avsar and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Evidence on the Arbitrage Efficiency of SPI Index Futures and Option Markets written by Steven Li and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistical Arbitrage Opportunities Between Commodity Futures and Commodity Currency Futures written by Jan-Philipp Weber and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis introduces two algorithmic statistical arbitrage trading strategies based on the fixed hedge ratio of the Engle-Granger cointegration regression and the daily forward-looking hedge ratio of the Kalman filter. Both trading strategies have the objective to exploit short-term deviations from the stochastic long-term equilibrium between country-specific commodity currency futures and commodity futures of Australia, Canada, New Zealand and South Africa based on daily futures prices in the time period from 2005 until 2013. The empirical results suggest that the cointegration relationship between commodity currency futures and commodity futures is highly unstable and switches between a non-cointegrated and a cointegrated regime over time. The error correction models show that commodity futures are weakly exogenous and that commodity currency futures mainly react to short-term deviations from the long-term equilibrium. In addition, the Kalman filter reveals that the pair-specific hedge ratios are highly sensitive over time. The thesis demonstrates that both trading strategies are suitable to exploit statistical arbitrage opportunities based on different combinations between the trading threshold and convergence target. However, the profitability of both trading strategies declined out-of-sample owed to the regime switches in the cointegration relationship and the smaller size of the price anomalies. Further research should focus on the time-varying properties of the hedge ratios and the causes for the regime switches in the cointegration relationship including the implementation of non-linear, respectively regime switching models. Also the pair-specific holdings of the portfolios could be optimised and the performance of the trading strategies tested on high frequency data.
Download or read book Arbitrage Tests of Israel s Currency Options Markets written by Samer HajYehia and published by . This book was released on 1999 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Derivatives written by Robert E. Whaley and published by John Wiley & Sons. This book was released on 2007-02-26 with total page 962 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
Download or read book Advances in Investment Analysis and Portfolio Management written by Cheng-Few Lee and published by Elsevier. This book was released on 1998-08-02 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: This fifth volume in the series covers a variety of topics in the field of advances in investment and portfolio management.
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.
Download or read book An Introduction to Options Futures written by Don M. Chance and published by Chicago : Dryden Press. This book was released on 1992 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt:
