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Book S P 500 Cash Stock Price Volatilities

Download or read book S P 500 Cash Stock Price Volatilities written by Lawrence Harris and published by . This book was released on 1989 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Return Volatility Movements in Spot and Futures Markets

Download or read book Return Volatility Movements in Spot and Futures Markets written by Jeng-Hong Chen and published by . This book was released on 2014 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: After the Debt Ceiling Bill was passed on August 2, 2011, the S&P 500 index returns volatility increased significantly until the end of 2011. This research investigates the return volatility movements in S&P 500 spot index and index futures markets, the lead/lag relationship between two markets, and the effect of volatility on the trading costs using year 2011 intraday data. The analyses of intraday data show the following results during the higher volatility period (8/3/2011-12/30/2011): First, the difference of return variances between index futures and spot index is even greater than that during the lower volatility period. Second, the index futures market leads the spot index market and the interaction between both markets becomes stronger. Third, both index futures and spot index exhibit clearer U-shape intraday pattern of return volatilities. Finally, the trading costs, measured by the bid-ask spreads, are significantly larger.

Book S P 500

Download or read book S P 500 written by and published by . This book was released on 1988 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Market Makers versus the General Public

Download or read book Market Makers versus the General Public written by Gerard L. Gannon and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: What has been undertaken in this research is a careful sampling of CFTC Samp;P500 futures trade records into the 15 minute required reporting intervals for the period January 1994 to June 2004. Accumulated volume of trade open, close, high and low prices are extracted for market trade and also market makers CT1 trading with the general public CT4 for each group selling short to the other. These trading records are matched with similar price records for the Samp;P500 cash index. An identifiable system of Simultaneous Volatility Model equations is artificially nested and tested, via a systems AIC, against a competing identifiable Structural VAR system. Results are reported from the dominant systems of Simultaneous Volatility Model equation estimates with futures trading volume, futures volatility and cash index volatility included as endogenous variables. As we disaggregate from the market records to CT1 and CT4 records and further into year to year samples, volume to futures volatility leading effects and also futures volatility to cash volatility leading effects dominate. For the sub-period 1994-1999 for CT1 the leading volume term is significant for every year 1994, 1995, 1996, 1997, 1998 and 1999. For the latter sub-period the leading volume term is significant for 2002, 2003 and 2004. As with the annualized results for CT1, for CT4 estimates of the leading volume term are very significant in the futures volatility equation for all separate years 1994, 1995, 1996, 1997, 1998, 1999 and also 2002, 2003 and 2004. In the cash volatility equation for CT1 the lagged futures volatility estimate is very significant and lagged cash volatility insignificant for years 1994, 1995, 1996, 1997 and 1998 but not thereafter. For CT4 records the lagged futures volatility estimate is very significant and lagged cash volatility insignificant for years 1994, 1995, 1996, 1997, 1998, 1999, 2000, 2002 and 2004. So although there appears to a deterioration in the aggregated data for the three groups as the analysis moves into 2000 the annual CT1 and CT4 results of volume and volatility lead/lag effects are quite strong. The results raise important issues for risk management and dynamic hedging models employing intra-day trader data. A number of important issues for further analysis are also raised in this paper.

Book Trading and Hedging with S P 500 Options

Download or read book Trading and Hedging with S P 500 Options written by Chicago Mercantile Exchange and published by . This book was released on 1985 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Index Arbitrage and Nonlinear Dynamics Between the S P 500 Futures and Cash

Download or read book Index Arbitrage and Nonlinear Dynamics Between the S P 500 Futures and Cash written by Gerald P. Dwyer and published by . This book was released on 1995 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Intraday Trading Invariance in the E Mini S P 500 Futures Market

Download or read book Intraday Trading Invariance in the E Mini S P 500 Futures Market written by Torben G. Andersen and published by . This book was released on 2018 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document a transaction level invariance relation among concurrent activity variables in the S&P 500 futures market: return volatility per transaction is proportional to the inverse of the squared expected trade size. It captures the time series behavior extremely well. Even more strikingly, it also provides a good fit to the intraday activity patterns. No prior study quantifies this association across the daily trading cycle or predicts the time series and intraday interactions to line up in a consistent manner. The findings pose a challenge for theories seeking to rationalize the trading process on the world's primary equity-index futures market.

Book Intraday Index Predictability and Options Trading Profitability

Download or read book Intraday Index Predictability and Options Trading Profitability written by Kian Guan Lim and published by . This book was released on 2015 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the intraday dynamics of E-mini S&P 500 index futures and the option trading strategies employing the weekly E-mini S&P 500 index futures options. We make a number of contributions to the literature in the area of intra-day equity index futures return predictability and trading profitability. As far as we know till at present, ours is one of the first studies on intraday implied moments of S&P 500 index futures return using intraday option prices. We use intra-day E-mini S&P500 European-style weekly options data from August 2009 to December 2012 and improve on existing techniques to extract the first four moments of the risk-neutral futures return distribution. Secondly we perform intraday out-of-sample forecasting or prediction, and document the intraday dynamics of the risk-neutral moments. We introduce a novel local autoregression method that allows variable windows in estimating the autoregressive parameters. This is particularly useful in situations when there may be intraday news that cause structural breaks in the otherwise smooth process. It also distinguishes itself from the conventional autoregressive model with predetermined sample lengths. Thirdly, we show profitability in the options trading strategies involving the various risk-neutral moment forecasts, particularly that involving skewness. The positive profitability after transaction costs in skewness trading indicates that the market is not as efficient as thought to be. We also use a novel technique in kurtosis trading that resulted in positive profits before cost, something new in the literature where negative profits were found in kurtosis trading. These results may explain the persistence of intraday trading activities in the market. Our intraday risk-neutral moments also suggest that forecast increases in volatility and skewness lead to an average increase in subsequent return over the next 10 minutes. On the other hand, intraday forecast increase in risk-neutral kurtosis leads to an average decrease in subsequent return. These intraday results appear to be contrary to existing studies using risk-neutral moments over daily intervals. This suggests that intraday price dynamics is different from daily price dynamics.

Book Options on Futures

Download or read book Options on Futures written by John F. Summa and published by John Wiley & Sons. This book was released on 2002-01-04 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Increased marketplace volatility and the expanding size of capital markets have led to an explosion of interest in options on futures. What makes these instruments so attractive is that they allow traders to profit from movements in the markets using little up-front capital and plenty of leverage. At the same time, they provide an excellent hedge against the risks associated with capital market investments. This book demystifies these notoriously difficult-to-understand instruments and provides state-of-the-art strategies and tools for making the most of options on futures. John F. Summa (New Haven, CT) is a CTA and cofounder of OptionsNerd.com, an online service providing market commentary, trading advisories, and assistance with trading system development. Jonathan Lubow (Randolph, NJ) is cofounder and Vice President of Trader's Edge, a futures and options brokerage.

Book Forecasting the Volatility of Stock Market and Oil Futures Market

Download or read book Forecasting the Volatility of Stock Market and Oil Futures Market written by Dexiang Mei and published by Scientific Research Publishing, Inc. USA. This book was released on 2020-12-17 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility has been one of the cores of the financial theory research, in addition to the stock markets and the futures market are an important part of modern financial markets. Forecast volatility of the stock market and oil futures market is an important part of the theory of financial markets research.

Book Microstructure of World Trading Markets

Download or read book Microstructure of World Trading Markets written by Hans R. Stoll and published by Springer Science & Business Media. This book was released on 1993-02-28 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume addresses various aspects of the microstructure of world trading markets and provides scientific evidence on the functioning of specific foreign markets. The study of market microstructure has previously focused on the U.S. markets, but with the rapid expansion in foreign markets there is a real need to understand the nature and functioning of foreign trading markets.

Book Analysing Intraday Implied Volatility for Pricing Currency Options

Download or read book Analysing Intraday Implied Volatility for Pricing Currency Options written by Thi Le and published by Springer Nature. This book was released on 2021-04-13 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.

Book Stock Index Futures

Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.