𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Efficiency in the Pricing of the FTSE 100 Futures Contract

✍ Scribed by Joëlle Miffre

Book ID
108559640
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
406 KB
Volume
7
Category
Article
ISSN
1354-7798

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

The realized volatility of FTSE-100 futu
The realized volatility of FTSE-100 futures prices
✍ Nelson M. P. C. Areal; Stephen J. Taylor 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 265 KB 👁 1 views

## Abstract Five‐minute returns from FTSE‐100 index futures contracts are used to obtain accurate estimates of daily index volatility from January 1986 to December 1998. These realized volatility measures are used to obtain inferences about the distributional and autocorrelation properties of FTSE‐

A Study of Arbitrage Efficiency Between
A Study of Arbitrage Efficiency Between the FTSE-100 Index Futures and Options Contracts
✍ Paul Draper; Joseph K. W. Fung 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 197 KB 👁 1 views

## Abstract Despite the importance of the London markets and the significance of the relationship for market makers, little published research is available on arbitrage between the FTSE‐100 Index futures and the FTSE‐100 European index options contracts. This study uses the put–call–futures parity

Size clustering in the FTSE100 index fut
Size clustering in the FTSE100 index futures market
✍ Owain ap Gwilym; Lei Meng 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 89 KB 👁 1 views

## Abstract Recent literature has begun to explore size clustering in financial markets. If a market is perfectly liquid, traders should be able to trade the exact amount that they desire; however, the presence of size clustering may prevent them from achieving optimal trade sizes. This study is no