## Introduction he Nikkei Stock Average Futures contract started trading at the Singapore T International Monetary Exchange (SIMEX) on September 3, 1986. SIMEX became the first futures exchange to trade a stock index futures outside the country where the indexed stocks are traded. The stock index
Forecasting and Arbitrage of the Nikkei Stock Index Futures: An Application of Backpropagation Networks
โ Scribed by Shang-Wu Yu
- Book ID
- 110284982
- Publisher
- Springer
- Year
- 1999
- Tongue
- English
- Weight
- 62 KB
- Volume
- 6
- Category
- Article
- ISSN
- 1573-6946
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## Abstract This study attempts to apply the general equilibrium model of stock index futures with both stochastic market volatility and stochastic interest rates to the TAIFEX and the SGX Taiwan stock index futures data, and compares the predictive power of the cost of carry and the general equili
he pricing of futures contracts relative to their underlying cash assets via no-T arbitrage relations has been a subject of extensive theoretical and empirical research. Recent studies of arbitrage-enforced relative futures-cash pricing restrictions by for Treasury bill futures,' and by ; Cornell a
This paper examines the lead-lag relationship between the spot index and futures price of the Nikkei Stock Average. Using daily data in the postcrash period we investigate the interaction between the spot and futures series through the error correction model. Two versions of error correction models
We would like to acknowledge N. Marovac and R. Swiniarski of the Department of Mathematical Sciences at San Diego State University for introducing us to neural networks. Also, the helpful comments of E. Ornberg and N. Varaiya of the Department of Finance, San Diego State University, and two anonymou