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Latency, liquidity and price discovery

✍ Scribed by Ryan Riordan; Andreas Storkenmaier

Book ID
118446031
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
649 KB
Volume
15
Category
Article
ISSN
1386-4181

No coin nor oath required. For personal study only.

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## Abstract This study examines the optimal design of a futures hedge program for the competitive firm under output price uncertainty. All futures contracts are unbiased and marked to market in that they require interim cash settlement of gains and losses. The futures price dynamics follows a first