๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Program trading and stock and futures price volatility

โœ Scribed by Sanford J. Grossman

Publisher
John Wiley and Sons
Year
1988
Tongue
English
Weight
533 KB
Volume
8
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

Volatility and trading demands in stock
Volatility and trading demands in stock index futures
โœ Ming-Shiun Pan; Y. Angela Liu; Herbert J. Roth ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 127 KB ๐Ÿ‘ 1 views

## Abstract In this study we examine how volatility and the futures risk premium affect trading demands for hedging and speculation in the S&P 500 Stock Index futures contracts. To ascertain if different volatility measures matter in affecting the result, we employ three volatility estimates. Our e

Futures trading, transaction costs, and
Futures trading, transaction costs, and stock market volatility
โœ B. Wade Brorsen ๐Ÿ“‚ Article ๐Ÿ“… 1991 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 689 KB

## Introduction he controversy created by "Black Monday" and the recent stock market crash Many of the proposals to deal with the perceived increased volatility' are actually proposals to increase market frictions by increasing transaction costs, increasing margins, limiting arbitrage, or banning

Cash trading and index futures price vol
Cash trading and index futures price volatility
โœ Jinliang Li ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 169 KB ๐Ÿ‘ 1 views

The author wishes to thank Robert I. Webb (the editor) and an anonymous referee for very helpful comments, as well as Charles Bartlett from SIFMA for providing part of the data. Financial support from Citi Foundation is gratefully acknowledged.

Managed futures, positive feedback tradi
Managed futures, positive feedback trading, and futures price volatility
โœ Irwin, Scott H.; Yoshimaru, Satoko ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 241 KB ๐Ÿ‘ 1 views

A major issue in recent years is the role that large, managed futures funds and pools play in futures markets. Many market participants argue that managed futures trading increases price volatility due to the size of managed futures trading and reliance on positive feedback trading systems. The purp