The World Scientific handbook of futures markets / editors Anastasios G Malliaris (Loyola University Chicago, USA), William T. Ziemba (University of British Columbia, Canada) ; contributors Raj Aggarwal [and thirty seven others].

Format:

Book

Contributor:

Malliaris, A. G., editor.

Ziemba, W. T., editor.

Aggarwal, Raj, contributor.

Series:

World Scientific handbook in financial economic series ; Volume 5.

World Scientific Handbook in Financial Economics Series, 2010-1732 ; Volume 5

Language:

English

Subjects (All):

Futures market.

Futures.

Physical Description:

1 online resource (844 p.)

Place of Publication:

Hackensack, New Jersey : World Scientific, 2016.

Language Note:

English

Summary:

"The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics."-- Provided by publisher.

Contents:

Contents; Endorsements; Preface; About the Contributors; Part I Introduction; Chapter 1. Futures Markets: An Overview; The Classics; Institutions; Established Futures Markets; Advanced Topics; Concluding Remarks; References; Part II Classical Contributions; Chapter 2. Proof that Properly Anticipated Prices Fluctuate Randomly; The Enigma Posed; A General Stochastic Model of Price; Specification of a Model Defining Behavior of a Futures Price; The Basic Theorem; Generalizing the Theorem; Conclusion; References; Chapter 3. The Variation of Certain Speculative Prices; Introduction

Mathematical Tools: Paul Levy's Stable Paretian LawsEmpirical Tests of the Stable Paretian Laws: Cotton Prices; Why One Should Expect to Find Non-Sense Moments and Non-Sense Periodicities in Economic Time Series; Sample Functions Generated by Stable Paretian Processes; Small-Sample Estimation of the Mean "Drift" of Such a Process; Price Variation in Continuous Time and the Theory of Speculation; A More Refined Model of Price Variation; Acknowledgments; Chapter 4. Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage; Introduction

The Basis: Evidence on the Theory of StorageThe Basis: Forecast Power and Premiums; Summary; Acknowledgments; References; Chapter 5. Volume and Volatility in Foreign Currency Futures Markets; Introduction; Overview of the Literature; An Evaluation of the Current Literature; Model and Hypotheses; Data; Methodology; Analysis of Empirical Results; Summary and Conclusions; References; Chapter 6. The Strategic and Tactical Value of Commodity Futures; Historical Returns; Return Decomposition and Expectations; Long-Term Expectations and Strategic Allocation

Predictable Returns and Tactical Asset AllocationConclusions; Acknowledgments; References; Part III Institutions: New Invited Papers; Chapter 7. Central Counterparty Clearing and Systemic Risk Regulation; Introduction; Discussion; Conclusion; Acknowledgments; References; Chapter 8. The Fast Track to the Futures: Technological Innovation, Market Microstructure, Market Participants, and the Regulation of High-Frequency Trading; A Short History of Futures Trading; Investment Philosophies; HFT, Market Evolution, and Technological Innovation; Technology and HFT

Price Discovery: Theory and PracticeLiquidity; Counterparty Risk Management; Hedgers, Speculators, and Arbitrageurs; The Regulation of the Futures Markets; Case Studies; Critical Issues; Conclusions: Risks and Rewards of Innovation in the Futures Markets; Part IV Established Markets: Invited Contributions; Chapter 9. Agricultural Futures Markets; Historical Development and Growth; Arbitrage, Hedging, and Speculation; Hedging; Spread Trading; Speculation; The Role of Volatility; Summary, Conclusions, and Emerging Trends; Acknowledgments; References; Chapter 10. World Metal Markets

Structure and Importance

Notes:

Description based upon print version of record.

Includes bibliographical references at the end of each chapters and index.

Description based on print version record.

ISBN:

981-4566-92-6