Price Discovery In Futures And Options Markets
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| Author | : Naomi E. Boyd |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
We evaluate price discovery in the natural gas futures and futures options markets using a transaction based approach. By sampling market maker prices, we allow for a distinction between buy and sell prices, both directly from the futures market, and implied from the options market. Information shares are compared between futures and options markets as well as within the options market. Given the common architecture of the two markets, we find little price information generated in the options market. Within the options market, the highly levered out-of-the-money options offer less price discovery than other options. We attribute this to the higher transactions costs of out-of-the-money options.
| Author | : Lucy F. Ackert |
| Publisher | : South Western Educational Publishing |
| Total Pages | : 0 |
| Release | : 2010 |
| Genre | : Investments |
| ISBN | : 9780538752862 |
The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.
| Author | : Richard Holowczak |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
Option prices vary with not only the underlying asset price, but also volatilities and higher moments. In this paper, we use a portfolio of options to seclude the value change of the portfolio from the impact of volatility and higher moments. We apply this portfolio approach to the price discovery analysis in the U.S. stock and stock options markets. We find that the price discovery on the directional movement of the stock price mainly occurs in the stock market, more so now than before as an increasing proportion of options market makers adopt automated quoting algorithms. Nevertheless, the options market becomes more informative during periods of significant options trading activities. The informativeness of the options quotes increases further when the options trading activity generates net sell or buy pressure on the underlying stock price, even more so when the pressure is consistent with deviations between the stock and the options market quotes.
| Author | : Mr.Ian Domowitz |
| Publisher | : International Monetary Fund |
| Total Pages | : 32 |
| Release | : 1992-10-01 |
| Genre | : Technology & Engineering |
| ISBN | : 1451850255 |
Automated trade execution systems are examined with respect to the degree to which they automate the price discovery process. Seven levels of automation of price discovery are identified, and 47 systems are classified according to these criteria. Systems operating at various levels of automation are compared with respect to age, geographical location, and type of securities traded. Information provided to market participants, and asymmetries of information between traders with direct access to the automated market and outside investors also are examined. It is found, for example, that the degree of asymmetric information increases with the level of automation of price discovery. The potential for trading abuses related to prearranged trading, noncompetitive execution, and trading ahead of customers is analyzed for each level of automation. Certain levels of automation widen the opportunities for trading abuses in some respects, but may narrow them in others.
| Author | : CBOT |
| Publisher | : McGraw Hill Professional |
| Total Pages | : 458 |
| Release | : 2006-04-14 |
| Genre | : Business & Economics |
| ISBN | : 007148728X |
CBOT trading volume is exploding from over 400 million contracts traded in 2003 to more than 599 million in 2004 The handbook details how electronic trading is overtaking and surpassing traditional open outcry trading, and details specific issues and obstacles for trading in this transformed marketplace Traders receive essential data on major futures contracts, including volume, contract specifications, and key exchanges
| Author | : CBOT |
| Publisher | : McGraw-Hill Education |
| Total Pages | : 0 |
| Release | : 2006-04-14 |
| Genre | : Business & Economics |
| ISBN | : 9780071457514 |
The futures and options bible from the world's first, and America's largest, futures exchange Through nine editions over three decades, the Chicago Board of Trade (CBOT) has provided futures and options traders with the self-published Commodity Trading Manual. Now the CBOT has entered into an exclusive agreement with McGraw-Hill to bring you this vital book. The Chicago Board of Trade Handbook of Futures and Options delivers valuable information on everything from the uses and purposes of the futures market to nuts-and-bolts descriptions of day-to-day exchange operations.
| Author | : Jeff Fleming |
| Publisher | : |
| Total Pages | : |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
In frictionless and rational markets, perfect substitutes must have the same price. In markets with trading costs, however, price differences may be as large as the costs of executing the arbitrage between markets. Moreover, if trading costs differ, trading activity will tend to be concentrated in the lowest-cost market. This study tests the differential trading cost hypothesis by examining the rate at which new information is incorporated in stock, index futures, and index option prices. The lead/lag return relations among markets are consistent with their relative trading costs. Prices in the index derivative markets appear to lead prices in the stock market. At the same time, index futures prices tend to lead index option prices, and the prices of index calls and index puts move together. The trading cost hypothesis reconciles the disparity found between the temporal relation in the stock index/index derivative markets versus the stock/stock option markets.
| Author | : Jerome Leon Stein |
| Publisher | : |
| Total Pages | : 148 |
| Release | : 1992 |
| Genre | : Commodity futures |
| ISBN | : |
| Author | : M. A. H. Dempster |
| Publisher | : CRC Press |
| Total Pages | : 725 |
| Release | : 2015-11-05 |
| Genre | : Business & Economics |
| ISBN | : 1498712339 |
Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
| Author | : John Merrick |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 1987 |
| Genre | : Stock index futures |
| ISBN | : |
