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Showing 1 to 6 of 6 for “"Stock index futures."”.

  1. ARBITRAGE STRATEGIES IN PERPETUAL FUTURES AND STOCK INDEX FUTURES

    LI LINFENG2025

    … The first part analyzes arbitrage in perpetual futures, which track underlying prices through a funding swap mechanism. We show that the clamping function embedded in the mechanism—previously overlooked in the literature—creates inherent no-arbitrage bounds that persist even in the absence of …

    nus Repository record

  2. Valuation of Stock Index Futures and Their Relation to the Underlying Index: Theory and Evidence (Hedging)

    Junkus, Joan C.University of Illinois at Urbana-Champaign2014

    … and attitudes to risk were applied to the three stock index futures. Both optimal hedge ratios and measures of effectiveness were calculated. It was found that the models worked well with stock index futures: the various criteria (utility maximization, variance minimization, basis arbitrage) were …

    uiuc Repository record

  3. On the relationship of derivative assets to their underlying instruments

    Brown, Sharon J.Virginia Tech1994

    … through an integrated system. The second essay, "Stock Index Futures Trading and Stock Market Volatility," reviews theoretical models and empirical evidence on the relationships between the level of futures trading and volatility. An empirical investigation is conducted by examining the …

    vt Repository record

  4. Risk in Brazilian Stock and Futures Markets

    Azevedo, Rodrigo Telles Da RochaUniversity of Illinois at Urbana-Champaign2015

    … two questions: (i) Does volatility in emerging stock markets follow the time patterns observed in more traditional markets? and (ii) Can emerging futures markets in LDC's perform their classic functions of hedge provision and price discovery when operating under suboptimal conditions---high and …

    uiuc Repository record

  5. Application of Support Vector Machine in Predicting the Market's Monthly Trend Direction

    Alali, Ali

    portland-state Repository record

  6. Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions

    Lin, Cheng-I EricUniversity of North Texas2007

    When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks. Traditional …

    unt Repository record