Models of Futures Markets

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Psychology Press, 2000 - Business & Economics - 170 pages
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This volume presents an analysis of the economics of futures markets that should be of interest to both specialists in the area and the generalist economist. Through a combination of theoretical investigation and empirical application, three themes are explored: the gains from futures trading and the efforts of emerging markets to reap these benefits; rationality and rival hypotheses of trader behaviour, such as noise trading; and the effect of regulatory tools on price formation. The contributors to the volume bring a wide expertise to bare in an analysis covering topics as significant and diverse as: new futures markets in China and Kazakhstan; simultaneous modelling of the US dollar/Deutschemark market; and non-linearities and chaotic behaviour.
 

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Contents

Figures
1
Rationality and rival hypotheses
4
price limits and
10
The basic model
16
Some initial implications
23
The need for futures markets explained through quicker
29
Adaptation to the shock with only a spot market
33
The development of commodity futures exchanges
42
Noise trader sentiment in futures markets
86
Noise trader sentiment and data
95
Noise traders impact on futures prices
102
Market Vane data
111
Summary and conclusions
112
Microanalytics of price volatility in futures markets
117
Analysis of the Lorenz system
123
Conclusion
131

The successful development of futures trading
50
Conclusions
56
Specification of the model
62
Tables
68
intrasample period
73
Conclusions
79
a target zone model
139
transactions
149
Concluding remarks
162
Index
168
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