Sökning: "index futures"

Visar resultat 1 - 5 av 8 avhandlingar innehållade orden index futures.

1. 1. Essays on Derivatives and Liquidity

   Författare :Caihong Xu; Lars Nordén; Björn Hagströmer; Hans Byström; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; företagsekonomi; Business Administration;

   Sammanfattning : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. LÄS MER

3. 2. Essays on Market Design and Market Quality

   Författare :Dong Zhang; Lars Nordén; Björn Hagströmer; Dagfinn Rime; Stockholms universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; index futures market; underlying stock market; liquidity; volatility; gold futures market; price discovery; high frequency traders; aggressiveness; order submission; liquidity provider; adverse selection cost; företagsekonomi; Business Administration;

   Sammanfattning : This dissertation contains four studies on different market structures and their impact on market quality.Article I studies the effect of introducing stock index futures contracts on the underlying stocks. The results indicate a lower liquidity level in the underlying stocks. LÄS MER

4. 3. Essays on Financial Markets

   Författare :Hans Byström; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

   Sammanfattning : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. LÄS MER

5. 4. Essays on stochastic volatility

   Författare :Marcus Nossman; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Contagion; jumps; risk premium; MCMC;

   Sammanfattning : This dissertation consists of five papers concerned with the estimation and analysis of financial price processes. The first paper develops a stock price model and analyzes the impact of the US and the regional European stock markets on the local European countries’ stock markets. LÄS MER

7. 5. On the profitability of momentum strategies and optimal leverage rules

   Författare :Christian Lundström Tjurhufvud; Tomas Sjögren; Sami Vähämaa; Umeå universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Exchange Traded Products; Kelly criterion; Money management; Opening Range Breakout Strategies; Optimal fraction criterion; Time series momentum; Economics; nationalekonomi;

   Sammanfattning : This thesis consists of an introductory part and five self-contained papers related to the profitability of momentum strategies and optimal leverage rules.Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) day trading strategy. LÄS MER