Dynamic price formation in a futures market via double auctions

1994 ◽  
Vol 4 (4) ◽  
pp. 539-560 ◽  
Author(s):  
Ayman Hindy
Keyword(s):  
Futures Market ◽  
Price Formation ◽  
Double Auctions ◽  
Dynamic Price

scholarly journals Price Formation in Double Auctions

2007 ◽  
pp. 106-134 ◽  
Author(s):  
Steven Gjerstad ◽  
John Dickhaut
Keyword(s):  
Price Formation ◽  
Double Auctions

Price formation of the salmon aquaculture futures market

2016 ◽  
Vol 21 (3) ◽  
pp. 376-399 ◽  
Author(s):  
Isaac Ankamah-Yeboah ◽  
Max Nielsen ◽  
Rasmus Nielsen
Keyword(s):  
Futures Market ◽  
Price Formation ◽  
Salmon Aquaculture

scholarly journals Price Formation in Double Auctions

1998 ◽  
Vol 22 (1) ◽  
pp. 1-29 ◽  
Author(s):  
Steven Gjerstad ◽  
John Dickhaut
Keyword(s):  
Price Formation ◽  
Double Auctions

WEATHER SHOCKS AND AGRICULTURAL COMMODITY PRICES IN INDIA

2013 ◽  
Vol 04 (03) ◽  
pp. 1350011
Author(s):  
N. R. BHANUMURTHY ◽  
PAMI DUA ◽  
LOKENDRA KUMAWAT
Keyword(s):  
Structural Change ◽  
Futures Markets ◽  
Commodity Prices ◽  
Futures Market ◽  
Commodity Futures ◽  
Price Formation ◽  
Futures Prices ◽  
Agricultural Commodity ◽  
Spot Prices ◽  
Weather Shocks

We analyze the impact of weather shocks on price formation in spot and futures market for food in India where until the recent introduction of commodity futures markets in 2005, the transmission of these shocks to short-term (spot) price movements was unclear. Hitherto, the price discovery mechanism was weak and end price was expected to be different (mostly higher unless some product prices were administered) from the market-clearing price. In addition, this weak mechanism was expected to result in higher price volatility. The introduction of a futures market is expected to reduce risk, a major component in agricultural production as well as in price formation. Though the commodity futures market in India is nascent, we model transmission of weather shocks to futures and spot prices using monthly data. Based on cointegration analysis, our results suggest strong long-run co-movement between futures prices and spot prices for commodities traded in futures markets. Changes in rainfall affect both futures and spot prices with different lags. However, rainfall shocks generate larger responses from futures prices than from spot prices. Although there could be other factors that affect futures prices, after controlling for fuel prices, our results clearly show the transmission mechanism of weather shocks from futures to spot prices. We also explore the changes in responsiveness of prices of major agricultural commodities to rainfall with introduction of futures contracts to facilitate the pass-through of various types of shocks to agricultural commodity prices. Using smooth transition regression, we find that the bivariate relationships between rainfall and prices of rice, wheat and pulses show some nonlinearity with the structural change happening after the introduction of futures market. These relations are found to be much stronger in the post-structural change period that broadly coincides with the introduction of futures market.

Price-Formation Process of an Emerging Futures Market: Call Auction Versus Continuous Auction

2007 ◽  
Vol 43 (1) ◽  
pp. 74-97 ◽  
Author(s):  
Mei-Hsing Cheng ◽  
Hsin-Hong Kang
Keyword(s):  
Formation Process ◽  
Futures Market ◽  
Price Formation ◽  
Call Auction

Factors of Price Formation for Art Objects With the Application of Text Analysis of Twitter News

2020 ◽  
pp. 114-131
Author(s):  
Elena A. Fedorova ◽  
Diana V. Zaripova ◽  
Igor S. Demin
Keyword(s):  
Text Analysis ◽  
Price Formation ◽  
Works Of Art ◽  
Art Objects ◽  
Online Resource ◽  
The Difference

This work confirmed the hypotheses about the influence of the mood index on Twitter on the pricing of art objects and the difference between the experts' estimations and the final price of the auction. The hypotheses were tested with the use of a sample of 83 paintings selected on the basis of ratings of ARTNET's online resource about the most expensive works of art ever sold in the last 10–15 years. The sample consisted of 25 artists, for each of them was made an index of moods on Twitter. This index was created by a sentimental analysis of each tweet about the artist on the hashtag for a period of 2 to 4 months between the announcements of sales in the open sources and the direct sale of the work with the use of the two dictionaries AFINN and NRC.

Intraday Price Formation in U.S. Equity Index Markets

CFA Digest ◽  
2004 ◽  
Vol 34 (3) ◽  
pp. 56-57
Author(s):  
Robert A. McLean
Keyword(s):  
Price Formation ◽  
Equity Index

Optimal Hedge Ratio and Hedging Effectiveness in Stock Futures Market: Evidence from National Stock Exchange, India

2019 ◽  
Vol 118 (3) ◽  
pp. 137-152
Author(s):  
A. Shanthi ◽  
R. Thamilselvan
Keyword(s):  
Banking Sector ◽  
Stock Exchange ◽  
Research Work ◽  
Futures Market ◽  
Least Square ◽  
Time Varying ◽  
Hedge Ratio ◽  
Hedging Effectiveness ◽  
Out Of Sample ◽  
Optimal Hedge

The major objective of the study is to examine the performance of optimal hedge ratio and hedging effectiveness in stock futures market in National Stock Exchange, India by estimating the following econometric models like Ordinary Least Square (OLS), Vector Error Correction Model (VECM) and time varying Multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) model by evaluating in sample observation and out of sample observations for the period spanning from 1st January 2011 till 31st March 2018 by accommodating sixteen stock futures retrieved through www.nseindia.com by considering banking sector of Indian economy. The findings of the study indicate both the in sample and out of sample hedging performances suggest the various strategies obtained through the time varying optimal hedge ratio, which minimizes the conditional variance performs better than the employed alterative models for most of the underlying stock futures contracts in select banking sectors in India. Moreover, the study also envisage about the model selection criteria is most important for appropriate hedge ratio through risk averse investors. Finally, the research work is also in line with the previous attempts Myers (1991), Baillie and Myers (1991) and Park and Switzer (1995a, 1995b) made in the US markets

Hedging Effectiveness in Korean Gold Futures Market

2018 ◽  
Vol 36 (3) ◽  
pp. 147-164
Author(s):  
Moohwan KIM
Keyword(s):  
Futures Market ◽  
Hedging Effectiveness ◽  
Gold Futures
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