Trading Strategy and Behavior of Price in Futures Markets

2011 ◽  
Author(s):  
Jang Hyung Cho ◽  
Robert T. Daigler
Keyword(s):  
Futures Markets ◽  
Trading Strategy ◽  
And Behavior

scholarly journals Machine Learning and Algorithmic Pairs Trading in Futures Markets

2020 ◽  
Vol 12 (17) ◽  
pp. 6791
Author(s):  
Seungho Baek ◽  
Mina Glambosky ◽  
Seok Hee Oh ◽  
Jeong Lee
Keyword(s):  
Machine Learning ◽  
Futures Markets ◽  
Investment Strategy ◽  
Trading Strategy ◽  
Support Vector ◽  
Pairs Trading ◽  
Correction Model ◽  
Machine Learning Methods ◽  
Trading Market ◽  
Price Trends

This study applies machine learning methods to develop a sustainable pairs trading market-neutral investment strategy across multiple futures markets. Cointegrated pairs with similar price trends are identified, and a hedge ratio is determined using an Error Correction Model (ECM) framework and support vector machine algorithm based upon the two-step Engle–Granger method. The study shows that normal backwardation and contango do not consistently characterize futures markets, and an algorithmic pairs trading strategy is effective, given the unique predominant price trends of each futures market. Across multiple futures markets, the pairs trading strategy results in larger risk-adjusted returns and lower exposure to market risk, relative to an appropriate benchmark. Backtesting is employed and results show that the pairs trading strategy may hedge against unexpected negative systemic events, specifically the COVID-19 pandemic, remaining profitable over the period examined.

Operating Commodities Market by Automated Traders

2017 ◽  
pp. 368-380
Author(s):  
Fodil Laib ◽  
Mohammed Said Radjef
Keyword(s):  
Futures Markets ◽  
Supply And Demand ◽  
Futures Market ◽  
Trading Strategy ◽  
Mathematical Framework ◽  
Optimal Parameters ◽  
Trading System

This is an introductory work to the field of automatizing futures markets, related to commodities, so far operated by human traders. First, we build a mathematical framework for a futures market with many producers and consumers represented by automated traders in the market platform. Then we suggest an automatic trading strategy for the automatons. This strategy takes into account the forecasts of supply and demand streams as well as the evolution of nominal price. Later, we recall a set of analytical criteria used to measure the performance of a trading strategy. Next, we illustrate our approach by showing a price pattern generated by the automatic strategy and calculate its performances. Finally, we exhibit a heuristic based on simulation allowing to compute a quasi-optimal parameters matrix for this automatic trading system.

scholarly journals A strategy for electricity buyers in futures markets

2020 ◽  
Vol 152 ◽  
pp. 03007
Author(s):  
Claudio Monteiro ◽  
Ignacio J. Ramirez-Rosado ◽  
L. Alfredo Fernandez-Jimenez
Keyword(s):  
Electricity Market ◽  
Risk Premium ◽  
Futures Markets ◽  
Trading Strategy ◽  
Spot Price ◽  
Forecasting Model ◽  
Price Forecasting ◽  
Wrong Decision ◽  
Futures Contract ◽  
Monthly Average

This paper presents an original trading strategy for electricity buyers in futures markets. The strategy applies a medium-term electricity price forecasting model to predict the monthly average spot price which is used to evaluate the Risk Premium for a physical delivery under a monthly electricity futures contract. The proposed trading strategy aims to provide an advantage relatively to the traditional strategy of electricity buyers (used as benchmark), anticipating the good/wrong decision of buying electricity in the futures market instead in the day-ahead market. The mid-term monthly average spot price forecasting model, which supports the trading strategy, uses only information available from futures and spot markets at the decision moment. Both the new trading strategy and the monthly average spot price forecasting model, proposed in this paper, have been successfully tested with historical data of the Iberian Electricity Market (MIBEL), although they could be applied to other electricity markets.

How Homo economicus lost her mind and how we can revive her

2018 ◽  
Vol 41 ◽  
Author(s):  
Peter DeScioli
Keyword(s):  
Economic Thought ◽  
History Of Economic Thought ◽  
Homo Economicus ◽  
Economic Theories ◽  
Target Article ◽  
History Of ◽  
The Mind ◽  
And Behavior

AbstractThe target article by Boyer & Petersen (B&P) contributes a vital message: that people have folk economic theories that shape their thoughts and behavior in the marketplace. This message is all the more important because, in the history of economic thought, Homo economicus was increasingly stripped of mental capacities. Intuitive theories can help restore the mind of Homo economicus.

The parent-offspring microbiome and neurobehavioral development

2019 ◽  
Vol 42 ◽  
Author(s):  
Jeffrey R. Alberts ◽  
Christopher Harshaw ◽  
Gregory E. Demas ◽  
Cara L. Wellman ◽  
Ardythe L. Morrow
Keyword(s):  
Mammalian Species ◽  
Social Emotional ◽  
Behavioral Measures ◽  
Neurobehavioral Development ◽  
Emotional Function ◽  
Neurobehavioral Outcomes ◽  
Methodological Approaches ◽  
And Behavior

Abstract We identify the significance and typical requirements of developmental analyses of the microbiome-gut-brain (MGB) in parents, offspring, and parent-offspring relations, which have particular importance for neurobehavioral outcomes in mammalian species, including humans. We call for a focus on behavioral measures of social-emotional function. Methodological approaches to interpreting relations between the microbiota and behavior are discussed.

TEM evaluation of graded SixGe1-x heterolayers

1991 ◽  
Vol 49 ◽  
pp. 894-895
Author(s):  
N. David Theodore ◽  
Mamoru Tomozane ◽  
Ming Liaw
Keyword(s):  
Heterojunction Bipolar Transistors ◽  
Gas Flow ◽  
Field Effect Transistors ◽  
Chemical Vapor ◽  
Dark Field ◽  
Bipolar Transistors ◽  
Structural Quality ◽  
Weak Beam ◽  
Transmission Electron ◽  
And Behavior

There is extensive interest in SiGe for use in heterojunction bipolar transistors. SiGe/Si superlattices are also of interest because of their potential for use in infrared detectors and field-effect transistors. The processing required for these materials is quite compatible with existing silicon technology. However, before SiGe can be used extensively for devices, there is a need to understand and then control the origin and behavior of defects in the materials. The present study was aimed at investigating the structural quality of, and the behavior of defects in, graded SiGe layers grown by chemical vapor deposition (CVD).The structures investigated in this study consisted of Si1-xGex[x=0.16]/Si1-xGex[x= 0.14, 0.13, 0.12, 0.10, 0.09, 0.07, 0.05, 0.04, 0.005, 0]/epi-Si/substrate heterolayers grown by CVD. The Si1-xGex layers were isochronally grown [t = 0.4 minutes per layer], with gas-flow rates being adjusted to control composition. Cross-section TEM specimens were prepared in the 110 geometry. These were then analyzed using two-beam bright-field, dark-field and weak-beam images. A JEOL JEM 200CX transmission electron microscope was used, operating at 200 kV.

Formation of defects in implanted hipox-structures

1992 ◽  
Vol 50 (2) ◽  
pp. 1406-1407
Author(s):  
Peter Pegler ◽  
N. David Theodore ◽  
Ming Pan
Keyword(s):  
High Pressure ◽  
Cross Section ◽  
Semiconductor Devices ◽  
Silicon Substrates ◽  
Processing Conditions ◽  
Pressure Oxidation ◽  
Deep Trench ◽  
Local Oxidation ◽  
Trench Isolation ◽  
And Behavior

High-pressure oxidation of silicon (HIPOX) is one of various techniques used for electrical-isolation of semiconductor-devices on silicon substrates. Other techniques have included local-oxidation of silicon (LOCOS), poly-buffered LOCOS, deep-trench isolation and separation of silicon by implanted oxygen (SIMOX). Reliable use of HIPOX for device-isolation requires an understanding of the behavior of the materials and structures being used and their interactions under different processing conditions. The effect of HIPOX-related stresses in the structures is of interest because structuraldefects, if formed, could electrically degrade devices.This investigation was performed to study the origin and behavior of defects in recessed HIPOX (RHIPOX) structures. The structures were exposed to a boron implant. Samples consisted of (i) RHlPOX'ed strip exposed to a boron implant, (ii) recessed strip prior to HIPOX, but exposed to a boron implant, (iii) test-pad prior to HIPOX, (iv) HIPOX'ed region away from R-HIPOX edge. Cross-section TEM specimens were prepared in the <110> substrate-geometry.

Language and Behavior Disorders in School-Age Children: Comorbidity and Communication in the Classroom

2012 ◽  
Vol 13 (4) ◽  
pp. 111-119 ◽  
Author(s):  
Alexandra Hollo
Keyword(s):  
Language Impairment ◽  
Mental Health Problems ◽  
Language Disorder ◽  
School Age Children ◽  
School Age ◽  
Social Emotional ◽  
Behavioral Support ◽  
School Professionals ◽  
Development Characteristic ◽  
And Behavior

Language development is the foundation for competence in social, emotional, behavioral, and academic performance. Although language impairment (LI) is known to co-occur with behavioral and mental health problems, LI is likely to be overlooked in school-age children with emotional and behavioral disorders (EBD; Hollo, Wehby, & Oliver, in press). Because language deficits may contribute to the problem behavior and poor social development characteristic of children with EBD, the consequences of an undiagnosed language disorder can be devastating. Implications include the need to train school professionals to recognize communication deficits. Further, it is critically important that specialists collaborate to provide linguistic and behavioral support for students with EBD and LI.

Tools & Resources: Impairment and Disability Web Sites

1999 ◽  
Vol 4 (6) ◽  
pp. 5-6
Keyword(s):  
Personality Disorder ◽  
Personality Disorders ◽  
Interpersonal Relationships ◽  
Web Sites ◽  
Outpatient Psychotherapy ◽  
Obsessive Compulsive ◽  
Not Otherwise Specified ◽  
Cluster B Personality Disorders ◽  
Clinically Significant ◽  
And Behavior

Abstract Personality disorders are enduring patterns of inner experience and behavior that deviate markedly from those expected by the individual's culture; these inflexible and pervasive patterns reflect issues with cognition, affectivity, interpersonal functioning and impulse control, and lead to clinically significant distress or impairment in social, occupational, or other important areas of functioning. The AMA Guides to the Evaluation of Permanent Impairment, Fourth Edition, defines two specific personality disorders, in addition to an eleventh condition, Personality Disorder Not Otherwise Specified. Cluster A personality disorders include paranoid, schizoid, and schizotypal personalities; of these, Paranoid Personality Disorder probably is most common in the legal arena. Cluster B personality disorders include antisocial, borderline, histrionic, and narcissistic personality. Such people may suffer from frantic efforts to avoid perceived abandonment, patterns of unstable and intense interpersonal relationships, an identity disturbance, and impulsivity. Legal issues that involve individuals with cluster B personality disorders often involve determination of causation of the person's problems, assessment of claims of harassment, and assessment of the person's fitness for employment. Cluster C personality disorders include avoidant, dependent, and obsessive-compulsive personality. Two case histories illustrate some of the complexities of assessing impairment in workers with personality disorders, including drug abuse, hospitalizations, and inpatient and outpatient psychotherapy.

Adenotonsillectomy Linked to Improved Sleep and Behavior

2006 ◽  
Vol 40 (12) ◽  
pp. 30
Author(s):  
HEIDI SPLETE
Keyword(s):  
And Behavior
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