Over the past two decades, the Black Sea region has exhibited significantly growing wheat production and exports. In 2017/18, Russia ultimately became the world’s largest wheat exporter, a position that was held by the USA for decades. Mostly serving destination markets in the Middle East and...

In this paper, we demonstrate how a well-established machine learning-based statistical arbitrage strategy can be successfully transferred from equity to futures markets. First, we preprocess futures time series comprised of front months to render them suitable for our returns-based trading...

"This book is designed for beginners who possess no previous knowledge or familiarity with derivatives. Written in an easy to read style, it guides readers through the challenging and complex world of forwards, futures, options, and swaps. The emphasis on Asian markets and contracts enables...

During the market turmoil, and later in the year 2008, the Securities and Exchange Commission of Pakistan (SECP) decided to discontinue the trading in single stock futures (SSFs) at the Karachi Stock Exchange (KSE). On 27th July 2009, trading in SSFs were re-launched in those stocks which passed...

The CME vulnerability : the best practice and the impact of negative oil futures trading price -- Why oil prices plunged and settled negative -- Meet the challenge with negative price and management in practice.

During the market turmoil, and later in the year 2008, the Securities and Exchange Commission of Pakistan (SECP) decided to discontinue the trading in single stock futures (SSFs) at the Karachi Stock Exchange (KSE). On 27th July 2009, trading in SSFs were re-launched in those stocks which passed...

Introduction -- Key Concepts: Algorithms, Artificial Intelligence, and More -- Economic Definitions of Derivatives -- Legal and Regulatory Definitions of Derivatives and Other Financial Instruments -- FinTech : From Science Fiction to Non-Fiction -- The Regulatory Framework for the U.S....

The trillion-dollar markets for futures, swaps, commodity options, and related derivatives are extremely important to the global economy because, among other things, they influence the prices that people pay for everything from heating oil and bread to the interest rates connected to mortgages...

This study examines the order aggressiveness and trading patience of foreign institutional traders, futures proprietary firm traders, individual day and non-day traders in the Taiwan index futures market. We consider order choice given a completely transparent limit order book. Our empirical...

This paper investigates the most traded VIX exchange traded products (ETPs) with focus on their performance, price discovery, hedging ability and trading strategy. The VIX ETPs track their benchmark indices well. They are therefore exposed to the same time-decay (high negative expected returns)...

We investigate which of the two main centers of gold trading — the London spot market and the New York futures market — plays a more important role in setting the price of gold. Using intraday data during a 17-year period we find that although both markets contribute to price discovery, the...

Intro -- Titel -- Impressum -- Inhalt -- Vorwort zur zweiten Auflage -- Danksagungen -- Zur Motivation, mit Optionen zu handeln -- Einleitung -- Teil I: Optionsgrundlagen -- Kapitel 1: Was sind Optionen? -- Warum Optionen handeln? -- Bestandteile einer Option -- Rollen beim Optionshandel --...

We use derivatives regulatory data to quantify the OTC index dividend swap market and contrast it with the listed index dividend futures market. We find USD 2 billion in notional outstanding of market-facing OTC dividend swaps between dealers and end-users, with another USD 4.4 billion...

Introduction -- First impressions -- Trading robots and social cues -- Animating the market -- Models and reflexivity -- Managers -- Performative spirals -- Norms -- Resonance -- The global financial crisis -- Scandal -- When all is said and done -- Conclusion.

"Understanding risk is important. Prior to 2008, as the yields on safe assets hit rock bottom, investors began to focus on an alphabet soup of more complex instruments. These complex securities were rated AAA and appeared as safe as U.S. Treasuries, but with much higher yields. The 2008...

Seit einiger Zeit gibt es eine sehr intensive Diskussion über die Wirkungen von Spekulationen mit Rohstoffen, insbesondere Agrarrohstoffen. Der vorliegende Aufsatz untersucht dies auf der Basis des aktuellen Forschungsstands. Zahlreiche Studien zeigen, dass sich mit Hilfe der Ökonometrie weder...

By employing a continuous time stochastic volatility model, the dynamic relation between price returns and volatility changes in the commodity futures markets is analysed. An extensive daily database of gold and crude oil futures and futures options is used to estimate the model that is well...

One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...

We examine the effects of margin changes on futures trading activity, the composition of traders and market liquidity, using an account level data set from the Taiwan Futures Exchange. We find that margin increases reduce trading activity for all trader types, which is consistent with the...

We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that “tail...

A detailed assessment report on the observance of the Committee on Payment and Settlement Systems-International Organization of Securities Commissions recommendations for China’s Securities Settlement Systems and Central Counterparties is presented. The bond market comprises the interbank...

This report discusses the IMF/World Bank Financial Sector Assessment Program (FSAP) exercise for China undertaken during June–December 2010. The assessment concluded that reforms in China have progressed well in moving toward a more commercially oriented financial system. Despite success...

This paper examines a range of issues relating to bond markets in the ASEAN5 (Indonesia, Malaysia, Philippines, Singapore and Thailand) - physical infrastructure including trading, clearing and settlement; regulation, supervision and legal underpinnings; and derivatives markets - and finds that...