Home About us Contact
|
Home About us Contact | ||
|
|
||
Chicago Board (chicago + board)
Selected AbstractsThe Productive Life of RiskCULTURAL ANTHROPOLOGY, Issue 3 2004Caitlin Zaloom Contemporary social theorists usually conceive of risk negatively. Focusing on disasters and hazards, they see risk as an object of calculation and avoidance. But we gain a deeper understanding of risk in modern life if we observe it in another setting. Futures markets are exemplary sites of aggressive risk taking. Drawing upon extensive fieldwork on trading floors, this article shows how a high modern institution creates populations of risk-taking specialists, and explores the ways that engagements with risk actively organize contemporary markets and forge economic actors. Financial exchanges are crucibles of capitalist production. At the Chicago Board of Trade, financial speculators structure their conduct and shape themselves around risk; and games organized around risk influence the social and spatial dynamics of market life. [source] An Empirical Comparison of Price-Limit Models,INTERNATIONAL REVIEW OF FINANCE, Issue 3-4 2006TAMIR LEVY ABSTRACT Using futures traded on the Chicago Board of Trade, Chicago Mercantile Exchange and New York Board of Trade, we test six alternative models of the return-generating process (RGP) in futures exchanges that adopt a price-limit regime. We rank the six models according to their return-prediction ability, based on the mean square error criterion, and we find that the near-limit model performed best for both the estimation period and the prediction period. A reliable prediction of the expected return can have important implications for both traders and policy makers, concerning related issues such as the employment of long or short strategy, margin requirements and the effectiveness of the price limit mechanism. [source] Did Futures Markets Stabilise US Grain Prices?JOURNAL OF AGRICULTURAL ECONOMICS, Issue 1 2002Joseph Santos Though economists are divided over whether, in practice, futures markets reduce spot price volatility, observers of nascent nineteenth century US futures markets essentially praised the stabilising effects of this financial innovation. Indeed, such praise is understandable, particularly if, as the Chicago Board of Trade (CBOT) and others assert, "violent" spot price fluctuations were common prior to, but not after, the 1870s; the same decade that grain trade historians typically associate with the birth of the modern futures contract. And whereas these events may be unrelated, the claim is intriguing because it requires that nineteenth century futures prices fulfil their price discovery function, a property that many modern futures markets do not possess. This paper explores what role, if any, the advent of futures trading may have had on spot price volatility. I corroborate the CBOT's assertion regarding diminished spot price volatility around the 1870s and show that early futures prices did indeed fulfil their price discovery function. Moreover, I address two alternative hypotheses that relate the decline in spot price volatility to the Civil War. Ultimately, I maintain that the evolution of futures markets is the principal proximate reason why commodity spot price volatility diminished. [source] A Pricing Model for Quantity ContractsJOURNAL OF RISK AND INSURANCE, Issue 4 2004Knut K. Aase An economic model is proposed for a combined price futures and yield futures market. The innovation of the article is a technique of transforming from quantity and price to a model of two genuine pricing processes. This is required in order to apply modern financial theory. It is demonstrated that the resulting model can be estimated solely from data for a yield futures market and a price futures market. We develop a set of pricing formulas, some of which are partially tested, using price data for area yield options from the Chicago Board of Trade. Compared to a simple application of the standard Black and Scholes model, our approach seems promising. [source] Smiling less at LIFFETHE JOURNAL OF FUTURES MARKETS, Issue 1 2008Bing-Huei Lin This study investigates the structure of the implied volatility smile, using the prices of equity options traded on the LIFFE. First, the slope of the implied volatility curve is significantly negative for both individual stocks and index options, and the slope is less negative for longer-term options. The implied volatility skew can be described by risk-neutral skewness and kurtosis, with the former having the first-order effect. Moreover, the implied volatility skew for individual stock options is less severe than for index options. Finally, the relationship between the real and risk-neutral moments implied in option prices is significant. The results indicate that, for equity options traded on the LIFFE, the slope of the implied volatility skew is flatter than that on the Chicago Board of Exchange (CBOE). © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:57,81, 2008 [source] The impact of time duration between trades on the price of treasury note futures contractsTHE JOURNAL OF FUTURES MARKETS, Issue 10 2004Mark E. Holder Recent research in finance has indicated that the institutional structure in which financial asset prices are determined can have a nontrivial impact on pricing. This report examines transaction level data for Treasury Note futures contracts traded at the Chicago Board of Trade (CBOT) to identify institutional, or market microstructure, impacts on the pricing of these contracts. Relatively few articles have conducted empirical research on the microstructure of U.S. futures trading due to the limited availability of comprehensive transaction level data from the futures exchanges. This report uses the CBOT's Computerized Trade Reconstruction database, a comprehensive transaction level dataset, to identify the price impact of the time duration between trades in a manner analogous to that of A. Dufour and R. F. Engle (2000). Unique differences from prior research include the application to futures contracts with their relative higher frequency of trading, as well as the investigation of the price impact of the number of active traders present on the trading floor and the trading volume. Subsequent price and sign of trade significantly relate to the time duration between trades, the number of floor brokers, and the trading volume. © 2004 Wiley Periodicals, Inc. Jrl. Fut Mark 24:965,980, 2004 [source] Do designated market makers improve liquidity in open-outcry futures markets?THE JOURNAL OF FUTURES MARKETS, Issue 5 2004Yiuman Tse On February 1, 2002, the Chicago Board of Trade appointed a designated market maker to enhance liquidity in its 10-year interest rate swap futures contract. This market-making program is the first of its kind in the open-outcry futures industry. We find that introduction of the market maker has increased volume and reduced transaction costs. The market maker has also enhanced the speed and the efficiency of price discovery. Overall, the results suggest that the market-making program is successful in improving liquidity. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:479,502, 2004 [source] Interdependencies between agricultural commodity futures prices on the LIFFETHE JOURNAL OF FUTURES MARKETS, Issue 3 2002P. J. Dawson Interdependencies between commodity prices can arise from the impact of changing macroeconomic variables, from complementarities or substitutabilities between commodities, or from common responses by speculators. Malliaris and Urrutia (1996) found significant linkages between rollover prices of six related agricultural commodities on the Chicago Board of Trade. This article examines interdependencies between futures prices for soft commodities traded on the London International Financial Futures Exchange (LIFFE), calculated using Clark indices. Results show that there are no interdependencies between any two prices; price discovery of one contract provides no information about others. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22: 269,280, 2002 [source] Limits to linear price behavior: futures prices regulated by limitsTHE JOURNAL OF FUTURES MARKETS, Issue 5 2001Anthony D. Hall Professor of Finance, Economics This article analyzes the behavior of futures prices when the exchange is regulated by price limits. With a model analogous to exchange-rate target-zone models, we tested for the existence of a nonlinear S-shape relation between observed and theoretical futures prices. This phenomenon reflects the adjustments in traders' expectations even when limits are not actually hit. The approach is illustrated for five agricultural futures contracts traded at the Chicago Board of Trade. There is some evidence of nonlinearity in quiet periods. In cases of fundamental realignments, that is, volatile periods, this nonlinearity disappears. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:463,488, 2001 [source] | ||||||||||