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Chicago Mercantile Exchange (chicago + mercantile_exchange)
Selected AbstractsAn 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] Valuation of housing index derivativesTHE JOURNAL OF FUTURES MARKETS, Issue 7 2010Melanie Cao This study analyzes the valuation of housing index derivatives traded on the Chicago Mercantile Exchange (CME). Specifically, to circumvent the nontradability of housing indices, we propose and implement an equilibrium valuation framework. Assuming a mean-reverting aggregate dividend process and a utility function characterized by constant relative risk aversion, we show that the value of a housing index derivative depends only on parameters characterizing the underlying housing index, the endogenized interest rate and their correlation. We also analytically and numerically examine risk premiums for the CME futures and options and obtain three important findings. First, risk premiums are significant for all contracts with maturities longer than one year. Second, the expected growth rate of the underlying index is the key determinant for risk premiums. Third, risk premiums can be positive or negative, depending on whether the expected growth rate of the underlying index is higher or lower than the risk-free yield-to-maturity. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:660,688, 2010 [source] Who knows more about future currency volatility?THE JOURNAL OF FUTURES MARKETS, Issue 3 2009Charlie Charoenwong We use four currency pairs from October 1, 2001 to September 29, 2006 to compare the predictive power of the implied volatility derived from currency option prices that are traded on the Philadelphia Stock Exchange (PHLX), Chicago Mercantile Exchange (CME), and over-the-counter market (OTC). Among the competing implied volatility forecasts, OTC-implied volatility subsumes the information content of PHLX- and CME-implied volatility. Consistent with extant studies our result also shows that the implied volatility provides more information about future volatility,regardless of whether it is from the OTC, PHLX, or CME markets,than time series based volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:270,295, 2009 [source] Large trades and intraday futures price behaviorTHE JOURNAL OF FUTURES MARKETS, Issue 12 2008Alex Frino This study examines the effects of large trades executed by outside customer on the prices of futures contracts traded on the Chicago Mercantile Exchange. We find that, on average, large buyer-initiated trades have a larger permanent price impact (information effect) than large seller-initiated trades, whereas the opposite is found for the temporary price impact (liquidity effects) of large trades. These results are consistent with previous findings for block and institutional trades in equity markets. However, we also find that the information effects of large sells are larger than large buys in bearish markets, whereas the results are the reverse in bullish markets. The liquidity price effects of buys are larger than the liquidity price effects of sells in bearish markets whereas the reverse results hold in bullish markets. Our results are consistent with the hypothesis that the current economic condition is a key determinant of asymmetric price effects between large buys and large sells. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:1147,1181, 2008 [source] Tick size reduction, execution costs, and informational efficiency in the regular and E-mini Nasdaq-100 index futures marketsTHE JOURNAL OF FUTURES MARKETS, Issue 9 2008Alexander Kurov On April 2, 2006, the Chicago Mercantile Exchange reduced the minimum tick size of the floor-traded and E-mini Nasdaq-100 futures from 0.5 to 0.25 index points. This study examines the effect of this change in the contract design on execution costs, informational efficiency, and price discovery. The results show a significant reduction in the effective spreads in both of the contract markets but especially in the electronically traded E-mini futures. The paper also finds that the tick size reduction has improved price discovery and informational efficiency in the E-mini futures market. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:871,888, 2008 [source] Intraday price-reversal patterns in the currency futures market: The impact of the introduction of GLOBEX and the euroTHE JOURNAL OF FUTURES MARKETS, Issue 11 2006Joel Rentzler This article assesses the intraday price-reversal patterns of seven major currency futures contracts traded on the Chicago Mercantile Exchange over 1988,2003 after 1-day returns and opening gaps. Significant intraday price-reversal patterns are observed in five of the seven currency futures contracts, following large price changes. Additional tests are conducted in three subperiods (1988,1992, 1993,1998, and 1999,2003) to examine the impact of the introduction of electronic trading on GLOBEX in 1992 (to assess how a near 24-hour trading session might impact the next-day opening and closing futures prices) and the introduction of the euro in 1999 (to assess its impact on price predictability in other futures markets). It is found that the introduction of the GLOBEX in 1992 significantly reduced pricing errors in currency futures in the second subperiod, making the currency futures markets fairly efficient. However, the introduction of the new currency, the euro, and the disappearance of several European currencies in 1999, resulted in significant price patterns (mostly reversals and some persistence) in most of the currency futures, indicating inefficiencies in the third subperiod. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:1089,1130, 2006 [source] Execution quality in open-outcry futures marketsTHE JOURNAL OF FUTURES MARKETS, Issue 11 2005Alexander Kurov This study examines the composition of customer order .flow and the execution quality for different types of customer orders in six futures pits of the Chicago Mercantile Exchange (CME). It is shown that off-exchange customers frequently provide liquidity to other traders by submitting limit orders. The determinants of customers' choice between limit and market orders are examined, and it is found that higher bid,ask spreads increase the limit-order submission frequency, and increased price volatility makes limit-order submission less likely. Effective spreads, trading revenues, and turnaround times for customer liquidity-demanding and limit orders are also documented. Consistent with evidence from equity markets, the results show that limit-order traders receive better executions than traders using liquidity-demanding orders, but incur adverse selection costs. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1067,1092, 2005 [source] Is it time to reduce the minimum tick sizes of the E-mini futures?THE JOURNAL OF FUTURES MARKETS, Issue 1 2005Alexander Kurov On the Chicago Mercantile Exchange (CME), so-called "E-mini" index futures contracts trade on the electronic GLOBEX trading system alongside the corresponding full-size contracts that trade on the open outcry floor. This paper finds that the current minimum tick sizes of the E-mini S&P 500 and E-mini Nasdaq-100 futures contracts act as binding constraints on the bid-ask spreads by not allowing the spreads to decline to competitive levels. We also find that, while exchange locals trade very actively on GLOBEX, they do not tend to act as liquidity suppliers. Taken together, our empirical results suggest that it is time for the CME to consider decreasing the minimum tick sizes of the S&P 500 and Nasdaq-100 E-mini futures contracts. A tick size reduction is likely to result in lower trading costs in the E-mini futures markets. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:79,104, 2005 [source] Contract modifications and the basis behavior of live cattle futuresTHE JOURNAL OF FUTURES MARKETS, Issue 6 2004James E. Newsome The purpose of this study was to assess the basis behavior of the Live Cattle Futures contract at the Chicago Mercantile Exchange (CME) before and after the 1995 contract changes. Additionally, an alternative method of basis calculation utilizing weighted mean futures prices versus settlement futures prices was compared to determine which method provides a better representation of the basis level. Within a regression model with heteroskedascity error framework, we found that the level of nearby basis in the period after June 1995 has shifted lower and the average monthly open interest of net commercial long positions has substantially increased after the contract modifications. These empirical results are consistent with the notion that more long activity entered the market in response to the contract modifications. Additionally, an alternative (new) measure of basis calculation (cash price minus weighted mean futures price) produced similar results to two other commonly used measures. In conclusion, the 1995 contract changes have neither increased nor decreased the volatility of live cattle basis. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:557,590, 2004 [source] Front and Back Covers, Volume 23, Number 5.ANTHROPOLOGY TODAY, Issue 5 2007Ocotober 200 Front and back covers caption, volume 23 issue 5 Front cover The front cover illustrates Julie J. Taylor's article on the outcome of the San people's court case against the Botswana government. The photo shows Roy Sesana, leader of the San organization First People of the Kalahari and chief appellant in the case, with Gordon Bennett, the San group's lawyer, at the start of the case in July 2004. In the course of the last century, the San or Bushmen of southern Africa became possibly the most studied indigenous group in the world. In addition to suffering land dispossession and violence during the colonial period, their image in the West has long been that of exotic and innocent ,Other', fuelled over time by the work of scientists, anthropologists and filmmakers among others. In recent years the San have become part of wider debates about indigeneity, poverty and development, often in relation to land rights. Many San have formed their own representative institutions and have also entered into relationships with national and international NGOs to campaign for their rights as an indigenous minority. From 2004, San claims to land in the Central Kalahari Game Reserve in Botswana drew unprecedented attention in the international media, due in part to the efforts of local NGOs and the British-based advocacy group Survival International. After protracted court proceedings and much controversy, the case finally came to an end in late 2006. At first sight the outcome appeared to offer victory to San applicants, but matters in the Central Kalahari are far from resolved, raising questions about the role of advocacy groups and the fate of marginalized San groups elsewhere. Back cover (IM)PERSONAL MONEY Roboti of Giribwa Village, Trobriand Islands (above) is seen wearing the armshell Nanoula and the necklace Kasanai. Both have been circulating in the kula for at least a century and were already famous when Malinowski saw them. He was sure that these valuables were not money because they were not an impersonal medium of exchange, but Marcel Mauss, in a long footnote to The gift, wrote: ,On this reasoning there has only been money when precious things have been really made into currency , namely have been inscribed and impersonalised, and detached from any relationship with any legal entity, whether collective or individual, other than the state that mints them, One only defines in this way a second type of money , our own.' This exchange was in some ways the high point of economic anthropology. The world of national currencies issued and controlled by states and banks must now come to terms with innumerable virtual instruments such as those seen flashing on the screens of the Chicago Mercantile Exchange (below). But, as the current ,sub-prime mortgage' crisis shows, these anonymous money instruments are still closely linked to personal credit. The challenge facing anthropologists today is to renew the legacy of Mauss and Malinowski in ways that illuminate such matters of universal practical concern. In this issue, Keith Hart argues that money, like society itself, is and always has been both personal and impersonal. A pragmatic anthropology should aim to show that the numbers on people's financial statements constitute a way of summarizing their relations with society at a given time. The next step is to explain how these numbers might serve in building a viable personal economy. When we are able to take responsibility for our own economic actions, we will understand better the social forces impinging on our lives. Then it will become more obvious how and why ruling institutions need to be reformed for all our sakes. [source] Splitting the S&P 500 futuresTHE JOURNAL OF FUTURES MARKETS, Issue 12 2004Jianli Chen In this paper we investigate the consequences of the Chicago Mercantile Exchange's 1997 redesign of the S&P 500 futures contract. The focus is on two important measures of exchange efficacy: member proprietary income and outside customer volume. Floor traders did not appear to benefit in their proprietary trading from the redesign,revenue fell after the contract split and doubling of the minimum tick. On the other hand, looking at relative volumes, it appears that customer volume was relatively constant, showing little sensitivity to the increase in tick size, possibly due to an increased use of limit orders by customers, bypassing floor traders. Through this redesign the futures exchange was apparently interested in preserving customer volume in an increasingly competitive index trading environment, not enhancing member noncompetitive proprietary trading revenue. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:1147,1163, 2004 [source] | ||||||||||