Search for dissertations about: "Futures trading"

Showing result 1 - 5 of 13 swedish dissertations containing the words Futures trading.

2. 1. On the returns of trend-following trading strategies

   Author : Christian Lundström; Tomas Sjögren; Jussi Nikkinen; Umeå universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Bootstrap; Commodity Trading Advisor funds; Contraction-Expansion principle; Crude oil futures; Futures trading; Opening Range Breakout strategies; S P 500 futures; Technical analysis; Time series momentum; Time-varying market inefficiency; nationalekonomi; Economics;

   Abstract : Paper [I] tests the success rate of trades and the returns of the Opening Range Breakout (ORB) strategy. A trader that trades on the ORB strategy seeks to identify large intraday price movements and trades only when the price moves beyond some predetermined threshold. READ MORE

4. 2. Essays on VIX Futures and Options

   Author : Bujar Huskaj; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

   Abstract : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. READ MORE

5. 3. Essays on Derivatives and Liquidity

   Author : Caihong Xu; Lars Nordén; Björn Hagströmer; Hans Byström; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; företagsekonomi; Business Administration;

   Abstract : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. READ MORE

6. 4. Essays on Market Design and Market Quality

   Author : Dong Zhang; Lars Nordén; Björn Hagströmer; Dagfinn Rime; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; index futures market; underlying stock market; liquidity; volatility; gold futures market; price discovery; high frequency traders; aggressiveness; order submission; liquidity provider; adverse selection cost; företagsekonomi; Business Administration;

   Abstract : This dissertation contains four studies on different market structures and their impact on market quality.Article I studies the effect of introducing stock index futures contracts on the underlying stocks. The results indicate a lower liquidity level in the underlying stocks. READ MORE

7. 5. Competition, Division and Unity : The Impact of Market Structures on Trading Quality

   Author : Chengcheng Qu; Björn Hagströmer; Lars Nordén; Michał Dzieliński; Roman Kozhan; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Market microstructure; latency arbitrage; fragmentation; tick size; lot size; liquidity; adverse selection; market efficiency; Business Administration; företagsekonomi;

   Abstract : The financial market operates as an ecosystem, involving diverse yet interconnected marketplaces and participants. Market design, intricately interacting with technology, regulation, and competition, shapes how participants adapt their trading behavior and therefore influences market performance. READ MORE