Noninformative and informative tests of efficiency in three energy futures markets

Article Abstract:

A critique of tests of market efficiency commonly applied to energy markets is presented. The tests are unable to deal adequately with the endogenecity, nonstationarity, and cointegration characteristics of spot and futures prices, resulting in tests that are not informative about market efficiency. Two alternative tests of efficiency that properly deal with the stochastic features of these prices series are also presented.

Author: McNown, Robert, Peroni, Emilio
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1998
Prices and rates, Securities, Energy industries, Energy industry, Futures

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Two state option pricing: Binomial models revisited

Article Abstract:

Research information regarding the two-state option pricing topic is given. This paper examines previous models and presents two alternative binomial models based on the continuous-time and discrete-time geometric Brownian motion processes.

Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
Econometrics & Model Building, Research, Econometrics, Finance, Business models

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An examination of short QQQ option trades

Article Abstract:

The effect of the QQQ Volatility Index on the profitability of the unconventional selling strategies adopted by options traders from January 2001 through November 2004 is described.

Author: Simon, David P.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
Forecasts, trends, outlooks, Economic aspects, Forecasts and trends, Market trend/market analysis, Yield (Investments), Options exchanges, Volatility (Finance)

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