The relationship between volume and price variability in futures markets

Article Abstract:

The uncertainty in the futures markets in regards to price and volume is discussed in detail. Risk transfer and differential information are two motives for variability under the uncertainty model.

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Price movements and price discovery in the municipal bond index and the index futures market

Article Abstract:

The relationship between futures contracts and the municipal bond index at the Chicago Board of Trade is investigated and modeled. It is found that there is a long-run relationship and that prices within that relationship are non-stationary.

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Price discovery and volatility spillovers in the DJIA index and futures market

Article Abstract:

A model for volatility and price discovery on the futures market and the Dow Jones Industrial Average is given. Future volatility in one market can be predicted by innovations in another market.

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