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Foundations of Futures Markets : Selected Essays of A. G. Malliaris : Financial Economists of the Twentieth Century - A.G. Malliaris

Foundations of Futures Markets : Selected Essays of A. G. Malliaris

Financial Economists of the Twentieth Century

By: A.G. Malliaris (Editor)

Hardcover Published: January 2000
ISBN: 9781858988368
Number Of Pages: 360

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A collection of work in the area of futures markets, by a professor of business administration at Loyola University Chicago. Gives a comprehensive survey of the field, an exposition of several methodologies, and a detailed presentation of important research topics. Examines the behavior of futures prices, investigates random walks versus chaotic dynamics, researches relationships between agricultural processes, and analyzes the behavior of hedge ratios for financial futures. A final section raises research questions for both agricultural and financial futures.

Acknowledgements
Foreword
Preface
Overview
Introductionp. 3
Futures Markets: Why are they Different?p. 8
Futures Markets: How do Prices Behave?p. 26
Financial Futures: A Global Innovationp. 48
Methods
Martingale Methods in Financial Decision-Makingp. 67
Ito's Calculus in Financial Decision Makingp. 77
Random Walk vs. Chaotic Dynamics in Financial Economicsp. 93
Portfolio Theoryp. 117
Agricultural Futures
Linkages between Agricultural Commodity Futures Contractsp. 149
Searching for Fractal Structure in Agricultural Futures Marketsp. 164
Volume and Price Relationships: Hypotheses and Testing for Agricultural Futuresp. 205
Financial Modelling: From Stochastics to Chaotics and Back to Stochasticsp. 225
Financial Futures
Tests of Random Walk of Hedge Ratios and Measures of Hedging Effectiveness for Stock Indexes and Foreign Currenciesp. 243
The Impact of the Lengths of Estimation Periods and Hedging Horizons on the Effectiveness of a Hedge: Evidence from Foreign Currency Futuresp. 257
Time Series Properties of Foreign Currency Hedge Ratiosp. 276
Equity and Oil Markets Under External Shocksp. 298
Volume and Volatility in Foreign Currency Futures Marketsp. 312
Conclusions
Directions for Future Researchp. 333
Name indexp. 343
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9781858988368
ISBN-10: 1858988365
Series: Financial Economists of the Twentieth Century
Audience: Tertiary; University or College
Format: Hardcover
Language: English
Number Of Pages: 360
Published: January 2000
Publisher: Edward Elgar Publishing Ltd
Country of Publication: GB
Dimensions (cm): 24.77 x 16.51  x 2.54
Weight (kg): 0.05

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