Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Report
Price limits and volatility in soybean meal futures markets
Cantor, Richard (1989)
Research Paper , Paper 8904

Journal Article
Futures options and their use by financial intermediaries
Koppenhaver, Gary D. (1986-01)
Economic Perspectives , Volume 10 , Issue Jan , Pages 18-31

Working Paper
Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract
Maberly, Edwin D.; Waggoner, Daniel F. (2000)
Prior research documents unusually high returns on the last trading day of the month and over the next three consecutive trading days. This phenomenon is known as the turn-of-the-month (TOTM) effect. According to Siegel (1998), why these anomalies occur is not well understood, and whether they will continue to be significant in the future is an open question. In this paper, we examine the S&P 500 futures contract for evidence that turn-of-the-month effects have continued. Transaction costs are low for index futures, and the absence of short-sale restrictions makes index futures an attractive ...
FRB Atlanta Working Paper , Paper 2000-11

Report
The costs and benefits of dual trading
Sarkar, Asani; Wu, Lifan; Park, Hun Y. (1995)
This paper finds that marketmaking practices of dual traders are pit-specific. In the S&P 500 futures pit, the authors estimate that, because of a lower price impact, customers of dual traders pay eighteen cents less per contract on their trades, compared with customers of pure brokers. According to the authors' estimates, however, customers pay eleven cents more per contract for a purchase and receive nine cents less per contract for a sale, compared with the prices dual traders obtain for their own trades. Thus, the estimated net benefit of dual trading to customers in the S&P 500 futures ...
Staff Reports , Paper 2

Report
Traders' broker choice, market liquidity and market structure
Sarkar, Asani; Chakravarty, Sugato (1997)
Hedgers and a risk-neutral informed trader choose between a broker who takes a position in the asset (a capital broker) and a broker who does not (a discount broker). The capital broker exploits order flow information to mimic informed trades and offset hedgers' trades, reducing informed profits and hedgers' utility. But the capital broker has a larger capacity to execute hedgers' orders, increasing market depth. In equilibrium, hedgers choose the broker with the lowest price per unit of utility while the informed trader chooses the broker with the lowest price per unit of the informed order ...
Staff Reports , Paper 28

Working Paper
Opportunity cost and prudentiality: an analysis of collateral decisions in bilateral and multilateral settings
Moser, James T.; France, Virginia G.; Baer, Herbert L. (2001)
This paper develops a model that explains how the creation of a futures clearinghouse allows traders to reduce default and economize on margin. We contrast the collateral necessary between bilateral partners with that required when multilateral netting occurs. Optimal margin levels balance the deadweight costs of default against the opportunity costs of holding additional margin. Once created, it may be optimal for the clearinghouse to monitor the financial condition of its members. If undertake, monitoring will reduce the amount of margin required but need not affect the probability of ...
Working Paper Series , Paper WP-01-26

Journal Article
Will increased regulation of stock index futures reduce stock market volatility?
Roberts, Dan J.; Becketti, Sean (1990-11)
Economic Review , Volume 75 , Issue Nov , Pages 33-46

Journal Article
Managing stock market risk with stock index futures
Morris, Charles S. (1989-06)
Economic Review , Volume 74 , Issue Jun , Pages 3-16

Working Paper
Volume determination in stock and stock index futures markets: an analysis of arbitrage and volatility effects
Merrick, John J. (1987)
Working Papers , Paper 87-2

Working Paper
The performance of S&P500 futures product margins under the span margining system
Kupiec, Paul H. (1993)
Finance and Economics Discussion Series , Paper 93-27

show more (2)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords