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Characteristics of Real Futures Trading Networks
Complex networks Futures trading networks Scale-free scaling
2010/10/20
Futures trading is the core of futures business, and is considered as a typical complex system. To investigate the complexity of futures trading, we employ the analytical method of complex networks. F...
Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
Hedging Errors Adaptive Trading Strategy Discrete Trading
2010/4/28
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reac...
Talking up Liquidity: Insider Trading and Investor Relations
Investor relations Information disclosure Insider trading Liquidity Newly-public fi rms
2014/3/18
Managements (“insiders”) of many corporations, especially small or newly-public firms, invest
considerable resources in investor relations. We develop a model to explore the incentives of insid...