Topic
Open interest (futures)
About: Open interest (futures) is a research topic. Over the lifetime, 47 publications have been published within this topic receiving 1073 citations.
Papers
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TL;DR: In this article, the authors studied the behavior of the futures contract of the Athens FTSE/ATHEXMid40 index and found that the series following a random walk, being cointegrated and having a long-term equilibrium.
Abstract: This study focuses on the behavior of the futures contract of the Athens FTSE/ATHEXMid40 index. Unlike the large-cap ATHEX20 index, this category includes mid-cap high growth companies whose futures market, however, is characterized by low volume and liquidity. This study offers evidence for the efficient market hypothesis, with the series following a random walk, being cointegrated and having a long-term equilibrium. In the short run, the estimated VECM shows that trading volume and open interest are not significant as explanatory variables. Finally, only a one-way Granger causality relationship is confirmed, from futures to spot, proving the ability of futures to react faster to news.
Posted Content•
TL;DR: In this article, the analytical properties of the futures market platform's main parameters are discussed and the underlying mechanism of this market structure is formulated into a mathematical dynamical model, and some mathematical properties of traders' positions, their potential and realized wealths, market open interest and average price are demonstrated.
Abstract: This is an introductory work to analytical properties of the futures market platform’s main parameters. The underlying mechanism of this market structure is formulated into a mathematical dynamical model.
Some mathematical properties of traders’ positions, their potential and realized wealths, market open interest and average price, are stated and demonstrated.