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Spot contract

About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.


Papers
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Journal ArticleDOI
TL;DR: In this paper, the Chicago Board Options Exchange and the Chicago Mercantile Exchange introduced futures contracts on bitcoin and investigated to what extent they provide useful information for the price discovery of bitcoin.
Abstract: In December 2017, both the Chicago Board Options Exchange and the Chicago Mercantile Exchange introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995, J Finance, 50, pp. 1175–1199) and Gonzalo and Granger (1995, J Bus Econ Stat, 13, pp. 27–35) and find that the spot price leads the futures price. We attribute this result to the higher trading volume and the longer trading hours of the globally distributed bitcoin spot market, compared to the relatively restricted access to the US‐based futures markets.

82 citations

Posted Content
TL;DR: In this paper, the authors compare price discovery in the foreign exchange futures and spot markets during a period in which the spot market was less transparent but had higher volume than the futures market and found that the amount of information contained in currency futures prices is much greater than one would expect based on relative market size.
Abstract: In this paper, we compare price discovery in the foreign exchange futures and spot markets during a period in which the spot market was less transparent but had higher volume than the futures market. We develop a foreign exchange futures order flow measure that is a proxy for the order flow observed by Chicago Mercantile Exchange pit traders. We find that both foreign currency futures and spot order flow contain unique information relevant to exchange rate determination. When we measure contributions to price discovery using the methods of Hasbrouck and of Gonzalo and Granger, we obtain results consistent with our order flow findings. Taken together, our evidence suggests that the amount of information contained in currency futures prices is much greater than one would expect based on relative market size.

82 citations

Patent
02 Dec 2002
TL;DR: In this paper, a method and system for securitizing contracts valued on an index, a special purpose entity (SPE) is provided and holds as substantially all of its assets a derivative contract with a contract dealer.
Abstract: In a method and system for securitizing contracts valued on an index, a special purpose entity (SPE) is provided and holds as substantially all of its assets a derivative contract with a contract dealer. The contract has an initial notional value and is tied to an index related to items traded by a multilateral transactional execution facility, such as futures contracts traded on an exchange. The held contract is also scalable so that the notional value can be increased on demand in exchange for a corresponding payment to the contract dealer and decreased on demand in exchange for a corresponding payment from the contract dealer. The SPE issues exchange tradable securities that derive value based on the value of the contract held by the SPE. To issue additional shares, assets are contributed to the contract dealer who increases the notional value of the contract held by the SPE. The increase in value of the contract supports the issuance of additional shares. Shares are redeemed by terminating some or all of the contract whereby the contract dealer reduces the notional value and provides a termination payment based on the amount of the termination and the value of the index. In one embodiment, investors purchase shares by providing to the contract dealer both a cash payment and a futures contract, the combination having a value corresponding to the value of the shares to be issued, and where the futures contract can then be used by the contract dealer to hedge the. forward contract between the contract dealer and the SPE.

81 citations

Journal ArticleDOI
TL;DR: In this paper, the authors examined the effect of nonsynchronous prices and transaction costs on the usual option market efficiency tests and found that the early exercise boundary tests are sensitive to transaction costs but are not very sensitive to simultaneity of the option price and the underlying spot price.
Abstract: Based on a new options transactions data base from the Philadelphia Stock Exchange Foreign Currency Options Market, this paper examines the importance of the effect of nonsynchronous prices and transaction costs on the usual option market efficiency tests. The tests conducted are based on the transaction cost adjusted early exercise and put-call parity pricing boundaries applicable to the American foreign currency options market. The test results show that the put-call parity boundary tests are sensitive to both nonsynchronous prices and transaction costs. The early exercise boundary tests are sensitive to transaction costs but are not very sensitive to simultaneity of the option price and the underlying spot price. Under the no-transaction costs scenario, a large number of early exercise boundary violations is found even when simultaneous spot and option prices are used. These violations disappear when actual transaction costs are taken into account.

81 citations

01 Jan 1993
TL;DR: The paper analyzes the potential use of a decomposition of the spot price ρk of any node k into a generator component γ and a network component ηk, which is a prerequisite to precisely define separate markets for generation and transmission.
Abstract: Marginal cost pricing is widely recognized as the core of any sound approach to economic valuation of transmission services. This paper presents results that help to recognize and to compute the several components of the spot prices, so that the contributions of each user to the network costs can be identified and understood. The paper analyzes, both theoretically and computationally, the potential use of a decomposition of the spot price ρk of any node k into a generator component γ and a network component ηk, which is a prerequisite to precisely define separate markets for generation and transmission. The notions of "slack node" and "system lambda" are revisited and several new properties of the spot prices, which can be useful in interpreting the numerical values of network spot prices in large power systems, are presented. The results have been checked in large networks and are illustrated with numerical examples.

81 citations


Network Information
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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20241
202376
2022205
2021111
2020115
2019106