Concentration on the nearby contract in financial futures markets: A stochastic model to explain the phenomenon

Günter Bamberg () and Gregor Dorfleitner

Journal of Economics and Finance, 2000, vol. 24, issue 3, 246-259

Abstract: A stochastic model is developed to explain how the early unwinding propensity of market participants in financial futures markets can lead to a strong concentration of the trading volume on the nearby contract. In this model the position closing behavior of the market participants is captured by three distribution functions. The concentration process works under many realistic specifications of these distribution functions. Copyright Springer 2000

Date: 2000
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DOI: 10.1007/BF02752606

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