Evidence Against the Efficiency of Futures Markets

Stephen J. Taylor
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Stephen J. Taylor: Lancaster University, UK

Chapter 8 in Modelling Financial Time Series, 2007, pp 196-224 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONTHE EFFICIENT MARKET HYPOTHESISPROBLEMS RAISED BY PREVIOUS STUDIESFilter rulesBenchmarksSignificanceOptimizationPROBLEMS MEASURING RISK AND RETURNReturnsRiskNecessary assumptionsTRADING CONDITIONSTHEORETICAL ANALYSISTrading strategiesAssumptionsConditions for trading profitsInefficient regionsSome implicationsREALISTIC STRATEGIES AND ASSUMPTIONSStrategiesAssumptionsNotes on objectivesTRADING SIMULATED CONTRACTSCommoditiesCurrenciesTRADING RESULTS FOR FUTURESCalibration contractsTest contractsPortfolio resultsTOWARDS CONCLUSIONSSUMMARY

Keywords: ARCH Models; Exchange Rates; Forecasting; Stock Markets; Time Series; Volatility (search for similar items in EconPapers)
Date: 2007
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