Results 61 to 70 of about 41,672 (247)
State-dependent hedge strategy for crude oil spot and futures markets
Borsa Istanbul Review, 2022 Relying on the hidden Markov model improved by the particle swarm optimization algorithm (PSO-HMM), we develop a dual-decision method to address the issue of state-dependent futures hedging. Our approach is attractive in two ways.
Xing Yu +4 more
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Effectiveness of Dynamic Hedging Using Options on the WIG20 in Current Market Conditions
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 2020 Based on previous research on the deviations of the prices of options on the WIG20 from the arbitrage restrictions and features, it was found that the number and scale of these deviations clearly decreased, thus improving the quality of the arbitrage ...
Ryszard Węgrzyn
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How Firms Can Hedge Against Market Risk
Studies in Logic, Grammar and Rhetoric, 2014 The article presents a problem of proper hedging strategy in expected utility model when forward contracts and options strategies are available. We consider a case of hedging when an investor formulates his own expectation on future price of underlying ...
Echaust Krzysztof
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The hedging effectiveness of gold against US stocks in a post-financial crisis era
Cogent Economics & Finance, 2019 Purpose—The purpose of this paper is to examine the transmission mechanisms and dynamic spillover effects between gold spot prices and US equity prices following the 2007 Global Financial Crisis.
Najib Shrydeh +3 more
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Dynamic hedging of 50ETF options using Proximal Policy Optimization
Journal of Automation and IntelligenceThis paper employs the PPO (Proximal Policy Optimization) algorithm to study the risk hedging problem of the Shanghai Stock Exchange (SSE) 50ETF options.
Lei Liu, Mengmeng Hao, Jinde Cao
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Discrete Dynamics in Nature and Society, 2013 Under departures from the cost-of-carry theory, traded spot prices and conditional volatility disturbed from futures market have significant impacts on futures price of emissions allowances, and then we propose time-varying hedge ratios and hedging ...
Kai Chang
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AgricultureThis paper tested the use of the surplus efficient frontier (a minimum tracking error portfolio selection method) to select the optimal hedging portfolio that replicates the best Mexican #4 lemon price in a t + 1 and t + 4 week hedging scenario.
Oscar V. De la Torre-Torres +2 more
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Risk Management in Derivatives Markets: Integrating Advanced Hedging Strategies with Empirical Analysis [PDF]
SHS Web of ConferencesThis study provides a comprehensive analysis of hedging strategies in the Chinese 50ETF options market, emphasizing dynamic hedging, Value at Risk (VaR), and machine learning-based approaches.
Liu Fengshuo
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Hedge Ratio and Hedging Effectiveness in Indian Currency Futures Markets
Finance: Theory and PracticeThe purpose of the study is to assess the efficacy of diverse hedge ratios computed using three econometric models: OLS, VECM, and BEKK-GARCH model. This investigation centres on minimizing variance for the USD/INR currency pair within the Indian currency market, specifically during two distinct periods: the pre-COVID era and the COVID-19 era.
N. Agrawal, P. Srinivasan
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The hedging effectiveness of currency futures markets [PDF]
Journal of Futures Markets, 1981 Until very recently, commodity futures were largely ignored by the vast majority of economists. At the same time, markets for foreign currencies were studied by only a relative handful of specialists in international trade and finance. This article examines a subject which overlaps the two very arcane areas of commodity futures and foreign exchange ...
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