Futures and forward contracts
- Analytically Deriving Risk-Neutral Densities from Volatility Smiles in DeltaFumio HayashiThe Journal of Derivatives March 2020, jod.2020.1.099; DOI: https://doi.org/10.3905/jod.2020.1.099
- The Liquidity Hierarchy in the US Treasury Cash and Futures MarketLee Baker, Lihong McPhail and Bruce TuckmanThe Journal of Fixed Income March 2020, jfi.2020.1.091; DOI: https://doi.org/10.3905/jfi.2020.1.091
- Deep Reinforcement Learning for TradingZihao Zhang, Stefan Zohren and Roberts StephenThe Journal of Financial Data Science March 2020, jfds.2020.1.030; DOI: https://doi.org/10.3905/jfds.2020.1.030
- Efficient Out-of-Sample Pricing of VIX FuturesShuxin Guo and Qiang LiuThe Journal of Derivatives February 2020, 27 (3) 126-139; DOI: https://doi.org/10.3905/jod.2019.1.089
- The Impact of High-Frequency Trading on Australian Futures Market Liquidity and EfficiencyPanha Heng, Scott J. Niblock, Jennifer L. Harrison and Hansi HuThe Journal of Derivatives February 2020, jod.2020.1.097; DOI: https://doi.org/10.3905/jod.2020.1.097
- Pricing VIX Futures under GJR-GARCH Process: An Analytical Approximation MethodXie Haibin, Zhou Mo and Tinghui RuanThe Journal of Derivatives February 2020, jod.2020.1.096; DOI: https://doi.org/10.3905/jod.2020.1.096
- Do Implicit Phenomena Matter? Evidence from China Stock Index FuturesMin-Yuh Day, Paoyu Huang, Yensen Ni and Yuhsin ChenThe Journal of Alternative Investments June 2018, 21 (1) 79-91; DOI: https://doi.org/10.3905/jai.2018.1.062
- Hedging High-Yield and Emerging Market Bond Tail Risk with VIX® FuturesBerlinda Liu and Hong XieThe Journal of Alternative Investments September 2019, 22 (2) 81-98; DOI: https://doi.org/10.3905/jai.2019.1.080
- Testing Futures Trading Strategy AssumptionsMark C. Hutchinson and John O’BrienThe Journal of Alternative Investments September 2019, 22 (2) 47-63; DOI: https://doi.org/10.3905/jai.2019.1.075
- The Impact of Performance Fees on Multi-Manager CTA PortfoliosKathryn Kaminski and Marat MolybogaThe Journal of Alternative Investments September 2019, 22 (2) 24-34; DOI: https://doi.org/10.3905/jai.2019.22.2.024
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