Futures and forward contracts
- Value Investing for CommoditiesThijs Markwat, Jelmer Quist and Casper ZomerdijkThe Journal of Alternative Investments August 2020, jai.2020.1.107; DOI: https://doi.org/10.3905/jai.2020.1.107
- The Cross Section of Commodity Returns: A Nonparametric ApproachClemens Struck and Enoch ChengThe Journal of Financial Data Science July 2020, 2 (3) 86-103; DOI: https://doi.org/10.3905/jfds.2020.1.034
- Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures MarketsGeorge O. Aragon, Rajnish Mehra and Sunil WahalThe Journal of Portfolio Management June 2020, 46 (7) 144-159; DOI: https://doi.org/10.3905/jpm.2020.1.158
- The Liquidity Hierarchy in the US Treasury Cash and Futures MarketLee Baker, Lihong McPhail and Bruce TuckmanThe Journal of Fixed Income June 2020, 30 (1) 90-99; DOI: https://doi.org/10.3905/jfi.2020.1.091
- The Impact of High-Frequency Trading in Experimental MarketsNathanael Berger, Mark DeSantis and David PorterThe Journal of Investing May 2020, 29 (4) 7-18; DOI: https://doi.org/10.3905/joi.2020.1.132
- News Sentiment as an Explanation for Changes in the VIX Futures BasisLee A. SmalesThe Journal of Investing May 2020, 29 (4) 92-102; DOI: https://doi.org/10.3905/joi.2020.1.125
- Analytically Deriving Risk-Neutral Densities from Volatility Smiles in DeltaFumio HayashiThe Journal of Derivatives May 2020, 27 (4) 6-12; DOI: https://doi.org/10.3905/jod.2020.1.099
- 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 May 2020, 27 (4) 51-76; DOI: https://doi.org/10.3905/jod.2020.1.097
- Pricing VIX Futures under the GJR–GARCH Process: An Analytical Approximation MethodHaibin Xie, Mo Zhou and Tinghui RuanThe Journal of Derivatives May 2020, 27 (4) 77-88; DOI: https://doi.org/10.3905/jod.2020.1.096
- Deep Reinforcement Learning for TradingZihao Zhang, Stefan Zohren and Stephen RobertsThe Journal of Financial Data Science April 2020, 2 (2) 25-40; DOI: https://doi.org/10.3905/jfds.2020.1.030
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