A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets

A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets

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In this paper, we study the relationship between trading-related variables and volatility in futures markets, from a new unifying perspective, which is based on the separation of open and closed positions. Volatility in stock index futures markets (Standard & Poor’s 500, DAX 30 and Nikkei 22...

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Bibliographic Details
Main Authors: Oscar Carchano, Julio Lucia, Ángel Pardo
Format: Article
Language:English
Published: EconJournals 2017-06-01
Series:International Journal of Economics and Financial Issues
Subjects:
volatility
open interest
trading volume
open and closed positions
Online Access:https://dergipark.org.tr/tr/pub/ijefi/issue/32035/354504?publisher=http-www-cag-edu-tr-ilhan-ozturk

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https://dergipark.org.tr/tr/pub/ijefi/issue/32035/354504?publisher=http-www-cag-edu-tr-ilhan-ozturk

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