The History of the Quantitative Methods in Finance Conference Series. 1992-2007

This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.

Empirical study on the efficiency of the stock index futures market from the information and functional perspectives–empirical evidence from China

This paper studies the effectiveness of the CSI 300 index futures markets from the perspective of information efficiency and function efficiency and examines the nonlinear dynamic characteristics of efficiency by using nonparametric methods. For information effectiveness, we find that the price of stock index futures follows a random walk. For function effectiveness, the results show that (1) the average optimal hedge ratio is 0.8702, and the average effective level reaches 86.11%. (2) The error correction mechanism is only supported by stock index futures. The error correction effect only exists in the extreme regime (only 6% of the total observed value). Most of the time (94%), both prices are subject to random walk process. There is no arbitrage trade between futures and spots. (3) Both linear and nonlinear leadership are observed in stock index futures. The nonlinear leadership is mainly reflected in stock index futures. Both leadership types are influenced by institutional changes and significant financial events and evolve over time, which indicates that stock index futures cannot play the dominant role in price discovery. In sum, we conclude that the CSI 300 stock index futures market is effective, despite the flaws in price discovery

Automated Trading Systems Statistical and Machine Learning Methods and Hardware Implementation: A Survey

Automated trading, which is also known as algorithmic trading, is a method of using a predesigned computer program to submit a large number of trading orders to an exchange. It is substantially a real-time decision-making system which is under the scope of Enterprise Information System (EIS). With the rapid development of telecommunication and computer technology, the mechanisms underlying automated trading systems have become increasingly diversified. Considerable effort has been exerted by both academia and trading firms towards mining potential factors that may generate significantly higher profits. In this paper, we review studies on trading systems built using various methods and empirically evaluate the methods by grouping them into three types: technical analyses, textual analyses and high-frequency trading. Then, we evaluate the advantages and disadvantages of each method and assess their future prospects

Price Bubbles in Chinese Agricultural Commodity Market

This cumulative dissertation presents four contributions that attempt to shed light on the issues regarding price bubbles in Chinese agricultural commodity market. Given that the public and policymakers show their concern on the price bubbles in Chinese agricultural commodity market, chapter 2 and 3 investigate the origin of price bubbles in futures and spot markets, respectively. In particular, after accurately identifying the bubble dates in agricultural futures market and fixing the estimation bias of rare events models, our empirical results in chapter 2 indicate that bubble episodes only account for a very limited proportion of the sample period, meanwhile, China’s corn and soybeans markets respond differently to the speculative activity and external shocks from international markets. Price bubbles are more likely to be associated with strong economic activity, high interest rates and low inflation levels. Furthermore, by gauging the synchronization level of bubble occurrences between futures and spot markets in chapter 3, we find that even cointegrated futures and spot prices for agricultural commodities seldom bubble together. Further analysis through a regime-switching approach of price transmission reveals that the adjustment effect of futures prices on spot prices is the lowest during the regime where bubbles occur the most frequently for spot prices, while the spot price returns are more likely to be affected by its own lagged terms. All these results challenge the idea that bubbles are originated from over-financialization in futures markets and are then transmitted to spot markets. Therefore, we conclude that futures price bubbles are more sensitive to fundamental factors, while spot price bubbles are more likely to be affected by their own market features. Apart from empirical analyses on the origin of price bubbles, it is widely believed that bubbles could distort resource allocation and a recession usually follows the collapse of bubbles. Inspired by the findings from chapter 2 and 3, chapter 4 attempts to build a systematic theoretical framework that explains the observed economic process with bubbles. From a new perspective of firm growth, we construct a theoretical model to describe the evolvement of bubbles, including their origin, development, collapse, and their effect on the output of economy. Following our research topic, chapter 5 tends to investigate the effects of the newly established futures contract for apples in China. The results of various tests suggest that the apple futures market does not serve well for the price discovery and may reduce the spot price volatility to some extent. In order to improve the efficiency of the apple futures market, the regulators should consider effective measures to attract more commercial traders from different regions in China into the futures market

Asymmetric and nonlinear pass-through of energy prices to CO2 emission allowance prices

We use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of changes in crude oil prices, natural gas prices, coal prices and electricity prices to the CO2 emission allowance prices. This approach allows one to simultaneously test the short- and long-run nonlinearities through the positive and negative partial sum decompositions of the predetermined explanatory variables. It also offers the possibility to quantify the respective responses of the CO2 emission prices to positive and negative shocks to the prices of their determinants from the asymmetric dynamic multipliers. We find that: (i) the crude oil prices have a long-run negative and asymmetric effect on the CO2 allowance prices; (ii) the falls in the coal prices have a stronger impact on the carbon prices in the short-run than the increases; (iii) the natural gas prices and electricity prices have a symmetric effect on the carbon prices, but this effect is negative for the former and positive for the latter. Policy implications are provided.COMPETE, QREN, FEDER, Fundação para a Ciência e a Tecnologia (FCT

Understanding Crude Oil Spot and Futures Prices Dynamics During Major Crises

This thesis examines crude oil, the dominant energy resource worldwide, its historical behaviour and the resulting implications for world economies. It analyses the role of spot and futures oil prices and their dynamics during periods of market uncertainty. The focus of attention is the understanding of the lead-lag relationship of crude oil spot and futures prices during major crises periods (the first Gulf War in 1990/91, the Asian financial crisis in 1997/98, the US terrorist attack in 2001 and the global financial crisis in 2008/9), and its implications for investors and policy-makers. The mix of applied econometric models gives strength to this study by offering a rich research framework that helps in the analysis and examination of core research outcomes. The study uses daily data to capture fluctuations in the oil markets, more specifically daily closing spot prices and continuous futures prices from 1982 until 2016. The selected research approach identifies oil prices dynamics and their variations in behaviour during periods of magnified distress such as economic and financial crises. The diversity of approaches is important as they offer an in-depth perspective on oil prices behaviour and how major economic and financial events have impacted on prices behaviour. Different sub samples and time periods are considered for this study, and they are identified by the implementation of structural break tests and moving window approaches. Long run and short run interlinkages are examined by using the Johansen, Engle-Granger and Vector Error Correction models that gave us sufficient evidence to test both spot and futures prices and how their behaviour differs at different points in time. GARCH and OLS models are applied to support the volatility analysis and the variance ratio tests together with bootstrapping and simulation methods that are the basis of the efficiency part of the study. The results show evidence of a bidirectional long term relationship between crude oil spot and futures prices for all sub periods. However, the short term relationship provides different outcomes, where for stable and post-crises periods futures prices seem to have a leading role, while spot prices appear to be leading during crises periods. This research outcome can be considered as a major contribution of this study, as it offers very interesting information and insights to investors and oil dependent industries, as they can follow either spot or futures prices depending on the length of their business strategy and oil price levels during different financial and economic episodes. The volatility analysis reveals that crises triggers play an important role in volatility examination, where in cases of economic and financial distress the volatility persistence lasts longer with lower volatility spikes, which is in contrast with fundamental triggers of supply and demand, where the increased volatility does not last as long, but shows evidence of clearly higher volatility spikes. The conducted analysis looking at market efficiency suggests that crude oil markets are efficient in the short run, but not in the long run, which can be due to the high number of structural breaks identified in the analysed sample and which are caused by the registered high oil market volatilities over time. These findings offer interesting insights regarding the lead-lag relationship between spot and futures prices of the main crude oil benchmarks during different crises, which can be used by academics, oil market participants, policy-makers and speculators. The main contribution of this thesis results is the understanding of the relationship and dynamics for business and strategic investment decisions through risk management and long term planning, especially for economies that are highly dependent on oil as their main energy source