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Concentration on the Nearby Contract in Financial Futures Markets: A Stochastic Model to Explain the Phenomenon

Dorfleitner, Gregor and Bamberg, Günter (2000) Concentration on the Nearby Contract in Financial Futures Markets: A Stochastic Model to Explain the Phenomenon. Journal of Economics and Finance 24 (3), pp. 246-259.

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Abstract

Describes a stochastic model developed to explain how the early unwinding propensity of market participants in the financial futures markets can lead to a strong concentration of the trading volume on the nearby contract. Closing behavior of the market participants captured in three distribution ...

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Item Type:Article
Date:2000
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Research groups and research centres:Immobilien- und Kapitalmärkte, Immobilien- und Kapitalmärkte
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Unknown
Owner: Gregor Dorfleitner
Deposited On:19 Jun 2008 12:43
Last Modified:19 Jul 2010 12:34
Item ID:4071
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