Go to content
UR Home

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

Dorfleitner, Gregor ; Bamberg, Günter


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 functions.

Owner only: item control page
  1. Homepage UR

University Library

Publication Server


Publishing: oa@ur.de

Dissertations: dissertationen@ur.de

Research data: daten@ur.de

Contact persons