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

Dorfleitner, Gregor ; Bamberg, Günter


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 functions.


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