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The Linear Regression Model for setting up the Futures Price

Author

Listed:
  • Mario G.R. PAGLIACC

    (University of Perugia, Italy)

  • Janusz GRABARA

    (Politechnik University of Czestochowa, Poland)

  • Madalina Gabriela ANGHEL

    (“Artifex” University of Bucharest)

  • Cristina SACALA

    (Academy of Economic Studies, Bucharest)

  • Vasile Lucian ANTON

    (Academy of Economic Studies, Bucharest)

Abstract

To realize a linear regression, we have considered the computation method for futures prices that, according to economic culture, is based on the rate of the supporting asset and internal/external interest ratios, and also on the time period until maturity. The market price of a futures instrument is influenced by the demand and supply, that is the number of units traded within a certain period.

Suggested Citation

  • Mario G.R. PAGLIACC & Janusz GRABARA & Madalina Gabriela ANGHEL & Cristina SACALA & Vasile Lucian ANTON, 2015. "The Linear Regression Model for setting up the Futures Price," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 63(1), pages 52-66, January.
    • Handle: RePEc:rsr:supplm:v:63:y:2015:i:1:p:52-66
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