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Evidence Against the Efficiency of Futures Markets

In: Modelling Financial Time Series

Author

Listed:
  • STEPHEN J. TAYLOR

    (Lancaster University, UK)

Abstract

The following sections are included:INTRODUCTIONTHE EFFICIENT MARKET HYPOTHESISPROBLEMS RAISED BY PREVIOUS STUDIESFilter rulesBenchmarksSignificanceOptimizationPROBLEMS MEASURING RISK AND RETURNReturnsRiskNecessary assumptionsTRADING CONDITIONSTHEORETICAL ANALYSISTrading strategiesAssumptionsConditions for trading profitsInefficient regionsSome implicationsREALISTIC STRATEGIES AND ASSUMPTIONSStrategiesAssumptionsNotes on objectivesTRADING SIMULATED CONTRACTSCommoditiesCurrenciesTRADING RESULTS FOR FUTURESCalibration contractsTest contractsPortfolio resultsTOWARDS CONCLUSIONSSUMMARY

Suggested Citation

  • Stephen J. Taylor, 2007. "Evidence Against the Efficiency of Futures Markets," World Scientific Book Chapters, in: Modelling Financial Time Series, chapter 8, pages 196-224, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812770851_0008
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