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Some mathematical properties of the futures market platform

Author

Listed:
  • Laib, Fodil
  • Laib, M.S.

Abstract

This is an introductory work to analytical properties of the futures market platform’s main parameters. The underlying mechanism of this market structure is formulated into a mathematical dynamical model. Some mathematical properties of traders’ positions, their potential and realized wealths, market open interest and average price, are stated and demonstrated.

Suggested Citation

  • Laib, Fodil & Laib, M.S., 2007. "Some mathematical properties of the futures market platform," MPRA Paper 6126, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:6126
    as

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    File URL: https://mpra.ub.uni-muenchen.de/6126/1/MPRA_paper_6126.pdf
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    References listed on IDEAS

    as
    1. Arthur, W.B. & Holland, J.H. & LeBaron, B. & Palmer, R. & Tayler, P., 1996. "Asset Pricing Under Endogenous Expectations in an Artificial Stock Market," Working papers 9625, Wisconsin Madison - Social Systems.
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    3. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
    4. Wing H. Chan & Denise Young, 2006. "Jumping hedges: An examination of movements in copper spot and futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(2), pages 169-188, February.
    5. Mark Howard, 1999. "The Evolution of Trading Rules in an Artificial Stock Market," Computing in Economics and Finance 1999 712, Society for Computational Economics.
    6. W. Brian Arthur & Paul Tayler, "undated". "Asset Pricing Under Endogenous Expectations in an Artificial Stock Market," Computing in Economics and Finance 1997 57, Society for Computational Economics.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    futures market platform; open interest;

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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