# Columbia - Center for Futures Markets

# Papers

Postal: COLUMBIA UNIVERSITY, CENTER FOR THE STUDY OF FUTURE MARKETS, BUSINESS SCHOOL, MORNING SIDE HEIGHTS NY NEW YORK 10027 U.S.A..

Phone: (212) 854-5553

Web page: http://www.gsb.columbia.edu/

More information through EDIRC

Phone: (212) 854-5553

Web page: http://www.gsb.columbia.edu/

More information through EDIRC

**For corrections or technical questions regarding this series, please contact (Thomas Krichel)**

**Series handle:**repec:fth:colufu

**Citations RSS feed:**at CitEc

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### 1991

**220 Time Varying Distributions and Dynamic Hedging with Foreign Currency Futures***by*Kroner, K.F.**219 The Electronic Order Book and Automated Trade Execution in the Furure Market***by*Wang, J. & Domowitz, I.**218 Is Normal Backwardation Normal?***by*Kolb, R.W.**217 Trading Performance in Forward Markets: A Micro-Data Test of Normal Backwardation***by*Phillips, G. & Weiner, R.**216 The Price Adjustment Process and Efficiency of Grain Futures Markets Implied by return Series of Various Time Intervals***by*Thompson, S.R. & Liu, S.M.**215 Taxing Transactions in Futures Markets: Objectives and Effects***by*Edwards, F.R.**214 Equally Open and Competitive: Regulatory Approval of Automated Trade Execution in the Future Markets***by*Domowitz, I.**213 A Note On The Effect Of Alternative Return Measures In Financial Futures Research***by*Schneeweis, T. & Savanayana, U.**212 Default Risk And The Difference Between Forward And Futures Markets: An Empirical Case-Study***by*Weiner, R.J.

### 1990

**211 Modelling Financial Futures Mispricing Using Self-Exciting Thresold Autoregressive Processes***by*Pope,P.F. & Yadav,P.K.**210 Futures Markets As Hedging Markets And The Relative Effects Of Speculation On Hedging Effectiveness***by*Meyer,T.O.**209 On Universal Currency Hedges***by*Adler,M. & Prasad,B.**208 Portfolio Analysis Of Stocks, Bonds And Managed Futures Using Compromise Stochasticdominance***by*Fishmar,D. & Peters,C.**207 Forecasting The Effects Of News On Cme Live Hog Futures Prices***by*Carter,C. & Galopin,C.**206 On The Use Of The Portofolio Theory To Hedge Optimally Using Futures***by*Chee,K-C.**205 Risk Premia And Price Volatility In Futures Markets***by*Maddala,G.S. & Yoo,J.**204 "Chaos" In Futures Markets? A Nonlinear Dynamical Analysis***by*Blanck, S.C.**203 The Intraday Analysis Of Liquidity And Price Volatility In The S&P 500 Index Futures Market***by*Wang, G.H.K. & Michalski, R.J. & Mariarty, E.J. & Jourdan, J.V.**202 The Stochastic Behavior Of Forward Contarct Premiums For Corn And Soybeans***by*Johnson, D.D.

### 1989

**t9 Commentary: Volatility, Price Resolution, And The Effectiveness Of Price Limits***by*Lehmann, B.N.**t8 Commentary: Volatility, Prices Resolution, And Effectiveness Of Price Limits***by*Miller, M.H.**t7 Volatility, Price Resolution, And The Effectiveness Of Price Limits***by*Ma, C.K. & Rao, R.P. & Sears, R.S.**t6 Margin Requirements And Stock Volatility***by*Schwert, C.W.**t5 Commentary: Stock Market Margin Requirements And Volatility***by*Hardouvelis, G.A.**t4 Stock Market Margin Requirements And Volatility: Implications For Regulation Of Stock Index Futures***by*Salinger, M.A.**t3 Commentary: Using Tax Policy To Curb Speculative Short-Term Trading***by*Ross, S.A.**t2 Using Tax Policy To Curb Speculative Short-Term Trading***by*Stiglitz, J.E.**t12 When Financial Markets Work Too Well : A Cautious Case For A Securities Transactions Tax***by*Summers, L.H. & Summers, V.P.**t11 Commentary: Price Volatility, International Market Link, And Their Implications For Regulatory Policy***by*Nelson, D.N.**t10 Price Volatility, International Market Links, And Their Implications For Regulatory Policies***by*Roll, R.**t1 Prologue To Conference On Regulatory Reforme Of Stock And Futures Markets***by*Edwards, F.R.**201 Modeling Commodity Price Distributions And Estimating The Optimal Futures Hedge***by*Baillie, R.T. & Myers, R.J.**194 The Optimal Dynamic Hedging Positions For Grain Producers Before Harvest: A Case Study***by*Martinez, S. & Zering, K.D.**191 Costomer Risk And The Regulation Of Futures Commission Marchants***by*Jordan, J.V. & Morgan, J.E.**190 Trading Mechanism, Speculative Behavior Of Investors, And The Volatility Of Prices: Spot Versus Futures***by*Park, H.Y.**189 Regulatory Reform Of Securities And Future Markets: Two Years After The Crash***by*Edwards, F.R.**188 Futures Trading, Transaction Costs, And Stock Market Volatility***by*Brorsen, W.**187 An Examination Of Deliveries In The Treasury Bond Futures Contract***by*Labarge, K.P.**186 Does The Wild Card Option Really Have Value?***by*Labarge, K.P.**185 Risk Premia In Futures And Asset Markets***by*Bessembinder, H.**184 Nonlinearities And Chaotic Effects In Options Prices***by*Savit, R.**183 Valuation Of Swaps***by*Sundaresan, S.

### 1988

**csfm-167 A Further Examination Of The Risk/Return Characteristics Of Portfolios Combining Commodity Futures Contracts With Common Stocks***by*Herbst, A.F. & Mccormack, J.P.**csfm-166 Commodity Pool Performance:Is The Information Contained In Pool Prospectuses Useful?***by*Edwards, F.R. & Ma, C.**csfm-165 Requiem For A Market: An Analysis Of The Rise And Fall Of A Financial Futures Contract***by*Johnston, E.T. & Mcconnell, J.J.**182 Margin Requirements And The Demand For Futures Contracts***by*Shanker, L.**181 Speculation And Price Volatility***by*Hong, B.G.**180 Short-Sale Restrictions, Asset Price Volatility And Social Welfare***by*Kamara, A. & Siegel, A.F.**179 Forecasting Sfficiency Of Energy Futures Prices***by*Ma, C.W.**178 Integration Among Cash And Futures Prices In The Copper Market***by*Budge, C.**177 Limit Moves And Price Resolution: The Case Of The Treasury Bond Futures Markets***by*Ma, C.K. & Rao, R.P. & Sears, R.S.**176 Policies To Curb Stock Market Volatility***by*Edwards, F.R.**175 Exploring The Share Of Probability Densities For Futures Price Changes***by*Nelson, R.D.**174 The Term Structure Of Interest Rates: Empirical Evidence***by*Gibbons, M.R. & Ramaswamy, K.**173 The Simple Price Dynamics Of Portfolio Insurance And Program Trading***by*Anderson, R.W. & Tutuncu, M.**172 Determinants Of Liquidity Costs In Commodity Furures Markets***by*Thompson, S. & Waller, M.L.**171 Basis Exepectations And Soybean Hedging Effectiveness***by*Hauser, R.J. & Garcia, P. & Tumblin, A.D.**170 The Organization And Objectives Of U.S. Futures Exchanges***by*Chambers, S. & Carter, C.**169 Trading Structures And Asset Pricing: Evidence From The Treasury Bill Markets***by*Kamara, A.