haku: @all futures / yhteensä: 184
viite: 180 / 184
| Tekijä: | Luo, G. Y. |
| Otsikko: | Market efficiency and natural selection in a commodity futures market. |
| Lehti: | Review of Financial Studies
1998 : FAL, VOL. 11:3, p. 647-674 |
| Asiasana: | MARKET EFFICIENCY FUTURES MARKETS HEDGING |
| Kieli: | eng |
| Tiivistelmä: | The article shows informational efficiency by applying the evolutionary idea of natural selection. In a dynamic futures market, speculators are asussumed to merely act upon their predetermined trading types (buyer or seller), their predetermined fractions of wealth allocated for speculation, and their inherent abilities to predict the spot price, reflected in their distributions of prediction errors with respect to the spot price. The article shows that the proportion of time that the futures price equals the spot price converges to one with probability 1. |
SCIMA