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Some mathematical properties of the futures market platform

Author

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  • 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.
    2. Mark Howard, 1999. "The Evolution of Trading Rules in an Artificial Stock Market," Computing in Economics and Finance 1999 712, Society for Computational Economics.
    3. Benoit Mandelbrot & Howard M. Taylor, 1967. "On the Distribution of Stock Price Differences," Operations Research, INFORMS, vol. 15(6), pages 1057-1062, December.
    4. 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.
    5. 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.
    6. 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.
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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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