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September 1999, Volume 19, Issue 6
- 717-733 Harvest contract price volatility for cotton
by Darren Hudson & Keith Coble
August 1999, Volume 19, Issue 5
- 499-521 Do S&P 500 index options violate the martingale restriction?
by Norman Strong & Xinzhong Xu - 523-540 Intertemporal volatility and price interactions between Australian and Japanese spot and futures stock index markets
by Ah‐Boon Sim & Ralf Zurbreugg - 541-564 A comprehensive examination of the compass rose pattern in futures markets
by Chun I. Lee & Kimberly C. Gleason & Ike Mathur - 565-582 Is the Australian wool futures market efficient as a predictor of spot prices?
by Jeremy Graham‐Higgs & Alicia Rambaldi & Brian Davidson - 583-602 VaR without correlations for portfolios of derivative securities
by Giovanni Barone‐Adesi & Kostas Giannopoulos & Les Vosper - 603-618 A reappraisal of the forecasting performance of corn and soybean new crop futures
by Carl R. Zulauf & Scott H. Irwin & Jason E. Ropp & Anthony J. Sberna
June 1999, Volume 19, Issue 4
- 377-411 Managed commodity funds
by Franklin R. Edwards & Jimmy Liew - 413-432 The relative efficiency of commodity futures markets
by Neil Kellard & Paul Newbold & Tony Rayner & Christine Ennew - 433-455 Margin requirements and futures activity: Evidence from the soybean and corn markets
by Bahram Adrangi & Arjun Chatrath - 457-474 Fractional cointegration and futures hedging
by Donald Lien & Yiu Kuen Tse - 475-498 Trading costs and price discovery across stock index futures and cash markets
by Minho Kim & Andrew C. Szakmary & Thomas V. Schwarz
May 1999, Volume 19, Issue 3
- 245-270 The temporal relationship between derivatives trading and spot market volatility in the U.K.: Empirical analysis and Monte Carlo evidence
by Kyriacos Kyriacou & Lucio Sarno - 271-289 The soybean crush spread: Empirical evidence and trading strategies
by David P. Simon - 291-306 Pricing Eurodollar futures options with the Ho and Lee and Black, Derman, and Toy models: An empirical comparison
by Roswell E. Mathis III & Gerald O. Bierwag - 307-324 The determinants of bid‐ask spreads in the foreign exchange futures market: A microstructure analysis
by David K. Ding - 325-351 Modeling nonlinear dynamics of daily futures price changes
by Andre H. Gao & George H. K. Wang - 353-376 The forward pricing function of the shipping freight futures market
by Manolis G. Kavussanos & Nikos K. Nomikos
April 1999, Volume 19, Issue 2
- 127-152 Optimal margin level in futures markets: Extreme price movements
by François M. Longin - 153-174 A further look at transaction costs, short sale restrictions, and futures market efficiency: The case of Korean stock index futures
by Gerald D. Gay & Dae Y. Jung - 175-193 The relationship between spot and futures prices: Evidence from the crude oil market
by Param Silvapulle & Imad A. Moosa - 195-216 Mid‐day volatility spikes in U.S. futures markets
by Diane Scott Docking & Ira G. Kawaller & Paul D. Koch - 217-232 A further investigation of the lead–lag relationship between the spot market and stock index futures: Early evidence from Korea
by Jae H. Min & Mohammad Najand - 233-244 A Note: The CSCE cheddar cheese cash and futures price long‐term equilibrium relationship revisited
by Cameron S. Thraen
February 1999, Volume 19, Issue 1
- 1-29 An empirical examination of the SIMEX Nikkei 225 futures contract around the Kobé earthquake and the Barings Bank collapse
by David M. Walsh & Jinwei Quek - 31-58 Market microstructure of FT‐SE 100 index futures: An intraday empirical analysis
by Yiuman Tse - 59-77 Efficiency tests in the Spanish futures markets
by Chun I. Lee & Ike Mathur - 79-100 Detecting and modeling changing volatility in the copper futures market
by Kevin Bracker & Kenneth L. Smith - 101-113 A note on estimating the minimum extended Gini hedge ratio
by Donald Lien & David R. Shaffer - 115-120 Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Comment
by Carl A. Batlin - 121-125 Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates: Reply
by Dilip K. Ghosh
December 1998, Volume 18, Issue 8
- 871-901 Regime switching and cointegration tests of the efficiency of futures markets
by Ying‐Foon Chow - 903-923 Short selling, unwinding, and mispricing
by Alexander Kempf - 925-938 Dynamic hedging of paper with T bill futures
by Gregory Koutmos & Andreas Pericli - 939-964 Noninformative and informative tests of efficiency in three energy futures markets
by Emilio Peroni & Robert McNown - 965-983 Commodity futures trading performance using neural network models versus ARIMA models
by Chrispin Ntungo & Milton Boyd - 985-999 Returns and volatility in the Kuala Lumpur crude
by Keng Yap Liew & Robert Brooks
October 1998, Volume 18, Issue 7
- 743-763 The profitability of index futures arbitrage: Evidence from bid‐ask quotes
by Kee‐Hong Bae & Kalok Chan & Yan‐Leung Cheung - 765-801 An analysis of the profiles and motivations of habitual commodity speculators
by W. Bruce Canoles & Sarahelen Thompson & Scott Irwin & Virginia Grace France - 803-825 Asymmetric information in commodity futures markets: Theory and empirical evidence
by Stylianos Perrakis & Nabil Khoury - 827-849 The exchange rate crisis of September 1992 and the pricing of Italian financial futures
by Giulio Cifarelli - 851-866 Are regression approach futures hedge ratios stationary?
by Robert Ferguson & Dean Leistikow - 867-870 A note on a risk‐return measure of hedging effectiveness
by Sudhakar Satyanarayan
September 1998, Volume 18, Issue 6
- 605-627 Stochastic volatility functions implicit in Eurodollar futures options
by Karen Bhanot - 629-670 Stochastic dominance arguments and the bounding of the generalized concave option price
by Claude Henin & Nathalie Pistre - 671-704 Assessing inefficiency in the futures markets
by E.A. Olszewski - 705-722 Hedging time‐varying downside risk
by Donald Lien & Yiu Kuen Tse - 723-742 Design, pricing, and returns of short‐term hog marketing window contracts
by James Unterschultz & Frank Novak & Donald Bresee & Stephen Koontz
August 1998, Volume 18, Issue 5
- 487-517 Spread options, exchange options, and arithmetic Brownian motion
by Geoffrey Poitras - 519-540 Linear and nonlinear Granger causality: Evidence from the U.K. stock index futures market
by Abhay Abhyankar - 541-561 Effectiveness of dual hedging with price and yield futures
by Dong‐Feng Li & Tomislav Vukina - 563-579 Is after‐hours trading informative?
by Carlos A. Ulibarri - 581-598 Seasonality in petroleum futures spreads
by Paul Berhanu Girma & Albert S. Paulson - 599-604 How to finance your investment opportunity internally: A note
by Enrico Pennings
June 1998, Volume 18, Issue 4
- 363-378 An empirical test of the Hull‐White option pricing model
by Charles Corrado & Tie Su - 379-397 A bivariate generalized autoregressive conditional heteroscedasticity‐in‐mean study of the relationship between return variability and trading volume in international futures markets
by Michael Jacobs Jr. & Joseph Onochie - 399-426 Return‐volume dynamics in futures markets
by Ahmet E. Kocagil & Yochanan Shachmurove - 427-448 The emergence of a futures market: Mungbeans on the China Zhengzhou Commodity Exchange
by Jeffrey Williams & Anne Peck & Albert Park & Scott Rozelle - 449-466 Hedging hard red winter wheat: Kansas City versus Chicago
by B. Wade Brorsen & Darren W. Buck & Stephen R. Koontz - 467-485 The bid‐ask spread on stock index options: An ordered probit analysis
by Owain Ap. Gwilym & Andrew Clare & Stephen Thomas
May 1998, Volume 18, Issue 3
- 243-263 Price limits, overreaction, and price resolution in futures markets
by Haiwei Chen - 265-279 The influence of daily price limits on trading in Nikkei futures
by Henk Berkman & Onno W. Steenbeek - 281-296 Liquidity without volume. II. Using block orders to measure market resiliency
by Dana R. Clyman & Richard Jaycobs - 297-305 An examination of the relationship between stock index cash and futures markets: A cointegration approach
by Michael A. Pizzi & Andrew J. Economopoulos & Heather M. O'Neill - 307-328 The impact of warrant introductions on the underlying stocks, with a comparison to stock options
by Per Alkebäck & Niclas Hagelin - 329-342 The mispricing of callable U.S. treasury bonds: A note
by Peter Carayannopoulos - 343-362 Concentrated trading in the foreign exchange futures markets: Discretionary liquidity trading or market closure?
by Michael F. Ferguson & Steven C. Mann & Leonard J. Schneck
April 1998, Volume 18, Issue 2
- 129-149 International linkages in Euromark futures markets: Information transmission and market integration
by Yiuman Tse - 151-166 The effects of stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news
by Antonios Antoniou & Phil Holmes & Richard Priestley - 167-175 Valuation of a European futures option in the BIFFEX market
by Jostein Tvedt - 177-200 A Test of the cost‐of‐carry relationship using the London Metal Exchange lead contract
by Richard Heaney - 201-223 Information and volatility in futures and spot markets: The Case of the Japanese yen
by Arjun Chatrath & Frank Song - 225-242 Options trading when the underlying market is not transparent
by John Board & Charles Sutcliffe
February 1998, Volume 18, Issue 1
- 1-34 Extracting market views from the price of options on futures
by Gregory M. Martinez - 35-51 The mispricing of callable U.S. treasury bonds: A closer look
by Bradford D. Jordan & Susan D. Jordan & David R. Kuipers - 53-72 Volume and price relationships: Hypotheses and testing for agricultural futures
by A. G. Malliaris & Jorge L. Urrutia - 73-89 Conditional information: When are pork belly cold storage reports informative?
by Thomas L. Mann & Richard Dowen - 91-113 Volume relationships among types of traders in the financial futures markets
by Marilyn K. Wiley & Robert T. Daigler - 115-127 Covered arbitrage in foreign exchange markets with forward forward contracts in interest rates
by Dilip K. Ghosh
December 1997, Volume 17, Issue 8
- 855-871 Cash settlement when the underlying securities are thinly traded: A case study
by Bradford Cornell - 873-885 Implied volatility asymmetries in treasury bond futures options
by David P. Simon - 887-908 The impact of market‐specific public information on return variance in an illiquid market
by Rohan Christie‐David & Timothy W. Koch - 909-934 Multiple‐year pricing strategies for corn and soybeans
by David E. Kenyon & Charles V. Beckman - 935-956 Predicting spot exchange rates in a nonlinear estimation framework using futures prices
by A. M. Parhizgari & Maria Eugenia De Boyrie - 957-974 Index futures and options and stock market volatility
by Andreas Pericli & Gregory Koutmos - 975-978 Forwards or options: A correction
by Da‐Hsiang Donald Lien
October 1997, Volume 17, Issue 7
- 733-756 Program trading, nonprogram trading, and market volatility
by Kedreth C. Hogan Jr. & Kenneth F. Kroner & Jahangir Sultan - 757-780 Trading volume and transaction costs in futures markets
by George H. K. Wang & Jot Yau & Tony Baptiste - 781-796 Using derivatives in major currencies for cross‐hedging currency risks in Asian emergency markets
by Raj Aggarwal & Andrea L. Demaskey - 797-815 The intraday pricing efficiency of Hong Kong Hang Seng Index options and futures markets
by Joseph K. W. Fung & Louis T. W. Cheng & Kam C. Chan - 817-837 Out‐of‐sample hedging effectiveness of currency futures for alternative models and hedging strategies
by Abe De Jong & Frans De Roon & Chris Veld - 839-854 Derivatives and the price of risk
by Nicolas P. B. Bollen
September 1997, Volume 17, Issue 6
- 617-632 Estimating cash settlement price: The bootstrap and other estimators
by John Cita & Donald Lien - 633-666 Continuously traded options on discretely traded commodity futures contracts
by Robert I. Webb & Gyoichi Iwata & Koichi Fujiwara & Hiroshi Sunada - 667-688 Time‐dependent barrier option values
by Cho H. Hui - 689-705 Short‐run deviations and volatility in spot and futures stock returns: Evidence from Australia, Hong Kong, and Japan
by Taufiq Choudhry - 707-731 Commitment of traders, basis behavior, and the issue of risk premia in futures markets
by Arjun Chatrath & Youguo Liang & Frank Song
August 1997, Volume 17, Issue 5
- 489-514 Charting: Chaos theory in disguise?
by William C. Clyde & Carol L. Osler - 515-541 A comparison of futures pricing models in a new market: The case of individual share futures
by T.J. Brailsford & A.J. Cusack - 543-578 Metallgesellschaft: A prudent hedger ruined, or a wildcatter on NYMEX?
by Stephen Craig Pirrong - 579-598 Stochastic interest rates, transaction costs, and immunizing foreign currency risk
by Raymond Chiang & John Okunev & Mark Tippett - 599-615 Hedging efficiency: A futures exchange management approach
by Joost M.E. Pennings & Matthew T.G. Meulenberg
June 1997, Volume 17, Issue 4
- 369-384 International currency relationship information revealed by cross‐option prices
by Andrew F. Siegel - 385-416 An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets
by Roger A. Fujihara & Mbodja Mougoué - 417-432 The impact of proprietary--public information on pork futures
by Thomas L. Mann & Richard J. Dowen - 433-473 Searching for fractal structure in agricultural futures markets
by Marco Corazza & A.G. Malliaris & Carla Nardelli - 475-482 Cross hedging in currency forward markets: A note
by Udo Broll - 483-487 A note on the valuation of an exotic timing option
by Mondher Bellalah & Jean‐Luc Prigent
May 1997, Volume 17, Issue 3
- 247-277 Liquidity without volume: The case of FINEX, Dublin
by Dana R. Clyman & Christopher S. Allen & Richard Jaycobs - 279-301 An evaluation of price linkages between futures and cash markets for cheddar cheese
by T. Randall Fortenbery & Hector O. Zapata - 303-316 Marking‐to‐market and the demand for interest rate futures contracts
by Abraham Lioui - 317-339 Informational content in historical CTA performance
by David McCarthy & Thomas Schneeweis & Richard Spurgin - 341-367 Crop year influences and variability of the agricultural futures spreads
by Hans R. Dutt & John Fenton & Jonathan D. Smith & George H. K. Wang
April 1997, Volume 17, Issue 2
- 131-160 A simple approach to bond option pricing
by Jason Z. Wei - 161-189 Fractional dynamics in international commodity prices
by John Barkoulas & Walter C. Labys & Joseph Onochie - 191-214 Risk premia in the ruble/dollar futures market
by Anatoly Peresetsky & Frans de Roon - 215-227 Put‐call parity with futures‐style margining
by Stephen A. Easton - 229-245 Futures market transaction costs
by Peter R. Locke & P. C. Venkatesh
February 1997, Volume 17, Issue 1
- 1-15 Convenience yields as call options: An empirical analysis
by Nikolaos T. Milonas & Stavros B. Thomadakis - 17-43 Volatility, storage and convenience: Evidence from natural gas markets
by Raul Susmel & Andrew Thompson - 45-74 Intraday futures volatility and theories of market behavior
by Robert T. Daigler - 75-99 Linear dependence, nonlinear dependence and petroleum futures market efficiency
by Roger A. Fujihara & Mbodja Mougoué - 101-115 Hedging ratios and cash/futures market linkages
by Michael Theobald & Peter Yallup - 117-128 The rolling spot futures contract: An error correction model analysis
by Asim Ghosh & Claire G. Gilmore
December 1996, Volume 16, Issue 8
- 859-863 Interest‐rate option pricing revisited
by Craig Merrill & David Babbel - 865-879 The Fed funds futures rate as a predictor of federal reserve policy
by Joel T. Krueger & Kenneth N. Kuttner - 881-897 Did option traders anticipate the crash? Evidence from volatility smiles in the U.K. with U.S. comparisons
by Gordon Gemmill - 899-913 Normal backwardation in short‐term interest rate futures markets
by Tim Krehbiel & Roger Collier - 915-942 The predictive power of implied stochastic variance from currency options
by Dajiang Guo - 943-968 Regulatory competition and the efficiency of alternative derivative product margining systems
by Paul H. Kupiec & A. Patricia White
October 1996, Volume 16, Issue 7
- 735-755 Time‐varying risk premia in the foreign currency futures basis
by Christopher F. Baum & John Barkoulas - 757-772 Survivor bias in commodity trading advisor performance
by Thomas Schneeweis & Richard Spurgin & David McCarthy - 773-780 The effect of the cointegration relationship on futures hedging: A note
by Da‐Hsiang Donald Lien - 781-808 An empirical analysis of the alleged manipulation attempt and forced liquidation of the July 1989 soybean futures contract
by Scott W. Barnhart & Kandice H. Kahl & Cora Moore Barnhart - 809-828 Futures prices and the maturity effect
by Tina M. Galloway & Robert W. Kolb - 829-857 Announcement versus nonannouncement: A study of intraday transaction price paths of Deutsche mark and Japanese yen futures
by Hsiaohua Leng
September 1996, Volume 16, Issue 6
- 611-629 S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula
by Charles J. Corrado & Tie Su - 631-654 The systematic risk of futures contracts
by Robert W. Kolb - 655-676 Storage profitability and hedge ratio estimation
by Sergio H. Lence & Marvin L. Hayenga & Michael D. Patterson - 677-696 Market making with price limits
by Gregory J. Kuserk & Peter R. Locke - 697-724 The demise of the high fructose corn syrup futures contract: A case study
by Sarahelen Thompson & Philip Garcia & Lynne Dallafior Wildman - 725-733 Derivatives and futures bibliography
by Robert T. Daigler
August 1996, Volume 16, Issue 5
- 475-517 Do managed futures make good investments?
by Franklin R. Edwards & James M. Park - 519-543 Market liquidity and depth on computerized and open outcry trading systems: A comparison of DTB and LIFFE bund contracts
by Craig Pirrong - 545-560 Recovering probabilistic information from option markets: Tests of distributional assumptions
by Bruce J. Sherrick & Philip Garcia & Viswanath Tirupattur - 561-584 The role of futures trading activity in exchange rate volatility
by Arjun Chatrath & Sanjay Ramchander & Frank Song - 585-594 A note on modified lattice approaches to option pricing
by Stephen A. Easton - 595-609 Linkages between agricultural commodity futures contracts
by A. G. Malliaris & Jorge L. Urrutia
June 1996, Volume 16, Issue 4
- 353-387 Trading costs and the relative rates of price discovery in stock, futures, and option markets
by Jeff Fleming & Barbara Ostdiek & Robert E. Whaley - 389-403 Do systematic risk premiums persist in eurodollar futures prices?
by Tim Krehbiel & Lee C. Adkins - 405-420 A further investigation of the lead‐lag relationship between the cash market and stock index futures market with the use of bid/ask quotes: The case of France
by Gang Shyy & Vasumathi Vijayraghavan & Brian Scott‐Quinn - 421-440 Ex ante basis risk in the live hog futures contract: Has hedgers' risk increased?
by Philip Garcia & Dwight R. Sanders - 441-458 Optimum futures hedges with jump risk and stochastic basis
by Carolyn W. Chang & Jack S.K. Chang & Hsing Fang - 459-474 Derivatives usage and interest rate risk of large banking firms
by Latha Shanker
May 1996, Volume 16, Issue 3
- 247-272 Efficient option‐implied volatility estimators
by Charles J. Corrado & Thomas W. Miller Jr. - 273-287 Are hog and pig reports informative?
by Thomas L. Mann & Richard J. Dowen - 289-311 An empirical test of the effect of basis risk on cash market positions
by Janet S. Netz - 313-330 Detecting volatility changes across the oil sector
by Berry Wilson & Reena Aggarwal & Carla Inclan - 331-352 Mean reversion of interest‐rate term premiums and profits from trading strategies with treasury futures spreads
by Tae H. Park & Lorne N. Switzer
April 1996, Volume 16, Issue 2
- 131-145 Macroeconomic news and the efficiency of international bond futures markets
by Kent G. Becker & Joseph E. Finnerty & Kenneth J. Kopecky - 147-162 Intraday return dynamics between the cash and the futures markets in Japan
by Yoshio Iihara & Kiyoshi Kato & Toshifumi Tokunaga - 163-188 A reexamination of portfolio insurance: The use of index put options
by Yisong Tian - 189-199 An optimal price index for stock index futures contracts
by Jonathan Rougier - 201-209 A graphical note on European put thetas
by Gordon J. Alexander & Michael Stutzer - 211-217 Simple risk measures when hedging commodities using foreign markets: A note
by Frank S. Novak & James R. Unterschultz - 219-226 On the conventional definition of currency hedge ratio
by Da‐Hsiang Donald Lien - 227-240 The value of information in the presence of futures markets
by Eyal Sulganik & Itzhak Zilcha - 241-245 Options bibliography
by Robert T. Daigler
February 1996, Volume 16, Issue 1
- 1-27 Energy shocks and financial markets
by Roger D. Huang & Ronald W. Masulis & Hans R. Stoll - 29-54 The dual listing of stock index futures: Arbitrage, spread arbitrage, and currency risk
by John Board & Charles Sutcliffe - 55-69 Temporal relationships and dynamic interactions between spot and futures stock markets
by Gregory Koutmos & Michael Tucker - 71-80 Put‐call parities and the value of early exercise for put options on a performance index
by Frans De Roon & Chris Veld - 81-111 Price volatility and futures margins
by Gikas A. Hardouvelis & Dongcheol Kim - 113-127 Options bibliography
by Robert T. Daigler
December 1995, Volume 15, Issue 8
- 861-879 The mispricing of U.S. treasury callable bonds
by Peter Carayannopoulos - 881-899 Option initiation and underlying market behavior: Evidence from Norway
by Øystein Gjerde & Frode Sættem - 901-928 Conditional heteroskedasticity, asymmetry, and option pricing
by Taehoon Kang & B. Wade Brorsen - 929-951 Volume‐volatility relationships for crude oil futures markets
by Andrew J. Foster - 953-970 Forecasting futures trading volume using neural networks
by Iebeling Kaastra & Milton S. Boyd
October 1995, Volume 15, Issue 7
- 731-765 New trading practices and short‐run market efficiency
by Kenneth A. Froot & André F. Perold - 767-783 Hedging short‐term interest risk under time‐varying distributions
by Louis Gagnon & Greg Lypny - 785-803 Does options trading lead to greater cash market volatility?
by Arjun Chatrath & Sanjay Ramchander & Frank Song - 805-831 Distortion‐free futures price series
by Charles G. Geiss - 833-859 Dax index futures: Mispricing and arbitrage in German markets
by Wolfgang Bühler & Alexander Kempf
September 1995, Volume 15, Issue 6
- 605-615 Finnish turn‐of‐the‐month effects: Returns, volume, and implied volatiliy
by Teppo Martikainen & Jukka Perttunen & Vesa Puttonen - 617-635 Mean‐Gini hedging in futures markets
by Haim Shalit - 637-648 Do futures prices for commodities embody risk premiums?
by Richard Deaves & Itzhak Krinsky - 649-675 A trading simulation test for weak‐form efficiency in live cattle futures
by Terry L. Kastens & Ted C. Schroeder - 677-689 Volatility, volume, and the notion of balance in the S&P 500 cash and futures markets
by Sharon Brown‐Hruska & Gregory Kuserk - 691-717 Hedge performance of SPX index options and S&P 500 futures
by Bruce A. Benet & Carl F. Luft - 719-730 Futures bibliography
by Robert T. Daigler
August 1995, Volume 15, Issue 5
- 507-536 A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length
by John M. Geppert - 537-557 Has futures trading activity caused stock price volatility?
by Ali F. Darrat & Shafiqur Rahman - 559-571 Solving for optimal futures and options positions using a simulation‐optimization technique
by Li‐Fen Lei & Donald Liu & Arne Hallam - 573-584 Long memory in interest rate futures markets: A fractional cointegration analysis
by G. Geoffrey Booth & Yiuman Tse - 585-603 The failure of the mortgage‐backed futures contract
by Frank E. Nothaft & Vassilis Lekkas & George H. K. Wang
June 1995, Volume 15, Issue 4
- 373-394 Implications of trader mix to price discovery and market effectiveness in live cattle futures
by Won‐Cheol Yun & Wayne Purcell & Anya McGuirk & David Kenyon - 395-421 Intraday volatility in interest rate and foreign exchange spot and futures markets
by Susan J. Craln & Jae Ha Lee