Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/45632 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorKanamura, Takashien
dc.contributor.authorRachev, Svetlozar T.en
dc.contributor.authorFabozzi, Frank J.en
dc.date.accessioned2011-05-20-
dc.date.accessioned2011-05-23T09:50:02Z-
dc.date.available2011-05-23T09:50:02Z-
dc.date.issued2011-
dc.identifier.piurn:nbn:de:swb:90-232382en
dc.identifier.pidoi:10.5445/IR/1000023238en
dc.identifier.urihttp://hdl.handle.net/10419/45632-
dc.description.abstractThis paper proposes a profit model for spread trading by focusing on the stochastic movement of the price spread and its first hitting time probability density. The model is general in that it can be used for any financial instrument. The advantage of the model is that the profit from the trades can be easily calculated if the first hitting time probability density of the stochastic process is given. We then modify the profit model for a particular market, the energy futures market. It is shown that energy futures spreads are modeled by using a meanreverting process. Since the first hitting time probability density of a mean-reverting process is approximately known, the profit model for energy futures price spreads is given in a computable way by using the parameters of the process. Finally, we provide empirical evidence for spread trades of energy futures by employing historical prices of energy futures (WTI crude oil, heating oil, and natural gas futures) traded on the New York Mercantile Exchange. The results suggest that natural gas futures trading may be more profitable than WTI crude oil and heating oil due to its high volatility in addition to its long-term mean reversion, which offers supportive evidence of the model prediction.en
dc.language.isoengen
dc.publisher|aKarlsruher Institut für Technologie (KIT), Institut für Volkswirtschaftslehre (ECON) |cKarlsruheen
dc.relation.ispartofseries|aKIT Working Paper Series in Economics |x27en
dc.subject.jelC51en
dc.subject.jelG29en
dc.subject.jelQ40en
dc.subject.ddc330en
dc.subject.keywordfutures spread tradingen
dc.subject.keywordenergy futures marketsen
dc.subject.keywordmean-reverting processen
dc.subject.keywordfirst hittingen
dc.subject.keywordtime probability densityen
dc.subject.keywordprofit modelen
dc.subject.keywordWTI crude oilen
dc.subject.keywordheating oilen
dc.subject.keywordnatural gasen
dc.titleA profit model for spread trading with an application to energy futures-
dc.typeWorking Paperen
dc.identifier.ppn65939460Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:kitwps:27en

Datei(en):
Datei
Größe
1.48 MB





Publikationen in EconStor sind urheberrechtlich geschützt.