980 resultados para United States. Commodity Futures Trading Commission.
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CIS Microfiche Accession Numbers: CIS 88 S161-26
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CIS Microfiche Accession Numbers: CIS 82 S161-16
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Reuse of record except for individual research requires license from Congressional Information Service, Inc.
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Shipping list no.: 91-590-P.
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Includes data for cotton, frozen concentrated orange juice, potatoes, wool, and imported frozen fresh boneless beef.
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Reprint of An analysis of speculative trading in grain futures, Technical bulletin no. 1001, issued Oct. 1949.
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Shipping list no.: 2009-0291-P.
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"Serial No. 97-YY."
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"January 3, 1939.--Referred to the Committee on the library and ordered to be printed, with illustrations."
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This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals required by the Commodity Futures Trading Commission. Records are extracted from trade records for two way trade between market makers (CTI1) and the general public (CTI4) from January 1994 to June 2004. Futures price records are matched with S&P500 cash index price records. Simultaneous volatility models are specified and estimated to test trading volume to futures volatility lead/lag effects and also futures volatility to cash index volatility lead/lag effects. There is evidence that existing theoretical models of the general public trading behaviour do not explain such behaviour in these very actively traded markets. These effects can depend more on market conditions than what is suggested in theoretical models.
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Mode of access: Internet.