Futures
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
XIV hedging rule helped protect Credit Suisse
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
Quintenz: futures will allow regulated bitcoin exposure
New products allow investors to access digital currency in a monitored marketplace, says CFTC commissioner
Oil & products house of the year, Asia: BOCI
Energy Risk Asia Awards, 2017: Established client base and strong product offering give Chinese bank edge in domestic oil markets
Quants stymied by lack of alternative risk premia flows data
Data shortage is hampering efforts to model futures market liquidity
Dealers blame US futures IM dip on low vol
CFTC data shows required initial margin down 15% since start of 2017
Final US position limits rule will take ‘at least a year’
CFTC expected to draft a narrow list of contracts in scope
Vega volumes triple on Vix spike
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Complex short Vix products draw fire as vol plumbs lows
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
Modeling superior predictors for crude oil prices
This paper provides an analysis of a broad spectrum of fundamental and nonfundamental indicators for crude oil prices.
EU regulators stymied by Esma on electronic access
Treatment for third-country firms unknown until European Commission makes equivalence decision
Surprise RMB strengthening prompts unwinds
“A lot of long [US$] positions were unsustainable and had to be re-evaluated,” says forex structuring head
Esma turns the screw on direct electronic access
Guidance thwarts narrower definition adopted by Eurex to help third-country clients
Calibration of temperature futures by changing the mean reversion
The authors of this paper study the calibration of futures contracts on temperature indexes.
Exchange of the year: Eurex
Risk Awards 2017: Futurisation paying off as bilateral margin rules bite
Exchange innovation of the year: CME Group
Risk Awards 2017: Patience pays off with spectacular success of Ultra 10 Treasury futures
People moves: Citi axes second Asia-Pac clearing head in 18 months
Deutsche loses Asia head of global markets; StanChart hires HK chief; new Singapore head for Credit Suisse; and others
The Nordic futures market for power: finally mature and efficient?
The authors of this paper study the forecasting performance of Nordic power futures in order to see whether the futures bias reported in a number of previous studies still prevails and, if so, whether this means that the market is inefficient.
Volatility fears obstruct China Treasury futures growth
Commercial banks barred despite support for their entry from securities regulator
Vexed by Vix: post-Brexit squeeze sparks fears of losses
Rerun of short squeeze on Vix futures could backfire on speculators
China leverage clampdown to hit two-tier structured products
Product issuers look to derivatives to boost returns, but options are limited
An analysis of energy futures
The authors of this study investigate the distributions of returns on crude oil, heating oil and natural gas futures.
Nasdaq energy futures face questions over ‘artificial’ volume
One year on, NFX faces uphill battle to draw commercial hedgers
The convenience yield implied in the European natural gas markets: the impact of storage and weather
This paper aims to determine the convenience yield implied in the European natural gas markets by investigating driving factors and according dynamics.