0000000000297346
AUTHOR
Oscar Carchano
showing 8 related works from this author
Improving Pairs Trading Using Neural Network Techniques and Fundamental Ratios
2020
Pairs trading is a quantitative trading strategy consisting on identifying two stocks that historically move together and, using the assumption that their prices difference has mean- reverting properties, exploit the deviation from the mean by taking long – short position in the chosen pair to profit. Throughout the years, different approaches have been developed in order to exploit this strategy. However, there is little literature who looks whether the divergences in the prices are generated by poor company results, i.e. whether the deviation from the mean are product of bad (or good) fundamentals and are justified, or if they generate a new equilibrium point for the pair. In addition, si…
A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets
2017
In this paper, we study the relationship between trading-related variables and volatility in futures markets, from a new unifying perspective, which is based on the separation of open and closed positions. Volatility in stock index futures markets (Standard & Poor’s 500, DAX 30 and Nikkei 225) is related to the flow of contracts entered into the markets and the flow of contracts that are closed out. In general, the daily changes in the number of open and closed positions are both positively correlated with volatility. Additionally, there is a stronger positive relationship between the number of open (respectively, closed) positions and contemporaneous volatility on those days when t…
Rolling over stock index futures contracts
2009
Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions. © 2009 Wiley Periodicals, I…
The pan-European holiday effect
2015
The construction of a single European block in the context of financial markets has caused the different national stock exchanges of the euro area to converge towards one common trading calendar that allows to study whether the holiday effect is a pan-European calendar anomaly or country-specific. By applying simulation methods, we provide evidence of the existence of statistically and economically abnormal positive pre- and post-holiday returns in the Eurozone which are not related to higher than average levels of volatility, but which can be explained by the preference of investors to avoid selling around European holidays.
Open and Closed Positions and Stock Index Futures Volatility
2011
In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.
Future directions in international financial integration research - A crowdsourced perspective
2018
This paper is the result of a crowdsourced effort to surface perspectives on the present and future direction of international finance. The authors are researchers in financial economics who attended the INFINITI 2017 conference in the University of Valencia in June 2017 and who participated in the crowdsourcing via the Overleaf platform. This paper highlights the actual state of scientific knowledge in a multitude of fields in finance and proposes different directions for future research.
Calendar Anomalies in Stock Index Futures
2011
There exist a large and increasing number of papers that describe different calendar anomalies in stock markets. Although empirical evidence suggests that seasonal effects disappeared after the early 1990s, new studies and approaches assert the continuation of some anomalies in stock indexes. In this paper, we present a comprehensive study of 188 possible cyclical anomalies in S&P 500, DAX and Nikkei stock index futures contracts from 1991 to 2008. Frictions in futures markets, unlike spot markets frictions, make it feasible to produce economically significant profits from trading rules based on calendar effects. By applying a percentile-t-bootstrap and Monte Carlo methods, our analysis rev…
Rolling Over EUAs and CERs
2012
Whatever derivative contract has a finite life limited by their maturity. The construction of long series, however, is of interest for academic, hedging and investments purposes. In this study, we analyze the relevance of the choice of the rollover date on European Union Allowances (EUAs) and Certified Emissions Reduction (CERs) futures contracts. We have used five different methodologies to construct long series and the results show that, regardless of the criterion applied, there are not significant differences between the resultant return distribution series. Therefore, the least complex method, which is to roll on the last trading day, can be used in order to reach the same conclusions.…