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Fundamentals, Trader Activity and Derivative Pricing
We identify and explain a structural change in the relation between crude oil futures prices across contract maturities. As recently as 2001, near- and long-dated futures were priced as though tradedExpand
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Hedge Funds, Volatility, and Liquidity Provision in Energy Futures Markets
The role of speculators in derivatives markets has been a source of considerable interest. One large category of speculative traders, hedge funds, has drawn considerable attention in recent years.Expand
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The Early Exercise of Options on Treasury Bond Futures
This paper presents a test of the theory of rational option exercise. Exercise data from the market for options on Treasury bond futures are used to test the model of rational early exerciseExpand
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Another Day, Another Collar: An Evaluation of the Effects of NYSE Rule 80A on Trading Costs and Intermarket Arbitrage
In, 1990, the New York Stock Exchange amended its Rule 80A to restrict stock index arbitrage on days of large price movements. The authors find that Rule 80A significantly curtails--orExpand
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A Researcher's Guide to the Contracts of Firms Filing with the SEC
THE Securities Exchange Act of 1934 (Exchange Act) requires that issuers of publicly traded securities disclose in filings with the Securities and Exchange Commission (SEC) all contracts deemed to beExpand
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The Exercise of Equity Options
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Evidence-Based Regulatory Policy Making for Financial Markets: A Panel Discussion of a Proposed Framework for Assessing Market Quality
Senior practitioners, regulators, and academics discuss a proposed framework for assessing security market quality. Three metrics of market integrity and two metrics of market efficiency areExpand
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Market Growth, Trader Participation and Pricing in Energy Futures Markets
We use a unique dataset on futures trader positions to document major changes in the size and term structure of the U.S. crude oil futures market. We show that, as recently as 2000 trading activityExpand
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Using Finance Theory to Measure Damages in Cases Involving Fraudulent Trade Allocation Schemes
It is common practice for securities and commodities professionals to trade the same security or commodity for several accounts during the course of a normal business day. Often they will engage in aExpand