Futures Markets , Bayesian Forecasting and Risk Modeling

  title={Futures Markets , Bayesian Forecasting and Risk Modeling},
  author={Jos{\'e} Mario Quintana and Carlos M. Carvalho and James M Scott and Thomas Costigliola and Tony O’Hagan and Mike West},
Applications of the Bayesian approach to risk modeling regarding speculating trading strategies in Futures Markets is discussed in the context of the corresponding concepts of betting and investing, prices and expectations, and coherence and arbitrage-free pricing in the fields of Bayesian methodology and Finance. ∗BEST, LLC, Hoboken, NJ 07030 †Booth School of Business, The University of Chicago ‡Department of Statistical Science, Duke University 
8 Citations
25 References
Similar Papers


Publications referenced by this paper.
Showing 1-10 of 25 references

Global Gambling

  • J. M. Quintana, V. Lourdes, O. Aguilar, J. Liu
  • J. M. Bernardo, M. J. Bayarri, J. O. Berger, A. P…
  • 2003
Highly Influential
5 Excerpts

Bayesian Forecasting and Dynamic Models (Second ed.)

  • M. West, P. J. Harrison
  • New York: Springer-Verlag
  • 1997
Highly Influential
3 Excerpts

Portfolio Selection: Efficient Diversification of Investments (2nd ed

  • H. M. Markowitz
  • ed.). Oxford: Blackwell.
  • 1959
Highly Influential
2 Excerpts

Théorie de la Spéculation

  • L. Bachelier
  • Annales de l’École normale supérieure. Paris…
  • 1900
Highly Influential
3 Excerpts

Bayesian Efficient Trading

  • J. M. Quintana
  • N. Kolev and P. Morettin (Eds.), Proceedings of…
  • 2005
3 Excerpts

Similar Papers

Loading similar papers…