Journal of Futures Markets最新文献

{"title":"Journal of Futures Markets: Volume 45, Number 8, August 2025","authors":"","doi":"10.1002/fut.22524","DOIUrl":"https://doi.org/10.1002/fut.22524","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 8","pages":""},"PeriodicalIF":1.8,"publicationDate":"2025-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22524","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144581860","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Journal of Futures Markets: Volume 45, Number 7, July 2025","authors":"","doi":"10.1002/fut.22523","DOIUrl":"https://doi.org/10.1002/fut.22523","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":""},"PeriodicalIF":1.8,"publicationDate":"2025-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22523","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144244254","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Black-Scholes Meet Imitation Learning: Evidence From Deep Hedging in China","authors":"Fuwei Jiang,&nbsp;Jie Kang,&nbsp;Ruzheng Tian,&nbsp;Qingdong Xu","doi":"10.1002/fut.22596","DOIUrl":"https://doi.org/10.1002/fut.22596","url":null,"abstract":"<div>\u0000 \u0000 <p>This paper introduces an imitation learning deep hedging (ILDH) algorithm, which bridges the Black-Scholes-Merton (BSM) model with deep reinforcement learning (DRL) to address the option hedging problem in incomplete real markets. By leveraging imitation learning, the DRL agent optimizes its hedging policy using both freely explored action samples based on real trading data and corresponding action demonstrations derived from the BSM model. These demonstrations serve as data augmentation, enabling the agent to develop a meaningful policy even with a relatively small training data set and enhancing the management of tail risk. Empirical results show that ILDH achieves higher profit, lower risk, and lower cost in the Chinese stock index options market, as compared with other deep hedging algorithms and traditional delta hedging method. This outperformance is robust across call and put options, different transaction cost conditions, and varying levels of risk aversion.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 8","pages":"1071-1087"},"PeriodicalIF":1.8,"publicationDate":"2025-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144581794","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Greeks-Neutral Option Excess Returns","authors":"Yaofei Xu,&nbsp;Yi Hong,&nbsp;Pei Jose Liu,&nbsp;Zhendong Zhang","doi":"10.1002/fut.22598","DOIUrl":"https://doi.org/10.1002/fut.22598","url":null,"abstract":"&lt;div&gt;\u0000 \u0000 &lt;p&gt;This study investigates the linkage between ex-ante expected greeks-neutral excess return (&lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 \u0000 &lt;mrow&gt;\u0000 &lt;msup&gt;\u0000 &lt;mi&gt;EER&lt;/mi&gt;\u0000 \u0000 &lt;mi&gt;GN&lt;/mi&gt;\u0000 &lt;/msup&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt;) and ex-post realized greeks-neutral excess return (&lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 \u0000 &lt;mrow&gt;\u0000 &lt;msup&gt;\u0000 &lt;mi&gt;RER&lt;/mi&gt;\u0000 \u0000 &lt;mi&gt;GN&lt;/mi&gt;\u0000 &lt;/msup&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt;). Employing the top-down framework, we show that &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 \u0000 &lt;mrow&gt;\u0000 &lt;msup&gt;\u0000 &lt;mi&gt;EER&lt;/mi&gt;\u0000 \u0000 &lt;mi&gt;GN&lt;/mi&gt;\u0000 &lt;/msup&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt; is determined by the difference between the market-derived implied volatility and the estimated implied volatility absent arbitrage opportunities. Serving &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 \u0000 &lt;mrow&gt;\u0000 &lt;msup&gt;\u0000 &lt;mi&gt;EER&lt;/mi&gt;\u0000 \u0000 &lt;mi&gt;GN&lt;/mi&gt;\u0000 &lt;/msup&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt; as the optimal predictor of &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 \u0000 &lt;mrow&gt;\u0000 &lt;msup&gt;\u0000 &lt;mi&gt;RER&lt;/mi&gt;\u0000 \u0000 &lt;mi&gt;GN&lt;/mi&gt;\u0000 &lt;/msup&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt;, we first find that &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 \u0000 &lt;mrow&gt;\u0000 &lt;msup&gt;\u0000 &lt;mi&gt;EER&lt;/mi&gt;\u0000 \u0000 &lt;mi&gt;GN&lt;/mi&gt;\u0000 &lt;/msup&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt; positively predicts &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 \u0000 &lt;mrow&gt;\u0000 &lt;msup&gt;\u0000 &lt;mi&gt;RER&lt;/mi&gt;\u0000 \u0000 &lt;mi&gt;GN&lt;/mi&gt;\u0000 &lt;/msup&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/mrow&gt;\u0000 &lt;/semantics&gt;&lt;/math&gt;. Second, the bottom-up &lt;span&gt;&lt;/span&gt;&lt;math&gt;\u0000 &lt;semantics&gt;\u0000 &lt;mrow&gt;\u0000 \u0000 &lt;mrow&gt;\u0000 ","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 8","pages":"1049-1070"},"PeriodicalIF":1.8,"publicationDate":"2025-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144581853","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Price Discovery and Efficiency in Uniswap Liquidity Pools","authors":"Carol Alexander,&nbsp;Xi Chen,&nbsp;Jun Deng,&nbsp;Qi Fu","doi":"10.1002/fut.22593","DOIUrl":"https://doi.org/10.1002/fut.22593","url":null,"abstract":"<p>Using almost three years of minute-level data, we show that the efficiency of Uniswap v3 is much improved relative to v2, and some v3 pools are approaching or even exceeding Bitstamp in terms of price discovery ability. Regression results suggest that the channels of influence for these improvements are an increase in informed liquidity providers and swappers, who nevertheless prefer to use centralized exchanges when markets become volatile. At such times, there are relatively more uninformed speculative traders in all Uniswap pools, and cross-exchange arbitrage activities become more prevalent. However, these decrease the price discovery ability of Uniswap pools relative to Coinbase and Bitstamp. The informed traders that remain on Uniswap during periods of high uncertainty tend to switch to the higher-fee v3 pools to compensate for efficiency loss, or to v2 pools where there is sufficient liquidity to complete large trades.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 8","pages":"1023-1048"},"PeriodicalIF":1.8,"publicationDate":"2025-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22593","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144581852","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India","authors":"Simran,&nbsp;Anil Kumar Sharma","doi":"10.1002/fut.22600","DOIUrl":"https://doi.org/10.1002/fut.22600","url":null,"abstract":"<div>\u0000 \u0000 <p>Gold's status as a safe-haven asset has gained prominence amid rising economic policy uncertainty (EPU). This study examines the impact of EPU on the volatility of the Indian gold futures market using the advanced methodology of GARCH–MIDAS, which accommodates mixed frequency variables. The findings of the study demonstrate that long-term volatility of gold futures in India is influenced by both domestic and global EPU (GEPU), with domestic EPU having a greater impact. Also, the study establishes that domestic EPU serves as a superior predictor of Indian gold futures volatility than GEPU. The results indicate that Indian Investors might be more sensitive to domestic policy uncertainty shocks than to GEPU shocks. The study offers valuable insights for gold futures market participants, assisting investors and traders in managing market volatility, and also holds significance for government officials and policymakers.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 8","pages":"1006-1022"},"PeriodicalIF":1.8,"publicationDate":"2025-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144582415","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Tail Risk Hedging: The Superiority of the Naïve Hedging Strategy","authors":"Min Cao,&nbsp;Thomas Conlon","doi":"10.1002/fut.22602","DOIUrl":"https://doi.org/10.1002/fut.22602","url":null,"abstract":"<p>Mitigating extreme tail risk is essential for institutions and corporations to prevent financial losses from severe asset price fluctuations across many asset classes. This study shows that a simple futures hedging strategy, the naïve hedge, is remarkably effective at managing tail risk—so much so that few other methods can beat it. Notably, the naïve hedge demonstrates significant outperformance during periods of below-average economic growth, offering insights into its practical applications. Furthermore, we highlight the role of estimation error in explaining our findings, providing a clear rationale for the success of simpler strategies. This study provides a challenge to complex conventional approaches and provides a simple, difficult-to-beat benchmark for financial practitioners using futures to reduce tail risk in volatile financial markets.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 8","pages":"977-1005"},"PeriodicalIF":1.8,"publicationDate":"2025-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22602","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144582470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Carbon Emission Allowance and Oil Implied Volatility","authors":"Haoyu Wang,&nbsp;Junpeng Di,&nbsp;Qing Han,&nbsp;Kefu Lyu","doi":"10.1002/fut.22599","DOIUrl":"https://doi.org/10.1002/fut.22599","url":null,"abstract":"<div>\u0000 \u0000 <p>This study develops a theoretical model to link carbon emission allowance (CEA) prices to oil implied volatility. The model identifies two channels: an explicit channel where rising CEA prices increase production costs, inventory, and option hedging demand while reducing speculating demand, leading to a negative price effect; and an implicit channel where higher CEA prices signal future oil price increases, boosting option hedging demand and futures speculating demand resulting in a positive price effect. These dynamics create a U-shaped relationship between CEA prices and implied volatility. Empirical analysis in Chinese markets confirms this U-shaped relationship and the Granger causality of CEA prices. The findings from the seven trial markets suggest that the U-shape is primarily driven by the hedging demand of company headquarters in Beijing and Shanghai. Additionally, we find that CEA prices influence expected volatility and option demand, with a U-shaped effect on expected volatility and no impact on unexpected volatility. Higher CEA prices also increase futures speculation demand while leaving futures hedging demand unchanged. Furthermore, this study reveals that CEA prices Granger-cause West Texas Intermediate futures volatility and the aggregate effect of CEA prices on oil implied volatility reflects the combined impact of hedging and speculating demands in the option and futures markets and international oil volatility.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 8","pages":"946-976"},"PeriodicalIF":1.8,"publicationDate":"2025-05-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144582103","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non-Normality","authors":"Tak Kuen Siu","doi":"10.1002/fut.22597","DOIUrl":"https://doi.org/10.1002/fut.22597","url":null,"abstract":"<p>This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non-normality of Bitcoin returns. The arbitrage-free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from estimated models based on Bitcoin returns data are provided. Explanations for the results from an economic perspective are provided. Economic insights and implications of the results for the nature of cryptocurrencies, their risk evaluation, and the hedging of Bitcoin's derivatives are explored.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 8","pages":"917-945"},"PeriodicalIF":1.8,"publicationDate":"2025-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22597","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144582456","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market","authors":"Wei Xie,&nbsp;Yi An","doi":"10.1002/fut.22595","DOIUrl":"https://doi.org/10.1002/fut.22595","url":null,"abstract":"<div>\u0000 \u0000 <p>In China's corn futures market, the dominant contracts, characterized by the highest liquidity, were traditionally concentrated in those expiring within 3 to 6 months. However, the market structure underwent significant shifts in 2023. We use 1-min trading data of China's corn futures from 2019 to 2023 and apply an information entropy model to explore the information flow between contracts with different maturities. Our findings indicate that an increase in market liquidity enhances mutual-information levels, whereas changes in market structure have an adverse effect. Before the structural changes, contracts with maturities of 5 to 9 months primarily served as information senders, whereas contracts with maturities exceeding 9 months acted as the main receivers. Since the change in market structure, contracts expiring within 2 to 3 months emerged as critical senders of information transmission. Additionally, the COVID-19 pandemic significantly impacted information flow.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 8","pages":"896-916"},"PeriodicalIF":1.8,"publicationDate":"2025-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144582334","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}