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Price Discovery and Efficiency in Uniswap Liquidity Pools Uniswap流动性池的价格发现和效率
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-05-26 DOI: 10.1002/fut.22593
Carol Alexander, Xi Chen, Jun Deng, Qi Fu
{"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}
引用次数: 0
Role of Economic Policy Uncertainty in Forecasting Gold Futures Volatility: Evidence From India 经济政策不确定性在预测黄金期货波动中的作用：来自印度的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-05-25 DOI: 10.1002/fut.22600
Simran, Anil Kumar Sharma
{"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}
引用次数: 0
Tail Risk Hedging: The Superiority of the Naïve Hedging Strategy 尾部风险对冲：Naïve对冲策略的优越性
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-05-23 DOI: 10.1002/fut.22602
Min Cao, Thomas Conlon
{"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}
引用次数: 0
Carbon Emission Allowance and Oil Implied Volatility 碳排放限额与石油隐含波动率
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-05-20 DOI: 10.1002/fut.22599
Haoyu Wang, Junpeng Di, Qing Han, Kefu Lyu
{"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}
引用次数: 0
Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non-Normality 条件波动和条件非正态下长记忆比特币期权的市场一致性估值
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-05-19 DOI: 10.1002/fut.22597
Tak Kuen Siu
{"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}
引用次数: 0
Information Flow Across the Futures Term Structure: Evidence From Chinese Corn Futures Market 期货期限结构中的信息流动：来自中国玉米期货市场的证据
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-05-11 DOI: 10.1002/fut.22595
Wei Xie, Yi An
{"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}
引用次数: 0
Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter? 预测油价波动：油价不确定性重要吗？
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-05-11 DOI: 10.1002/fut.22592
Athanasios Triantafyllou, Nikolaos Vlastakis, Neil Kellard
{"title":"Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?","authors":"Athanasios Triantafyllou,&nbsp;Nikolaos Vlastakis,&nbsp;Neil Kellard","doi":"10.1002/fut.22592","DOIUrl":"https://doi.org/10.1002/fut.22592","url":null,"abstract":"<div>\u0000 \u0000 <p>In this paper, we empirically examine the predictive power of oil price uncertainty on time-varying volatility in the oil futures market. Quantifying oil price uncertainty as the purely unforecastable component of oil price changes, we find this measure has significant predictive power on the return volatility of crude oil futures for horizons up to 9 months ahead. Moreover, our oil price uncertainty factor outperforms the realized oil price volatility. In addition, our structural vector autoregression model shows that the effect of oil price uncertainty shock on oil-market volatility is higher in magnitude and persistence when compared with the effect of aggregate demand, oil demand, supply, and oil price volatility shocks.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"817-830"},"PeriodicalIF":1.8,"publicationDate":"2025-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144245083","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}
引用次数: 0
Investor Sentiment, Mispricing, and Limited Arbitrage in the Futures Market 期货市场中的投资者情绪、错误定价和有限套利
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-05-11 DOI: 10.1002/fut.22594
Doojin Ryu, Doowon Ryu, Heejin Yang
{"title":"Investor Sentiment, Mispricing, and Limited Arbitrage in the Futures Market","authors":"Doojin Ryu,&nbsp;Doowon Ryu,&nbsp;Heejin Yang","doi":"10.1002/fut.22594","DOIUrl":"https://doi.org/10.1002/fut.22594","url":null,"abstract":"<div>\u0000 \u0000 <p>We examine how investor sentiment influences KOSPI 200 futures mispricing under varying market conditions, including volatility, short-sale restrictions, and regulatory changes. The sentiment–mispricing relationship intensifies during high volatility, as arbitrageurs face greater constraints in correcting price distortions, leading to increased mispricing. Short-sale restrictions further amplify mispricing and the impact of pessimistic sentiment. Regulatory reforms reducing domestic trading activity also shape sentiment–mispricing dynamics, suggesting that lower participation by irrational investors enhances market efficiency. Our findings underscore the importance of market-specific factors—arbitrage constraints and regulations—in understanding sentiment-driven mispricing.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 8","pages":"879-895"},"PeriodicalIF":1.8,"publicationDate":"2025-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144581882","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}
引用次数: 0
Journal of Futures Markets: Volume 45, Number 6, June 2025 期货市场杂志：第45卷，第6期，2025年6月
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-05-09 DOI: 10.1002/fut.22522
{"title":"Journal of Futures Markets: Volume 45, Number 6, June 2025","authors":"","doi":"10.1002/fut.22522","DOIUrl":"https://doi.org/10.1002/fut.22522","url":null,"abstract":"","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 6","pages":"495"},"PeriodicalIF":1.8,"publicationDate":"2025-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22522","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143930362","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}
引用次数: 0
Pricing VXX Options With Observable Volatility Dynamics From High-Frequency VIX Index 基于高频波动率指数的VXX期权定价
IF 1.8 4区 经济学
Journal of Futures Markets Pub Date : 2025-04-27 DOI: 10.1002/fut.22591
Shan Lu
{"title":"Pricing VXX Options With Observable Volatility Dynamics From High-Frequency VIX Index","authors":"Shan Lu","doi":"10.1002/fut.22591","DOIUrl":"https://doi.org/10.1002/fut.22591","url":null,"abstract":"<p>This paper develops a discrete-time joint analytical framework for pricing volatility index (VIX) and VXX options consistently. We show that our framework is more flexible than continuous-time VXX models as it allows the information contained in the high-frequency VIX index to be incorporated for the joint pricing of VIX and VXX options, and the joint pricing formula is derived. Our empirical analysis shows that the model that utilizes the realized variance (RV) computed from the high-frequency VIX index data significantly outperforms the model that does not rely on the VIX RV in the joint pricing both in-sample and out-of-sample, reinforcing the beliefs that high-frequency data are informative about the derivatives pricing</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"45 7","pages":"771-801"},"PeriodicalIF":1.8,"publicationDate":"2025-04-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22591","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144245074","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}
引用次数: 0
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