文章基本信息

标题：Analyzing the Space-Time Structure of the Futures Section of the Metals Market
其他标题：Аналіз просторово-часової структури ф’ючерсної секції ринку металів
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作者：Chernova Natalia L ; Guryanova Lidiya S
期刊名称：Bìznes Inform
印刷版ISSN：2222-4459
电子版ISSN：2311-116X
出版年度：2020
期号：1
DOI：10.32983/2222-4459-2020-1-108-115
语种：English
出版社：Research Centre of Industrial Problems of Development of NAS of Ukraine
摘要：Due to the global trend of growth of fixed-term markets,derivatives are increasingly being used not only for risk insurance,but also in arbitration strategies of trade. The specificity of these types of strategies is that they are market-neutral,their result does not depend on the overall direction of market movement. The research is aimed at developing a complex of models for evaluating and analyzing the space-time structure of the market for metals futures,the application of which allows to obtain a quantitative substantiation for the formation of the sets of financial instruments most appropriate in terms of implementing the arbitration trading strategies. This complex includes four basic models: formation of an information base of research,classification of assets into homogeneous groups,formation of pairs of assets,evaluation of the stability of pairs of assets. The initial basis of the research are statistics reflecting the dynamics of prices for futures contracts traded at the New York Stock Exchange and the London Metal Exchange. The initial dataset contains monthly information on the prices of contracts for the following metals: aluminium,copper,nickel,zinc,lead,stanum,gold,silver,platinum,and palladium.
其他摘要：Завдяки загальносвітовій тенденції зростання строкових ринків деривативи все частіше використовуються не лише для страхування ризиків,але й у арбітражних стратегіях торгівлі. Специфіка стратегій цього типу полягає в тому,що вони є ринково-нейтральними,їх
关键词：futures;metal;arbitration strategy;algorithm;cluster;risk;profitability.
其他关键词：ф’ючерс;метал;арбітражна стратегія;алгоритм;кластер;ризик;дохідність.