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Author/Affiliation: Vasco GrossmannOpen AccessArticle
9 Pages, 950 KB 
Future Contract Selection by Term Structure Analysis
Abstract:
In futures markets, a single asset is generally represented by several contracts with different maturities. The selection of specific contracts is an inevitable task that also creates new opportunities, especially in terms of speculative trading. Evaluating immediate and upcoming trading costs for all considered contracts might lead to a significantly improved performance. Among that, even…
Read More(This article belongs to the SP3 (Special issue on Recent Advances in Engineering Systems 2017) & Section Interdisciplinary Applications of Computer Science (CSI))