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q-fin.ST2021
Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model
Marcel Ausloos, Yining Zhang, Gurjeet Dhesi
A TGARCH modeling is argued to be the optimal basis for investigating the impact of index futures trading on spot price variability. We discuss the CSI-300 index (China-Shanghai-Sh…
q-fin.ST2021★ 11 cited
Benford's laws tests on S&P500 daily closing values and the corresponding daily log-returns both point to huge non-conformity
Marcel Ausloos, Valerio Ficcadenti, Gurjeet Dhesi +1
The so-called Benford's laws are of frequent use in order to observe anomalies and regularities in data sets, in particular, in election results and financial statements. Yet, basi…