| bond futures trading strategies: Intermarket Technical Analysis John J. Murphy, 1991-09-03 Trying to trade stock, bond, commodity and currency markets without intermarket awareness is like trying to drive a car without looking out the side and rear windows--very dangerous. In this guide to intermarket analysis, the author uses years of experience in technical analysis plus extensive charts to clearly demonstrate the interrelationshps that exist among the various market sectors and their importance. You'll learn how to use activity in surrounding markets in the same way that most people employ traditional technical indicators for directional clues. Shows the analyst how to focus outward, rather than inward, to provide a more rational understanding of technical forces at work in the marketplace. |
| bond futures trading strategies: Bond and Money Markets Moorad Choudhry, 2003-07-04 The Bond and Money Markets is an invaluable reference to all aspects of fixed income markets and instruments. It is highly regarded as an introduction and an advanced text for professionals and graduate students.Features comprehensive coverage of: * Government and Corporate bonds, Eurobonds, callable bonds, convertibles * Asset-backed bonds including mortgages and CDOs * Derivative instruments including futures, swaps, options, structured products* Interest-rate risk, duration analysis, convexity, and the convexity bias * The money markets, repo markets, basis trading, and asset/liability management * Term structure models, estimating and interpreting the yield curve * Portfolio management and strategies,total return framework, constructing bond indices* A stand alone reference book on interest rate swaps, the money markets, financial market mathematics, interest-rate futures and technical analysis * Includes introductory coverage of very specialised topics (for which one previously required several texts) such as VaR, Asset & liability management and credit derivatives * Combines accessible style with advanced level topics |
| bond futures trading strategies: RETRACTED BOOK: 151 Trading Strategies Zura Kakushadze, Juan Andrés Serur, 2018-12-13 The book provides detailed descriptions, including more than 550 mathematical formulas, for more than 150 trading strategies across a host of asset classes and trading styles. These include stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets, volatility, real estate, distressed assets, cash, cryptocurrencies, weather, energy, inflation, global macro, infrastructure, and tax arbitrage. Some strategies are based on machine learning algorithms such as artificial neural networks, Bayes, and k-nearest neighbors. The book also includes source code for illustrating out-of-sample backtesting, around 2,000 bibliographic references, and more than 900 glossary, acronym and math definitions. The presentation is intended to be descriptive and pedagogical and of particular interest to finance practitioners, traders, researchers, academics, and business school and finance program students. |
| bond futures trading strategies: The Term Structure of Interest Rates David Meiselman, 1962 |
| bond futures trading strategies: Advanced Futures Trading Strategies Robert Carver, 2023-04-18 In Advanced Futures Trading Strategies , Robert Carver provides a complete practical guide to 30 trading strategies for the futures markets. The strategies cover more than 100 tradable instruments and draw on over 50 years of historic data, and are suitable for both discretionary and systematic traders. The strategies begin with the most basic, and progress to more advanced strategies, including trading calendar spreads, breakouts, trend following, fast mean reversion, and many more. For each strategy, Robert describes: How and why it works. Detailed rules for putting the strategy into practice. Past performance from historical data. Historic strategy behaviour and risk. And throughout the book, building up step by step, Robert explains other essential aspects of effective futures trading, including: How to properly calculate profits and assess performance. How to measure and forecast risk. How to calculate trading costs. The trading capital you need for specific futures instruments. How to decide which instrument to trade. Diversifying by using multiple strategies together. And much, much more. Advanced Futures Trading Strategies is the definitive practical guide to futures trading strategies. No one who intends to seriously trade futures can afford to be without it. |
| bond futures trading strategies: Treasury Bond Basis 3e (Pb) Galen Burghardt, 2023-03-31 Now in its third edition, The Treasury Bond Basis is the mandatory reference text for Treasury bond and note futures trading rooms around the world. This updated edition reflects the numerous market changes, chief among them the Chicago Board of Trade's decision to switch from an 8 percent to a 6 percent conversion factor. Revisions include greater detail on hedging and trading, updated explanations of options valuation and short delivery options, and discussion of global bonds futures trading and applications. |
| bond futures trading strategies: Advanced Fixed Income Analysis Moorad Choudhry, Michele Lizzio, 2015-08-28 Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the products. Professor Choudhry's method is to place ideas into contexts in order to keep them from becoming too theoretical. While the level of mathematical sophistication is both high and specialized, he includes a brief introduction to the key mathematical concepts. This is a book on the financial markets, not mathematics, and he provides few derivations and fewer proofs. He draws on both his personal experience as well as his own research to bring together subjects of practical importance to bond market investors and analysts. - Presents practitioner-level theories and applications, never available in textbooks - Focuses on financial markets, not mathematics - Covers relative value investing, returns analysis, and risk estimation |
| bond futures trading strategies: Quantitative Analysis, Derivatives Modeling, And Trading Strategies: In The Presence Of Counterparty Credit Risk For The Fixed-income Market Bin Li, Yi Tang, 2007-01-23 This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors' own research and practice. It is written from the viewpoint of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and tedious) technical conditions. It attempts to combine economic insights with mathematics and modeling so as to help the reader to develop intuitions.Among the modeling and the numerical techniques presented are the practical applications of the martingale theories, such as martingale model factory and martingale resampling and interpolation. In addition, the book addresses the counterparty credit risk modeling, pricing, and arbitraging strategies from the perspective of a front office functionality and a revenue center (rather than merely a risk management functionality), which are relatively recent developments and are of increasing importance. It also discusses various trading structuring strategies and touches upon some popular credit/IR/FX hybrid products, such as PRDC, TARN, Snowballs, Snowbears, CCDS, and credit extinguishers.While the primary scope of this book is the fixed-income market (with further focus on the interest rate market), many of the methodologies presented also apply to other financial markets, such as the credit, equity, foreign exchange, and commodity markets. |
| bond futures trading strategies: Advanced Trading Rules Emmanual Acar, Stephen Satchell, 2002-05-23 Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets. Advanced Trading Rules demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to generate superior returns, showing how you can stay ahead of the curve by finding out why certain methods succeed or fail. Profit from this book by understanding how to use: stochastic properties of trading strategies; technical indicators; neural networks; genetic algorithms; quantitative techniques; charts. Financial markets professionals will discover a wealth of applicable ideas and methods to help them to improve their performance and profits. Students and academics working in this area will also benefit from the rigorous and theoretically sound analysis of this dynamic and exciting area of finance. - The essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers - Provides a complete overview of cutting edge financial markets trading rules, including new material on technical analysis and evaluation - Demonstrates how to apply econometrics, computer modeling, technical and quantitative analysis to generate superior returns |
| bond futures trading strategies: Trading the Fixed Income, Inflation and Credit Markets Neil C. Schofield, Troy Bowler, 2011-10-03 Trading the Fixed Income, Inflation and Credit Markets is a comprehensive guide to the most popular strategies that are used in the wholesale financial markets, answering the question: what is the optimal way to express a view on expected market movements? This relatively unique approach to relative value highlights the pricing links between the different products and how these relationships can be used as the basis for a number of trading strategies. The book begins by looking at the main derivative products and their pricing interrelationships. It shows that within any asset class there are mathematical relationships that tie together four key building blocks: cash products, forwards/futures, swaps and options. The nature of these interrelationships means that there may be a variety of different ways in which a particular strategy can be expressed. It then moves on to relative value within a fixed income context and looks at strategies that build on the pricing relationships between products as well as those that focus on how to identify the optimal way to express a view on the movement of the yield curve. It concludes by taking the main themes of relative value and showing how they can be applied within other asset classes. Although the main focus is fixed income the book does cover multiple asset classes including credit and inflation. Written from a practitioner's perspective, the book illustrates how the products are used by including many worked examples and a number of screenshots to ensure that the content is as practical and applied as possible. |
| bond futures trading strategies: The Bond Market Christina I. Ray, 1993 Corporate and federal debt has increased over 350% in the last four years, accompanied by an explosion in the use of complex derivative products. To cope with this new market, fixed income traders - and the tools and techniques they use - have become increasingly sophisticated. There is an urgent need for a high-quality reference book on managing interest rate risk and on the primary and secondary markets for the outstanding bonds worth trillions of dollars. The Bond Market is a thorough guide to the mechanics of the market for U.S. Treasury securities and their derivative products. It explains the art and science of trading bonds for maximum profit with controlled risk, and illustrates how the best traders apply sound theoretical techniques under battlefield conditions. This is a valuable resource for readers with no prior knowledge of the bond market, as well as those who want to enhance their understanding of bond theory with real-life trading tools and techniques. The Bond Market looks at the big picture while focusing on important details. Based on her extensive trading experience, Christina I. Ray covers bond market basics and bond trading strategies, and provides an overview of the bond trading business. This one-of-a-kind reference shows readers how traders use mathematics to construct positions, in bonds or their derivatives, suitable for different market conditions and their own market risks; how traders determine the value of different securities and answers the critical question: Is bond movement random or can it be forecast? and the consistent approaches used by long-lived traders that readers can apply quantitatively to analyze the risk-reward profile of any position. |
| bond futures trading strategies: Trend Following with Managed Futures Alex Greyserman, Kathryn Kaminski, 2014-08-25 An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following. |
| bond futures trading strategies: A Complete Guide to the Futures Market Jack D. Schwager, 2017-01-03 The essential futures market reference guide A Complete Guide to the Futures Market is the comprehensive resource for futures traders and analysts. Spanning everything from technical analysis, trading systems, and fundamental analysis to options, spreads, and practical trading principles, A Complete Guide is required reading for any trader or investor who wants to successfully navigate the futures market. Clear, concise, and to the point, this fully revised and updated second edition provides a solid foundation in futures market basics, details key analysis and forecasting techniques, explores advanced trading concepts, and illustrates the practical application of these ideas with hundreds of market examples. A Complete Guide to the Futures Market: Details different trading and analytical approaches, including chart analysis, technical indicators and trading systems, regression analysis, and fundamental market models. Separates misleading market myths from reality. Gives step-by-step instruction for developing and testing original trading ideas and systems. Illustrates a wide range of option strategies, and explains the trading implications of each. Details a wealth of practical trading guidelines and market insights from a recognized trading authority. Trading futures without a firm grasp of this market’s realities and nuances is a recipe for losing money. A Complete Guide to the Futures Market offers serious traders and investors the tools to keep themselves on the right side of the ledger. |
| bond futures trading strategies: Quantitative Analysis, Derivatives Modeling, and Trading Strategies Yi Tang, Bin Li, 2007 This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authorsOCO own research and practice. While the primary scope of this book is the fixed-income market (with further focus on the interest rate market), many of the methodologies presented also apply to other financial markets, such as the credit, equity, and foreign exchange markets. This book, which assumes that the reader is familiar with the basics of stochastic calculus and derivatives modeling, is written from the point of view of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and tedious) technical conditions. It attempts to combine economic insights with mathematics and modeling so as to help the reader develop intuitions. In addition, the book addresses the counterparty credit risk modeling, pricing, and arbitraging strategies, which are relatively recent developments and are of increasing importance. It also discusses various trading structuring strategies and touches upon some popular credit/IR/FX hybrid products, such as PRDC, TARN, Snowballs, Snowbears, CCDS, credit extinguishers. |
| bond futures trading strategies: Bond Markets, Analysis, and Strategies, tenth edition Frank J. Fabozzi, Francesco A. Fabozzi, 2021-12-07 The updated edition of a widely used textbook that covers fundamental features of bonds, analytical techniques, and portfolio strategy. This new edition of a widely used textbook covers types of bonds and their key features, analytical techniques for valuing bonds and quantifying their exposure to changes in interest rates, and portfolio strategies for achieving a client’s objectives. It includes real-world examples and practical applications of principles as provided by third-party commercial vendors. This tenth edition has been substantially updated, with two new chapters covering the theory and history of interest rates and the issues associated with bond trading. Although all chapters have been updated, particularly those covering structured products, the chapters on international bonds and managing a corporate bond portfolio have been completely revised. The book covers the basic analytical framework necessary to understand the pricing of bonds and their investment characteristics; sectors of the debt market, including Treasury securities, corporate bonds, municipal bonds, and structured products (residential and commercial mortgage-backed securities and asset-backed securities); collective investment vehicles; methodologies for valuing bonds and derivatives; corporate bond credit risk; portfolio management, including the fundamental and quantitative approaches; and instruments that can be used to control portfolio risk. |
| bond futures trading strategies: Fragilities in the U.S. Treasury Market Antoine Bouveret, Mr.Peter Breuer, Ms.Yingyuan Chen, David Jones, Tsuyoshi Sasaki, 2015-10-13 Changes in the structure of the U.S. Treasury market over recent years may have increased risks to financial stability. Traditional market makers have changed their liquidity provision by increasingly switching from risk warehousing to risk distribution, and a new breed of market maker has emerged with the rise of electronic trading. The “flash rally” of October 15, 2014 provides a clear example of how those risks can materialize. Based on an in-depth analysis of the event—complementing the authorities’ work—we suggest i) providing incentives for liquidity provision, ii) improving market safeguards, and iii) enhancing the regulation of the Treasury market. |
| bond futures trading strategies: Technical Analysis of the Futures Markets John J. Murphy, 1986 Covers the philosophy of technical analysis, charting theory, trends, reversal patterns, continuation patterns, commodity indices, averages, oscillators, the Elliott wave theory, time cycles, computers, and trading tactics. |
| bond futures trading strategies: Futures Trading Strategies Wayne Walker, 2017-06-06 This book explains in a clear no-nonsense way the proven profit-making strategies for trading futures. You will learn to exploit inter-market analysis and make low risk high reward trades. The book also covers the needed information about the different sectors including everything from planting and harvesting seasons to how seasonality influences crude oil to natural gas. It even includes a bonus section on exchange traded funds (ETFs). Some of the topics covered includes: - How to enter and exit the market like a pro - Includes high probability trades techniques - Using crops and energy sector seasonality to your advantage - You will be equipped to begin trading within days - You will learn to read tech analysis charts |
| bond futures trading strategies: Systematic Trading Robert Carver, 2015-09-14 This is not just another book with yet another trading system. This is a complete guide to developing your own systems to help you make and execute trading and investing decisions. It is intended for everyone who wishes to systematise their financial decision making, either completely or to some degree. Author Robert Carver draws on financial theory, his experience managing systematic hedge fund strategies and his own in-depth research to explain why systematic trading makes sense and demonstrates how it can be done safely and profitably. Every aspect, from creating trading rules to position sizing, is thoroughly explained. The framework described here can be used with all assets, including equities, bonds, forex and commodities. There is no magic formula that will guarantee success, but cutting out simple mistakes will improve your performance. You'll learn how to avoid common pitfalls such as over-complicating your strategy, being too optimistic about likely returns, taking excessive risks and trading too frequently. Important features include: - The theory behind systematic trading: why and when it works, and when it doesn't. - Simple and effective ways to design effective strategies. - A complete position management framework which can be adapted for your needs. - How fully systematic traders can create or adapt trading rules to forecast prices. - Making discretionary trading decisions within a systematic framework for position management. - Why traditional long only investors should use systems to ensure proper diversification, and avoid costly and unnecessary portfolio churn. - Adapting strategies depending on the cost of trading and how much capital is being used. - Practical examples from UK, US and international markets showing how the framework can be used. Systematic Trading is detailed, comprehensive and full of practical advice. It provides a unique new approach to system development and a must for anyone considering using systems to make some, or all, of their investment decisions. |
| bond futures trading strategies: Intermarket Trading Strategies Markos Katsanos, 2010-03-11 This book shows traders how to use Intermarket Analysis to forecast future equity, index and commodity price movements. It introduces custom indicators and Intermarket based systems using basic mathematical and statistical principles to help traders develop and design Intermarket trading systems appropriate for long term, intermediate, short term and day trading. The metastock code for all systems is included and the testing method is described thoroughly. All systems are back tested using at least 200 bars of historical data and compared using various profitability and drawdown metrics. |
| bond futures trading strategies: Interest Rate Markets Siddhartha Jha, 2011-02-11 How to build a framework for forecasting interest rate market movements With trillions of dollars worth of trades conducted every year in everything from U.S. Treasury bonds to mortgage-backed securities, the U.S. interest rate market is one of the largest fixed income markets in the world. Interest Rate Markets: A Practical Approach to Fixed Income details the typical quantitative tools used to analyze rates markets; the range of fixed income products on the cash side; interest rate movements; and, the derivatives side of the business. Emphasizes the importance of hedging and quantitatively managing risks inherent in interest rate trades Details the common trades which can be used by investors to take views on interest rates in an efficient manner, the methods used to accurately set up these trades, as well as common pitfalls and risks?providing examples from previous market stress events such as 2008 Includes exclusive access to the Interest Rate Markets Web site which includes commonly used calculations and trade construction methods Interest Rate Markets helps readers to understand the structural nature of the rates markets and to develop a framework for thinking about these markets intuitively, rather than focusing on mathematical models |
| bond futures trading strategies: Fixed Income Relative Value Analysis Doug Huggins, Christian Schaller, 2013-05-20 As western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analyzing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers. In Fixed Income Relative Value Analysis, Doug Huggins and Christian Schaller address this gap with a set of analytic tools for assessing value in the markets for government bonds, interest rate swaps, and related basis swaps, as well as associated futures and options. Taking a practitioner’s point of view, the book presents the theory behind market analysis in connection with tools for finding and expressing trade ideas. The extensive use of actual market examples illustrates the ways these analytic tools can be applied in practice. The book covers: Statistical models for quantitative market analysis, in particular mean reversion models and principal component analysis. An in-depth approach to understanding swap spreads in theory and in practice. A comprehensive discussion of the various basis swaps and their combinations. The incorporation of credit default swaps in yield curve analysis. A classification of option trades, with appropriate analysis tools for each category. Fitted curve techniques for identifying relative value among different bonds. A multi-factor delivery option model for bond future contracts. Fixed Income Relative Value Analysis provides an insightful presentation of the relevant statistical and financial theories, a detailed set of statistical and financial tools derived from these theories, and a multitude of actual trades resulting from the application of these tools to the fixed income markets. As such, it’s an indispensable guide for relative value analysts, relative value traders, and portfolio managers for whom security selection and hedging are part of the investment process. |
| bond futures trading strategies: Currency Trading in the Forex and Futures Markets Carley Garner, 2012-01-04 Currency trading offers immense potential to stock and futures investors seeking new speculative opportunities. However, there are several ways to trade in currencies, and many unsuspecting traders have been burned by aggressive marketing campaigns and gimmicks luring them into unfavorable trading environments. In this book, best-selling trading author Carley Garner covers everything new currency traders need to know to avoid those pitfalls and start earning big profits. Currency Trading in the Forex and Futures Markets begins by demystifying all the essentials, from quotes and calculations to the unique language of Forex trading. Readers learn all they need to know about choosing trading platforms and brokerage firms; working with leverage; controlling transaction costs; managing liquidity, margins, and risks; and much more. Garner thoroughly explains the currency spot market (Forex); currency futures traded on the Chicago Mercantile Exchange (CME); and currency ETFs. She candidly discusses the advantages and disadvantages of each, cutting through the smoke and mirrors often associated with currency trading. Readers will also find a full section on currency market speculation, including a clear introduction to fundamental and seasonal analysis in currency markets. With her guidance, new currency traders can identify the markets and approaches that best fit their objectives, and avoid the pitfalls that have often victimized their predecessors. |
| bond futures trading strategies: The Futures Bond Basis Moorad Choudhry, 2003 Basis trading, also known as cash and carry trading, refers to the activity of simultaneously trading cash bonds and the related bond futures contract. an asset and its price for future delivery as implied by the price of a futures contract written on the asset. Futures contracts are exchange-traded standardized instruments, so they are a form of what is termed a forward instrument, a contract that describes the forward delivery of an asset at a price agreed today. The simultaneous trading of futures contracts written on government bonds and the bonds themselves, basis trading, is an important part of the government bond markets, and in this book we review the essential elements of this type of trading. We begin with basic concepts of forward pricing, before looking at the determinants of the basis, hedging using bond futures, trading the basis and an introduction to basis trading strategy. We also look at the concept of the cheapest-to-deliver bond, and the two ways in which this is measured, the net basis and the implied repo rate. Kingdom gilt market. It is written in an accessible style and should prove of use to anyone with an interest or involvement in the government bond futures market. |
| bond futures trading strategies: Pricing and Hedging Interest and Credit Risk Sensitive Instruments Frank Skinner, 2004-10-29 This book is tightly focused on the pricing and hedging of fixed income securities and their derivatives. It is targeted at those who are interested in trading these instruments in an investment bank, but is also useful for those responsible for monitoring compliance of the traders such as regulators, back office staff, middle and senior lever managers. To broaden its appeal, this book lowers the barriers to learning by keeping math to a minimum and by illustrating concepts through detailed numerical examples using Excel workbooks/spreadsheets on a CD with the book. On the accompanying CD with the book, three interest rate models are illustrated: Ho and Lee, constant volatility and Black Derman and Toy, along with two evolutionary models, Vasicek and CIR and two credit risk models, Jarrow and Turnbull and Duffie and Singleton. These are implemented via spreadsheets on the CD.* Starts at an introductory level and then develops advanced topics * Provides plenty of numerical examples rather than mathematical equations to aid full understanding of the strengths and weaknesses of all interest rate derivative models* Can be used for self-study - a complete book on the topic, which includes examples with answers |
| bond futures trading strategies: Futures Spread Trading Courtney Smith, 2000 This is the definitive and complete guide to spread trading in futures. Covers spread trading methods -- analyzing spreads and spread price action, as well as discovering and executing profitable spread trades. Brings together various methods, such as analyzing prices combined with analyzing historical data on commodity price trends. Offers information on the following topics: Why Spread Prices Change, Carrying Charges, Historical Comparison Analysis, Seasonal Analysis, Chart Analysis, The Trading Plan, Trading Techniques, Sources of Information. This is a completely revised, updated, and expanded version o: Smith's earlier book, Commodity Spreads. |
| bond futures trading strategies: Trading on Expectations Brendan Moynihan, 1997-04-29 Vor einer erfolgreichen Verkaufsplanung steht die sorgfältige Marktanalyse. Bei dieser nicht unkomplizierten Aufgabe hilft Ihnen die neue Methode, die in diesem Buch erläutert wird: Wichtige psychologische und technische Indikatoren des Marktverhaltens werden verknüpft. Eine unentbehrliche Fundgrube für alle Händler, die strategische Entscheidungen für ihr Geschäft treffen müssen. |
| bond futures trading strategies: High Probability Trading Strategies Robert C. Miner, 2008-11-03 In High Probability Trading Strategies, author and well-known trading educator Robert Miner skillfully outlines every aspect of a practical trading plan–from entry to exit–that he has developed over the course of his distinguished twenty-plus-year career. The result is a complete approach to trading that will allow you to trade confidently in a variety of markets and time frames. Written with the serious trader in mind, this reliable resource details a proven approach to analyzing market behavior, identifying profitable trade setups, and executing and managing trades–from entry to exit. |
| bond futures trading strategies: The Futures Bond Basis Moorad Choudhry, 2007-01-11 The 2nd edition of The Futures Bond Basis, is an updated and revised version of Professor Moorad Choudhry's succinct but in-depth look at the government bond futures contract basis. It includes essential background on contract specifications and the theory of the basis. It also covers the concept of the cheapest to deliver; price and delivery data for a sample of gilt contracts; the drivers of the basis and its dynamics; the mechanics of basis trading; a detailed explanation of gross and net basis, and an explanation of the implied repo rate. The book uses examples from the UK gilt market, although the basic principles are applicable in any bond futures market. |
| bond futures trading strategies: STIR Futures Stephen Aikin, 2012-11-16 Short term interest rate futures (STIR futures) are one of the largest financial markets in the world. The two main contracts, the Eurodollar and Euribor, regularly trade in excess of one trillion dollars and euros of US and European interest rates each day. STIR futures are also unique because their structure encourages spread and strategy trading, offering a risk reward profile incomparable to other financial markets. STIR futures are traded on a completely electronic market place that provides a level playing field, meaning that the individual can compete on exactly the same terms as banks and institutions. The sheer number of trading permutations allows traders to find their own niche. 'STIR Futures' is a handbook to the STIR futures markets, clearly explaining what they are, how they can be traded, and where the profit opportunities are. The book has been written for aspiring traders and also for experienced traders looking for new markets. This book offers a unique look at a significant but often overlooked financial instrument. By focusing exclusively on this market, the author provides a comprehensive guide to trading STIR futures. He covers key points such as how STIR futures are priced, the need to understand what is driving the markets and causing the price action, and provides in-depth detail and trading examples of the intra-contract spread market and cross-market trading opportunities of trading STIR futures against other financial products. An essential read for anyone involved in this market. |
| bond futures trading strategies: Arbitrage in Securities Meyer Hugh Weinstein, 1931 |
| bond futures trading strategies: Gaming the Market Ronald B. Shelton, 1997-04-25 Die Spieltheorie betrachtet Entscheidungen als Schachzüge in einem Spiel, dessen Ausgang von den Entscheidungen aller Spieler bestimmt wird. Diese Theorie wird hier erstmals auf Investmentgeschäfte am Finanzmarkt angewendet. Nach der Definition der Spielregeln und der Spieler wird, basierend auf Formeln der Wahrscheinlichkeitsrechnung, ein Spielmodell entwickelt, das die Rentabilität von beliebigen Finanzaktionen wie Aktienkauf und -verkauf vorhersagt. |
| bond futures trading strategies: Trading Against the Crowd John F. Summa, 2004-10-27 Efficient market theorists contend that markets are random and thus not predictable. With the publication of Trading Against theCrowd, however, noted author, economist, and professional trader John Summa convincingly shows that investor sentiment can be incorporated into profitable stock and stock market trading systems. In this groundbreaking book, Summa explains how to use popular gauges of crowd psychology, such as put/call ratios, option-implied volatility, short sales, investor surveys, and advisory opinion to trade against, or contrary to, prevailing market sentiment. He also makes compelling arguments against the efficient markets hypothesis with the presentation of his own quantitative weekly bear and bull news-flow intensity indices, which he builds from news scans. This data series, and other popular measures of crowd psychology, are processed through custom indicators that are programmed into profitable trading systems, such as Squeeze Play I & II, Tsunami Sentiment Wave, and the Fourth Estate. Trading Against the Crowd is the first book to provide a comprehensive assessment of investor crowd psychology, offering valuable market timing tools and trading techniques, including: MetaStock and Trade Station system and custom indicator code; comparative statistical studies of CBOE, OEX, and equity-only put/call ratios; straightforward instructions for combining price triggers with sentiment indicators; a practical guide to understanding put/call ratios, short sales, investor surveys, newsletter opinion, and stock market news-flow intensity; how to use LEAP options as trading vehicles to avoid use of stop loss orders; use of put/call ratios for trading the Treasury bond futures market; and test results and evaluation of trading system performance. Many of today’s professional money managers rely on investor sentiment for improved market timing. They know that at extremes of market sentiment, markets tend to be the most predictable.Trading Against the Crowd shows how you can begin to profit from these short- to medium-term sentiment waves generated by the actions of the speculative crowd. Put into practice powerful sentiment data using thoroughly back-tested trading systems, and rise above the herd mentality of the investor crowd, where potentially large profits await. |
| bond futures trading strategies: Fixed Income Markets Moorad Choudhry, 2011-12-14 This book is a comprehensive and in-depth account of the global debt capital markets. It covers a wide range of instruments and their applications, including derivative instruments. Highlights of the book include: Detailed description of the main products in use in the fixed income markets today, including analysis and valuation Summary of market conventions and trading practices Extensive coverage of associated derivatives including futures, swaps, options and credit derivatives Writing style aimed at a worldwide target audience An overview of trading and investment strategy. The contents will be invaluable reading for anyone with an interest in debt capital markets, especially investors, traders, bond salespersons, risk managers and banking consultants. |
| bond futures trading strategies: Derivative Instruments Brian Eales, Moorad Choudhry, 2003-03-24 The authors concentrate on the practicalities of each class of derivative, so that readers can apply the techniques in practice. Product descriptions are supported by detailed spreadsheet models, illustrating the techniques employed.This book is ideal reading for derivatives traders, salespersons, financial engineers, risk managers, and other professionals involved to any extent in the application and analysis of OTC derivatives. - Combines theory with valuation to provide overall coverage of the topic area - Covers all the latest developments in derivatives |
| bond futures trading strategies: Financial Derivatives Rob Quail, James A. Overdahl, 2003-03-20 Financial Derivatives - Jetzt neu in der 3. komplett überarbeiteten Auflage! Dieses umfassende Nachschlagewerk bietet eine gründliche Einführung in das Thema Finanzderivate und ihre Bedeutung für das Risikomanagement im Unternehmensumfeld. Es vermittelt fundierte Kenntnisse zum Thema Finanzderivate, und zwar mit einem verständlich gehaltenen Minimum an Finanzmathematik, was Preisbildung und Bewertung angeht. Mit einer breitgefächerten Übersicht über die verschiedenen Arten von Finanzderivaten. Mit neuem Material zu Kreditderivaten und zur Kreditrisikobewertung bei Derivaten. Mit neuen und ausführlicheren Informationen zu den Themen Finanztechnik und strukturierte Finanzprodukte. Financial Derivatives - Ein unverzichtbarer Ratgeber für alle Finanzexperten im Bereich Risikomanagement. |
| bond futures trading strategies: The Future of China's Bond Market Mr.Alfred Schipke, Mr.Markus Rodlauer, Ms.Longmei Zhang, 2019-03-13 China’s bond market is destined to play an increasingly important role, both at home and abroad. And the inclusion of the country’s bonds in global indexes will be a milestone for its financial market integration, bringing big opportunities as well as challenges for policymakers and investors alike. This calls for a good understanding of China’s bond market structure, its unique characteristics, and areas where reforms are needed. This volume comprehensively analyzes the different segments of China’s bond market, from sovereign, policy bank, and credit bonds, to the rapidly growing local government bond market. It also covers bond futures, green bonds, and asset-backed securities, as well as China’s offshore market, which has played a major role in onshore market development. |
| bond futures trading strategies: Commodity Futures Trading Commission Oversight United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee, 1982 |
| bond futures trading strategies: An Introduction to International Capital Markets Andrew M. Chisholm, 2009-08-04 Fully revised and updated from the hugely popular first edition, this book is an accessible and convenient one-volume introduction to international capital markets, ideal for those entering or planning to enter investment banking or asset management. As well as serving as an invaluable reference tool for professionals already working in the industry looking to extend their knowledge base it will also benefit all those working in trading, sales and support roles. Describing how the key products and markets work, who the principle participants are and their overall goals and objectives, Andrew Chisholm provides a thorough overview of the global capital markets. The book covers a wide range of equity, debt, foreign exchange and credit instruments as well as the principal derivative products. In a step-by-step fashion, making extensive use of real world cases and examples, it explains money markets, foreign exchange, bond markets, cash equity markets, equity valuation techniques, swaps, forwards, futures, credit derivatives, options, option risk management and convertible bonds. An extensive glossary also explains concisely many of the ‘jargon’ expressions used in the financial markets. Boasting an international focus, examples are drawn from major international markets around the world. It makes extensive use of numerical examples and case studies to help explain a wide range of cash and derivative products used in the capital markets business. It covers both debt and equity products and includes new material on credit products such as collateralized debt obligations and credit derivative structures; equity fundamental analysis, portfolio theory and convertible bonds. Market data has been fully updated from the first edition and recent events such as the ‘credit crisis’ are discussed. |
| bond futures trading strategies: Fixed-Income Synthetic Assets Perry H. Beaumont, 1992-11-11 The comprehensive guide to creating, valuing, and trading today'smost innovative fixed-income securities . Financial marketsworldwide are being flooded with a wealth of innovative andincreasingly complex securities. Now, more than ever, fixed-incomeprofessionals must understand how these synthetic instruments arestructured and traded, and how to profitably integrate them into anoverall financial strategy. Fixed-Income Synthetic Assets suppliesthis crucial working knowledge. This results-driven primer deliversthe proven tools and techniques for packaging, pricing, and tradingthese innovative products. From A-tranche CMOs to Zero couponbonds, this unique sourcebook guides both the novice and theprofessional through the full range of innovative syntheticstructures and their manifold uses. It's packed with easy-to-useformulas and charts, as well as clear, step-by-step discussions offinancial theory that promote clear understanding of the mostcomplex fixed-income financial engineering strategies andpractices. This timely sourcebook is designed to help traders,arbitrageurs, speculators, and financial executives profit from thefinancial markets of today, and successfully prepare for theopportunities of tomorrow. Perry H. Beaumont offers a logical,well organized book filled with examples. His step-by-stepexplanations make it easy to decipher some of today's mostsophisticated financial instruments. --Ira G. Kawaller VicePresident, Director of New York Office, Chicago Mercantile ExchangeFixed-Income Synthetic Assets is a practical guide tostate-of-the-art financial practice. An excellent tool for thefinancial manager trading in the markets and applying the latestfinancial techniques. --David Robison Vice President &Treasurer Chrysler Financial Corporation |
Bonds: How They Work and How To Invest - Investopedia
May 3, 2024 · What Is a Bond? A bond is a fixed-income instrument and investment product where individuals lend money to a government or company at a certain interest rate for an …
List of James Bond films - Wikipedia
James Bond is a fictional character created by British novelist Ian Fleming in 1953. A British secret agent working for MI6 under the codename 007, Bond has been portrayed on film in …
Wall Street looks past US deficit concerns for now as investors
3 days ago · Bond market in focus The 30-year Treasury auction, which is a regularly scheduled event, has become a closely watched barometer for how Wall Street is feeling about the …
Bonds - Investor.gov
What are bonds? A bond is a debt security, like an IOU. Borrowers issue bonds to raise money from investors willing to lend them money for a certain amount of time. When you buy a bond, …
What is a Bond and How do they Work? - Vanguard
Bonds are issued by governments and corporations when they want to raise money. By buying a bond, you're giving the issuer a loan, and they agree to pay you back the face value of the …
What are Bonds? Understanding Bond Types and How They Work
Jan 9, 2024 · Learn about the most common bond types and how rising interest rates can impact them. Wondering about bonds? They're well worth considering when building out your …
Bond Definition: What Are Bonds? – Forbes Advisor
Apr 20, 2024 · Bonds are investment securities where an investor lends money to a company or a government for a set period of time, in exchange for regular interest payments. Once the bond …
Bonds & Rates - CNBC
Bonds market data, news, and the latest trading info on US treasuries and government bond markets from around the world.
Treasury Bonds — TreasuryDirect
We sell Treasury Bonds for a term of either 20 or 30 years. Bonds pay a fixed rate of interest every six months until they mature. You can hold a bond until it matures or sell it before it …
Types of Bonds and How They Work - Investopedia
Jan 28, 2025 · Bonds are financial instruments that investors buy to earn interest. Essentially, buying a bond means lending money to the issuer, which could be a company or government …
Bibliography - Wiley Online Library
“The T-Bond Futures and Stock Market Breadth System.” ... Intermarket Technical Analysis: Trading Strategies for the Global Stock, Bond, Commodity, and Currency Markets. John Wiley …
High-Frequency Trading and Market Quality - Commodity …
U.S. Commodity Futures Trading Commission, 1155 21st Street NW, Washing-ton, DC 20581, USA; aorlov@cftc.gov. 2. 1 Introduction. This paper takes advantage of rich regulatory data on …
Speculative Strategies with Treasury Options - CME Group
speculative strategies on a finely designed basis. In particular, CME Group lists options exercisable for 2-year, 5-year and 10-year Treasury note futures; as well as options …
INTERMARKET Technical ANAlysyS - preterhuman.net
Intermarket technical analysis: trading strategies for the global stock, bond, commodity, and currency markets / John J. Murphy. p. cm. — (Wiley finance editions) Includes index. ISBN 0 …
FUTURES 101: UNDERSTANDING FUTURES - Kenanga …
Note Futures • 30-Year U.S. Treasury Bond Futures Bursa Malaysia Derivatives Bhd CME Group . Level 6, Kenanga Tower, 237 Jalan Tun Razak, 50400 Kuala Lumpur, Malaysia. Tel: (603) …
BOND MARKETS, ANALYSIS, AND STRATEGIES - University …
Smart Beta Bond Strategies 537 The Use of Leverage 539 Key Points 545 Questions 546 25 Bond Portfolio Construction 550 Learning Objectives 550 Brief Review of Portfolio Theory ...
Momentum Strategies in Futures Markets and Trend …
Momentum Strategies in Futures Markets and Trend-following Funds Akindynos-Nikolaos (Nick) Baltas UBS, Imperial College Business School and QMUL ... the more di cult it is to maintain …
BOND FUTURES: DESCRIPTION AND PRICING - OpenGamma
2.1.1. Ultra T-Bond Futures. The Ultra T-Bond Futures, U.S. Treasury Bond Futures and 10-Year U.S. Treasury Note Futures have the same last trading date and last delivery day. The last …
The Government Bond Basis - YieldCurve.com
1 The Government Bond Basis Basis trading, also known as cash and carry trading, refers to the activity of simultaneously trading cash bonds and the related bond futures contract. The basis …
Repo Market Strategies in Financial Engineering - Elsevier
%PDF-1.5 %µµµµ 1 0 obj >>> endobj 2 0 obj > endobj 3 0 obj >/ExtGState >/ProcSet[/PDF/Text/ImageB/ImageC/ImageI] >>/MediaBox[ 0 0 612 792] /Contents 4 0 …
Forecasting U.S. Bond Returns: A Practitioner’s Perspective
profitable trading strategies in international swaps mar-kets. This article’s main contribution is that it proposes a unified approach to the question of bond return predict-ability. We develop …
Intermarket Technical Analysis: Trading Strategies for the
Intermarket Technical Analysis: Trading Strategies for the Global Stock, Bond, Commodity, and Currency Markets John J. Murphy Hardcover 978-0-471-52433-5 September 1991 Print-on …
Too good to be true? The Dream of Arbitrage - New York …
Aswath Damodaran! 4! Futures Arbitrage" A futures contract is a contract to buy (and sell) a specified asset at a fixed price in a future time period. ! The basic arbitrage relationship can …
Momentum Strategies in Futures Markets and Trend …
to maintain the diversity of their trading books. While equity or bond futures markets are deep and liquid, markets for most agricultural contracts -soy or wheat, for example- are less sofl. (The …
A Primer on Interest Rate Markets and Relative Value – Part 2 ...
government bond markets. In this second part of a series of primers, we outline key introductory concepts in government bond markets for relative value (RV) investing. This note builds on . …
The Complete Guide to Trading - Corporate Finance Institute
69 Part Three – Technical and Trading Strategies 70 Technical Analysis – A Basic Guide 80 The ADX Indicator 84 Triangle Patterns 88 The Trin Indicator ... all, or nearly all, of your investment …
Time Series Momentum - New York University
Bond indices: – Bond futures from Datastream, and prior to that, JP Morgan country level bond indices – Scale to constant duration Currencies: – Forward rates from 1989 from Citigroup, and …
Risk estimation in international futures markets :$$ban …
4.4.1 U.S. Treasury Bond Futures: Trading Time High-Low . Variance Estimator . 102 . 4.4.2 Eurodollar Futures: Trading Time High-Low . Variance Estimator . 107 . ... models which form …
Deconstructing Futures Returns: The Role of Roll Yield
Executive Summary • Futures and spot returns on the same underlying asset often diverge, and the magnitude of this divergence is known as the futures “roll yield.” – The cumulative impact of …
INTERMARKET TECHNICAL ANALYSIS - Fx-Arabia
Intermarket technical analysis: trading strategies for the global stock, bond, commodity, and currency markets / John J. Murphy. p. cm. — (Wiley finance editions) Includes index. ...
Optimal Convergence Trade Strategies - Rady School of …
vergence trades include merger arbitrage (risk arbitrage), pairs trading (relative value trades), on-the-run/off-the-run bond trades, relative pricing of tranched structured securities, and arbi-trage …
Journal of Financial Economics - University of Notre Dame
uity index futures (6 North American, 8 European, 3 Asian or Australian); 16 developed market bond futures (6 North American, 7 European, 3 Asian or Australian); 21 com- modity futures (5 …
Momentum and the Term Structure of Interest Rates
bond futures contracts. In short, returns on individual bond markets appear to persist. Note that these two strategies expose the investor to country and/or duration risk. Also, and as Ilmanen …
An Introduction to Carry Strategies - Simplify
strategies and indices presented are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of …
A Comparative Study of Hedging Functions of Chinese and …
year China Treasury bond futures data, 10-year CSI bond index data, 10-year U.S. Treasury bond futures data are from the wind database, and 7-10 Year US Treasury Index ETF - iShares data …
Options on CBOT® Fed Funds Futures Reference Guide
For instance, if fed funds futures were trading at 98.05, available strikes would bracket 98.00, as Exhibit 3 shows. While prices of fed funds futures can be quoted with a minimum spread of one …
Hedging Strategies Using Futures and Options - Montana …
28 r$10 r$5 $0 $5 $10 $15 $20 $25 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Average Monthly Basis, By Cwt Steers, Billings 2000 to 2010 500 r600 lbs 600 r700 lbs 700 r800 lbs
Trading the Yield Curve with Interest Rate Derivatives
4. Trading the Yield Curve with Bond Futures • Risk-weighted curvature trades with bond futures • Synthetic basis trades with OTR futures 5. Managing Interest Rate Risk with Bond Futures • …
C1.jpg The Handbook of Pairs Trading
Trading Strategies Using Equities, Options, and Futures DOUGLAS S. EHRMAN John Wiley & Sons, Inc. ffirs.qxd 12/5/05 3:34 PM Page iii. C1.jpg. ffirs.qxd 12/5/05 3:34 PM Page vi. The …
Hedging Strategies Using Futures - Florida International …
Futures Price l The futures prices for a particular contract is the price at which you agree to buy or sell at a future time. l It is determined by supply and demand in the same way as a spot price. l …
Hugh Clark - navesinkinternational.com
trading and benchmark manipulation. FX trading: + FX trading and investment + Spot, forwards and derivatives. + Voice, electronic and algorithmic trading + Fund structures Equities trading: …
INTERMARKET TECHNICAL ANALYSIS - preterhuman.net
Intermarket technical analysis: trading strategies for the global stock, bond, commodity, and currency markets / John J. Murphy. p. cm. — (Wiley finance editions) Includes index. ...
Market Makers in Financial Markets: Their Role, How They …
Automated trading strategies use algorithmic logic to not only execute orders, but also to create orders and/or enact an investment strategy. Automated trading strategies are used by both …
High-Frequency Trading in Bond Returns: A Comparison …
ers than equity market trading, even though xed-income markets involve sig-nicantly more capital raising in comparison to equity markets. The electronic ease of bond trading, however, is on …
Algorithmic Trading of Futures via Machine Learning
Algorithmic Trading of Futures via Machine Learning David Montague, davmont@stanford.edu A lgorithmic trading of securities has become a staple of modern approaches to nancial …
(ex: 2y-10Y curve spread) - m-x.ca
can be used to explain why investors should purchase shorter term bond futures and sell longer term bond futures if they expect a widening of the spreads. In the following strategy, we will see …
Journal of Financial Economics - New York University
ity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with …
FUTURES AND OPTIONS - Bauer College of Business
Financial futures and forwards are traded on stock indices (S&P 500, Dow Jones Industrials, foreign indices); government bonds (US Treasury bonds, US Treasury notes, foreign …
Hedge fund strategies – an introduction - LGT Capital Partners
Managed futures/CTAs: This is a systematic strategy that seeks to generate returns by trading global futures and forward markets, often by identifying price trends in various markets. The …
Japanese Government Bond Futures & Options - 日本取引所 …
• 10-year JGB Futures and 20-year JGB Futures are listed. • Not only physical delivery products, but a mini-sized cash settled contract is also available. • By using Optionson JGB Futures, it is …
CME Commodity Trading Manual - University of Leicester
gain in the futures market by buying a futures contract at a lower price than you sold. If prices rise, your higher price in the cash market covers the loss when you buy a futures contract at a …
Options, Futures, and Other Derivatives, 11/e - eTextbook
OPTIONS, FUTURES, AND OTHER DERIVATIVES John C. Hull Maple Financial Group Professor of Derivatives and Risk Management Joseph L. Rotman School of Management
Fixed Income - Chicago Board Options Exchange
fast, and capital-efficient way to express a view, enhance trading strategies or manage exposure to the broad U.S. high yield and investment grade corporate bond market. IBHY/IBIG Futures …
Repo Market Strategies in Financial Engineering - Politeknik …
Repo Market Strategies in Financial Engineering 1. Introduction This is a nontechnical chapter which deals with a potentially confusing operation. The chapter ... bonds are cheapest-to …
Advanced Futures Trading Strategies - do-k8s.optimonk.com
Advanced Futures Trading Strategies uk advanced tech uk advanced tech Advanced Futures Trading Strategies: Navigating the Labyrinth of Market Volatility Futures trading, a powerful tool …
Examining Pairs Trading Profitability - Yale Department of …
4 considers a simple model that recovers pairs trading profits and risks in simulations of equilibrium prices. Section 5 concludes the paper. 2 Literature Review In this section, we …
THE OPTION STRATEGIES - download.e-bookshelf.de
bond ETFs, indexes, and stock index futures. Mullaney executes option buying and selling strategies but concentrates most of his efforts on writing far out-of-the-money options by using …
ICE Gilt Futures and Options
Our flagship ICE Long Gilt futures contract is the benchmark for the intermediate term of the UK government bond yield curve. Against the current UK political and economic backdrop, trading …
Strategy Spotlight: Considerations in volatility trading
variance swaps; and short VIX futures. Some volatility strategies include embedded market beta (directional) exposure, and some can be considered pure exposures to volatility. Covered call …
