Project

The Efficiency of Futures Markets

Acronym
Futures
Duration
01 May 2013 → 30 April 2017
Funding
European funding: framework programme
Research disciplines
  • Social sciences
    • Applied economics
    • Economic history
    • Macroeconomics and monetary economics
    • Microeconomics
    • Tourism
Keywords
future markets
 
Project description

The project is a cooperation between Ghent University Belgium, Queen's University Belfast UK and the SME Risk and Portfolio Management Stockholm Sweden. It makes use of a unique private data set provided by the SME involved. The data is on transactions of future traders, so-called CTAs These are often referred to as hedge funds, although the institutional setup and trading mechanisms show substantial differences to these. We will analyse the efficiency of the future markets (including equity bond, commodities and currencies. The data allows to track decisions by individual managers or particular groups of managers. We can therefore on a daily basis observe actions CTAs take. Objectives of the project are:(i) to utilize this outstanding data set for academic research aiming at publications in tojournals (ii) to give the SME access to the most recent academic achievements (iii) to strengthen the SME's profile as a research-oriented and quantitative corporation (iv) to make academic staff familiar with the practice of asset management and (v) to establish a long-term cooperation between the partners. We will achieve this by (i) joint research (ii) a high number of intersectoral secondments in both directions (iii) teaching at the other sector's institution(s) (iv) a doctoral education for an SME staff member (v) the recruitment of two experienced researcher to the SME(vi) scientific conferences As a result - and since all results will be made available to third parties - the project will help to root decisions by the financial sector in science and will on the other hand help to make academic research pratically relevant. Furthermore, the position of the European financial sector and European universities will be strengthened.