The Linear Regression Model for setting up the Futures Price
Journal Title: Revista Romana de Statistica - Year 2015, Vol 63, Issue 1
Abstract
To realize a linear regression, we have considered the computation method for futures prices that, according to economic culture, is based on the rate of the supporting asset and internal/external interest ratios, and also on the time period until maturity. The market price of a futures instrument is influenced by the demand and supply, that is the number of units traded within a certain period.
Authors and Affiliations
Mario PAGLIACCI, Janusz GRABARA, Mădălina Gabriela ANGHEL, Cristina SACALĂ, Vasile Lucian ANTON
Keywords
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