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Analyzing the Space-Time Structure of the Futures Section of the Metals Market
Chernova N. L., Guryanova L. S.

Chernova, Natalia L., and Guryanova, Lidiya S. (2020) “Analyzing the Space-Time Structure of the Futures Section of the Metals Market.” Business Inform 1:108–115.
https://doi.org/10.32983/2222-4459-2020-1-108-115

Section: Economic and Mathematical Modeling

UDC 519.237

Abstract:
Due to the global trend of growth of fixed-term markets, derivatives are increasingly being used not only for risk insurance, but also in arbitration strategies of trade. The specificity of these types of strategies is that they are market-neutral, their result does not depend on the overall direction of market movement. The research is aimed at developing a complex of models for evaluating and analyzing the space-time structure of the market for metals futures, the application of which allows to obtain a quantitative substantiation for the formation of the sets of financial instruments most appropriate in terms of implementing the arbitration trading strategies. This complex includes four basic models: formation of an information base of research, classification of assets into homogeneous groups, formation of pairs of assets, evaluation of the stability of pairs of assets. The initial basis of the research are statistics reflecting the dynamics of prices for futures contracts traded at the New York Stock Exchange and the London Metal Exchange. The initial dataset contains monthly information on the prices of contracts for the following metals: aluminium, copper, nickel, zinc, lead, stanum, gold, silver, platinum, and palladium.

Keywords: futures, metal, arbitration strategy, algorithm, cluster, risk, profitability.

Fig.: 4. Tabl.: 5. Formulae: 8. Bibl.: 16.

Chernova Natalia L. – Candidate of Sciences (Economics), Associate Professor, Associate Professor, Department of Economic Cybernetics, Simon Kuznets Kharkiv National University of Economics (9a Nauky Ave., Kharkiv, 61166, Ukraine)
Email: [email protected]
Guryanova Lidiya S. – Doctor of Sciences (Economics), Professor, Head of the Department, Department of Economic Cybernetics and System Analysis, Simon Kuznets Kharkiv National University of Economics (9a Nauky Ave., Kharkiv, 61166, Ukraine)
Email: [email protected]

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“Futures & Options Trading for Risk Management - CME Group“. https://www.cmegroup.com/en/
London Metal Exchange. https://www.lme.com

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