Spekulation mit dem DAX-Future per Limitorder
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Spekulation mit dem DAX-Future per Limitorder
Eine theoretische und empirische Analyse
Dorfleitner, Gregor | Röder, Klaus
Credit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 4 : pp. 592–612
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Gregor Dorfleitner, Augsburg
Klaus Röder, Augsburg
References
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Abstract
Speculation in the DAX Future by Way of Limit Orders
A Theoretical and Empirical Analysis
On the basis of a theoretical continuous model, this empirical study analyses success probabilities and profit expectation values of a speculative strategy subject either to daily or to weekly limit orders. The speculator deals exclusively in the respective near-by contract of the DAX Future. An ex-post analysis shows that this strategy’s successfulness depends on the drift rate of futures prices, but its success probability mainly on the volatility of the futures prices. Limit orderbased strategies do, as a general rule, not generate results that are better than strategies not subject to limit orders. It would be fair to say that the daily strategy is less profitable than the weekly one. The answer to whether such a strategy is rewarding at all depends on the speculator’s transaction costs.