Verfügbarkeit: The futures game | Technische Universität München

The futures game:

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Bibliographische Detailangaben
Beteiligte Personen:	Teweles, Richard J. (VerfasserIn), Jones, Frank J. (VerfasserIn)
Format:	Buch
Sprache:	Englisch
Veröffentlicht:	New York [u.a.] McGraw 1987
Ausgabe:	2. ed.
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=019780204&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	XXII, 649 S.
ISBN:	0070637288 0070637342

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Datensatz im Suchindex

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adam_text	The Futures Game Who Wins? Who Loses? Why? Second Edition Richard J Teweles Frank J Jones McGraw-Hill Book Company New York St Louis San Francisco Auckland Bogota Hamburg Johannesburg London Madrid Mexico Milan Montreal New Delhi Panama Paris SSo Paulo Singapore Sydney Tokyo Toronto Contents Preface xxi PART ONE BASICS OF THE GAME 1 ONE Why Trade Futures? 3 Introduction 3 Economic Function of the Speculator 4 Speculating or Gambling? 4 The Evolution of Futures Trading 6 Development of the Futures Contract 8 Attacks against Futures Trading 11 Why Do Speculators Speculate? 14 Speculate in What? 14 Futures versus Securities and Other Speculations 5 Should You Speculate? 19 TWO The Nature of the Futures Markets 21 Introduction 21 Nature of the Contract 22 Nature of Exchange Operations 23 Nature of the Open Interest 27 Speculators 28 Floor Traders 28 Hedgers 29 Distribution of the Open Interest 30 Nature of Cash and Futures Price Relations 32 Introduction 32 Hedging Carried Out to Eliminate the Risks Associated with Price Fluctuations 32 Hedging Carried Out to Reduce the Risks Associated with Price Fluctuations 33 vii viii Contents f Hedging Carried Out to Profit from Movements in the Basis 34 Hedging Carried Out to Maximize Expected Returns for a Given Risk (Variability of Return) or Minimize Risk for a Given Expected Return 40 Critical Comment 41 THREE The Mechanics of Futures Trading 54 Introduction 54 The Firm 54 Opening the Account 56 Contract Information 57 Daily Trading Limits 81 Taking a Position 82 Liquidating a Position 82 Types of Orders 83 Daily Operating Statement 88 Buying Power 87 The Monthly Statement 87 Regulatory Requirements 89 Tax Considerations 90 Capital Gains Treatment 90 Other Issues 92 FOUR The Behavior of Futures Prices 93 Introduction 93 I The Efficient-Market Hypothesis 95 Premises 95 Behavior of Traders 97 Empirical Studies 98 Introduction 98 Analysis of Runs 99 Serial Correlation 101 Filter Rules 104 Spectral Analysis 108 The Question of Trend 109 Risk Premium Concept 109 Statistical Evidence 110 Other Causes of Bias 116 Notes from a Trader 117 PART TWO PLAYING THE GAME—TRADING 119 FIVE Risk, Reward, and You 121 Introduction 121 Optimism and Probability 122 Preferences and Utility 122 Utility Properties 124 * Contents ix Computing Personel Utilities 124 The Personal Trading Curve 126 Extending the Trading Curve for Larger Gains and Losses 135 Utilities for Larger Gains 135 Utilities for Larger Losses 139 Comments on the Extended Trading Curve 140 Analysis and Interpretations of the Trading Curve 142 Scatter of Points and Choice of Best and Worst Outcomes 142 Shape of Trading Curve 144 Notes from a Trader 146 six Approaches to Trade Selection: Fundamentals 149 Decision Making 149 Introduction 149 The Efficient Market—A Reprise 150 Specific Approaches 151 The Fundamental Approach 151 Model Building 154 Explaining versus Forecasting 154 Building a Forecasting Model 155 Notes from a Trader 157 Basic Data 157 The Analytical Framework 158 Opportunity Cost of Capital 158 Increased Market Efficiency 158 SEVEN Approaches to Trade Selection: Technical Analysis 160 Introduction 1 BO Patterns on Price Charts 162 Bar Charts 162 Point-and-Figure Charts 166 Old-Time Price Patterns 169 Striking the Balance—Advantages and Disadvantages of Using Price Patterns in Trading 169 The Advantages 169 The Disadvantages 170 Trend-Following Methods 170 Moving Averages 171 Striking the Balance—Advantages and Disadvantages of Using Trend-Following Methods 173 The Advantages 173 The Disadvantages 173 Character-of-Market Analysis 174 Oscillators 174 Striking the Balance—Advantages and Disadvantages of Using the Oscillator 175 The Advantages 175 The Disadvantages 175 Traditional Volume and Open-Interest Methods 177 x Contents Striking the Balance—Advantages and Disadvantages of Using Traditional Volume and Open-Interest Methods 178 The Advantages 178 The Disadvantages 179 On-Balance Volume 179 Striking the Balance—Advantages and Disadvantages of Using OBV 180 The Advantages 180 The Disadvantages 181 Analysis of Open Interest to Determine Activities of Large and Small Traders 181 Striking the Balance—Advantages and Disadvantages of Using Open Interest to Reveal the Activities of Large and Small Traders 182 The Advantages 182 The Disadvantages 182 Contrary Opinion 182 Striking the Balance—Advantages and Disadvantages of Using Contrary _ Opinion 184 The Advantages 184 The Disadvantages 185 Structural Theories 186 Seasonal Price Movements 186 Striking the Balance—Advantages and Disadvantages of Using Seasonals 187 The Advantages 187 The Disadvantages 187 Time Cycles 188 Striking the Balance—Advantages and Disadvantages of Using Time Cycles 188 The Advantages 189 The Disadvantages 189 The Elliott Wave Theory 189 Striking the Balance—Advantages and Disadvantages of Using the Elliott Wave Theory 191 The Advantages 191 The Disadvantages 191 Notes from a Trader 192 EIGHT Spreads Introduction 194 Spreads 194 Significance of Price Differences 196 Spread Positions 198 Intracommodity Spreads 198 Intercommodity Spreads 200 Intermarket Spreads 201 Combinations 202 Low-Risk Spreads 202 Tax Spreads 203 Problems 204 Mistakes 206 Notes from a Trader 209 NINE Options Regulatory Background 210 Futures vs Options 212 Futures 212 Options 214 Puts and Calls 214 Calls 215 Puts 220 Strategies 224 Bull Strategies 224 Bear Strategies 226 Combinations of Futures and Options—The Tinkertoy Approach 226 Futures 226 Puts from Calls and Futures 228 Other Strategies 229 Straddles 229 Spreads 231 Overview and Conclusions 234 Notes from a Trader 235 TEN The Game Plan Introduction 237 The Broad Plan 239 Key Elements of the Plan 240 Capital 240 Trade Selection and Evaluation 241 Choosing a Trade-Selection Method 241 Evaluating a Trade-Selection Method 243 Number of Markets to Follow 245 Time Horizon 245 Adding to Positions 246 Stops 247 The Plan in Action 249 Form of the Plan 249 A Specific Plan 253 Commodity Pools and Managed Funds 254 Structure of a Commodity Pool 256 Performance of Commodity Funds _ 257 Public Funds, Private Funds, and Investment Advisory Services 258 Selecting a Fund 259 Mistakes 260 Notes from a Trader 261 ELEVEN Money Management Introduction 262 Expectation of the Game Played 263 Probability 263 xii Contents Payoff 264 Fair Bets 266 Good Bets 266 Bad Bets 267 Strategy for a Favorable Game 267 Real-Time Validation 268 Probability of Ruin 270 Conceptual Foundation 270 Multiple Positions 274 Stop-Loss Points 275 Strategy Following Significant Success 276 Strategy Following Significant Adversity 276 Systems 277 Size of Commitments 279 Notes from a Trader 281 PART THREE LOSERS AND WINNERS TWELVE The Futures School for Losers Introduction 287 The Student Body 287 THIRTEEN Maxims: Good and Bad Introduction 299 Risk and Reward 301 Selection 301 Opinions 303 Timing 304 Character of the Market 306 Notes from a Trader 307 FOURTEEN Who Wins? Who Loses? Why? Introduction 308 Distribution of Profits and Lasses 309 The Blair Stewart Study 309 The Hieronymus Study 310 The Houthakker Study 311 The Rockwell Study 312 The Ross Study 319 Additional Evidence 319 Skills of the Trader 319 Forecasting Skills 319 Behavioral Skills 321 Notes from a Trader 323 Contents xili IUR THE BROKER IN THE GAME 325 FIFTEEN Building, Maintaining, and Servicing a Futures Clientele 327 Introduction 327 Building a Futures Clientele 327 Sales Personality 327 Product Knowledge 328 Knowledge of the Firm 330 Prospect Knowledge 332 Skill in Selling 333 Maintaining a Futures Clientele 337 Servicing a Futures Clientele 338 Appendix: Preparation for the National Commodity Futures Examinations 341 SIXTEEN Compliance: I ll See You in Court 344 Introduction 344 Sources of Problems and Their Prevention 344 Soliciting the Account 344 The Registered Commodity Representative 345 Representations 345 Opening the Account 346 Suitability 346 Risk Letters 347 Special Types of Accounts 348 Deposit of Funds 349 Handling the Account 34S Trade Suggestions 350 Documentation of Orders 350 Discretion 351 Record Keeping 351 Churning 352 Margins 353 Dealing with Irreconcilable Differences 354 The Complaint 354 Legal Action 355 The Formal Demand • 355 The Arenas 355 Notes from a Trader 356 The Customer 356 The Broker 357 Periodicals 361 Government and Regulatory Agencies 363 Exchanges 366 Brokerage Houses, Investment Banks, and Commodity Firms 367 Chartbooks 367 PART FIVE CHOOSING THE GAME—MARKETS 359 SEVENTEEN General Sources of Information 381 xiv Contents Market Letters and Advisory Services 368 Notes from a Trader—General Sources of Information 368 EIGHTEEN The Soybean Complex and Grains Introduction 363 The Soybean Complex 369 Soybeans 370 Soybean Meal 370 Soybean Oil 373 Price Determinants 373 Seasonals in Pricing 381 Futures Contracts 382 Speculative Uses 384 Sources of Information—The Soybean Complex 385 Notes from a Trader 385 Grains—Domestic 386 Wheat 386 Introduction 386 Supply 386 Demand 388 Price Determinants 388 Seasonals in Pricing 390 Futures Contracts 390 Pricing of Futures Contracts 391 Speculative Uses 393 Notes from a Trader 394 Com 395 Introduction 395 Supply 395 Demand 395 Price Determinants 398 Government Policies 400 Seasonals in Pricing 401 Futures Contracts 401 Pricing of Futures Contracts 401 Speculative Uses 402 Oats 402 Introduction 402 Supply 402 Demand 402 Price Determinants 404 Seasonals in Pricing 406 Futures Contracts 406 Speculative Uses 406 Notes from a Trader—Corn and Oats 406 Sources of Information—Wheat, Com, and Oats 407 Canadian Markets 408 Flaxseed 408 Introduction 408 Supply 408 Demand 408 Futures Contract 411 Contents xv Rapeseed 411 Introduction 411 Supply 411 Demand 413 Futures Contract 413 Rye 413 Introduction 413 Supply 413 Demand 415 Futures Contract 416 Barley 416 Introduction 416 Supply 416 Demand 419 Futures Contract 419 Speculative Uses of Canadian Futures Contracts 419 Sources of Information—Canadian Markets 421 Notes from a Trader—Canadian Markets 422 NINETEEN The Meat Futures Contracts 423 Cattle and Feeder Cattle 423 Introduction 423 Supply 425 Cow-Calf Operation 427 The Feedlot 429 The Packer 431 The Pipeline Method 431 The Cattle Cycle 433 Demand 436 Price Determinants 436 Seasonal Effects 439 Futures Pricing 440 Futures Contracts 441 Speculative Uses 443 Sources of Information 443 Notes from a Trader 443 Hogs and Pork Bellies 444 Introduction 444 Supply 444 The Pipeline Approach 449 Variations Affecting the Pipeline Approach 450 Demand 450 Price Determinants 452 Seasonals 452 Futures Contracts 456 Speculative Uses 456 Sources of Information 459 Notes from a Trader 460 TWENTY Natural Resources: Metals and Petroleum 4S1 Metals 461 Precious Metals 461 xvi Contents Gold 462 Introduction 462 Supply 462 Demand 464 Price Determinants 464 Futures Contracts 464 Speculative Uses 466 Silver 468 Introduction 468 Supply 468 Demand 470 Price Determinants 470 Futures Contracts 470 Speculative Uses 473 Platinum 473 Introduction 473 Supply 473 Demand 474 Pricing 477 Speculative Uses 477 Palladium 477 Notes from a Trader—Precious Metals 480 Commercial Metals 481 Copper 481 Introduction 481 Supply 481 Demand 482 Price Determinants 482 Futures Contracts 486 Aluminum 487 Introduction 487 Supply 487 Demand 488 Price Determinants 492 Futures Contracts 492 Speculative Uses 495 Notes from a Trader—Commercial Metals 496 Petroleum and Petroleum Products 496 Introduction 496 Supply 497 Demand—Petroleum and Petroleum Products 500 Crude Oil 500 Heating Oil 503 Gasoline 503 Propane (Liquefied Petroleum Gas—LPG) 504 Other Refinery Products 504 Kerosene end Jet Fuel 504 Residual Fuel Oil 504 Price Determinants 505 Futures Contracts 505 Speculative Uses 508 Notes from a Trader 511 Appendix: Sources of Information 512 Contents xvii TWENTY-ONE The Financial Futures Markets 515 The Foreign Currency Futures Markets 515 Introduction 515 Determinants of Exchange Rates 519 Balance of Payments 519 ° Interest Rates 522 Economic Growth 522 Inflation 523 Political Conditions 523 Overview of Determinants 523 Speculative Uses 523 Notes from a Trader—Foreign Currency Futures 524 The Interest Rate Futures Markets 527 Introduction 527 Hedge Uses 528 Determinants of Interest Rates 529 Speculative Uses 532 Notes from a Trader—Interest Rate Futures 534 The Stock Index Futures Markets 537 Introduction 537 Fundamentals for Use of Stock Index Futures Contracts 538 Determinants of Stock Index Futures Prices 543 Corporate Profits 544 Interest Rates (Bill and Bond Prices) 544 Economic Conditions 544 Expectations 545 Speculative Uses 547 Notes from a Trader—Stock Index Futures 551 Appendix: Sources of Information 552 TWENTY-TWO A Potpourri of Commodities 554 Coffee 554 Introduction 554 Supply 555 Utilization 558 Price Determinants 560 Seasonals 562 Futures Contracts 562 Speculative Uses 563 Sources of Information 564 Notes from a Trader—Coffee 564 Sugar 565 Introduction 565 Supply 565 Utilization 569 Price Determinants 569 International Sugar Agreement 572 Government Programs 572 Seasonality 573 Futures Contracts 573 xviii Contents Speculative Uses 574 Sources of Information 575 Notes from a Trader—Sugar 575 Cocoa 576 Introduction 576 Supply 576 Utilization 581 Price Determinants 581 Seasonals 582 Futures Contracts 582 Speculative Uses 583 Sources of Information 584 Notes from a Trader—Cocoa 584 Cotton 584 Introduction 584 Supply 585 Utilization 588 Price Determinants 589 Seasonals 590 Futures Contracts 590 Sources of Information 593 Notes from a Trader—Cotton 593 Orange Juice 593 Introduction 593 Supply 5S6 Utilization 597 Price Determinants 597 Seasonals 598 Futures Contracts 598 Speculative Uses 599 Sources of Information 600 Notes from a Trader—Orange Juice 600 Lumber 601 Introduction 601 Supply 601 Utilization 602 Price Determinants 605 Seasonals 607 Futures Contracts 607 Speculative Uses 607 Sources of Information 608 Notes from a Trader—Lumber 608 Bibliography 609 I Futures Trading and Commodity Exchanges 609 II History and Evolution of Futures Trading 611 III Economic Theory and Evidence 612 IV Traders: Behavior and Returns 614 V Individual Commodity Studies 615 VI Regulation of Futures Trading 620 Contents xix VII Price Behavior 623 VIII Price Forecasting 627 IX Money Management and Risk Control 631 X Hedging 632 XI Prices and Related Statistical Data 635 XII Spreads and Options 636 Index 641
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