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The Efficiency of Futures Markets

Objective

The project is a cooperation between Ghent University, Belgium, Queen's University Belfast , UK, and the SME Risk & Portfolio Management AB, Stockholm, Sweden.
It makes use of a unique, private data set provided by the SME involved. The data is on transactions of futures 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 analyze the efficiency of the futures 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 top-journals
(ii) to give the SME access to the most recent academic achievemnets.
(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 instittution(s)
(iv) a doctroral, education for an SME staff member
(v) the recruitment of two experienced researchers 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 practically relevant. Furthermore, the position of the European financial sector and European universities will be strenghtened.

Call for proposal

FP7-PEOPLE-2012-IAPP
See other projects for this call

Coordinator

UNIVERSITEIT GENT
Address
Sint Pietersnieuwstraat 25
9000 Gent
Belgium
Activity type
Higher or Secondary Education Establishments
EU contribution
€ 136 248,09
Administrative Contact
Saskia Vanden Broeck (Ms.)

Participants (2)

THE QUEEN'S UNIVERSITY OF BELFAST
United Kingdom
EU contribution
€ 131 428
Address
University Road Lanyon Building
BT7 1NN Belfast
Activity type
Higher or Secondary Education Establishments
Administrative Contact
Ronan Crossey (Mr.)
RPM RISK & PORTFOLIO MANAGEMENT AB
Sweden
EU contribution
€ 549 726,21
Address
Norrmalmstorg 16
111 46 Stockholm
Activity type
Private for-profit entities (excluding Higher or Secondary Education Establishments)
Administrative Contact
Alexander Mende (Dr.)