Systems and methods for providing a liquidity-based commodities index
作者： Neil William Wardley , Brian Scott Upbin
DOI:
关键词: Business 、 Hedge (finance) 、 Liberian dollar 、 Commodity (Marxism) 、 Market liquidity 、 Econometrics 、 Financial economics 、 Commodity swap 、 Index (economics) 、 Liquidity risk 、 Producer Price Index (India)
摘要: Systems and methods are provided for a liquidity-based commodity index in which historical liquidity-related data is used to determine whether include an also weight commodities the index. Liquidity of calculated based on average daily dollar value contracts traded commodity. The liquidity compared threshold that should be included A factor each
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