Indicative FSP

Modeling mispricing and identifying lead-lag relationship in the Greek futures market

The purpose of the project is dual.
Firstly, the mispricing between futures price on the FTSE/ASE-20 Index and its theoretical value is calculated and a thorough and detailed analysis is conducted. Through that, an attempt is made to examine Futures market volatility versus Spot speculation, its impact on the Index and mispricing, and its ability to predict forthcoming movements in the Index. A forecasting tool for the levels of mispricing is created and tested.
Second, possible lead – lag relationship between the futures and the spot market is examined and the factors behind it are analyzed.

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