FAIR VALUE MODEL FOR FUTURES

摘要

A computer implemented method and system for determining fair-value prices of a futures contract of index i having foreign constituent securities includes using a computer to receive electronic data for the index i. A computer can be used to calculate alpha and beta coefficients using a regression analysis. The alpha coefficient represents a risk-adjusted measure of return on the index i, and the beta coefficient represents a metric that is related to a correlation between an overnight return of the index i and a proxy market. A computer can receive a settlement price for a futures contract for index i, and calculate a fair-value adjusted price for the futures contract of index i based at least in part on the alpha and beta coefficients, the futures contract settlement price for index i, and at least one return of a predetermined factor during a stale period.