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 (α) and beta (&bgr;) coefficients using a regression analysis. The alpha (α) coefficient represents a risk-adjusted measure of return on the index i, and the beta (&bgr;) 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 (SETTi) 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 (α) and beta (&bgr;) coefficients, the futures contract settlement price (SETTi) for index i, and at least one return of a predetermined factor (Zt) during a stale period.
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