Academic Research on Exchange-traded Derivatives and Central
Clearing House Policy Issues
CME Group Foundation is interested in encouraging academic research on exchange-traded derivatives and central clearing house policy issues. In addition to grant support to the principal investigator, Foundation approved research projects are potentially eligible for free or discounted CME Group data related to the research, depending on resource and data availability. The Foundation Board has identified the following topics as those of greater interest within three broad-based categories of research:
- Use of futures for portfolio diversification
- Expanding use of options in global portfolio management
- Analysis factors causing volatility shifts in futures and options markets
- Examining why correlations in futures markets may change and how this impacts risk management or portfolio construction.
- Hedging with futures and options for managing risk (general exposures, basis risk, event risk, etc.)
- Counterparty risk and the use of exchange-traded futures and options
- Measuring volatility: beyond standard deviation – to provide better indications of future volatility for use in risk management or portfolio construction
- Development of exchange-traded derivative products and exchanges in China, Africa, Latin America, or the Middle East
- Why commodities should be added to a portfolio
- Sources of returns from commodities
- The evolution of commodities index strategies
- Active vs passive management in commodities
- Market liquidity, algorithmic trading, and volatility.
- Evolution of market depth, volatility, and liquidity given the transition from pit to electronically traded derivatives markets.
- Pros and Cons of categorizing of market participants either as speculators or as hedgers.
- Alternative user classification systems offering additional insights into how exchange-traded derivative markets work in practice
- The role of using futures as creation units for commodity ETFs
- Capital comparison of cleared vs uncleared commodity investments
- A review of how investors access the commodities markets depending on tax and regulatory requirements
- Impact of a transaction taxes be on the futures and options markets.
- Impact of transactions taxes on hedging and risk management efficacy.
- Role of futures markets in the financial meltdown of 2008 or past financial crises such as 1987.
- Impediments and challenges to the coordination of global regulation of exchange-traded derivatives.
- Compare and contrast different in models for regulation used by different countries and jurisdictions.
As a condition to receipt of the grant, each grant recipient will be required to produce the following documents: (1) a scholarly research paper of a quality that renders it capable of being accepted for publication in a high to mid-quality academic journal (the "Scholarly Paper"); and (2) a PowerPoint or similar set of presentation materials to describe the research suitable for use in research seminars for both scholars and finance practitioners (the "Presentation"). To the extent permitted by applicable copyright laws, the Foundation will make the papers and presentation available to the general public with the goal of educating undergraduate and graduate students so that they are better prepared for jobs in the financial services industry.