Welcome to Futures Markets Research Associates

About Us

Futures Markets Research Associates Pty Ltd (FMRA), Melbourne, Australia, is a team of professional economists which focuses on quantitative research, product development and education in futures markets.

All members of the team are Ph D trained in economics/finance or econometrics from major universities, and collectively they have more than 70 years experience in the analysis of futures markets. Their research and consulting experience covers futures markets in U.S.A., U.K., Asia and Australia, and includes markets for agricultural commodities, metals, livestock, energy, currencies and other financial futures markets.

Previous work by members of FMRA includes consulting to international organizations, feasibility studies for new futures exchanges/contracts, design and delivery of futures education programs, and modeling and forecasting prices and volatility in spot and futures markets.

Aims of Futures Markets Research Associates Pty Ltd

Recent increases in volatility have led to increased uncertainty for investors, and have resulted in wide variations in liquidity. These changes have threatened investors with increased transaction costs, and have emphasized the importance of effective risk management. In this environment, FMRA seeks to fulfill the evolving needs of futures market participants, and to take on board lessons from recent financial events and crises.

In particular, Futures Markets Research Associates has the following objectives:

1.      First, to develop new financial products to enhance investors' market information, to reduce uncertainty facing investors, to reduce transaction costs, and to facilitate risk management.

2.      Second, to undertake original research for the purposes of development and estimation of models of spot and futures markets, and forecasting of key market variables, especially prices and volatility.

3.      Third, to contribute to futures markets education through development and delivery of courses on futures markets, organization and participation in seminars, workshops, symposia and conferences, and publication of research papers and books on these markets.   

Abstracts of New Financial Products Developed by FMRA

 (1)  TWO ASSET FUTURES CONTRACT

This contract brings together two assets in a single contract with one price. It is designed to enable an investor who faces exposure to two related assets, such as stocks and foreign exchange, to manage risk in two assets in one transaction, thus economizing on time and transaction costs.  

While stock index futures contracts denominated in foreign currencies are well known, such contracts cater only for equity investors. The two asset futures contract, however, caters also for investors with spot commitments in FX, (e.g. importers or exporters), and with equities in their portfolio. This concept is applicable to other pairs of related assets.

(2)   LIQUIDITY INDEX

Recent changes in volatility have resulted in wide variations in the cost of liquidity, and have led to increased uncertainty for investors. The Liquidity Index will enhance investors' information about the cost of liquidity, thus reducing uncertainty facing all investors, facilitating the planning of transactions, and reducing transaction costs.  

The Liquidity Index goes beyond volatility indices, because while volatility is an important determinant of the cost of liquidity, other factors can cause liquidity to change (e.g. the proportion of investors with private information). Liquidity derivatives (see below) enable investors to trade the Liquidity Index and to hedge liquidity risk, thus taking on board a key lesson from the recent financial crisis.

(3)   OPTION ON LIQUIDITY 

This option contract is a liquidity derivative, and enables investors to trade the Liquidity Index. The aim of this contract is to facilitate the planning of transactions and the management of liquidity risk.

It is designed to address the situation where an investor plans a substantial transaction at a future date, but is concerned that the cost of liquidity may become excessive. The option on liquidity can reduce this uncertainty by ensuring that the cost of liquidity does not exceed a predetermined maximum. The option on liquidity thus takes on board a major lesson from the recent financial crisis.    

Futures Markets Education

We can provide training courses on futures markets for various types of audience. Courses  can be presented at an introductory, intermediate or post-graduate level, and can be of varying duration, from one or two days to several weeks, by agreement.

Research Models

Members of FMRA have a track record in the development and estimation of models of the determination of spot and futures prices for agricultural commodities, metals, energy and FX.

We also have extensive experience in modeling and forecasting volatility of returns, especially with intraday FX data.

In addition, we are engaged in modeling the determination of liquidity, with emphasis on the relationships between cost of liquidity, volume and volatility, with HFT data for a range of financial markets.  

  © Futures Markets Research Associates Pty Ltd 2012. The material in this website may not be reproduced, copied, distributed, transmitted, or stored in a retrieval system, in whole or in part, without written permission of FMRA.

DISCLAIMER: The statements on this website are not advice, nor do they constitute recommendations. These statements are the views of FMRA and/or the results of analysis conducted by members of the company, and are made in good faith. Furthermore, while all reasonable care has been taken to verify the accuracy of facts and data obtained from other sources, FMRA cannot guarantee the accuracy of such facts and/or data, and FMRA does not accept responsibility for inaccuracies therein.

FURTHER INFORMATION: Readers who require further information about any of the products or ideas expressed here should contact FMRA directly.