{"id":"https://openalex.org/W313119549","doi":null,"title":"Dynamically Hedging Oil and Currency Futures Using Receding Horizontal Control and Stochastic Programming","display_name":"Dynamically Hedging Oil and Currency Futures Using Receding Horizontal Control and Stochastic Programming","publication_year":2015,"publication_date":"2015-01-01","ids":{"openalex":"https://openalex.org/W313119549","mag":"313119549"},"language":"en","primary_location":{"id":"pmh:oai:scholarworks.waldenu.edu:dissertations-1292","doi":null,"is_oa":true,"landing_page_url":"https://scholarworks.waldenu.edu/dissertations/293","pdf_url":"https://scholarworks.waldenu.edu/cgi/viewcontent.cgi?article=1292&context=dissertations","source":{"id":"https://openalex.org/S4377196507","display_name":"ScholarWorks (Walden University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I80046288","host_organization_name":"Walden University","host_organization_lineage":["https://openalex.org/I80046288"],"host_organization_lineage_names":[],"type":"repository"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Walden Dissertations and Doctoral Studies","raw_type":"text"},"volume":null,"type":"dissertation","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://scholarworks.waldenu.edu/cgi/viewcontent.cgi?article=1292&context=dissertations","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5062747337","display_name":"Paul Edward Cottrell","orcid":"https://orcid.org/0000-0002-6968-8865","observed_orcids":["https://orcid.org/0000-0002-6968-8865"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Paul Cottrell","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-6968-8865","affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5062747337"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":2,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.7401999831199646,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.7401999831199646,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.1680999994277954,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.02370000071823597,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/dynamic-hedging","display_name":"dynamic hedging","score":0.8180000185966492},{"id":"https://openalex.org/keywords/oil-futures","display_name":"oil futures","score":0.9419999718666077},{"id":"https://openalex.org/keywords/currency-futures","display_name":"currency futures","score":0.9990000128746033},{"id":"https://openalex.org/keywords/hedging-error","display_name":"hedging error","score":0.9660000205039978},{"id":"https://openalex.org/keywords/market-illiquidity","display_name":"market illiquidity","score":0.8180000185966492},{"id":"https://openalex.org/keywords/volatility","display_name":"volatility","score":0.6190000176429749},{"id":"https://openalex.org/keywords/libor","display_name":"LIBOR","score":0.9229999780654907},{"id":"https://openalex.org/keywords/levy-processes","display_name":"L\u00e9vy processes","score":0.8650000095367432},{"id":"https://openalex.org/keywords/chaos-theory","display_name":"chaos theory","score":0.8899999856948853},{"id":"https://openalex.org/keywords/emergence","display_name":"emergence","score":0.8299999833106995}],"concepts":[{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.8071904182434082},{"id":"https://openalex.org/C141121606","wikidata":"https://www.wikidata.org/wiki/Q8142","display_name":"Currency","level":2,"score":0.6390504240989685},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5095882415771484},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.42801159620285034},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3465940058231354},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3431087136268616},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.32131755352020264},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.22973138093948364},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:scholarworks.waldenu.edu:dissertations-1292","doi":null,"is_oa":true,"landing_page_url":"https://scholarworks.waldenu.edu/dissertations/293","pdf_url":"https://scholarworks.waldenu.edu/cgi/viewcontent.cgi?article=1292&context=dissertations","source":{"id":"https://openalex.org/S4377196507","display_name":"ScholarWorks (Walden University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I80046288","host_organization_name":"Walden University","host_organization_lineage":["https://openalex.org/I80046288"],"host_organization_lineage_names":[],"type":"repository"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Walden Dissertations and Doctoral Studies","raw_type":"text"},{"id":"mag:313119549","doi":null,"is_oa":false,"landing_page_url":"https://scholarworks.waldenu.edu/cgi/viewcontent.cgi?article=1292&context=dissertations","pdf_url":null,"source":{"id":"https://openalex.org/S4306522422","display_name":"PhDT","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":"PhDT","raw_type":null}],"best_oa_location":{"id":"pmh:oai:scholarworks.waldenu.edu:dissertations-1292","doi":null,"is_oa":true,"landing_page_url":"https://scholarworks.waldenu.edu/dissertations/293","pdf_url":"https://scholarworks.waldenu.edu/cgi/viewcontent.cgi?article=1292&context=dissertations","source":{"id":"https://openalex.org/S4377196507","display_name":"ScholarWorks (Walden University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I80046288","host_organization_name":"Walden University","host_organization_lineage":["https://openalex.org/I80046288"],"host_organization_lineage_names":[],"type":"repository"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Walden Dissertations and Doctoral Studies","raw_type":"text"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W313119549.pdf","grobid_xml":"https://content.openalex.org/works/W313119549.grobid-xml"},"referenced_works_count":26,"referenced_works":["https://openalex.org/W1973965353","https://openalex.org/W1981826000","https://openalex.org/W1985193251","https://openalex.org/W1989376889","https://openalex.org/W1989870787","https://openalex.org/W1992702779","https://openalex.org/W1993856762","https://openalex.org/W1996982087","https://openalex.org/W1997575693","https://openalex.org/W2000045294","https://openalex.org/W2002456482","https://openalex.org/W2005718843","https://openalex.org/W2034486292","https://openalex.org/W2038054811","https://openalex.org/W2047182687","https://openalex.org/W2070317122","https://openalex.org/W2071121367","https://openalex.org/W2076190207","https://openalex.org/W2091614832","https://openalex.org/W2130727304","https://openalex.org/W2137416576","https://openalex.org/W2154149398","https://openalex.org/W2165463982","https://openalex.org/W3023517721","https://openalex.org/W3123129421","https://openalex.org/W3125488123"],"related_works":["https://openalex.org/W2324192477","https://openalex.org/W7204770768","https://openalex.org/W2886080693","https://openalex.org/W4407929998","https://openalex.org/W2108562218","https://openalex.org/W2069294061","https://openalex.org/W2142037718","https://openalex.org/W4415884179","https://openalex.org/W2121414978","https://openalex.org/W2390008258"],"abstract_inverted_index":{"There":[0],"is":[1,22],"a":[2,54,165,212,216],"lack":[3],"of":[4,9,28,168,211,260],"research":[5,157],"in":[6,14,37,246],"the":[7,26,29,59,70,76,95,202,209,258],"area":[8],"hedging":[10,44,50,55,81,89,127,170,199],"future":[11],"contracts,":[12],"especially":[13],"illiquid":[15],"or":[16],"very":[17],"volatile":[18],"market":[19,131,206],"conditions.":[20],"It":[21],"important":[23],"to":[24,42,85,94,119,173,196,241],"understand":[25],"volatility":[27,245],"oil":[30,203],"and":[31,63,98,100,108,139,149,175,204,219,238,252],"currency":[32,109,140,205],"markets":[33,39],"because":[34],"reduced":[35],"fluctuations":[36],"these":[38],"could":[40,124,255],"lead":[41],"better":[43,232],"performance.":[45],"This":[46,143,224],"study":[47,145,163,225],"compared":[48,93],"different":[49],"methods":[51,102],"by":[52,68,208,230],"using":[53],"error":[56,90,128,200],"metric,":[57],"supplementing":[58],"Receding":[60],"Horizontal":[61],"Control":[62],"Stochastic":[64],"Programming":[65],"(RHCSP)":[66],"method":[67,82,115,123,158,193],"utilizing":[69],"London":[71],"Interbank":[72],"Offered":[73],"Rate":[74],"with":[75,164,215],"Levy":[77],"process.":[78],"The":[79,178,190],"RHCSP":[80,114,192],"was":[83,91,116,159,194],"investigated":[84,118],"determine":[86,120],"if":[87,121],"improved":[88],"accomplished":[92],"Black-Scholes,":[96],"Leland,":[97],"Whalley":[99],"Wilmott":[101],"when":[103,134],"applied":[104,135],"on":[105,136],"simulated,":[106,137],"oil,":[107,138],"futures":[110,141,207],"markets.":[111,142,247],"A":[112],"modified":[113,191],"also":[117],"this":[122,162,261],"significantly":[125,197],"reduce":[126,198],"under":[129],"extreme":[130],"illiquidity":[132],"conditions":[133],"quantitative":[144],"used":[146],"chaos":[147],"theory":[148],"emergence":[150],"for":[151,161,201,235],"its":[152],"theoretical":[153],"foundation.":[154],"An":[155],"experimental":[156],"utilized":[160],"sample":[166],"size":[167],"506":[169],"errors":[171],"pertaining":[172],"historical":[174,179],"simulation":[176],"data.":[177],"data":[180],"were":[181],"from":[182,243,257],"January":[183],"1,":[184],"2005":[185],"through":[186],"December":[187],"31,":[188],"2012.":[189],"found":[195],"use":[210],"2-way":[213],"ANOVA":[214],"t":[217],"test":[218],"post":[220],"hoc":[221],"Tukey":[222],"test.":[223],"promotes":[226],"positive":[227],"social":[228],"change":[229],"identifying":[231],"risk":[233],"controls":[234],"investment":[236,250],"portfolios":[237],"illustrating":[239],"how":[240],"benefit":[242,256],"high":[244],"Economists,":[248],"professional":[249],"managers,":[251],"independent":[253],"investors":[254],"findings":[259],"study.":[262]},"counts_by_year":[{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2016-06-24T00:00:00"}