Download or read book Testing Seasonality and Efficiency in Commodity Futures Markets written by and published by . This book was released on 1999 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Efficiency in Commodity Futures Markets written by and published by . This book was released on 1996 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonal Concepts in Futures Trading written by Jacob Bernstein and published by Wiley-Interscience. This book was released on 1986-03-31 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: An incisive guide to the use and analysis of seasonal price trends in the futures markets. Emphasizing application, it explains in detail methods and procedures of ``seasonality,'' a trading strategy based on seasonal price tendencies. Includes many figures mapping futures price changes and cycles, and suggestions for further research.
Download or read book A Multivariate Multiscale Entropy Approach to Testing Commodity Market Efficiency written by Rahuldeb Das and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the efficiency of the Indian commodity market after the onset of futures trading on the national level commodity exchanges. The efficiency of five agricultural and three non-agricultural commodities have been tested by calculating multiscale sample entropy, taking univariate and multivariate series. An efficiency index has been built with this design. The results indicate that the Indian commodity market is partially efficient. The efficiency fluctuation is higher in the case of agricultural commodities. The slowdown in 2008 reduced the market efficiency of the exportoriented commodities. Moreover, seasonality in the market efficiency is observed for a few agricultural commodities.
Download or read book The Efficiency of Commodity Markets written by Chang Chen and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Current academic literature typically focuses on whether technical analysis rules are able to generate abnormal returns in commodity futures markets. While it is evident that the profitability of technical rules implies the existence of inefficiency in these markets, it does not answer the question of just how high the level of inefficiency is. The aim of this thesis is to introduce a measure of efficiency that is derived from the concept of temporary inefficiency. For this purpose, three different techniques are applied: Moving Averages, Trading Range Breakouts, and Filter Rules. Ten commodity futures markets are examined: corn, cotton, crude oil, gold, heating oil, live cattle, soybean, soybean oil, sugar, and wheat. The analysis is conducted on the basis of futures prices over a period of 20 years and four 5-year sub-periods. The finding from this thesis suggests that while it is true that none of the ten commodity markets is efficient, their degrees of inefficiency vary widely.
Download or read book Nonparametric Tests of Commodity Futures Market Efficiency written by Andrew M. McKenzie and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodity futures markets carry out two important marketing functions with respect to agricultural products: (1) a price discovery role and (2) a price risk management role. The relative effectiveness with which futures markets fulfill these two roles is dependent on the efficiency of the futures market and its ability to provide unbiased forecasts of subsequent futures prices at contract maturity. Our results indicate that futures price returns for live cattle, hogs, corn, rice and soybean meal violate the standard OLS assumption of normality. However, nonparametric statistics results did not materially conflict with our OLS parametric results. Further modeling indicated live cattle, hogs and soybean meal futures returns are better specified using GARCH type models, which allow for a non-constant error variance over time.
Download or read book A Study of Option Market Efficiency of the Chicago Mercantile Exchange written by Yue Lai and published by . This book was released on 1989 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Commodity Markets written by Julian Roche and published by McGraw-Hill. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Julian Roche explains every major method of forecasting markets; fundamental analysis, technical analysis, & econometric analysis. Roche discusses both the underlying theory & current application of each method, as well as pricing information on data sources & software. Moreover, the book evaluates the advantages & disadvantages of each approach & demonstrate how to combine approaches to produce an optimum forecasting method. Specific topics include: The history of fundamental, technical, & econometric analysis; Forecasting theories & applications; Accuracy of forecasting methods; The role of forecasting in trading decisions; The future of forecasting.
Download or read book Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange written by Krzysztof Borowski and published by . This book was released on 2015 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The commodity market has been becoming one of the main popular segments of the financial markets among individual and institutional investors in recent years, due to downward trend on the stock exchanges. Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of: monthly, daily, the day-of-the week, the first and the second half of monthly effects on the market of rubber futures, quoted in the period from 01.12.1981 to 31.03.2015. Calculations presented in this paper indicate the existence of monthly effect: in May and November, with the use of the average monthly rates of return and in February, March, April, June, July, August, October and December, when the daily average rates of return were implemented. The seasonal effects were also observed in the case of testing the statistical hypothesis for daily averaged rates of returns for different days of the month (15th), as well as for the daily average rates of return on various days of the week (Thursday). The seasonal effects were no registered for the daily average rates of return in the first and in the second half of a month.
Download or read book A Test of the Efficiency of Futures Markets in Commodities written by Sanjeev Gupta and published by . This book was released on 1981 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Seasonality in Agricultural Commodity Futures written by Carsten Sørensen and published by . This book was released on 2001 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The stochastic behavior of agricultural commodity prices is investigated using observations of the term structures of futures prices over time. The continuous time dynamics of (log-) commodity prices are modeled as a sum of a deterministic seasonal component, a non-stationary state-variable, and a stationary state-variable. Futures prices are established by standard no-arbitrage arguments and the Kalman filter methodology is used to estimate the model parameters for corn futures, soybean futures, and wheat futures based on weekly data from the Chicago Board of Trade for the period 1972-1997. Furthermore, in a discussion of the estimated seasonal patterns in agricultural commodity prices, the paper provides empirical evidence on the theory of storage that predicts a negative relationship between stocks of inventory and convenience yields; in particular, convenience yields used in this analysis are extracted using the Kalman filter.
Download or read book MBH Seasonal Futures Charts written by Jacob Bernstein and published by . This book was released on 1979 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk Premia and Seasonality in Commodity Futures written by Constantino Hevia and published by . This book was released on 2016 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop and estimate a multifactor affine model of commodity futures that allows for stochastic variations in seasonality. We show conditions under which the yield curve and the cost-of-carry curve adopt augmented Nelson and Siegel functional forms. This restricted version of the model is parsimonious, does not suffer from identification problems, and matches well the yield curve and futures curve over time. We estimate the model using heating oil futures prices over the period 1984-2012. We find strong evidence of stochastic seasonality in the data. We analyze risk premia in futures markets and discuss two traditional theories of commodity futures: the theory of storage and the theory of normal backwardation. The data strongly supports the theory of storage.
Download or read book An Investigation Into the Causes of Non martingale Behavior in Commodity Futures Prices written by Scott Wesley Barnhart and published by . This book was released on 1984 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Lead Lag Relationships of Commodity Futures Contracts written by Nicolas Jordan and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this master thesis is to discover lead-lag relationships between prices of commodity futures contracts with different times to maturity as well as to test if existing lead-lag relationships are economically exploitable with a trading strategy. The analysis focuses on gold, silver, copper and oil futures. The question whether the price of a specific futures contract with a given maturity can be used to predict the price of a contract with the same underlying but a different maturity is relevant for a number of reasons. First, it shows whether modern electronic futures markets are in accordance with market efficiency. Second, it can help to better understand the dynamics and relationships between futures prices with different maturities. Third, it is interesting for practitioners in the finance industry as it can reveal opportunities for generating profitable trading strategies. In order to empirically detect lead-lag relationships between different maturity futures contracts, a vector error correction model (VECM) is estimated with intraday data of 5-minute intervals. This rarely analyzed data frequency allows to discover previously unknown pricing inefficiencies. The cointegrating relationships for metal futures are modeled with a new method which captures the particular seasonality pattern that arises because these futures also trade during the delivery months. Depending on the results of the empirical analysis, either a VECM or vector auto-regression (VAR) model is used to produce out-of-sample forecasts and to develop a trading strategy. The following conclusions can be derived from the performed analyses. There indeed exist lead-lag relationships between all futures contracts considered. Some of these lead-lag relationships are exploitable in a trading strategy, producing positive cumulative returns even after accounting for transaction costs. One potential reason for the observed lead-lag relationships are di.
Download or read book Efficiency in Commodity Futures Markets written by Graciela Laura Kaminsky and published by . This book was released on 1989 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Technical Analysis of Commodities written by Carley Garner and published by . This book was released on 2011 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
