Assessing inefficiency in the futures markets

Article Abstract:

A trend-following trading system based on market momentum and long-range memory dependence could make profits from the inefficiency in the futures markets during the period of June 1986 until June 1993. Moreover, the trading system is found to be profitable in futures markets such as cotton, corn, and Japanese yen. The futures markets of S&P 500 and cocoa on the other hand proves that the system will generate losses from it, mainly because these markets exhibited a strong antipersistence.

Economic aspects, Futures market, Futures markets

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Convenience yields as call options: an empirical analysis

Article Abstract:

An empirical study of convenience yields as call options and their determinants is conducted on soybeans, corn, wheat and copper. An analysis of stock and price data, from 1966 to 1995, reinforce previous findings on the negative relationship between convenience yields and inventory levels. The findings are consistent with theoretical models of convenience yields as call options.

Research, Options (Finance), Commodities

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An empirical analysis of commodity pricing

Article Abstract:

The relation between commodity prices and stock levels in stock-out is analyzed by using Markov model and data from London Metals Exchange.

United Kingdom, Models, Analysis, Evaluation, Markov processes, Commodity options, Commodity price indexes

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