A reexamination of the systematic downward bias in live cattle futures prices

Article Abstract:

A trading technique developed by J.W. Helmuth reputedly could accurately forecast live cattle futures prices. This technique is based on matching live cattle futures prices with costs of feeding cattle. The technique implies that prices are inefficient in the live cattle futures market because of the preciseness with which it could forecast price changes. A study to confirm the Helmuth techniquewas applied on cattle futures prices from 1983 to 1989. It was concluded that the technique could forecast declines of cattle futures prices with superior accuracy, with seasonal price changes considered.

Commodity contracts brokers, dealers, Cattle

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Effectiveness of dual hedging with price and yield futures

Article Abstract:

The effectiveness of hedging in yield futures is critically contigent on the basis risks. Moreover, the direction of the impact is contingent on the established futures standing. Under a short risk minimizing hedge, a decline in the yield basis risk improves the hedging performance of the risk minimizing short hedge in yield futures, as opposed to the cash marketing strategy. On the contrary, under a long risk minimizing hedge, a decline in the yield basis risk reduces the hedging effectiveness.

Financial Management NEC, Research, Financial management

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Hedging with forecasting: a state-space approach to modeling vector-valued time series

Article Abstract:

The trends of futures prices in efficient markets was examined. It was hypothesized that ahedging strategy that will maximize profits can be derived from studying price movements. Hedging strategies incorporated with vector-valued time series applied to agricultural commodities were studied and compared to scalar time series forecasting. It was concluded that the time series approach yield betterforecasting results than scalar time series.

Usage, Time-series analysis, Time series analysis

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