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69 results on '"Commodity exchanges -- Models"'

1. Covariance estimation for multivariate conditionally Gaussian dynamic linear models

Author

Triantafyllopoulos, K.

Subjects
Commodity exchanges -- Models, Spot market -- Models, Time-series analysis -- Research, Analysis of covariance -- Research, Linear models (Statistics) -- Research, Business, Economics, Government, Mathematics
Abstract

An online, non-iterative Bayesian estimation and forecasting algorithm is proposed. This proposed estimator converges well with true values provided by the unknown observation covariance matrix. London metal exchange data for aluminum, copper, lead, and zinc show superiority of the time varying vector autoregressive model.

Published
2007

2. Expectation heterogeneity and price sensitivity

Author

Nishimura, Kiyohiko G.

Subjects
Rational expectations (Economics) -- Models, Prices -- Models, Monopolistic competition -- Models, Commodity exchanges -- Models, Business, Business, international, Economics
Abstract

In many industrialized economies, there is sharp contrast between rigid prices in product markets and volatile prices in commodity and asset markets. This paper presents an explanation of this phenomenon in the framework of imperfect competition and heterogeneous expectations. However, the driving force of excessive price sensitivity is different between commodity and asset markets. In commodity markets where firms determine quantity and price equates demand to supply, seller expectation heterogeneity implies sensitive prices. In asset markets with high transaction costs, more buyer expectation heterogeneity means more sensitive prices. Market integration is shown to increase this price sensitivity. Keywords: Imperfect competition; Price sensitivity; Commodity markets; Asset markets; Market integration

Published
1998

3. High-tech, low impact; The Ethiopia Commodity Exchange

Subjects
Commodity markets -- Forecasts and trends, Commodity exchanges -- Models, Agricultural industry -- Economic aspects, Market trend/market analysis, Business, Economics, Business, international
Abstract

A state-of-the-art exchange struggles with the basics ON THE walls of the Ethiopia Commodity Exchange (ECX) in Addis Ababa, the capital, hang glossy black-and-white photographs of provincial market towns and [...]

Published
2017

5. Rational price limits in futures markets: tests of a simple optimizing model

Author

Ackert, Lucy F. and Hunter, William C.

Subjects
Commodity futures -- Models, Futures market -- Models, Commodity exchanges -- Models, Banking, finance and accounting industries, Economics, Models
Abstract

Despite the key role played by daily price limits in futures markets, questions concerning how daily price limits should be set, or whether observable daily price limits are optimal or [...]

Published
1994

6. Complements or substitutes? Equivalent futures contract markets - the case of corn and soybean futures on U.S. and Japanese exchanges

Author

Holder, Mark E., Pace, R. Daniel, and Tomas, Michael J., III

Subjects
Commodities industry -- Models, Corn -- Futures, Soybean -- Futures, Futures market -- Models, Commodity exchanges -- Models, Business, Business, general
Abstract

A model for corn and soybean futures trading in the USA and Japan is provided. There are price relationships for similar futures contracts.

Published
2002

7. Interdependencies between agricultural commodity futures prices on the LIFFE

Author

Dawson, P.J. and White, B.

Subjects
London International Financial Futures Exchange -- Models, Commodities industry -- Models, Commodity exchanges -- Models, Futures market -- Models, Business, Business, general
Abstract

Possible commodity price interdependencies on the London International Financial Futures Exchange are examined. There are no apparent price interdependencies between futures contracts.

Published
2002

8. The intra-day price discovery process between the Singapore Exchange and Taiwan Futures Exchange

Author

Roope, Matthew and Zurbrueger, Ralf

Subjects
Singapore Exchange Ltd. -- Models, Taiwan Futures Exchange -- Models, Securities industry -- Models, Commodity exchanges -- Models, Commodities industry -- Models, Futures market -- Models, Stock-exchange -- Models, Business, Business, general
Abstract

The competition for futures pricing between the Taiwan Futures Exchange and the Singapore Exchange Ltd is described. The discovery originates at the Singapore Exchange and a stochastic trend is also found.

Published
2002

9. The relative efficiencies of price execution between the Singapore Exchange and the Taiwan Futures Exchange

Author

Chou, Robin K. and Lee, Jie-Haun

Subjects
Singapore Exchange Ltd. -- Statistics, Taiwan Futures Exchange -- Statistics, Securities industry -- Statistics, Commodities industry -- Statistics, Stock-exchange -- Models, Futures market -- Models, Commodity exchanges -- Models, Stock index futures -- Models, Business, Business, general
Abstract

A correlation for the efficiency of price execution for stock futures prices on the Singapore Exchange and Taiwan Futures Exchange is examined and analyzed. Transaction tax reduction improves price execution efficiency, but structural differences must be taken into account.

Published
2002

10. Rational speculation

Author

Leach, John

Subjects
Floor traders (Finance) -- Models, Commodity exchanges -- Models
Published
1991

11. The relationship between volume and price variability in futures markets

Author

Cornell, Bradford

Subjects
Commodities industry -- Models, Futures market -- Models, Commodity exchanges -- Models, Business, Business, general
Abstract

The uncertainty in the futures markets in regards to price and volume is discussed in detail. Risk transfer and differential information are two motives for variability under the uncertainty model.

Published
2000

13. Price discovery and volatility spillovers in the DJIA index and futures market

Author

Tse, Yiuman

Subjects
Dow Jones Industrial Average (Index) -- Analysis, Stock-exchange -- Models, Commodity exchanges -- Models, Futures market -- Models, Stocks -- Prices and rates, Business, Business, general
Abstract

A model for volatility and price discovery on the futures market and the Dow Jones Industrial Average is given. Future volatility in one market can be predicted by innovations in another market.

Published
1999

15. Weekday variations in short-term contrarian profits in futures markets

Author

Lin, J. Barry, Onochie, Joseph I., and Wolf, Avner S.

Subjects
Profit -- Models, Futures market -- Models, Commodity exchanges -- Models, Banking, finance and accounting industries, Economics, Models
Abstract

J. Barry Lin [a] Joseph I. Onochie [b,*] Avner S. Wolf © Abstract This article documents and examines weekday patterns in short-term contrarian profits in futures markets. The Lo and [...]

Published
1999

16. Putting Gann techniques into your trading system

Author

Hyerczyk, Jim

Subjects
Commodities -- Prices and rates, Bull market -- Analysis, Commodity exchanges -- Models, Commodity brokers -- Methods, Business, Business, general
Abstract

Putting Gann techniques into your trading system When analysts are speaking Gann, you may hear them say things like, 'Stay long until the 1 X 1 angle is broken' or [...]

Published
1990

17. Friends don't let friends use stops

Author

Simons, Howard L.

Subjects
Futures market -- Models, Risk (Economics) -- Models, Commodities industry -- Models, Commodity exchanges -- Models, Business, Business, general
Abstract

Just say no to fixed dollar stops on your futures positions. Using options instead is a more flexible and powerful approach to risk control. Trading, like ancient Gaul, is divided [...]

Published
1999

20. Infinite horizon equilibrium with incomplete markets

Author

Levine, David K.

Subjects
Game theory -- Models, Macroeconomics -- Models, Commodity exchanges -- Models, Production functions (Economics) -- Models, Equilibrium (Economics) -- Models, Economics, Mathematics
Published
1989

21. International market linkages and optimal monetary policy

Author

Kim, Kyung-Soo

Subjects
International trade -- Models, Commodity exchanges -- Models, Government securities -- Economic aspects, Foreign exchange -- Prices and rates, Labor supply -- Analysis, International economic relations -- Analysis, Monetary policy -- Analysis, Business, Business, international, Economics
Published
1989

27. The formation of price forecasts in experimental markets

Author

Williams, Arlington W.

Subjects
Commodity futures -- Prices and rates, Supply and demand -- Forecasts and trends, Commodity exchanges -- Models, Prices -- Forecasts and trends, Economic forecasting -- Methods
Published
1987

28. On the optimality of forward markets

Author

Townsend, Robert M.

Subjects
Equilibrium (Economics) -- Models, Foreign exchange futures -- Models, Commodity exchanges -- Models, Business, Economics
Published
1978

37. The effects of USDA crop announcements on commodity prices

Author

Milonas, Nikolaos T.

Subjects
United States. Department of Agriculture -- Forecasts and trends, Agricultural prices -- Models, Commodity exchanges -- Models, Commodity futures -- Prices and rates, Business, Business, general
Published
1987

49. The arbitrage pricing theory and macroeconomic factor measures

Author

Burmeister, Edwin and Wall, Kent D.

Subjects
Stocks -- Prices and rates, Securities -- Prices and rates, Commodity exchanges -- Models, Arbitrage -- Prices and rates, Stock-exchange -- Models, Banking, finance and accounting industries, Business
Abstract

Macroeconomic factors (such as inflation and interest rate changes) are related to arbitrage pricing and the activity levels of various commodity and stock exchanges, using a factor analysis approach that defines mathematical equations for four macroeconomic factors and tests them for their effect on trading. The research supports the theories originally developed by S.A. Ross in his article, 'The Arbitrage Theory of Capital Asset Pricing', that relate macroeconomic factors to stock prices and trading activity. Suggestions for further research in this area are provided.

Published
1986

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