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Roberts, Matthew C.. |
Although there is little academic research that supports the usefulness of technical analysis, its use remains widespread in commodity markets. Much prior research into technical analysis suffered from data-snooping biases. Using genetic programming, ex ante optimal technical trading strategies are identified. Because they are mechanically generated from simple arithmetic operators, they are free of the data-snooping bias common in technical analysis research. These rules are clearly capable of forecasting periods of high and low volatility, but rules generated for corn and soybeans cannot consistently generate profits in the presence of transactions costs. Rules generated for wheat futures produce profits that are weakly significant, both... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Technical Analysis; Genetic Algorithms; Commodity Markets; Futures Markets; Marketing. |
Ano: 2003 |
URL: http://purl.umn.edu/18974 |
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Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria. |
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying. |
Tipo: Working Paper |
Palavras-chave: Energy; Commodities; Futures Markets; Financial Speculation; Multivariate GARCH; Financial Economics; C32; G13; Q11; Q43. |
Ano: 2012 |
URL: http://purl.umn.edu/122868 |
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Kuwornu, John K.M.; Kuiper, W. Erno; Pennings, Joost M.E.; Meulenberg, Matthew T.G.. |
We examine the interaction of marketing channel members and the influence of these interactions on incentives, coordination costs, and risk allocation strategies in a food marketing channel. For this purpose we specify a three-stage principal-agent marketing channel model involving producers, wholesalers, retailers and a futures market. We compare the situation with and without futures market. The empirical results regarding the Dutch ware potato marketing channel during 1971-2003 reveals that, possibly as a result of increases in incentives to producers and wholesalers, the coordination costs of the marketing channel decreased significantly, both with and without futures trade. The coordination costs of a marketing channel with a futures market are lower... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Contracts; Risks; Coordination Costs; Futures Markets; Food Marketing Channels; Agribusiness; Marketing. |
Ano: 2006 |
URL: http://purl.umn.edu/7740 |
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