Littérature scientifique sur le sujet « COMMODITY FUTURES MARKET »
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Articles de revues sur le sujet "COMMODITY FUTURES MARKET"
Kumar, Brajesh, et Ajay Pandey. « Market efficiency in Indian commodity futures markets ». Journal of Indian Business Research 5, no 2 (31 mai 2013) : 101–21. http://dx.doi.org/10.1108/17554191311320773.
Texte intégralLiu, Qingfu, Qian Luo, Yiuman Tse et Yuchi Xie. « The market quality of commodity futures markets ». Journal of Futures Markets 40, no 11 (8 avril 2020) : 1751–66. http://dx.doi.org/10.1002/fut.22115.
Texte intégralKumar Mahalik, Mantu, Debashis Acharya et M. Suresh Babu. « Price discovery and volatility spillovers in futures and spot commodity markets ». Journal of Advances in Management Research 11, no 2 (29 juillet 2014) : 211–26. http://dx.doi.org/10.1108/jamr-09-2012-0039.
Texte intégralChristoffersen, Peter, Asger Lunde et Kasper V. Olesen. « Factor Structure in Commodity Futures Return and Volatility ». Journal of Financial and Quantitative Analysis 54, no 3 (28 août 2018) : 1083–115. http://dx.doi.org/10.1017/s0022109018000765.
Texte intégralKristoufek, Ladislav, et Miloslav Vosvrda. « Commodity futures and market efficiency ». Energy Economics 42 (mars 2014) : 50–57. http://dx.doi.org/10.1016/j.eneco.2013.12.001.
Texte intégralBhagwat, Shree, et Angad Singh Maravi. « THE ROLE OF FORWARD MARKETS COMMISSION IN INDIAN COMMODITY MARKETS ». International Journal of Research -GRANTHAALAYAH 3, no 11 (30 novembre 2015) : 87–105. http://dx.doi.org/10.29121/granthaalayah.v3.i11.2015.2919.
Texte intégralDubey, Priti, et Rishika Shankar. « Determinants of the Commodity Futures Market Performance : An Indian Perspective ». South Asia Economic Journal 21, no 2 (septembre 2020) : 239–57. http://dx.doi.org/10.1177/1391561420970837.
Texte intégralRanganathan, Thiagu, et Usha Ananthakumar. « Market efficiency in Indian soybean futures markets ». International Journal of Emerging Markets 9, no 4 (9 septembre 2014) : 520–34. http://dx.doi.org/10.1108/ijoem-12-2011-0106.
Texte intégralR L, Manogna, et Aswini Kumar Mishra. « Price discovery and volatility spillover : an empirical evidence from spot and futures agricultural commodity markets in India ». Journal of Agribusiness in Developing and Emerging Economies 10, no 4 (23 mai 2020) : 447–73. http://dx.doi.org/10.1108/jadee-10-2019-0175.
Texte intégralAgnihotri, Shalini, et Kanishk Chauhan. « Modeling tail risk in Indian commodity markets using conditional EVT-VaR and their relation to the stock market ». Investment Management and Financial Innovations 19, no 3 (7 juillet 2022) : 1–12. http://dx.doi.org/10.21511/imfi.19(3).2022.01.
Texte intégralThèses sur le sujet "COMMODITY FUTURES MARKET"
Fan, Hua (John). « Momentum Investing in Commodity Futures ». Thesis, Griffith University, 2014. http://hdl.handle.net/10072/365723.
Texte intégralThesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
Full Text
Gurrib, Muhammad Ikhlaas. « Behaviour and performance of key market players in the US futures markets ». Thesis, Curtin University, 2008. http://hdl.handle.net/20.500.11937/1287.
Texte intégralTang, Weiqing. « Global commodity futures market modelling and statistical inference ». Thesis, University of Birmingham, 2018. http://etheses.bham.ac.uk//id/eprint/8661/.
Texte intégralWang, Ying. « Essays on Risk Management for Agricultural Commodity Futures Market ». The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1461192690.
Texte intégralGurrib, Muhammad Ikhlaas. « Behaviour and performance of key market players in the US futures markets ». Curtin University of Technology, School of Economics and Finance, 2008. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=117995.
Texte intégralAtlhought hedgers in crude oil had significant positive feedback behaviour and negative market timing skills, they would not have much of a destabilizing effect over remaining players because the mean net positions of hedgers and speculators were not far apart. While the results are statistically significant, it is suggested these could be economically significant, in that there have been no regulation on position limits at all for hedgers compared to speculators who are imposed with strict limits from the CFTC. Further, mean equations were regressed against decomposed variables, to see how much of the futures returns are attributed to expected components of variables such as net positions, sentiment and information variables. While the expected components of variables are derived by ensuring there are enough ARMA (autoregressive and moving average) terms to make them statistically and economically reliable, the unexpected components of variables measure the residual on differences of the series from its mean. When decomposing net positions against returns, it was found expected net positions to be negatively related to hedgers’ returns in mostly agricultural markets. Speculators’ expected (unexpected) positions were less (more) significant in explaining actual returns, suggesting hedgers are more prone in setting an expected net position at the start of the trading month to determine actual returns rather than readjusting their net positions frequently all throughout the remaining days of the month. While it important to see how futures returns are determined by expected and unexpected values, it is also essential to see how volatility is affected as well.
In an attempt to cover three broad types of volatility measures, idiosyncratic volatility, GARCH based volatility (variance based), and PARCH based volatility (standard deviation) are used. Net positions of hedgers (expected and unexpected) tend to have less effect on idiosyncratic volatility than speculators that tended to add to volatility, reinforcing that hedgers trading activity hardly affect the volatility in their returns. This suggest they are better informed by having a better control over their risk (volatility) measures. The GARCH model showed more reliance of news of volatility from previous month in speculators’ volatility. Hedgers’ and speculators’ volatility had a tendency to decay over time except for hedgers’ volatility in Treasury bonds and coffee, and gold and S&P500 for speculators’ volatility. The PARCH model exhibited more negative components in explaining current volatility. Only in crude oil, heating oil and wheat (Chicago) were idiosyncratic volatility positively related to return, reinforcing the suggestion for stringent regulation in the heating oil market. Expected idiosyncratic volatility was lower (higher) for hedgers (speculators) as expected under portfolio theory. Markets where variance or standard deviation are smaller than those of speculators support the price insurance theory where hedging enables traders to insure against the risk of price fluctuations. Where variance or standard deviation of hedgers is greater than speculators, this suggest the motivation to use futures contracts not primarily to reduce risk, but by institutional characteristics of the futures exchanges like regulation ensuring liquidity.
Results were also supportive that there was higher fluctuations in currency and financial markets due to the higher number of contracts traded and players present. Further, the four models (GARCH normal, GARCH t, PARCH normal and PARCH t) showed returns were leptokurtic. The PARCH model, under normal distribution, produced the best forecast of one-month return in ten markets. Standard deviation and variance for both hedgers’ and speculators’ results were mixed, explained by a desire to reduce risk or other institutional characteristics like regulation ensuring liquidity. Moreover, idiosyncratic volatility failed to accurately forecast the risk (standard deviation or variance based) that provided a good forecast of one-month return. This supports not only the superiority of ARCH based models over models that assume equally weighted average of past squared residuals, but also the presence of time varying volatility in futures prices time series. The last section of the study involved a stability and events analysis, using recursive estimation methods. The trading determinant model, mean equation model , return and risk model, trading activity model and volatility models were all found to be stable following the effect of major global economic events of the 1990s. Models with risk being proxied as standard deviation showed more structural breaks than where variance was used. Overall, major macroeconomic events didn’t have any significant effect upon the large hedgers’ and speculators’ behaviour and performance over the last decade.
Howell, James Andreas. « An analysis of speculator behavior and the dynamics of price in a futures market ». Diss., Georgia Institute of Technology, 1992. http://hdl.handle.net/1853/24847.
Texte intégralDai, Jingyu. « Testing Overreaction and Under-reaction in the Commodity Futures Market ». Thesis, Singapore Management University (Singapore), 2013. http://pqdtopen.proquest.com/#viewpdf?dispub=1548068.
Texte intégralResults from previous studies testing for under-reaction and overreaction in the commodity futures market are mixed and inconclusive. Using a data of more than 20 categories of future contacts ranging from agricultural, metal and energy, we have found significant evidence of under-reaction in food and agricultural commodities but not in the energy and metal sector. It is also found that those relatively inactive commodity future contracts tend to have a stronger tendency to under-react than commodity future contracts are very actively traded. The result also agrees with the behavioral hypothesis that under-reaction is caused by gradual incorporation of information among investors.
Kim, Sang Hyo. « Analysis of Agricultural Commodity Storage Using Futures and Options Market ». The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1436958589.
Texte intégralBrunetti, Celso. « Comovement and volatility in international asset markets ». Thesis, Queen Mary, University of London, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.322235.
Texte intégralGoetz, Cole Louis. « The Effects of Futures Markets on the Spot Price Volatility of Storable Commodities ». Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/29795.
Texte intégralLivres sur le sujet "COMMODITY FUTURES MARKET"
Kevin, Koy, dir. Markets and market logic. Chicago : Porcupine Press, 1986.
Trouver le texte intégralCommodity market fundamentals. Upper Saddle River, N.J : FTPress Delivers, 2011.
Trouver le texte intégralDalton, James F. Mind over markets : Power trading with market generated information. London : McGraw-Hill, 1990.
Trouver le texte intégralDalton, James F. Mind over markets : Power trading with market generated information. Chicago, Ill : Probus, 1990.
Trouver le texte intégralDalton, James F. Mind over markets : Power trading with market generated information. London : McGraw-Hill Book Co., 1990.
Trouver le texte intégralSofyan, Hanafi. Perdagangan berjangka dan ekonomi Indonesia. Jakarta : Elex Media Komputindo, 2000.
Trouver le texte intégral1971-, Kurnia Ahmad Doli, et Syafi'i Abdullah 1971-, dir. Perdagangan berjangka komoditi Indonesia : Relevansinya dengan kon[s]truksi nilai etika dalam pasar bebas dan pertumbuhan nilai ekonomi bangsa. [Jakarta] : HMI Publisher, 1999.
Trouver le texte intégralDuffie, Darrell. Futures markets. EnglewoodCliffs : Prentice-Hall, 1989.
Trouver le texte intégralFutures markets. Englewood Cliffs, N.J : Prentice Hall, 1989.
Trouver le texte intégralGeorge, Angell, dir. Winning in the futures market. 2e éd. Garden City, N.Y : Doubleday, 1987.
Trouver le texte intégralChapitres de livres sur le sujet "COMMODITY FUTURES MARKET"
Daloz, Jean Pierre. « The producer and futures markets ». Dans International Commodity Market Models, 253–62. Dordrecht : Springer Netherlands, 1991. http://dx.doi.org/10.1007/978-94-011-3084-4_13.
Texte intégralRausser, Gordon C., et Nicholas Walraven. « Dynamic welfare analysis and commodity futures markets overshooting ». Dans International Commodity Market Models, 211–32. Dordrecht : Springer Netherlands, 1991. http://dx.doi.org/10.1007/978-94-011-3084-4_11.
Texte intégralLowry, Mark Newton. « Futures prices and hidden stocks of refined oil products ». Dans International Commodity Market Models, 263–73. Dordrecht : Springer Netherlands, 1991. http://dx.doi.org/10.1007/978-94-011-3084-4_14.
Texte intégralArtus, Patrick. « When does the creation of a futures market destabilize spot prices ? » Dans International Commodity Market Models, 233–52. Dordrecht : Springer Netherlands, 1991. http://dx.doi.org/10.1007/978-94-011-3084-4_12.
Texte intégralHallett, Andrew Hughes, et Prathap Ramanujam. « Market Solutions to the Problem of Stabilizing Commodity Earnings ». Dans Commodity, Futures and Financial Markets, 1–34. Dordrecht : Springer Netherlands, 1991. http://dx.doi.org/10.1007/978-94-011-3354-8_1.
Texte intégralLuo, Guo Ying. « Evolution and Informationally Efficient Equilibrium in a Commodity Futures Market ». Dans Studies in Economic Theory, 61–88. New York, NY : Springer New York, 2011. http://dx.doi.org/10.1007/978-1-4614-0712-6_4.
Texte intégralKumar, Raushan, Nand Kumar, Aynalem Shita et Sanjay Kumar Pandey. « Lead–Lag Relationship Between Spot and Futures Prices of Indian Agri Commodity Market ». Dans Lecture Notes in Mechanical Engineering, 339–48. Singapore : Springer Singapore, 2021. http://dx.doi.org/10.1007/978-981-15-8542-5_29.
Texte intégralVaitonis, Mantas, et Saulius Masteika. « Statistical Arbitrage Trading Strategy in Commodity Futures Market with the Use of Nanoseconds Historical Data ». Dans Communications in Computer and Information Science, 303–13. Cham : Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-67642-5_25.
Texte intégralLerkeitthamrong, Khunanont, Chatchai Khiewngamdee et Rossarin Osathanunkul. « Impacts of Global Market Volatility and US Dollar on Agricultural Commodity Futures Prices : A Panel Cointegration Approach ». Dans Structural Changes and their Econometric Modeling, 412–22. Cham : Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-04263-9_32.
Texte intégralGeisst, Charles R. « Commodity Futures Markets ». Dans A Guide to the Financial Markets, 90–106. London : Macmillan Education UK, 1989. http://dx.doi.org/10.1007/978-1-349-20348-2_5.
Texte intégralActes de conférences sur le sujet "COMMODITY FUTURES MARKET"
Tan, Li, Qi Zhong-ying, Sui Xue-shen et Lei Ying. « Heterogeneous Agent Beliefs and Clustered Volatility in Commodity Futures Market ». Dans The 2007 International Conference on Intelligent Pervasive Computing (IPC 2007). IEEE, 2007. http://dx.doi.org/10.1109/ipc.2007.18.
Texte intégralJain, Neeti, et Niti Nandini Chatnani. « Financialization – Evidence from Dynamic Connectedness among Agricultural Index Futures ». Dans 8th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2022. http://dx.doi.org/10.31410/eraz.s.p.2022.35.
Texte intégralHuang, Ke, Jifeng Sun, Zuominyang Zhang, Ying Ye et Wenjian Hou. « Dynamic network of commodity futures market and systemic risk contribution of key commodities ». Dans 2022 IEEE International Conference on Big Data (Big Data). IEEE, 2022. http://dx.doi.org/10.1109/bigdata55660.2022.10020485.
Texte intégralFu, Zeng-yu, et Hu-wei Wen. « Measure and Manage the Dynamic risk of Commodity Futures Market Based on CAViaR ». Dans 2016 International Conference on Engineering Management (Iconf-EM 2016). Paris, France : Atlantis Press, 2016. http://dx.doi.org/10.2991/iconfem-16.2016.7.
Texte intégralSWITZER, LORNE N., et HUI JIANG. « MARKET EFFICIENCY AND THE RISKS AND RETURNS OF DYNAMIC TRADING STRATEGIES WITH COMMODITY FUTURES ». Dans First Interdisciplinary Chess Interactions Conference. WORLD SCIENTIFIC, 2010. http://dx.doi.org/10.1142/9789814295895_0008.
Texte intégralYang, Zijian. « Stability of Spot price and Futures market for Agricultural commodity : based on the sugar products ». Dans 2016 International Forum on Management, Education and Information Technology Application. Paris, France : Atlantis Press, 2016. http://dx.doi.org/10.2991/ifmeita-16.2016.96.
Texte intégralStaugaitis, Algirdas Justinas. « Financial speculation impact on agricultural commodity price volatility : TGARCH approach ». Dans 21st International Scientific Conference "Economic Science for Rural Development 2020". Latvia University of Life Sciences and Technologies. Faculty of Economics and Social Development, 2020. http://dx.doi.org/10.22616/esrd.2020.53.014.
Texte intégralDarden, Thaddeus A., Margaret E. Ferrenz, Christopher C. Klann, Michael J. Ledwith, Mark E. Paddrik et Ginger M. Davis. « Modified momentum strategies in commodity futures markets ». Dans 2009 Systems and Information Engineering Design Symposium (SIEDS). IEEE, 2009. http://dx.doi.org/10.1109/sieds.2009.5166181.
Texte intégralGrossmann, Vasco, et Manfred Schimmler. « Portfolio-based contract selection in commodity futures markets ». Dans 2016 IEEE Symposium Series on Computational Intelligence (SSCI). IEEE, 2016. http://dx.doi.org/10.1109/ssci.2016.7850018.
Texte intégralShen, Li, Kun Shen, Chao Yi et Yixin Chen. « An Evaluation of Pairs Trading in Commodity Futures Markets ». Dans 2020 IEEE International Conference on Big Data (Big Data). IEEE, 2020. http://dx.doi.org/10.1109/bigdata50022.2020.9377766.
Texte intégralRapports d'organisations sur le sujet "COMMODITY FUTURES MARKET"
Considine, Jennifer, Philip Galkin et Abdullah Aldayel. Global Crude Oil Storage Index : A New Benchmark for Energy Policy. King Abdullah Petroleum Studies and Research Center, septembre 2022. http://dx.doi.org/10.30573/ks--2022-mp01.
Texte intégralBreman, Carlotta, et Servaas Storm. Betting on black gold : Oil speculation and U.S. inflation (2020-2022). Institute for New Economic Thinking Working Paper Series, juin 2023. http://dx.doi.org/10.36687/inetwp208.
Texte intégralCheng, Ing-Haw, Andrei Kirilenko et Wei Xiong. Convective Risk Flows in Commodity Futures Markets. Cambridge, MA : National Bureau of Economic Research, mars 2012. http://dx.doi.org/10.3386/w17921.
Texte intégralRouwenhorst, K. Geert. A Tale of Two Premiums : The Role of Hedgers and Speculators in Commodity Futures Markets. American Finance Association, septembre 2021. http://dx.doi.org/10.37214/jofdata.3.
Texte intégralLudena, Carlos, Thomas Hertel, Paul Preckel, Kenneth Foster et Alejandro Nin-Pratt. Productivity Growth and Convergence in Crop, Ruminant and Non-Ruminant Production : Measurement and Forecasts. GTAP Working Paper, novembre 2006. http://dx.doi.org/10.21642/gtap.wp35.
Texte intégralTrapani, Paola. Collaborative Housing as a Response to the Housing Crisis in Auckland. Unitec ePress, juillet 2018. http://dx.doi.org/10.34074/ocds.0821.
Texte intégralHertel, Thomas, Wally Tyner et Dileep Birur. Biofuels for all ? Understanding the Global Impacts of Multinational Mandates. GTAP Working Paper, avril 2008. http://dx.doi.org/10.21642/gtap.wp51.
Texte intégralZholdayakova, Saule, Yerdaulet Abuov, Daulet Zhakupov, Botakoz Suleimenova et Alisa Kim. Toward a Hydrogen Economy in Kazakhstan. Asian Development Bank Institute, octobre 2022. http://dx.doi.org/10.56506/iwlu3832.
Texte intégralThe Oil Industry Challenges and Strategic Responses. Universidad de Deusto, 2018. http://dx.doi.org/10.18543/fwgz8427.
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