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Is there co-movement between the China and US agricultural futures markets?
spillover effect soybean wheat
2015/6/8
The paper examines the co-movements between the agricultural markets of China and the US. First, the empirical findings indicate that long-term equilibrium exists between the China and US soybean futu...
Optimal portfolios in commodity futures markets
futures contract commodity markets portfolio optimization stochastic partial differential equations
2012/4/28
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize ...
Information Transmission in Informationally Linked Markets: Evidence from US and Chinese Commodity Futures Markets
Commodity futures Informationally linked markets Synchronous and non-synchronous trading Price discovery
2014/1/13
This paper investigates information transmission and price discovery in informationally linked markets within the multivariate generalized autoregressive conditional heteroskedasticity and information...
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Statistical Arbitrage Optimal Trading Transaction Costs Futures Markets
2010/12/13
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the ...
A Model of Returns and Trading in Futures Markets。