Related papers: Commodity futures and market efficiency
We uncover a large and significant low-minus-high rank effect for commodities across two centuries. There is nothing anomalous about this anomaly, nor is it clear how it can be arbitraged away. Using nonparametric econometric methods, we…
This study investigates the relationships between agricultural spot markets and external uncertainties via the multifractal detrending moving-average cross-correlation analysis (MF-X-DMA). The dataset contains the Grains \& Oilseeds Index…
The global shipping network, which moves over 80% of the world's goods, is not only a vital backbone of the global economy but also one of the most polluting industries. Studying how this network operates is crucial for improving its…
Accuracy of crop price forecasting techniques is important because it enables the supply chain planners and government bodies to take appropriate actions by estimating market factors such as demand and supply. In emerging economies such as…
High-frequency trading (HFT) represents a pivotal and intensely competitive domain within the financial markets. The velocity and accuracy of data processing exert a direct influence on profitability, underscoring the significance of this…
We discuss the stationary states of a model economy in which $N$ heterogeneous adaptive consumers purchase commodity bundles repeatedly from $P$ sellers. The system undergoes a transition from an inefficient to an efficient state as the…
Characterizing and optimizing nanoscopic heat engines require an appropriate understanding of the interplay between power, efficiency, entropy production and fluctuations. Despite significant recent advancements, including linear stochastic…
In this paper we show how to approximate a Heath-Jarrow-Morton dynamics for the forward prices in commodity markets with arbitrage-free models which have a finite dimensional state space. Moreover, we recover a closed form representation of…
This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities,…
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…
Commodity futures constitute an attractive asset class for portfolio managers. Propelled by their low correlation with other assets, commodities begin gaining popularity among investors, as they allow to capture diversification benefits.…
We show that a large effective number of commodities can be a source of equilibrium stability and uniqueness: expanding substitution opportunities strengthens aggregate substitution effects. We study finite dated-commodity exchange…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
Observed efficiencies of industrial power plants are often approximated by the square-root formula: $1-\sqrt{T_-/T_+}$, where $T_+ (T_-)$ is the highest (lowest) temperature achieved in the plant. This expression can be derived within…
Accurate forecasting of commodity price spikes is vital for countries with limited economic buffers, where sudden increases can strain national budgets, disrupt import-reliant sectors, and undermine food and energy security. This paper…
Goals to reduce carbon emissions and changing electricity prices due to increasing penetrations of wind power generation affect the planning and operation of district heating production systems. Through extensive multivariate sensitivity…
The financialization of agricultural commodities and its impact on food security has become an increasing concern. This study empirically investigates the role of financialization in global food markets and its policy implications for a…
Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper…
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a great variety of commodities, ranging from precious metals to…