Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 66 for “"futures market"”.
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Short term price behavior on the commodities futures market,
Massachusetts Institute of Technology, Alfred P. Sloan School of Management. Thesis. 1974. M.S.
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The Forward-Pricing Efficiency of The Live-Hog Futures Market
… that some hog producers use the live-hog futures price as the expected cash price, as such the futures price is an important piece of information to the hog producer.
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Risk management, price discovery and forecasting in the freight futures market
The success or failure of a futures contract is determined by its ability to provide benefits to economic agents, over and above the benefits they derive from the spot market. These benefits are price discovery and risk management through hedging. The extent to which different commodity and …
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Commodity futures market reaction to anticipated public reports: Frozen pork bellies
… the reaction of the frozen pork bellies futures market to the release of inventory information. Knight-Ridder releases their analysts' forecasts of the USDA estimate two days prior to the estimate provided by the USDA. A rational expectations model is developed to study how futures …
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Financial innovations, inflation and the futures market for foreign exchange in Brazil
… the behavior of prices in one of the markets that is a result of this financial liberalization process, the futures market for foreign exchange. Efficiency tests and a discussion of unconditional and conditional biases is provided, a Kalman filter model is estimated and a …
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The components of the bid-ask spread: evidence from the corn futures market
The student, Quanbiao Shang, accepted the attached license on 2016-04-26 at 12:56.
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Three essays on agricultural futures market liquidity: exchange rules, Covid-19, and market stress
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-08-01
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The influence of specific trader groups on price discovery in the live cattle futures market
… on the price discovery process in live cattle futures. This work was based on a conceptual model where traders select the information deemed most relevant for forecasting future prices and then make use of a translating mechanism to condense this information into a price expectation. A trader's …
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Empirical Analyses of Price Relationships in the Live Beef Cattle Futures Market--Implications for Primary Producers
Made available in DSpace on 2014-12-13T19:23:20Z (GMT). No. of bitstreams: 1 7714945.pdf: 6252941 bytes, checksum: 17f7286a1e9f98e42b577111336dfaea (MD5) Previous issue date: 1977
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A Strong Form Test of the Efficient Market Model Applied to the u.s. Hog Futures Market
Made available in DSpace on 2014-12-13T19:23:22Z (GMT). No. of bitstreams: 1 7811230.pdf: 6969588 bytes, checksum: 275b17fc6edc29105767f3185b6cb4e2 (MD5) Previous issue date: 1978
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A statistical analysis of the natural gas futures market : the interplay of sentiment, volatility and prices
… price dynamics of the North American natural gas market through a statistical survey that includes an analysis of the variables influencing the price and volatility of this energy market. The analysis develops a theoretical model for the conditional reactions to weekly natural gas inventory …
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An analysis into the hedging effectiveness and efficiency of the share index futures market in South Africa
There has been much written on the ability of futures to reduce risk thereby hedging against potential market declines. However, the effect on return has been largely overlooked. This study investigates the risk and return effectiveness of hedging and hedging strategies using share index futures …
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A quarterly feeder cattle price forecasting model with application towards the development of a futures market strategy
… consistently selling feeder cattle in the cash market. To these ends, a structural model for the feeder cattle market in the United States was developed in order to isolate the important variables to be used in the construction of a quarterly price forecasting model. Time series methods …
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Interaction between the cattle feeding sector and the live cattle futures market: implications to the stability of short-run cash slaughter cattle prices
… Fax</u> member feedlots, and the live cattle futures market is examined. The purpose of this research is to explore the simultaneity between placement decisions made in the cattle feeding sector and the price discovery process for distant contracts within the live cattle futures market. The …
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Three Essays on: Hedging in China's Oil futures market; Gold, Oil and Stock Market Price Volatility links in the USA; and, Currency Fluctuations in S.E. and Pacific Asia
… 1 examines the effectiveness of China fuel oil futures in hedging a domestic spot fuel oil position as well as hedging a spot position in the Singapore fuel oil market. To the best of our knowledge, this is the first study of this kind. Dynamic Bi-variate GARCH and constant volatility models are …
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Topics in Nonstationary Time Series
The press releases from the Federal Open Market Committee(FOMC) are one of the major inputs to the interest rate futures market. To estimate the impact associated with the FOMC announcements, the random intervention model is used for an empirical study on the Interest Rate Futures markets, using …
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Three essays on insider trading
… essays on insider trading in financial markets. The first essay studies the workings of a cash market and a futures market under uncertainty. The model in this essay is an extension of work by Danthine (Journal of Economic Theory, 1978), in which perfectly competitive risk averse …
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One, two and three quarter forecasting models for broiler price
… and were compared with the ability of the futures market to forecast broiler price. Results showed all three models predicted better than no-change extrapolation. The models predicting broiler price two and three quarters in advance predicted better than the futures market.
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