Essays on Futures Trading Under Non-Standard Assumptions

The objective of this dissertation is to investigate more realistic decision-making models and contrast them to the standard utility model in futures markets. Specifically the rationality assumption is relaxed and more reasonable assumptions about agents' decision context are considered in three studies on the behavior of hedgers and traders. Hedging behavior in futures market is investigated by relaxing assumptions related to both expected utility theory and the hedger's decision context, allowing more realistic estimates of hedge ratios. Further, for the first time the behavior of futures and options traders is explored using experiments combined with field data from individual trading records. A general finding of the dissertation is that outcomes from decision-making models based on prospect theory and more realistic assumptions about agents' decision context differ substantially from those produced by expected utility models. Further, outcomes are more consistent with observed behavior. Overall, the research offers new insights on what drives specific dimensions of behavior and how they affect trading performance in futures and options markets.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Agricultural and Consumer Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Mattos, Fabio Lanhoso

Contributors dc:contributor

• Garcia, Philip

• Economics, Finance

Language dc:language

eng

Identifier

(MiAaPQ)AAI3347445

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/83007