An agent invests in two types of futures contracts, whose prices are possibly correlated arithmetic Brownian motions, and invests in a money market account with a constant interest rate. The agent pays a transaction cost for trading in futures proportional to the size of the trade. She also receives utility from consumption. The agent maximizes expected infinite-horizon discounted utility from ...

This paper analyses the validity of the weak-form market efficiency, using the random-walk hypothesis for the six industrial base metals copper, aluminium, zinc, nickel, tin and lead traded at the London Metal Exchange. I analyse the behaviour of daily and weekly prices of the daily rolling three-month futures contracts, as these contracts exhibit the highest level of trading activity. In contr...

This paper develops an equilibrium model of a competitive futures market in which investors trade to hedge positions and to speculate on their private information. Equilibrium return and trading patterns are examined. ~1! In markets where the information asymmetry among investors is small, the return volatility of a futures contract decreases with time-to-maturity ~i.e., the Samuelson effect ho...

Disclaimer Any opinions expressed here are those of the author(s) and not those of the IIIS. All works posted here are owned and copyrighted by the author(s). Papers may only be downloaded for personal use only. Abstract: We investigate the volatility structure of gold, trading as a futures contract on the Chicago Board of Trade (CBOT) using intraday (high frequency) data from January 1999 to D...

As an emerging financial market, the trading value of carbon emission trading market has definitely increased. In recent years, the carbon emission allowances have already become a way of investment. They are bought and sold not only by carbon emitters but also by investors. In this paper, we analyzed the price fluctuations of the European Union allowances (EUA) futures in EuropeanClimate Excha...

This article investigates one important strand in the evolution of today's high-frequency trading or HFT (the fast, automated trading of large numbers of financial securities). That strand is the history of the automation of trading on what has become the world's most prominent futures exchange, the Chicago Mercantile Exchange or Merc. The process of the automation of the Merc was episodic, oft...