This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for 12 agricultural commodity futures. For this purpose, we dynamically model equidirectional trading of long and short futures as a proxy market sentiment. We find evidence period considerably positive differ significantly from neutral periods all commodities,...

Purpose. The purpose of the article is to substantiate theoretical and methodological foundations economic feasibility intensifying processes financialization business model Ukrainian grain producers, in particular through formation futures market creation commodity exchange Ukraine. 
 Methodology / approach. In article, it clarified concept as one global trends development that provides d...

Considerable studies have examined the relationship between commodity markets and stock markets. This paper cyclical with implications for investing based on index relationships. Stock are represented by U.S. S&P 500 aggregate producer price (PPI). Tradeable market indexes readily available to investors, namely GSCI Index Bloomberg Commodity (BCOM), also studied. An optimal bandpass filter ...

This article contains the datasets related to the research article "The long and short of commodity tails and their relationship to Asian equity markets"(Powell et al., 2017) [1]. The datasets contain the daily prices (and price movements) of 24 different commodities decomposed from the S&P GSCI index and the daily prices (and price movements) of three share market indices including World, Asia...

This paper proposes a convenience yield-based pricing for commodity futures, which embeds incompleteness of commodity futures markets in convenience yields. By using the pricing method, we conduct empirical analyses of the prices of WTI crude oil, heating oil, and natural gas futures traded on the NYMEX in order to assess the incompleteness of energy futures markets. We show that the fluctuatio...

General equilibrium theory has been proposed for resource allocation in computational markets. The basic procedure is that agents submit bids and that a resource (re)allocation is performed when a set of prices (one for each commodity) is found such that supply meets demand for each commodity. For successful implementation of large markets based on general equilibrium theory, e cient algorithms...

General equilibrium theory has been proposed for resource allocation in computational markets. The basic procedure is that agents submit bids and that a resource (re)allocation is performed when a set of prices (one for each commodity) is found such that supply meets demand for each commodity. For successful implementation of large markets based on general equilibrium theory, ee-cient algorithm...

This paper provides simple approximations for evaluating option prices and implied volatilities under stochastic volatility. Simple recursive formulae are derived that can easily be implemented in spreadsheets. The traditional random walk assumption, dominating in the analysis of financial markets, is compared with mean reversion which is often more relevant in commodity markets. Deterministic ...

BACKGROUND Microalgal triglycerides (TAGs) hold great promise as sustainable feedstock for commodity industries. However, to determine research priorities and support business decisions, solid techno-economic studies are essential. Here, we present a techno-economic analysis of two-step TAG production (growth reactors are operated in continuous mode such that multiple batch-operated stress reac...

Proper product design plays in important role in the success within a marketplace. In order for a product to succeed within a competitive consumable commodity market, the product must focus on specific attributes. This paper examines three historical case studies the video cassette, the DVD, and the high definition markets. Through these three examples, trends amongst product features, consumer...