1 See Dodd-Frank Wall Street Reform and Consumer Protection Act, Public Law 111–203, 124 Stat. 1376 (2010). The text of the Dodd-Frank Act may be accessed at http://www.cftc.gov/Law Regulation/OTCDERIVATIVES/index.htm. 2 Pursuant to Section 701 of the Dodd-Frank Act, Title VII may be cited as the ‘‘Wall Street Transparency and Accountability Act of 2010.’’ 3 7 U.S.C. 1 et seq. 4 Section 1a(20) ...

This paper investigates the dynamic high-frequency dependence structure of Chinese four major agricultural commodity futures by utilizing a semi-parametric copula-based multivariate model with 5-minute trading data. The empirical results show that daily between is time-varying and slightly asymmetric, this its asymmetry are more pronounced during world food crisis (2007–2008) global financial (...

B2B spot market has grown rapidly and become an effective trading channel for commodity products. Besides long-term contract procurement from conventional suppliers (forward and option), a buyer can procure or sell commodities at any time in B2B spot market to adjust her inventory level. However, spot prices are generally volatile and the market is imperfect in the sense that spot trading may b...

Large-scale digitization efforts and the availability of computational methods, including text mining and information visualization, have enabled new approaches to historical research. However, we lack case studies of how these methods can be applied in practice and what their potential impact may be. Trading Consequences is an interdisciplinary research project between environmental historians...

The size distribution of land plots is a result of land allocation processes in the past. In the absence of regulation this is a Markov process leading an equilibrium described by a probabilistic equation used commonly in the insurance and financial mathematics. We support this claim by analyzing the distribution of two plot types, garden and build-up areas, in the Czech Land Registry pointing ...

The prevalence of commercial activities whose profit and cost are correlated with weather risk makes weather derivatives valuable financial instruments that enable hedging of price or volumetric (quantity) risk in many industries. This paper proposes a multi-period equilibrium pricing model for weather derivative. In our stylized economy representative agents of weather-sensitive industries opt...

We put forward Value-at-Risk models relevant for commodity traders who have long and short trading positions in commodity markets. In a 5-year out-of-sample study on aluminium, copper, nickel, Brent crude oil and WTI crude oil daily cash prices and cocoa nearby futures contracts, we assess the performance of the RiskMetrics, skewed Student APARCH and skewed student ARCH models. While the skewed...

Following the approval of the Dodd–Frank Wall Street Reform and Consumer Protection Act (Dodd–Frank) in July of 2010, U.S. Commodity Futures Trading Commission (CFTC) Commissioner Bart Chilton wrote, “Now that the U.S. has approved the largest financial regulatory reform ever undertaken, it’s time for other nations to join in to ensure more efficient, effective market systems. Here is what we k...