Energy commodities and their futures naturally show cointegrated price movements. However, there is empirical evidence that the prices of futures with different maturities might have, e.g., different jump behaviours in different market situations. Observing commodity futures over time, there is also evidence for different states of the underlying volatility of the futures. In this paper, we the...

Futures studies is likely to evolve through changes in five areas. They are: (1) forecasting to anticipatory action learning; (2) reductionist to complex; (3) horizontal to vertical; (4) from short-term empiricist research to the return of long-term history, including grand narratives; and (5) scenario development to moral futures.  2002 Elsevier Science Ltd. All rights

We provide a framework for the martingale representation for futures prices which has some concrete advantages over the classical treatments of Duffie (2001) or Karatzas and Shreve (1998). In particular, the new formulation accommodates models where the distribution of the associated risk-free rate has unbounded support. This relaxation is particularly useful in the theory of LIBOR futures.

Purpose – The purpose of this paper is to present a new approach to the study of the future. Design/methodology/approach – The paper describes six foundational concepts (the used future, the disowned future, alternative futures, alignment, models of social change, and uses of the future), six questions (will, fear, missing, alternatives, wish, and next steps as related to the future) and six pi...

This essay suggests that the futures field has reached a new stage in its development; one that incorporates powerful new tools, frameworks and options. Within this context the paper considers some of the ways that futurists can respond to the global predicament, re-defining what some have called the "resolutique", or arena of possible solutions. Futurists can best contribute by deliberately cu...

Non-storability of a commodity implies the independence of corresponding spot and futures prices. We investigate empirically the case of electricity and show that a relation does emerge between spots and forwards. This is because of the links in storable fuels used for production and behavioural biases in power trading. The latter cause a significant influence of the electricity spot price on t...

How is professional risk-taking influenced by prior results? We examine the impact of past gains or losses on subsequent futures traders’ activity. The evidence provides support for the Gervais and Odean (2001) model of overconfidence: we find little relationship between higher risk taking and unusual success among these traders. Also consistent with Gervais and Odean, successful traders exhibi...

This paper points to some limitations of the narrow version of integral futures (IF) as represented in the recent special issue of Futures (2008, Vol 40, Issue 2). I also propose several ways that the IF brand could be refreshed through a broader and deeper approach to integral futures by way of a scholarly engagement with other kindred discourses. The main focus of this paper is to open out be...

Co-movement between futures prices can arise when commodities are substitutes. Using Johansen’s co-integration procedure, we fail to find a significant long-run link between soybean and corn prices on the Dalian Commodity Exchange of China. This relationship is re-examined using Johansen’s co-integration procedure that permits structural breaks. Results show evidence of co-integration and...

The properties of forward and futures interest-rate contracts associated with a given collection of reset dates are studied within the frameworks of the Gaussian HJM model and the lognormal model of Libor rates. We focus on the dynamics and distributional properties of spot, forward, and futures Libor rates under spot and forward martingale measures.