Optimal futures hedging is examined in a two-good model with stochastic output and sequential information arrival. A producer’s optimal hedge depends on demand elasticity, sensitivity of his output to weather. his correlation with aggregate output, and how rapidly his output uncertainty is resolved relative to other producers during different seasonal periods. Because regional output uncertaint...

Significant time-varying risk premia exist in the foreign currency futures basis, and these risk premia are meaningfully correlated with common macroeconomic risk factors from equity and bond markets. The stock index dividend yield and the bond default and term spreads in the U.S. markets help forecast the risk premium component of the foreign currency futures basis. The specific source of risk...

This study examines whether the direction and magnitude of the aggregate order-imbalance of the index stocks can explain the arbitrage spread between index futures and the underlying cash index. The data are for the Asian financial crisis period and hence entail wide variations in order imbalance and the index-futures basis. The analysis controls for realistic trading costs and actual dividend ...

Abstract: It seems before understanding the mind structure and laws governing the process of perception, we’ve gone into the application of science to build better futures. This is because the science begins with attitude not the reality.The major goal of this study is to identify qualitative relationships among key variables across of Cognitive Sciences (CS) with Futures Studies (FS).Ideas and...

This draft report incorporates key papers from the Toronto Forum, other futures thinking analyses, and reports from each of the 'inner-core' systems from Phase 2 of the project. It revises and extends the report already circulated – EDU/CERI/CD/RD(2005)8 Several chapters have yet to be edited into final form and this remains a working draft only. It will be finalised after this meeting for publ...

The central intent of this essay is based on the author's master's thesis named 'Creating alternative community futures: A community futures tragedy.' This thesis explored the question "Can local governments empower their communities with the opportunity and capacity to create alternative futures?" Local governments in their role of managing issues and planning for the future have more recently...

Futurists build scenarios for clients and are concerned with effectively communicating them. Stories provide frameworks and aim to engage audiences with entertainment techniques that include more than rational thinking and analysis, by exploring alternative futures involving characters and events as individuals deal with issues brought about by a new situation. Stories work at multiple levels i...

In this article we investigate the statistical properties of wholesale electricity spot and futures prices traded on the New York Mercantile Exchange for delivery at the California–Oregon Border. Using daily data for the years 1998 and 1999, we find that many of the characteristics of the electricity market can be viewed to be broadly consistent with efficient markets. The futures risk premium ...

We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage opportunities to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying transaction costs. We find that a) the futures market leads in the process of price discovery and that b) t...

A major challenge that Australia is facing at all levels of government, like many other countries, is the need for an improved understanding of the planning process, and thus increasing the chances of achieving more sustainable environments. In order to attain this kind of development, changes should be made in several key areas; these changes need to be supported by a clear vision of the futur...