Copyright 2009 by Julieta Frank and Philip Garcia. All rights reserved. Readers may make verbatim copies of this document for non‐commercial purposes by any means, provided that this copyright notice appears on all such copies. Abstract Understanding the determinants of liquidity costs in agricultural futures markets is hampered by a need to use proxies for the bid-ask spread which are often bi...

We consider a model of liquidity demand arising from a possible maturity mismatch between asset revenues and consumption. This liquidity demand can be met with either cash reserves (inside liquidity) or via asset sales for cash (outside liquidity). The question we address is, what determines the mix of inside and outside liquidity in equilibrium? An important source of inefficiency in our model...

With risk neutral traders and zero transactions costs, the expected value of the difference between the current forward price and the spot price of a commodity at the delivery date of the forward contract should be zero. Accounting for the transactions costs associated with trading in these two markets invalidates this result. We develop statistical tests of the null hypothesis that profitable ...

We address the question of optimal trading of bandwidth (service) contracts in wireless spectrum markets, for the primary as well as the secondary spectrum providers in this context. We propose a structured spectrum market and consider two basic types of spectrum contracts that can help attain desired flexibilities and trade-offs in terms of service quality, spectrum usage efficiency and pricin...

Evolutionary learning is one of the most popular techniques for designing quantitative investment (QI) products. Trend following (TF) strategies, owing to their briefness and efficiency, are widely accepted by investors. Surprisingly, to the best of our knowledge, no related research has investigated TF investment strategies within an evolutionary learning model. This paper proposes a hybrid lo...

oversees development of analytical papers for the purpose of providing useful and timely input to the climate change negotiations. These papers may also be useful to national policy makers and other decision-makers. In a collaborative effort, authors work with the Annex I Expert Group to develop these papers. However, the papers do not necessarily represent the views of the OECD or the IEA, nor...