Purpose – The purpose of this paper is twofold. The first is to estimate the correlation between market activity and volatility on an exchange that does not use continuous auctions to find prices. The second is to estimate the sensitivity of that relationship to differences in opinions across...

The market for insuring insect damage is far from complete. This study introduces a new type of derivative instrument‐insect derivatives‐that provide growers a market‐based means of transferring insect risk to speculators or others who may profit from higher insect populations. A...

Invasive insect species cause billions of dollars of direct and indirect damage to U.S. crops each year. The market for insuring insect damage is, however, far from complete. The objective of this study is to design and value insect derivatives, or "bug options," which would offer growers a...

The market for insuring insect damage is far from complete. This study introduces a new type of derivative instrument-insect derivatives-that provide growers a market-based means of transferring insect risk to speculators or others who may profit from higher insect populations. A risk-neutral...

The Tokyo Grain Exchange (TGE)’s itayose mechanism provides the opportunity to analyze functioning Walrasian tâtonnement auctions (WTA). In 15,677 auctions conducted over 1997–1998 for corn and redbean futures contracts, price formation is unexpectedly similar to that observed in continuous...