This study examines market and future-level sentiment in the Chinese agricultural futures market, distinguishing between contagious and idiosyncratic sentiment. Our analysis reveals that agricultural future-level sentiment is significantly affected by market-level sentiment and domestic stock...

We study the price impact of order flow in the world’s largest soybean meal futures markets. Our intraday results indicate that incoming orders can be used to explain price changes and to significantly predict future price changes. Our results are shown to be robust to various order flow...

Chains of the CME Group Time and Sales E-mini S&P 500 futures tick prices and their a-b-c-d-increments are studied. A discrete probability distribution based on the Hurwitz Zeta function and Dirichlet series is suggested for the price increments. The randomness of the ticks is discussed using...

In this article, we measure the implied volatility and the value at risk of the commodity futures contracts. We examine contracts of wheat, corn, cocoa, soybean, coffee and orange juice. Hedge funds use managed futures in terms of commodities such as wheat, corn, cocoa, soybean, coffee and...

In this article, we measure the alpha and beta of high volatility commodity futures contracts of hedge funds. The futures contracts under study are gold, silver, zinc, palladium and platinum. Combining managed futures with shares and bonds provide better returns with lower risk or mean variance...

Price discovery is one of the imperative functions of commodity derivative market. Its mechanism is established by long run and causal relationship between two variables. The present treatise is an attempt to examine the price discovery mechanism of commodity market in India. This paper...