This study uses the newly available data from the CFTC to investigate the market impact of futures trading by large hedge funds and CTAs. Regression results show that there is a positive relationship between the trading volume of large hedge funds and CTAs and market volatility. However, a...

This paper analyses the validity of the weak-form market efficiency, using the random-walk hypothesis for the six industrial base metals - copper, aluminium, zinc, nickel, tin and lead - traded at the London Metal Exchange. I analyse the behaviour of daily and weekly prices of the daily rolling...

In this work, an investigation and analysis are carried out in order to observe the relationship between ethanol spot and futures prices in Brazil. We adopted the Engle and Granger co-integration approach. Also, we consider the information share method proposed by Hasbrouck in order to examine...

In this paper, we demonstrate how a well-established machine learning-based statistical arbitrage strategy can be successfully transferred from equity to futures markets. First, we preprocess futures time series comprised of front months to render them suitable for our returns-based trading...

In recent years a number of market participants called into question the efficiency of the price discoverymechanism in commodity futures markets. They believe that speculators move commodity futures marketsaway from their fundamentals by distorting prices and exacerbating volatility. The smoking...

We examine the interaction of marketing channel members and the influence of these interactions on incentives, coordination costs, and risk allocation strategies in a food marketing channel. For this purpose we specify a three-stage principal-agent marketing channel model involving producers,...

The commodity market structure has changed at an incredible pace in the last 20 years and is now subject to intense scrutiny by academics and policy-makers. Taking a long-term view of price formation, empirical findings show that international trade and finance, mostly driven by emerging markets...