Evidence of chaos in commodity futures prices

Article Abstract:

The presence of chaotic structures in commodity futures prices was studied. Proof of the existence of these structures could call into question the soundness of the efficient markets hypothesis. The correlation dimension technique was used in determining chaotic systems in futures prices of sugar, coffee, silver and copper from Jan 1968 to Mar 1989. While it was determined that there is proof of chaotic structures in commodity prices, it was suggested that further research is needed in identifying the connection between market efficiency and nonlinear dynamics.

Usage, Chaos theory, Chaotic systems, Nonlinear theories

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Determinants of agricultural futures price volatilities: evidence from Winnipeg Commodity Exchange

Article Abstract:

Factors affecting volatility of canola, rye, feed wheat, oats, feed barley, and flaxseed futures at the Winnipeg Futures Exchange are examined. The intervention of the Canadian Wheat Board provides some cushioning effect for the three commodities under its purview, although its activities are seen to have no relevance to the month and contract effects for those futures. Canadian market futures price volatilities are found, in general, to be similar to the behavior of US markets.

Security and commodity exchanges, Noncommercial research organizations, Commodity exchanges, Agricultural prices, Winnipeg Commodity Exchange Inc.

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Two-step testing procedure for price discovery role of futures prices

Article Abstract:

A two stage testing method was used to determine whether prices of crude oil futures simulate the attitudes of producers and consumers and serve as a basis for forecasting spot prices. The method consists of applying integration and cointegration tests on the crude oil market, on spot prices and on three-month futures prices. It was concluded that prices of crude oil futures cannot serve as a basis for forecasting spot prices.

Petroleum and coal products, not elsewhere classified, Forecasts and trends, Petroleum, Futures, Spot market

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