Fractional dynamics in international commodity prices

Article Abstract:

Some commodity spot price time series display a fractal structure. This structure may be used to construct models to explain and forecast spot prices. Commodities which were studied included aluminum, cocoa, coffee, copper, rice and rubber. The fractional orders vary among these commodities because the processes involved in the price movements of each commodity varies. The fact that fractal dynamics exist in commodity spot pricing indicates the need to reexamine linear models of pricing.

Commodities

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Contemporary and long-run correlations: a covariance component model and studies on the S&P 500 cash and futures market

Article Abstract:

A model of asset return covariance in the futures and cash markets with long-term and short-term trend components is given.

Securities and Commodity Exchanges, Security and commodity exchanges, Commodity Exchanges, Statistical Data Included, Models, Usage, Futures market, Futures markets, Analysis of covariance, Covariance analysis, Standard and Poor's 500-Stock Price Index (Index)

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Asymmetric covariance in spot-futures markets

Article Abstract:

Optimal hedge ratios in the commodities market are different from ratios in the stock market.

Spain

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