Price relations among hog, corn and soyabean meal futures

Article Abstract:

The relationship between hog, corn and soyabean meal future prices is examined using the Perron unit root test and autoregressive multivariate cointegration models. It is concluded that market expectations may not fully incorporate the mean reverting tendencies and that inefficiency exists in these three commodity futures.

Commodity futures

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A realistic model of market liquidity and depth

Article Abstract:

Liquid markets have the ability to trade large quantities, fast and with little price impact. A realistic model introducing two major dimensions of order execution quality, immediacy of execution and price impact is presented.

Pricing Policy, Pricing, Financial markets, Product price

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Forecasting volatility

Article Abstract:

The forecasting ability of several volatility models is examined based on historical standard deviation and an exponentially weighted moving average. Two regression models for the same are presented.

Futures market, Futures markets

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