Commodity markets, price limiters and speculative price dynamics
نویسندگان
چکیده
منابع مشابه
Volatility and Commodity Price Dynamics
Commodity prices tend to be volatile, and volatility itself varies over time. Changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of production: the opportunity cost of exercising the option to produce the commodity now rather than waiting for more price information. I examine the role of ...
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Because a commodity like wheat can be carried forward from one period to the next, speculative arbitrage serves to link its prices at different points of time. Since, however, the size of the harvest depends on complicated probability processes impossible to forecast with certainty, the minimal model for understanding market behavior must involve stochastic processes. The present study, on the ...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2005
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2004.09.003