Futures offer a convenient abstraction for encapsulating delayed computation. It is a mechanism to introduce concurrency through a rewrite of the sequential program. However, managing futures is tedious and requires knowledge of concurrency and its concerns. The notion of transparent futures is used to hide the complexity of futures from developers. A number of techniques based on transparency ...

This study tests for calendar anomalies in returns petroleum and products via the futures market, specifically, day-of-the-week (DOW) effect. The energy future contracts this are WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock Oxygenate Blending) Gasoline, Heating Oil, Natural Gas. Futures provide a more liquid insight into price movements relative to spot prices, where fina...

Volatility Indices are an important indicator for investors to accurately predict returns and risks in case of uncertainty the markets. In this study, effects gold, silver, oil volatility indices (GVI, SVI OVI) on both spot futures assets were investigated using VAR-EGARCH procedure. The findings study reveal that GVI gold prices have a positive effect prices. At same time, it has been determin...

Background: Scenario is the primary method in futures studies, and thus its improper use can undermine the credibility and claims of the results. There are many scenario types, and here we aimed at understanding whether these scenarios are being used properly in the health field.    Methods: In this study, a combination method was used in 3 phases, and 8 + 2 steps were considered to ...

This paper develops a dynamic, equilibrium model of a futures market to study optimal hedging and the term structure of open interest and futures prices. Investors continuously face spot price risk over time and attempt to hedge this risk using futures. Convenience yield shocks generate basis risk to rolling over near-to-maturity futures. Hence, investors need to simultaneously trade far-from-m...

We analyze short-term futures oil pricing over the 2003-2016 time-period in order to bubble-like dynamics, which characterizes 2007-2009 years according a large body of recent literature. Our investigation, based on flexible three-agent model (hedgers, fundamentalist speculators and chartists), confirms presence bubble price pattern, we attribute strong destabilizing behaviour (e.g. hedge funds...

We solve a Pareto risk-sharing problem with heterogeneous agents with recursive utility over multiple goods. We use this optimal consumption allocation to derive a pricing kernel and the price of oil and related futures contracts. This gives us insight into the dynamics of risk premia in commodity markets for oil. As an example, in a calibrated version of our model we show how rising oil prices...

The price of crude oil in the U.S. never exceeded $40 per barrel until mid-2004. By 2006 it reached $70, and in July 2008 it peaked at $145. By late 2008 it had plummeted to about $30 before increasing to $110 in 2011. Are speculators at least partly to blame for these sharp price changes? We clarify the effects of speculators on commodity prices. We focus on crude oil, but our approach can be ...