The Volatility of Futures Prices

Download The Volatility of Futures Prices PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 354 pages
Book Rating : 4.:/5 (318 download)

DOWNLOAD NOW!


Book Synopsis The Volatility of Futures Prices by : Jau-Lian Jeng

Download or read book The Volatility of Futures Prices written by Jau-Lian Jeng and published by . This book was released on 1991 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Crude Volatility

Download Crude Volatility PDF Online Free

Author :
Publisher : Columbia University Press
ISBN 13 : 0231543689
Total Pages : 336 pages
Book Rating : 4.2/5 (315 download)

DOWNLOAD NOW!


Book Synopsis Crude Volatility by : Robert McNally

Download or read book Crude Volatility written by Robert McNally and published by Columbia University Press. This book was released on 2017-01-17 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: As OPEC has loosened its grip over the past ten years, the oil market has been rocked by wild price swings, the likes of which haven't been seen for eight decades. Crafting an engrossing journey from the gushing Pennsylvania oil fields of the 1860s to today's fraught and fractious Middle East, Crude Volatility explains how past periods of stability and volatility in oil prices help us understand the new boom-bust era. Oil's notorious volatility has always been considered a scourge afflicting not only the oil industry but also the broader economy and geopolitical landscape; Robert McNally makes sense of how oil became so central to our world and why it is subject to such extreme price fluctuations. Tracing a history marked by conflict, intrigue, and extreme uncertainty, McNally shows how—even from the oil industry's first years—wild and harmful price volatility prompted industry leaders and officials to undertake extraordinary efforts to stabilize oil prices by controlling production. Herculean market interventions—first, by Rockefeller's Standard Oil, then, by U.S. state regulators in partnership with major international oil companies, and, finally, by OPEC—succeeded to varying degrees in taming the beast. McNally, a veteran oil market and policy expert, explains the consequences of the ebbing of OPEC's power, debunking myths and offering recommendations—including mistakes to avoid—as we confront the unwelcome return of boom and bust oil prices.

The Determinants of the Volatility of Futures Prices

Download The Determinants of the Volatility of Futures Prices PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.0/5 ( download)

DOWNLOAD NOW!


Book Synopsis The Determinants of the Volatility of Futures Prices by : Ronald W. Anderson

Download or read book The Determinants of the Volatility of Futures Prices written by Ronald W. Anderson and published by . This book was released on 1982 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Time Pattern of Hedging and the Volatility of Futures Prices

Download The Time Pattern of Hedging and the Volatility of Futures Prices PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.0/5 ( download)

DOWNLOAD NOW!


Book Synopsis The Time Pattern of Hedging and the Volatility of Futures Prices by : Ronald W. Anderson

Download or read book The Time Pattern of Hedging and the Volatility of Futures Prices written by Ronald W. Anderson and published by . This book was released on 1980 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Volatility of Oil Prices

Download Volatility of Oil Prices PDF Online Free

Author :
Publisher : International Monetary Fund
ISBN 13 : 1451954727
Total Pages : 20 pages
Book Rating : 4.4/5 (519 download)

DOWNLOAD NOW!


Book Synopsis Volatility of Oil Prices by : Mr.Peter Wickham

Download or read book Volatility of Oil Prices written by Mr.Peter Wickham and published by International Monetary Fund. This book was released on 1996-08-01 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers “spot” prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic) model, which allows the conditional variance to be time-variant, is estimated for the period which includes the oil price slump of 1986 and the surge in prices in 1990 as a result of the Iraqi invasion of Kuwait. The paper also discusses the growth of futures and derivative markets and the dynamic links between spot and futures markets.

Trading Mechanisms, Speculative Behavior of Investors, and the Volatility of Prices

Download Trading Mechanisms, Speculative Behavior of Investors, and the Volatility of Prices PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.0/5 ( download)

DOWNLOAD NOW!


Book Synopsis Trading Mechanisms, Speculative Behavior of Investors, and the Volatility of Prices by : Hun Y. Park

Download or read book Trading Mechanisms, Speculative Behavior of Investors, and the Volatility of Prices written by Hun Y. Park and published by . This book was released on 1989 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper compares the volatility of spot prices (dealership market) with that of futures prices (auction market) to test the implications of different trading mechanisms for the volatility of prices. First, a natural estimator of the volatility is sued. Using the intraday data of the major Market Index and its futures prices, we show that the volatility of opening prices is higher than that of closing prices not only in the spot market but in the futures market, and that the intraday volatility patterns are U-shaped in both markets. Of particular interest is that futures prices do not appear to be as volatile as spot prices when the natural estimator of volatility is used, to the contrary of the conventional wisdom. We argue that the different volatility patterns during the day are not necessarily due to the different trading mechanisms, auction market versus dealership market. Instead, after developing a simple theoretical model of speculative prices, we show that at least part of the different volatility patterns during the day may be attributable to speculative behavior of investors based on heterogeneous information. In addition, we further investigate the volatilities of spot and futures prices using a temporal estimator of price volatility as an alternative to the natural estimator. Based on the temporal estimator, we cannot find any systematic pattern of volatilities during the day in both spot and futures markets, and that futures prices appear to be more volatile than spot prices in terms of how quickly the price moves beyond a given unit price level, but not in terms of how much the price changes during a given unit time interval. Some policy implications are also discussed.

The Influence of Futures on Spot Price Volatility in a Model for a Storable Commodity

Download The Influence of Futures on Spot Price Volatility in a Model for a Storable Commodity PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (318 download)

DOWNLOAD NOW!


Book Synopsis The Influence of Futures on Spot Price Volatility in a Model for a Storable Commodity by : Costanza Torricelli

Download or read book The Influence of Futures on Spot Price Volatility in a Model for a Storable Commodity written by Costanza Torricelli and published by . This book was released on 1991 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Determinants of the Volatility of Futures Prices

Download Determinants of the Volatility of Futures Prices PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 308 pages
Book Rating : 4.:/5 (223 download)

DOWNLOAD NOW!


Book Synopsis Determinants of the Volatility of Futures Prices by : David Camilleri

Download or read book Determinants of the Volatility of Futures Prices written by David Camilleri and published by . This book was released on 2002 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Futures Trading and the Level and Volatility of Spot Prices

Download Futures Trading and the Level and Volatility of Spot Prices PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.0/5 ( download)

DOWNLOAD NOW!


Book Synopsis Futures Trading and the Level and Volatility of Spot Prices by : Ronald Britto

Download or read book Futures Trading and the Level and Volatility of Spot Prices written by Ronald Britto and published by . This book was released on 1985 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Food Price Volatility and Its Implications for Food Security and Policy

Download Food Price Volatility and Its Implications for Food Security and Policy PDF Online Free

Author :
Publisher : Springer
ISBN 13 : 3319282018
Total Pages : 620 pages
Book Rating : 4.3/5 (192 download)

DOWNLOAD NOW!


Book Synopsis Food Price Volatility and Its Implications for Food Security and Policy by : Matthias Kalkuhl

Download or read book Food Price Volatility and Its Implications for Food Security and Policy written by Matthias Kalkuhl and published by Springer. This book was released on 2016-04-12 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.

Risk Premia and Price Volatility in Futures Markets

Download Risk Premia and Price Volatility in Futures Markets PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.0/5 ( download)

DOWNLOAD NOW!


Book Synopsis Risk Premia and Price Volatility in Futures Markets by : G. S. Maddala

Download or read book Risk Premia and Price Volatility in Futures Markets written by G. S. Maddala and published by . This book was released on 1990 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Economics of Food Price Volatility

Download The Economics of Food Price Volatility PDF Online Free

Author :
Publisher : University of Chicago Press
ISBN 13 : 022612892X
Total Pages : 394 pages
Book Rating : 4.2/5 (261 download)

DOWNLOAD NOW!


Book Synopsis The Economics of Food Price Volatility by : Jean-Paul Chavas

Download or read book The Economics of Food Price Volatility written by Jean-Paul Chavas and published by University of Chicago Press. This book was released on 2014-10-14 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.

The Relative Volatility of Commodity Prices

Download The Relative Volatility of Commodity Prices PDF Online Free

Author :
Publisher : International Monetary Fund
ISBN 13 : 1463925964
Total Pages : 23 pages
Book Rating : 4.4/5 (639 download)

DOWNLOAD NOW!


Book Synopsis The Relative Volatility of Commodity Prices by : Mr.Rabah Arezki

Download or read book The Relative Volatility of Commodity Prices written by Mr.Rabah Arezki and published by International Monetary Fund. This book was released on 2011-12-01 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011. The conventional wisdom in academia and policy circles is that primary commodity prices are more volatile than those of manufactured products, even though most of the existing evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. Rather the literature tends to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and products. This approach can be misleading. Indeed, the evidence presented in this paper suggests that on average prices of individual primary commodities may be less volatile than those of individual manufactured goods.

Commodity Options

Download Commodity Options PDF Online Free

Author :
Publisher : FT Press
ISBN 13 : 0137154224
Total Pages : 288 pages
Book Rating : 4.1/5 (371 download)

DOWNLOAD NOW!


Book Synopsis Commodity Options by : Carley Garner

Download or read book Commodity Options written by Carley Garner and published by FT Press. This book was released on 2009-01-23 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: Don’t Miss out on Today’s Hottest Trading Arena: Commodity Options! “The authors have written the definitive work on trading commodity options. Their in-depth knowledge of this subject is legendary among industry professionals and expert traders alike, and their ability to relay their knowledge through text, pictures, and the spoken word is unparalleled in our industry.” –Lan Turner, CEO, Gecko Software, Inc. “This book captures the realities of commodity option trading in a simple and easy- to-read presentation that will be beneficial for traders of all sizes and skill levels.” –Chris Jarvis, CFA, CMT, Caprock Risk Management, LLC “Even the most experienced investors often overlook the fact that options on futures are fundamentally different from options on stocks. This book fills that gap and sets the record straight with clear and concise descriptions that are easy to understand. Guaranteed to become a true source of value creation for anyone interested in trading commodity options.” –Jeff Augen, author, The Volatility Edge in Options Trading “Commodity Options arms readers with the strategies and tactics needed to take a more active approach to managing risk in today’s turbulent markets. The authors exhaustively break down every component of a commodity option to its lowest common denominator, making this book an essential piece of information for those looking to expand their trading tool box or further build on existing option strategies.” –John Netto, Chief Investment Strategist, NetBlack Capital and author, One Shot–One Kill Trading Investors worldwide are discovering the enormous opportunities available through commodity options trading. However, because commodities have differing underlying characteristics from equities, commodity ­options behave differently as well. In this book, two of the field’s most respected analysts present strategies built from the ground up for commodity options. Carley Garner and Paul Brittain begin with a quick primer on how commodity options work, how they evolved, and why conventional options strategies often fail in the commodity options markets. Next, using detailed examples based on their own extensive research, they show how to leverage the unique characteristics of commodity options in your own trades. You’ll walk through trades from “top to bottom,” master both long- and short-option approaches, and learn powerful strategies usually ignored in options books. For example, the authors introduce synthetic swing trading strategies that systematically reduce volatility from the market. This book’s easy-to-use trading strategies are strategically employed by the author’s clients every day: With Commodity Options, you can work to put the odds in your favor, too! • Why commodity options are different—and what it means to you Understand key differences in the underlying assets and the logistics of market execution • Systematically rewrite the odds in your favor Four ways to make winning trades more likely—and losing trades less common • When to trade short options—and how to manage the risk Why careful option selling may improve your odds of success • Master strategies designed for diverse market conditions Combine long and short options to create the right strategy for any market opportunity • Exploit short-lived trends through “synthetic” swing trading Get the advantages of futures contracts without the volatility

Volatility

Download Volatility PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 472 pages
Book Rating : 4.3/5 (91 download)

DOWNLOAD NOW!


Book Synopsis Volatility by : Robert A. Jarrow

Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.

Time Series Volatility and Commodity Futures Prices

Download Time Series Volatility and Commodity Futures Prices PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (593 download)

DOWNLOAD NOW!


Book Synopsis Time Series Volatility and Commodity Futures Prices by : Jane Black

Download or read book Time Series Volatility and Commodity Futures Prices written by Jane Black and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Oil Price Volatility and the Role of Speculation

Download Oil Price Volatility and the Role of Speculation PDF Online Free

Author :
Publisher : International Monetary Fund
ISBN 13 : 1498333486
Total Pages : 34 pages
Book Rating : 4.4/5 (983 download)

DOWNLOAD NOW!


Book Synopsis Oil Price Volatility and the Role of Speculation by : Samya Beidas-Strom

Download or read book Oil Price Volatility and the Role of Speculation written by Samya Beidas-Strom and published by International Monetary Fund. This book was released on 2014-12-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.