Can I read Price Formation in Commodity Futures on EtoBox?
Price Formation in Commodity Futures by Nikita Baryshev is a document available to read on EtoBox.
What is Price Formation in Commodity Futures about?
This document discusses how fundamental changes and market structure impact price formation in agricultural commodity futures markets. It constructs variables to represent unexpected fundamental changes based on differences between USDA forecasts and analyst estimates, and market structure based on trader group transaction shares. Both factors are found to significantly affect prices and volatility, with impacts varying across conditional distributions.
- Author
- Nikita Baryshev
- Language
- EN