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A popular view is that the surge in the price of oil during 2003-08 cannot be explained by economic fundamentals, but was caused by the increased financialization of oil futures markets, which in turn allowed speculation to become a major determinant of the spot price of oil. This interpretation...
Persistent link: https://www.econbiz.de/10011084244
period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …
Persistent link: https://www.econbiz.de/10005518715
period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …
Persistent link: https://www.econbiz.de/10005465209
, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are … increase in switching intensity reduces the return volatility and in particular a low switching intensity reduces the price … volatility and increases the level of the significant ACs, but the effect becomes opposite when the switching intensity is high …
Persistent link: https://www.econbiz.de/10011077524
price volatility on commodity markets through improved control of speculation on futures and OTC markets. The article is … analysing the hypothesis that commodity funds are causing price volatility using first a direct relationship between the “Assets …
Persistent link: https://www.econbiz.de/10011114826
that kurtosis and volatility are lowest within the small world region of the network. This effect is negated as the number … world network and have limited liquidity. They trade based on their assessment of the future direction of the market … interaction between the agents generate kurtosis and persistence characteristics of volatility in returns. In addition, the level …
Persistent link: https://www.econbiz.de/10010574740
Persistent link: https://www.econbiz.de/10005136842
volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow � rather than … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …
Persistent link: https://www.econbiz.de/10009645788
persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. …
Persistent link: https://www.econbiz.de/10010643371
herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On … switching reduces the return volatility and an initial increase in switching reduces the price volatility and increases the …
Persistent link: https://www.econbiz.de/10010754095