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This paper analyzes the impact of USDA and IBGE crop forecast announcements in the Brazilian corn and soybean futures … using EABS show that the high illiquidity of soybean March contract does not allow prices to reflect information and corn … capacity of corn and soybean futures prices …
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The CME Globex Corn futures Time and Sales data, during the United States Department of Agriculture, USDA, news, are studied. The price fluctuations of high frequency and magnitude resemble explosions caused by chemical or nuclear branched chain reactions. The structure of the jumps and...
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