We use price data from an array of futures markets to test whether investors expect spot asset prices to revert, and we identify two sources of equilibrium mean reversion: negative covariation between prices and interest rates, and positive covariation between prices and benefits to holding the...

Several studies provide theoretic analysis of agents' motivations for trading in financial markets. Broadly speaking, these studies imply that trading volume results from (i) information flows, (ii) cross-sectional differences in agents' assessment of value, and (iii) agents' random liquidity...

The Samuelson hypothesis implies that the volatility of futures price changes increases as a contract's delivery date nears. In markets where the Samuelson hypothesis holds, accurate valuation of options and related derivatives on futures requires that a term structure of futures volatilities be...

The Samuelson hypothesis predicts that futures price volatility increases as the contract expiration date nears. We analyze the economic conditions that underlie this prediction, and highlight the crucial role of mean reverting spot prices. We show that the clustering of information flows near...

The relations between volume, volatility, and market depth in eight physical and financial futures markets are examined. Evidence suggests that linking volatility to total volume does not extract all information. When volume is partitioned into expected and unexpected components, the paper finds...