gain and traders interest and determined for a single futures contract. Open interest and volume are expressed for a …

This paper studies the trading behavior of different types of traders in commodity futures and their impact on …

We find that commodity futures returns contain information relevant to stock market returns and macroeconomic … fundamentals for a large number of countries. Commodity futures returns predict stock market returns in 59 out of 70 countries and …

with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper … identifies a model-free non-parametric approach to extrapolating futures prices and implied volatilities. When we expand the … analysis to implementing hedge portfolios for long-dated futures or option contracts over the time period 2007-2017, we utilize …

with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper … identifies a model-free non-parametric approach to extrapolating futures prices and implied volatilities. When we expand the … analysis to implementing hedge portfolios for long-dated futures or option contracts, we utilize the useful benchmark of hedge …

Perpetual futures -- swap contracts that never expire -- are by far the most popular derivative traded in … cryptocurrencies, which does not require rollover or direct cryptocurrency holding. To keep the gap between perpetual futures and spot … funding rate incentivizes trades that tend to narrow the futures-spot gap. But unlike fixed-maturity futures, perpetuals are …

We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge … results support our model. In particular, they show that the derivative hedge theory is important for the explanation of the … theory proposed by Cho and Engle (1999). The model shows that spot market illiquidity does not translate one-to-one to the …

In a well-functioning futures market, the futures price at expiration equals the price of the underlying asset. This … condition failed to hold in grain markets for most of 2005-10. During this period, futures contracts expired up to 35% above the …

Do futures markets have a stabilizing or destabilizing effect on commodity prices? Empirical evidence is inconclusive …. We try to resolve this question by means of a learning-to-forecast experiment in which a futures market and a spot market … are coupled. The spot market exhibits negative feedback between forecasts and prices, while the futures market is of the …