scholarly journals An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

1988 ◽  
Vol 61 (3) ◽  
pp. 275 ◽  
Author(s):  
Sanford J. Grossman
Keyword(s):  
Price Volatility ◽  
Dynamic Hedging ◽  
Hedging Strategies ◽  
Futures Price

The Reaction of Coffee Futures Price Volatility to Crop Reports

2016 ◽  
Vol 53 (10) ◽  
pp. 2361-2376 ◽  
Author(s):  
Rodrigo Lanna F. da Silveira ◽  
Fabio L. Mattos ◽  
Maria Sylvia M. Saes
Keyword(s):  
Price Volatility ◽  
Futures Price

scholarly journals Nowcasting of Lumber Futures Price with Google Trends Index Using Machine Learning and Deep Learning Models

2021 ◽  
Vol 72 (1) ◽  
pp. 11-20
Author(s):  
Mingtao He ◽  
Wenying Li ◽  
Brian K. Via ◽  
Yaoqi Zhang
Keyword(s):  
Neural Network ◽  
Machine Learning ◽  
Deep Learning ◽  
Network Model ◽  
Neural Network Model ◽  
Price Volatility ◽  
Google Trends ◽  
Learning Models ◽  
Fresh Perspective ◽  
Futures Price

Abstract Firms engaged in producing, processing, marketing, or using lumber and lumber products always invest in futures markets to reduce the risk of lumber price volatility. The accurate prediction of real-time prices can help companies and investors hedge risks and make correct market decisions. This paper explores whether Internet browsing habits can accurately nowcast the lumber futures price. The predictors are Google Trends index data related to lumber prices. This study offers a fresh perspective on nowcasting the lumber price accurately. The novel outlook of employing both machine learning and deep learning methods shows that despite the high predictive power of both the methods, on average, deep learning models can better capture trends and provide more accurate predictions than machine learning models. The artificial neural network model is the most competitive, followed by the recurrent neural network model.

Forecasting the oil futures price volatility: Large jumps and small jumps

2018 ◽  
Vol 72 ◽  
pp. 321-330 ◽  
Author(s):  
Jing Liu ◽  
Feng Ma ◽  
Ke Yang ◽  
Yaojie Zhang
Keyword(s):  
Price Volatility ◽  
Oil Futures ◽  
Futures Price

scholarly journals Mean-Variance Analysis of Alternative Hedging Strategies

1972 ◽  
Vol 4 (1) ◽  
pp. 123-128 ◽  
Author(s):  
David Holland ◽  
Wayne D. Purcell ◽  
Terry Hague
Keyword(s):  
Futures Markets ◽  
Market Price ◽  
Theoretical Models ◽  
Spot Price ◽  
Hedging Strategies ◽  
Optimum Position ◽  
Futures Price ◽  
The Difference ◽  
Mean Variance ◽  
Over Time

Much of the research in commodity hedging has concentrated upon the development of theoretical models describing the optimum position in cash and futures markets. Other studies have shown that the difference between current spot price and futures price represents the market price for storage, processing services, or both. The revenue stabilizing potential of futures markets for commodities with continuous as opposed to noncontinuous inventories has also received attention. However, very little work or literature is publicly available on how different hedging strategies actually would have performed for a particular commodity over time.

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