Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities

Clicks: 189
ID: 109936
2020
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Abstract
The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable commodities. Reflexivity accounts for about 50 to 70% of the total trading activity. Differences between nearby and deferred contracts are less pronounced for non-storable than for storable commodities. We conclude that the co-existence of exogenous and endogenous price dynamics does not change qualitative characteristics of the price discovery process that have been observed earlier without the consideration of market reflexivity.
Reference Key
volkenand2020risksprice Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Steffen Volkenand;Günther Filler;Martin Odening;Volkenand, Steffen;Filler, Günther;Odening, Martin;
Journal risks
Year 2020
DOI
10.3390/risks8030075
URL
https://www.mdpi.com/2227-9091/8/3/75/htm
Keywords
agricultural commodity futures price discovery market reflexivity hawkes process

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