The formation of the efficient market in Tokugawa Japan

The first modern futures market is said to date back to the Chicago Board of Trade established in 1848. However, there existed an older precedent; the Dojima Rice Market established in 1730 in Osaka. The past literature on Dojima has made it clear that Dojima had well-established trading systems. However, a important question remains unanswered: whether the first well-established futures market efficient or not? This paper first constructs the daily price index from the original historical document, and applies the test of unbiasedness hypothesis and the classic measure of market efficiency; "weak-form efficiency" to Dojima Rice Market, and shows that there existed these types of efficiency.Tokugawa Period Japan, Futures Market, Informational Efficiency

FUTURES MARKET DEPTH: REVEALED VS. PERCEIVED PRICE ORDER IMBALANCES

In this paper we study futures market depth by examining the price path due to order imbalances thereby allowing us to directly gain insight in the execution costs due to a lack of market depth We propose a two dimensional market depth measure in which the price path due to order imbalances is described by an S-shape function. The proposed market depth measure is applied to transaction specific futures data from Euronext. Subsequently, we examine CBOT traders' perceptions about the price path due to order imbalances and examine the characteristics that are associated with a particular perception. The proposed market depth measure gives guidelines for improving market depth, and can be used to compare competitive futures contracts. It appears that the actual price path due to order imbalances does not match the perceived price path. Traders have various perceptions about the price path due to order imbalances. Dominant perceptions were, S-shape, linear, exponential or zigzag price paths. The differences in traders' perceptions can be traced back to different traders' characteristics among others type of primary futures contract traded, importance of information sources and trading strategy (herd vs. non-herd behavior). The observed disconnect between perceptions and revealed price path due to order imbalances have great implications for market participants who try to minimize execution costs and for the futures exchange management that tries to increase the market depth.Marketing,

Food, Fuel and Fodder: Civil War Carbon Footprints

Thursday morning finds me presenting to a group of fellow NPS folks on the possibilities of the interpretive futures. So I\u27ve dragged out some older, weirder interpretive dreaming from a few years back. It\u27s something I worked up for my friend and boss David Larsen to prove that topics like Climate Change can be discussed from any perspective and in any context. But this sort of dreaming can\u27t stay locked in drawers, left on the backs of envelopes and stuffed away in digital filing cabinets back at work. So here\u27s a peek at what I\u27m presenting. It\u27s a way of visualizing impacts, Civil War and otherwise, on the world around us. [excerpt

Using artificial neural networks to generate trading signals for crude oil, copper and gold futures

In this thesis, a feed-forward, back-propagating Artificial Neural Network using the gradient descent algorithm is developed to forecast the directional movement of daily returns for WTI, gold and copper futures. Out-of-sample back-test results vary, with some predictive abilities for copper futures but none for either WTI or gold. The best statistically significant hit rate achieved was 57% for copper with an absolute return Sharpe Ratio of 1.25 and a benchmarked Information Ratio of 2.11

Cash Settlement for Feeder Cows

The change in the feeder cattle futures contract from physical delivery t o cash settlement should not affect a producer\u27s net price for his feeder cattle. For those producers who hedge or use the cash forward contract. the main impact is in the basis. Now, a smaller basis (by about $3) should be used compared to what the producer used prior to cash settlement. Under the old delivery procedure. once a producer used the futures market as a hedge (sold a futures contract), there were two alternatives--either buy back the contract or delivery. If the contract was not bot back (offset). delivery was required. Now. if a contract originally sold is not offset, cash settlement is automatic. No further action is required by the user

G84-726 Delivering Slaughter Steerse on a Live Cattle Futures Contract

This NebGuide discusses how to estimate when it might be profitable to deliver on a live cattle futures contract and outlines delivery costs and procedures. Although most hedgers do not actually make delivery on a live cattle futures contract, the threat of delivery is an important feature of the futures market. A producer who hedges using the futures market normally offsets the futures position by buying back a futures contract and selling the slaughter cattle on the cash market. However, there are times when it is advantageous to actually deliver on the contract. Actual delivery should be made only when the basis during contract maturity is wider than anticipated and greater than the delivery cost. In theory, the price difference (basis) between the futures and the cash markets should be less than the delivery costs; hence no deliveries are made. But, as is often the case, reality may differ from theory, and there are times when the basis is greater than the delivery costs

The temporal borders of transnational belonging: Aging migrant domestic workers in Singapore

Amidst public debate about the need for migrant domestic workers to assist with eldercare in Asia, we hear little about the futures of the workers themselves. This paper focuses on low-wage migrant domestic workers of different nationalities who have spent decades in Singapore, and how they imagine, prepare for, or avoid discussion of their aging futures. Singapore’s immigration regime enforces mandatory retirement and return migration when domestic workers reach 60 years old. These impending displacements evoke mixed emotions as migrant women re-evaluate questions of care, home, and the relationships they have developed with employers, kin back home, and communities abroad. In this paper, I explore how temporal borders operate alongside spatial borders to shape migrant women’s futures, illuminating uneven intersections between citizenship, gender, and care over the lifecourse. I further trace how the women navigate, ignore, push back, and bridge the anticipated ruptures of temporal borders

Option Pricing on Renewable Commodity Markets

Options markets on agricultural commodities with maturities that exceed 13 months seldom trade. Our hypothesis is that this market failure is due to the absence of an accurate option pricing model for commodities where mean reversion can be expected. Standard option pricing models assume proportionality between price variance and time to maturity. This proportionality is not a valid assumption for commodities where supply response works to bring prices back to production costs. The model suggests that traditional option pricing models will overprice long-term options on these markets.commodity futures and option, price mean reverting, seasonality, Agricultural Finance, Financial Economics,