Non-linear dynamics in futures prices: evidence from the coffee, sugar and cocoa exchange

This article tests for the presence of low-dimensional chaos in the coffee, cocoa and sugar futures markets. While it finds strong evidence of non-linear dependence in the returns, the evidence is not consistent with chaos. The test results indicate that well known ARCH-type processes, with control for seasonal and contract-maturity effects, generally explain the non-linearities in the data. It also shows that employing seasonally adjusted price series and controlling for contract maturity may be important in obtaining robust results via some of the existing tests for chaotic structure. Finally, maximum likelihood methodologies that are robust to the non-linear dynamics lend strong support to the Samuelson hypothesis of maturity-effects in futures price-changes.

Futures trading activity and stock price volatility: some extensions

An earlier investigation by Bessembinder and Seguin employed open interest data to demonstrate that heavy (unexpected) trading activity in stock index futures is destabilizing. This article re-examines the issue in the framework of the commitments of four groups of traders in the S&P 500 index futures market: hedgers (institutional traders), large speculators, small traders and spreaders. Finding that surges in institutional commitments in index futures are followed by increased levels of price variability. The results are not conclusive on whether portfolio insurance strategies contribute to this relationship. Moreover, there is no evidence that the participation of other futures traders, notably large speculators and small traders, is destabilizing. An implication is that the current margins structure that favours institutional traders is ill-suited to the goal of volatility-control. The release of the commitment of trader data which provides open interest information on an ex post basis is found to have no impact on stock market volatility. Thus, the positive relationship between surges in institutional futures activity and volatility seems to stem from trading mechanisms, rather than from the formal disclosure of commitment of traders.

Carrying Location Objects in RADIUS and Diameter

This document describes procedures for conveying access-network ownership and location information based on civic and geospatial location formats in Remote Authentication Dial-In User Service (RADIUS) and Diameter. The distribution of location information is a privacy-sensitive task. Dealing with mechanisms to preserve the user’s privacy is important and is addressed in this document. Status of This Memo This document specifies an Internet standards track protocol for the Internet community, and requests discussion and suggestions for improvements. Please refer to the current edition of the "Internet Official Protocol Standards " (STD 1) for the standardization state and status of this protocol. Distribution of this memo is unlimited. Copyright Notice Copyright (c) 2009 IETF Trust and the persons identified as th