Price discovery, market efficiency and temporal dynamic price relationship: an empirical analysis of worldwide precious metals markets

The aim of this research is to investigate the price discovery, market efficiency and the temporal dynamic price relationships between financial prices (futures and index) and spot price, for three of the most important precious metals, namely gold, silver and platinum.When people are concerned about the economy, prudent investors switch their investment into precious metals rather than other asset classes. Precious metals futures, thus, are used by commercial producers and users and investors of precious metals to hedge risk or to make profit on the price fluctuations. Understanding the relationship between markets should foster sensible investment decisions and improve the statistical hedging properties of precious metals.Inspired by consideration of the unique status of precious metals in the economy and limited existing empirical evidence of price relationship regarding these metals, this research attempts to contribute to the space literature on market efficiency and causality cross three categories of markets—index, futures and spot. Further it will extend the research on price relationships and interactional impacts of precious metals markets based on non-synchronous trading that connects all the major markets around the world.The findings confirm long-term equilibrium relationships between US futures/index markets and special spot markets of all three precious metals by Cointegration tests. Via VECMs, the findings also revealed that futures prices and indexes of all the tested precious metals played a dominant role in the long run, but not all of them could be the unbiased estimators of the future spot price. On the other hand, mixed results of short-term causality suggested that US futures and indices led spot prices in the majority of cases.The results from this research supported the hypothesis that futures/indices functioned in the price discovery role in both the long- and short-term, and more importantly, the findings had value implications for market users in decision-making and improving their portfolio performance on precious metal markets

Systematic analysis of the incoming quark energy loss in cold nuclear matter

The investigation into the fast parton energy loss in cold nuclear matter is crucial for a good understanding of the parton propagation in hot-dense medium. By means of four typical sets of nuclear parton distributions and three parametrizations of quark energy loss, the parameter values in quark energy loss expressions are determined from a leading order statistical analysis of the existing experimental data on nuclear Drell-Yan differential cross section ratio as a function of the quark momentum fraction. It is found that with independence on the nuclear modification of parton distributions, the available experimental data from lower incident beam energy rule out the incident-parton momentum fraction quark energy loss. Whether the quark energy loss is linear or quadratic with the path length is not discriminated. The global fit of all selected data gives the quark energy loss per unit path length {\alpha} = 1.21\pm0.09 GeV/fm by using nuclear parton distribution functions determined only by means of the world data on nuclear structure function. Our result does not support the theoretical prediction: the energy loss of an outgoing quark is three times larger than that of an incoming quark approaching the nuclear medium. It is desirable that the present work can provide useful reference for the Fermilab E906/SeaQuest experiment

Nuclear geometry effect and transport coefficient in semi-inclusive lepton-production of hadrons off nuclei

Hadron production in semi-inclusive deep-inelastic scattering of leptons from nuclei is an ideal tool to determine and constrain the transport coefficient in cold nuclear matter. The leading-order computations for hadron multiplicity ratios are performed by means of the SW quenching weights and the analytic parameterizations of quenching weights based on BDMPS formalism. The theoretical results are compared to the HERMES positively charged pions production data with the quarks hadronization occurring outside the nucleus. With considering the nuclear geometry effect on hadron production, our predictions are in good agreement with the experimental measurements. The extracted transport parameter from the global fit is shown to be $\hat{q} = 0.74\pm0.03 GeV^2/fm$ for the SW quenching weight without the finite energy corrections. As for the analytic parameterization of BDMPS quenching weight without the quark energy E dependence, the computed transport coefficient is $\hat{q} = 0.20\pm0.02 GeV^2/fm$. It is found that the nuclear geometry effect has a significant impact on the transport coefficient in cold nuclear matter. It is necessary to consider the detailed nuclear geometry in studying the semi-inclusive hadron production in deep inelastic scattering on nuclear targets.Comment: 14 pages, 3 figures. arXiv admin note: text overlap with arXiv:1310.569