arXiv · arXiv q-fin · 2021
This study analysed a series of live cattle spot and futures prices from the Boi Gordo Index (BGI) in Brazil. The objective was to develop a model that best portrays this commodity's behaviour to estimate futures prices more accurately. The database created contained 2,010 daily entries in which trade in futures contracts occurred, as well as BGI spot sales in the market, from 1 December 2006 to 30 April 2015. One of…
R. G. Alcoforado, W. Bernardino, A. D. Egídio dos Reis, J. A. C. Santos
arXiv · arXiv q-fin · 2024
There is growing recognition among financial institutions, financial regulators and policy makers of the importance of addressing nature-related risks and opportunities. Evaluating and assessing nature-related risks for financial institutions is challenging due to the large volume of heterogeneous data available on nature and the complexity of investment value chains and the various components' relationship to nature…
Steven Reece, Emma O'Donnell, Felicia Liu, Joanna Wolstenholme, Frida Arriaga
arXiv · arXiv q-fin · 2013
Market trade-routes can support infectious-disease transmission, impacting biological populations and even disrupting causal trade. Epidemiological models increasingly account for reductions in infectious contact, such as risk-aversion behaviour in response to pathogen outbreaks. However, market dynamics clearly differ from simple risk-aversion, as are driven by different motivation and conditioned by trade constrain…
Mathieu Moslonka-Lefebvre, Hervé Monod, Christopher A. Gilligan, Elisabeta Vergu, João A. N. Filipe
arXiv · arXiv q-fin · 2013
We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of all the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat and coffee. On the other end of the ranking, we detect live cattle and feeder cattle.…
Ladislav Kristoufek, Miloslav Vosvrda