Preprint Article Version 1 This version is not peer-reviewed

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

Version 1 : Received: 12 May 2020 / Approved: 13 May 2020 / Online: 13 May 2020 (03:35:53 CEST)

How to cite: Volkenand, S.; Filler, G.; Odening, M. Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities. Preprints 2020, 2020050218 (doi: 10.20944/preprints202005.0218.v1). Volkenand, S.; Filler, G.; Odening, M. Price Discovery and Market Reflexivity in Agricultural Futures Contracts with Different Maturities. Preprints 2020, 2020050218 (doi: 10.20944/preprints202005.0218.v1).

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 percent 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 consideration of market reflexivity.

Subject Areas

agricultural commodity futures; price discovery; market reflexivity; Hawkes process

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