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The dynamics of commodity prices

โœ Scribed by BROOKS, CHRIS; PROKOPCZUK, MARCEL

Book ID
121316833
Publisher
Taylor and Francis Group
Year
2013
Tongue
English
Weight
719 KB
Volume
13
Category
Article
ISSN
1469-7688

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Arbitrage, cointegration, and the joint
Arbitrage, cointegration, and the joint dynamics of prices across discrete commodity futures auctions
โœ Low, Aaron H. W.; Muthuswamy, Jayaram; Webb, Robert I. ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 218 KB ๐Ÿ‘ 1 views

Underlying the search for arbitrage opportunities across commodity futures markets that differ in market structure is the idea that the futures prices for similar commodities that are traded on different exchanges adjusted for differences in currency, delivery time (if any), location, and market str