A complete guide to the futures markets pdf download


The strength and the pattern a complete guide to the futures markets pdf download linkages between output and input futures prices are of particular importance for risk management in the energy sector. This paper investigates the co-movement between crude oil, heating oil, and reformulated gasoline futures prices using non-parametric and time-varying copulas. The empirical results suggest that short-run co-movement is high, symmetric with respect to the sign of shocks, and asymmetric with respect to the size of them.

Depending on the source of a shock, the asymmetry with respect to size is likely to work towards widening or narrowing the crack spread. In the long run, however, price co-movement becomes perfect, and the price interrelationships obey the Law of One Price. Check if you have access through your login credentials or your institution. We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices. We find that momentum performs well in futures markets, but not in spot markets, and that mean-reversion performs well in spot markets, but not in futures markets. Most interestingly, we find that momentum in futures prices cannot be explained by a sustained trend in spot prices.

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