Theory and Practice in the Analysis of Commodity Futures Price Distributions

Citation

Fort, Rodney Douglas (1985) Theory and Practice in the Analysis of Commodity Futures Price Distributions. Dissertation (Ph.D.), California Institute of Technology. doi:10.7907/ae1b-0k61. https://resolver.caltech.edu/CaltechTHESIS:02062019-101425283

Abstract

This thesis is concerned with commodity futures markets. More specifically, it addresses itself to two issues -- the behavior of commodity futures prices and the effect of these price distributions on hedgers in commodity markets. On the former issue, the distribution of futures prices, the aim is to bring heretofore neglected theoretical implications to an empirical investigation into distributional form. Concerning the latter issue, price distributions and hedging activity, the arguments behind possible trends in futures prices due to short hedging dominance (short hedging in excess of offsetting long hedging, across the entire market) are highlighted, formalized, and tested empirically.

Thesis Files