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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. 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.

Item Type:Thesis (Dissertation (Ph.D.))
Subject Keywords:Social Science
Degree Grantor:California Institute of Technology
Division:Humanities and Social Sciences
Major Option:Social Science
Thesis Availability:Public (worldwide access)
Research Advisor(s):
  • Quirk, James P.
Thesis Committee:
  • Quirk, James P. (chair)
  • Kiewiet, D. Roderick
  • Dubin, Jeffrey A.
  • Noll, Roger G.
Defense Date:1 January 1985
Funders:
Funding AgencyGrant Number
CaltechUNSPECIFIED
Columbia University Center for the Study of Futures MarketsUNSPECIFIED
Record Number:CaltechTHESIS:02062019-101425283
Persistent URL:https://resolver.caltech.edu/CaltechTHESIS:02062019-101425283
Default Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:11385
Collection:CaltechTHESIS
Deposited By: Lisa Fischelis
Deposited On:06 Feb 2019 23:04
Last Modified:18 Dec 2020 01:44

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