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- Title
IDENTYFIKACJA SPEKULACJI NA RYNKACH TERMINOWYCH TOWARÓW ROLNYCH.
- Authors
Malik, Gabriela
- Abstract
The purpose of this article is to identify speculative activities on the futures commodity market of the CME and to investigate the tendencies of such activities by classifying them according to whether their impact on the market is stabilizing or destabilizing. That goal was accomplished by generating one-step-forecasts for the monthly returns of the future contracts with the shortest time left to expiration, and then examining tendencies in the forecast error series. The mentioned-above predictions were obtained by means of the ARIMA model for which best parameterization was identified based upon the value of AIC. Tendencies in the prediction errors were quantified using the linear trend formula, estimated in the sub-periods. The predictions of tendencies in the error series, covering three years staring at the end of the sample, were calculated after fitted the best ARIMA model in order to catch the dynamic structure of the series under consideration.
- Subjects
COMMODITY exchanges; FINANCIAL markets; DERIVATIVE securities; TIME series analysis; FUTURES market
- Publication
Econometrics / Ekonometria, 2013, Vol 4, Issue 42, p140
- ISSN
1507-3866
- Publication type
Article