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On the information content of futures prices, Application to LME nonferrous metal futures

Collection
  • Cahiers de recherche; 2000.12
Publication date2000
Abstract

The objective of operations on futures markets may be either hedging or speculation. In this paper, we wish to give a desciption of futures markets with two groups of operators with heterogeneous expectations: hedgers-speculators, and pure speculators. The existence of carry-over costs is taken into account in the case of commodity trading, as well as in the case of financial futures. An equation, giving a simplified expression of the futures price, is derived. Applications to nonferrous metal futures (aluminium, copper and nickel) commodity markets are proposed.

Citation (ISO format)
AYMARD-MARTINOT, Natacha, LESOURD, Jean-Baptiste, MORARD, Bernard. On the information content of futures prices, Application to LME nonferrous metal futures. 2000
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  • PID : unige:5857
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