Academic Research for Chicago Board Of Trade (CBOT)

• Spreads and non-convergence in Chicago board of trade corn, soybean, and wheat futures: Are index funds to blame?, Irwin, S. H., Garcia, P., Good, D. L., & Kunda, E. L. (2011). Applied Economic Perspectives and Policy, 33(1), 116-142.  The article is concerned with the contribution of index funds in recent difficulties faced in the Chicago Board of Trade corn, soybean and wheat futures contracts. The author is concerned about how new participants in the market have inflated futures prices. In conclusion, statistical tests do not prove that the introduction of various index positions in a crowded market space can contribute to the growth of the spreads.
• The performance of Chicago board of trade corn, soybean, and wheat futures contracts after recent changes in speculative limits, Irwin, S. H., Garcia, P., & Good, D. L. (2007, May). In American Agricultural Economics Association, Annual Meeting, July. The paper talks about how changes in speculative limits can contribute to the performance of Chicago board of trade corn, soybean and wheat futures contracts.
• Dual trading and futures market liquidity: An analysis of three Chicago Board of Trade contract markets, Walsh, M. J., & Dinehart, S. J. (1991). Journal of Futures Markets, 11(5), 519-537. The paper talks about the analysis of three Chicago Board of trade contract markets. It goes ahead to highlight us on the dual trading and the liquidity of Futures markets.
• Do professional traders exhibit myopic loss aversion? An experimental analysis, Haigh, M. S., & List, J. A. (2005). The Journal of Finance, 60(1), 523-534.  The study integrates two behavioral concepts namely mental accounting and loss aversion to explain the equity premium puzzle. Recent experiment agrees with the theory which found out students characters to be in line with myopic loss aversion (MLA). In addition to this, we find out that students and professionals exhibit completely different behaviors. Generally, traders show characters that are compatible with MLA to a larger extent compared to students.
• Cross-market soybean futures price discovery: does the Dalian Commodity Exchange affect the Chicago Board of Trade?, Han, L., Liang, R., & Tang, K. E. (2013). Quantitative Finance, 13(4), 613-626. The article investigates the roles of Dalian Commodity Exchange (DCE) in the world price discovery of soybean futures. We use Structural Vector Autoregressive and Vector Error Correction models on the returns of the DCE and CBOT soybean futures during non-business and business hours. The outcomes show that there is a transmission of information between CBOT and DCE. It concludes that DCE soybean futures price has an influence in price discovery in CBOT. Therefore; DCE plays a critical role in futures price discovery.
• On modelling and pricing weather derivatives, Alaton, P., Djehiche, B., & Stillberger, D. (2002). Applied mathematical finance, 9(1), 1-20. The paper is concerned with establishing pricing models for weather derivatives accompanied by payouts which rely on the temperature. Past data are used to imply a stochastic process that talks about the evolution of the temperature. Special prices of contracts are obtained by the use of market price of risk. Approximation formula and Monte Carlo simulations are also used to show prices of some contracts.
• New evidence on the impact of index funds in US grain futures markets, Sanders, D. R., & Irwin, S. H. (2011). Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, 59(4), 519-532. The paper tries to examine the commodity index trader position before the period of 2007-08 when commodity price increased. The data from 2004 to 2005 indicate a significant addition in the commodity index positions that happened in the futures markets. The author informs us that some tests like those of Granger did not find out any relationship between grain futures prices and commodity index activity.
• Efficiency of weather derivatives as primary crop insurance instruments, Vedenov, D. V., & Barnett, B. J. (2004). Journal of Agricultural and Resource Economics, 387-403. The article talks about the efficiency of weather derivatives as instruments of primary crop insurance.
• Real-time price discovery in global stock, bond and foreign exchange markets, Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2007). Journal of international Economics, 73(2), 251-277. The author is examining the response of the U.S macroeconomic news to Germany and British stock, bond and foreign exchange markets. The results portray that the bond markets react strongly to macroeconomic news while equity markets respond differently based on the stage of the business cycle-justifying the little link between bond and stock returns. Additionally, the foreign exchange markets and the equity appear reactive as well.
• Pricing the Chicago board of trade T-bond futures, Ben-Abdallah, R., Ben-Ameur, H., & Breton, M. (2012). Quantitative Finance, 12(11), 1663-1678. This paper examines the pricing of the Chicago Board of Trade (CBOT) Treasury-Bond futures. The major challenge in pricing comes from its many inter-dependent delivery options which can be practiced severally during the month of delivery. The author uses Markov diffusion model to propose a pricing algorithm that can take care of all the delivery procedures within the CBOT T-Bond futures.
• Linkages between agricultural commodity futures contracts, Malliaris, A. G., & Urrutia, J. L. (1996). Journal of Futures Markets: Futures, Options, and Other Derivative Products, 16(5), 595-609. This article tries to establish the link and relationship that exists between agricultural commodity futures contracts.