Commodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the US corn market
AbstractWe develop a simple model with technical and fundamental traders to explain the cyclical motion of commodity prices. The crucial element of our model is a nonlinear market impact of technical traders: Estimation of our STAR-GARCH model using monthly US corn price data reveals that technical traders increasingly enter the market as booms or slumps enlarge. One reason may be that they only gradually learn about the emergence of persistent price trends. The behavior of trend-extrapolating speculators obviously enforces mispricings and thus contributes to cyclical motion as observed in actual commodity markets.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 349 (2005)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Commodity markets; Econophysics; Technical and fundamental analysis; Nonlinearities; STAR-GARCH approach;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johnson, Neil F. & Jefferies, Paul & Hui, Pak Ming, 2003. "Financial Market Complexity," OUP Catalogue, Oxford University Press, number 9780198526650.
- Kyrtsou, Catherine & Labys, Walter C., 2007. "Detecting positive feedback in multivariate time series: The case of metal prices and US inflation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 227-229.
- Ahmad K Naimzada & Giorgio Ricchiuti, 2013. "Complexity with Heterogeneous Fundamentalists and a Multiplicative Price Mechanism," Working Papers Series wp2013_03.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze dell'Economia e Dell'Impresa.
- Frank Westerhoff, 2004.
"The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach,"
Computing in Economics and Finance 2004
14, Society for Computational Economics.
- Westerhoff, Frank H. & Dieci, Roberto, 2006. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
- Cornea, A. & Hommes, C.H. & Massaro, D., 2012.
"Behavioral Heterogeneity in U.S. Inflation Dynamics,"
CeNDEF Working Papers
12-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Adriana Cornea & Cars Hommes & Domenico Massaro, 2013. "Behavioral Heterogeneity in U.S. Inflation Dynamics," Tinbergen Institute Discussion Papers 13-015/II, Tinbergen Institute.
- Carl Chiarella & Xue-Zhong He & Weihong Huang & Huanhuan Zheng, 2011.
"Estimating Behavioural Heterogeneity Under Regime Switching,"
Research Paper Series
290, Quantitative Finance Research Centre, University of Technology, Sydney.
- Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012. "Estimating behavioural heterogeneity under regime switching," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 446-460.
- Diego Bastourre & Jorge Carrera & Javier Ibarlucia, 2010.
"Commodity Prices: Structural Factors, Financial Markets and Non-Linear Dynamics,"
BCRA Working Paper Series
201050, Central Bank of Argentina, Economic Research Department.
- Diego Bastourre & Jorge Carrera & Javier Ibarlucia, 2010. "Commodity Prices: Structural Factors, Financial Markets and Non-Linear Dynamics," BCRA Paper Series, Central Bank of Argentina, Economic Research Department, number 06 edited by Jorge Carrera, July.
- Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010.
"Behavioral heterogeneity in the option market,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 34(11), pages 2273-2287, November.
- Diego Bastourre, 2008. "Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio," Department of Economics, Working Papers 072, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
- Marc Joëts, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Working Papers 2013.32, Fondazione Eni Enrico Mattei.
- Bastourre, Diego, 2008.
"Cambio fundamental o especulación financiera en los mercados de commodities? Un modelo con ajuste no lineal al equilibrio
[Structural break or financial speculation in commodity markets? A multiva," MPRA Paper 9910, University Library of Munich, Germany.
- Ellen, Saskia ter & Zwinkels, Remco C.J., 2010. "Oil price dynamics: A behavioral finance approach with heterogeneous agents," Energy Economics, Elsevier, vol. 32(6), pages 1427-1434, November.
- Mihaela Nicolau, 2010.
"Practitioners' Tools in Analysing Financial Markets Evolution,"
Acta Universitatis Danubius. OEconomica,
Danubius University of Galati, issue 3(3), pages 83-104, August.
- Nicolau, Mihaela, 2010. "Practitioners' tools in analysing financial markets evolution," MPRA Paper 25646, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.