Commodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the US corn market

DC FieldValueLanguage
dc.contributor.authorWesterhoff, F
dc.contributor.authorReitz, S
dc.date.accessioned2021-12-23T16:11:48Z-
dc.date.available2021-12-23T16:11:48Z-
dc.date.issued2005
dc.identifier.issn03784371
dc.identifier.urihttps://osnascholar.ub.uni-osnabrueck.de/handle/unios/9891-
dc.description.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. (C) 2004 Elsevier B.V. All rights reserved.
dc.language.isoen
dc.publisherELSEVIER
dc.relation.ispartofPHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
dc.subjectcommodity markets
dc.subjecteconophysics
dc.subjectHERD BEHAVIOR
dc.subjectnonlinearities
dc.subjectPERCOLATION MODEL
dc.subjectPhysics
dc.subjectPhysics, Multidisciplinary
dc.subjectSTAR-GARCH approach
dc.subjecttechnical and fundamental analysis
dc.titleCommodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the US corn market
dc.typejournal article
dc.identifier.doi10.1016/j.physa.2004.11.015
dc.identifier.isiISI:000227231200018
dc.description.volume349
dc.description.issue3-4
dc.description.startpage641
dc.description.endpage648
dc.contributor.orcid0000-0003-1666-4103
dc.contributor.researcheridF-2933-2015
dc.identifier.eissn18732119
dc.publisher.placeRADARWEG 29, 1043 NX AMSTERDAM, NETHERLANDS
dcterms.isPartOf.abbreviationPhysica A
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