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Agribusiness - 2024 - Miljkovic - An investigation of the price discovery role of futures markets A dynamic time warping2.14 MB
Published VersionCC BY-NC-ND V4.0, Open Access
Journal article
An investigation of the price discovery role of futures markets: A dynamic time warping analysis of the United States corn markets
Agribusiness , Vol.39(2), pp.371-386
2024
Abstract
Futures markets are critical to price discovery and often dominate spot markets. We analyze the linkages between daily corn futures and spot prices in the United States using dynamic time warping. This nonparametric pattern recognition technique has several advantages over traditional time series methods. First, it can detect multiple changes in the lead-lag associations between the two prices within short intervals; the duration with which one series leads or lags another is not assumed to be fixed. Second, the method can be applied to time series without regard to their stationarity properties. This greatly expands the scope of this method to accommodate a wide range of time series. Third, it lends itself well to studying small samples, which econometricians encounter routinely. Fourth, the results are presented intelligibly using intuitive visualizations. Our results show that futures markets are critical to price discovery; nevertheless, spot markets dominate futures markets intermittently. We discuss the results in detail, setting them in the proper context. [EconLit Citations: C14, C32, Q02, Q11].
Details
- Title
- An investigation of the price discovery role of futures markets: A dynamic time warping analysis of the United States corn markets
- Authors
- Dragan Miljkovic - North Dakota State UniversityPuneet Vatsa (Corresponding Author) - Lincoln UniversityFrayne Olson - North Dakota State University
- Publication details
- Agribusiness , Vol.39(2), pp.371-386
- Publisher
- John Wiley & Sons, Inc.
- Date published
- 2024
- DOI
- 10.1002/agr.21939
- ISSN
- 1520-6297; 0742-4477
- Copyright note
- This is an open access article under the terms of the Creative Commons Attribution‐Noncommercial‐NoDerivs License, which permits use and distribution in any medium, provided the original work is properly cited, the use is non‐commercial and no modifications or adaptations are made.© 2024 The Authors. Agribusiness published by Wiley Periodicals LLC.
- Data Availability
- The data that support the findings of this study are available from the corresponding author upon reasonable request.
- Organisation Unit
- School of Business and Creative Industries
- Language
- English
- Record Identifier
- 991148739402621
- Output Type
- Journal article
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- Domestic collaboration
- International collaboration
- Web Of Science research areas
- Agricultural Economics & Policy
- Economics
- Food Science & Technology
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