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Full-Text Articles in Agriculture
The Cost Of Forward Contracting In Mississippi River Barge Freight And Cif Nola Markets, Bradley John Isbell
The Cost Of Forward Contracting In Mississippi River Barge Freight And Cif Nola Markets, Bradley John Isbell
Graduate Theses and Dissertations
Grain elevators often use paper markets to mitigate the risk of (or hedge) their cash grain positions, as well as establish a profit margin through basis trading. Typically, merchandisers use futures or forward contracts to perform these transactions. However, in order to liquidate a cash grain position, grain transportation must be arranged in order to deliver the grain to the buyer. For elevators located along the Mississippi River system selling to Gulf export elevators in New Orleans, that mode of grain transportation is most likely river barge. Contracts for barges are bought and sold by grain merchants either directly with …
Spread Trading In Corn Futures Market, Ryan D. Napier
Spread Trading In Corn Futures Market, Ryan D. Napier
Graduate Theses and Dissertations
The non-linear relationship between old crop – new crop year spreads in corn futures market and stock-to-use (S-U) ratios published by the United States Department of Agriculture is analyzed. Using a non-linear logarithmic smooth transition regression (LSTR) model, we capture asymmetric market behaviors in high and low S-U regimes. Capturing this relationship and understanding the non-linear aspects of the relationship is of interest of grain merchandizers and speculators in the market. A spread trading strategy is simulated for the sample period, January 1985 through April 2015, to determine if the non-linear relationship is a profitable arbitrage opportunity in the market.