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Statistical field theory of futures commodity prices

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dc.contributor.authorBaaquie, Belal E.
dc.contributor.authorMiao, Yu
dc.date.accessioned2018-02-04T14:43:31Z
dc.date.available2018-02-04T14:43:31Z
dc.date.issued2018
dc.description.abstractThe statistical theory of commodity prices has been formulated by Baaquie (2013). Further empirical studies of single (Baaquie et al., 2015) and multiple commodity prices (Baaquie et al., 2016) have provided strong evidence in support the primary assumptions of the statistical formulation. In this paper, the model for spot prices (Baaquie, 2013) is extended to model futures commodity prices using a statistical field theory of futures commodity prices. The futures prices are modeled as a two dimensional statistical field and a nonlinear Lagrangian is postulated. Empirical studies provide clear evidence in support of the model, with many nontrivial features of the model finding unexpected support from market data.en_US
dc.identifier.citationBaaquie, Belal E. and Miao, Yu. (2018). Statistical field theory of futures commodity prices. Physica A, 492, pp. 250-264.en_US
dc.identifier.doihttps://doi.org/10.1016/j.physa.2017.09.036
dc.identifier.issn0378-4371
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/2799
dc.languageEnglish
dc.language.isoengen_US
dc.publisherElsevieren_US
dc.rights2018. Elsevier
dc.sourceSEDONA
dc.subjectCommodity futuresen_US
dc.subjectQuantum fielden_US
dc.subjectStatisticsen_US
dc.titleStatistical field theory of futures commodity pricesen_US
dc.typeJournal Articleen_US
dlc.maintopicConventional financeen_US
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.topic.maintopicConventional financeen_US
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