Futures Contracts Research Articles

Uppdragsarkeologiska möjligheter

In this text we discuss how Swedish contract archaeology can develop its socialengagement by creating new areas of relevance to society, beyond the generalactivities of disseminating results. We do so by giving concrete examples of howthis can be done, using archaeological excavations as a starting point. The examplesinclude engaging the local community in future planning for a social sustainableliving environment, collaboration with the tourism sector, development of teachingmaterials for secondary schools, memory training for people with acquired braindamage, and school programs focusing on a socially sustainable and inclusive society.The purpose of the text is to inspire change, by showing development opportunitiesfor future contract archaeology that will benefit both performers and recipients,and contribute to society’s multifaceted needs.

Financial Analysis and Hedging Strategy Analysis of Associated British Foods

A multinational food company may have to face various risks from its supply chain or other aspects. Hedging strategies by using financial derivatives such as futures contracts are useful for such companies to reduce their risks. This paper aims to make proposals for Associated British Foods (ABF) to reduce its risks by using the future contracts and options of its raw materials. Based on the analysis of the background and financial situation of ABF, it is suggested that future contracts of wheat and other raw materials and their options can be hedged. Long call, short call, bull spread, and bear spread are analyzed respectively based on the latest market data. The paper only takes one example of CHICAGO SRW WHEAT (ZWU2), but it is suggested that a number of related commodities can be hedged in similar methods.

Assessment of Climate Change and Land Use Effects on Water Lily (Nymphaea L.) Habitat Suitability in South America

Many aquatic species have restricted dispersal capabilities, making them the most vulnerable organisms to climate change and land use change patterns. These factors deplete Nymphaea species’ suitable habitats, threatening their populations and survival. In addition, the species are poorly documented, which may indicate how scarce they are or will become. Members of Nymphaea are ecologically important as well as having cultural and economic value, making them of conservation interest. Therefore, using the maximum entropy (MaxEnt) approach, climatic variables, land use, and presence points were modeled for seven Nymphaea species in South America, using three general circulation models (CCSM4, HADGEM2-AO, and MIROC5) and in two representative concentration pathways (RCPs 4.5 and 8.5) and two scenarios (2050 and 2070). Our results indicated that mean diurnal range (bio2), precipitation of the wettest month (bio13), temperature seasonality (bio15), and land use (dom_lu) were the main influencing factors. For all species, suitable areas were concentrated east of Brazil, and they were variable in northern parts of the continent. Besides, inconsistent expansion and contraction of suitable habitats were noticed among the species. For example, N. amazonum, N. rudgeana, and N. lasiophylla future habitat expansions declined and habitat contraction increased, while for N. ampla and N. jamesoniana, both future habitat expansion and contraction increased, and for N. pulchella and N. rudgeana it varied in the RCPs. Moreover, the largest projected suitable habitats were projected outside protected areas, characterized by high human impacts, despite our analysis indicating no significant change between protected and unprotected areas in suitable habitat change. Finally, understanding how climate change and land use affect species distribution is critical to developing conservation measures for aquatic species.

Economic imperatives of financialization of agricultural commodity markets

Purpose. The purpose of the article is to substantiate the theoretical and methodological foundations and economic feasibility of intensifying the processes of financialization of the business model of Ukrainian grain producers, in particular through the formation of the grain futures market and the creation of commodity exchange in Ukraine. 
 Methodology / approach. In the article, it is clarified the concept of financialization as one of the global trends of economic development that provides deep integration of financial and real economy on macro- and micro levels. Hedge effectiveness of price risks for Ukrainian grain (wheat and corn) using futures contracts traded on CME Group and Euronext is evaluated using regression analysis. Ukrainian wheat and corn FOB price volatility for 2016–2021 marketing years is estimated. The dynamics and volatility of the basis for Ukrainian wheat and corn and respective futures contracts traded on CME Group and Euronext are analyzed. 
 Results. The analysis of securitization index of global agricultural markets has shown an increase of its financialization rate. The main reasons for this process were the deepening of financial and commodity markets integration, deregulation of financial markets and introduction of new financial instruments. The structure of the grain market in Ukraine is analyzed, particularly the role of agricultural holdings and international companies. The tendencies and determinants of wheat and corn market prices in Ukraine during marketing year are revealed. Regression analysis of hedge effectiveness has shown that all considered futures contracts are suitable for wheat and corn CPT and FOB price hedging in Ukraine. The highest hedge effectiveness was revealed for Black Sea Corn Financially Settled (Platts) Futures) (CME Group) and Milling Wheat / Ble de Meunerie (Euronext Matif). Short hedge efficiency of CME Group futures contracts was supported by analysis of basis dynamics for Ukrainian wheat and corn and respective futures contracts. 
 Originality / scientific novelty. Based on the analysis of the theoretical foundations of financialization, the positive and negative consequences of the strengthening of financialization of global commodity markets and the peculiarities of the functioning of the modern grain market in Ukraine, the economic imperatives of the development of the Ukrainian market of grain derivatives, as an objectively determined trend of agricultural commodity market, are substantiated. The evaluation of the effectiveness of hedging price risks on the Ukrainian grain markets using derivatives traded on global exchanges has gained further development.
 Practical value / implications. It is proposed to intensify market tools usage for risk hedging in Ukraine in order to cover interests of all market participants. Risk management instruments available for Ukrainian agricultural producers are discussed.

Forests at the fringe: Comparing observed change to projected climate change impacts for five tree species in the Pacific Northwest, United States

Rapid climate change over the coming century will impact suitable habitat for many tree species. In response to these changes in climate, areas that become unsuitable will see higher mortality and lower growth and recruitment. Therefore, early detection of demographic trends is critical for effective forest management. Recent 10-year remeasurement data from the United States (US) Department of Agriculture (USDA) Forest Service’s Forest Inventory and Analysis (FIA) Program’s national annual inventory of forest land provides an ideal data set for analyzing such trends over large areas. However, failure to distinguish between areas of future habitat contraction and expansion or persistence when estimating demographic trends may mask species’ shifts. We used remeasurement data to compare observed tree demographic rates with projected impacts of climate change for five important tree species in the Pacific Northwest. Projected impacts were based on spatial-Bayesian hierarchical models of species distributions, which were used to project areas where habitat would persist (remain climatically suitable), expand (become suitable), or contract (become unsuitable) under four future climate scenarios for the 2080s. We compared estimates of mortality and net-growth between these areas of shifting suitability and a naïve division of habitat based on elevation and latitude. Within these regions, we assessed the sustainability of mortality and determined that observational data suggest that climate change impacts were already being felt in some areas by some species. While there is an extensive literature on bioclimatic species distribution models, this work demonstrates they can be adapted to the practical problem of detecting early climate-related trends using national forest inventory data. Of the species examined, California black oak (Quercus kelloggii) had the most notable instances of observed data suggesting population declines in the core of its current range.

Estimation of VIX futures through Gaussian factor models

In this paper we investigate VIX dynamics through a two-factor Gaussian model, following Avellaneda and Papanicolaou (2019). Two strategies were adopted. First, we considered constant market price of risk. Second, we included time-varying market price of risk. In both cases, we estimated the model following two different approaches. In the first, we used a sample encompassing seven VIX future contracts and also the spot VIX. In the second, we dropped the spot VIX from the sample. We found that this removal provided a better adjustment between empirical and estimated data.

PERTANGGUNG JAWABAN PELAKU BINARY OPTION TERHADAP HUKUM POSITIF DI INDONESIA

Binary Option Trading has become quite a topic of public discussion lately, because there are many influencers and advertisements scattered about the huge profits that can be obtained through Binary Option Trading, so many people are tempted to try to enter it without understanding what and how the Binary Option system is. alone. In addition, the legality of Binary Option Trading in Indonesia is still questionable. Regarding the types of commodities included in the subject of futures contracts, it is regulated in CoFTRA Regulation No. 3 of 2019 concerning Commodities, Binary Options are not included in the subject written in Article 1. This can indirectly mean that Binary Options are illegal. The most recent case is a binary option scheme which is defined as a gambling practice. Gambling activities are prohibited by Article 303 of the Criminal Code (KUHP), Law (UU) Number 7/1974, as well as Government Regulation Number 9/1981, and Law Number 11/2008 (UU ITE). So the question arises, is there an alternative civil law regulation for victims of binary options trading cases? What is the perpetrator's responsibility for binary options under the guise of online investment? In this study, the researcher uses normative legal research, namely research that is useful for finding and answering legal issues, the rule of law, legal principles or legal doctrines encountered from a normative perspective and to find out whether the rule of law is in accordance with legal norms. . This normative law research is used to solve the problem of the legal issues faced by only examining the legal norms. So from research with normative legal methods will produce appropriate prescriptions and should be according to law.

Green hydrogen from hydropower: A non-cooperative modeling approach assessing the profitability gap and future business cases

This paper investigates a possible future business case for green hydrogen production from hydropower. The main research question is to find the trade-offs for a run-of-river hydropower plant owner between the currently prevailing business model of wholesale electricity trading and, alternatively, production of green hydrogen. Hence, a bi-level optimization framework between a hydropower plant owner (H2 producer and price setter) and a transportation firm (H2 consumer) is developed. The empirical scaling of the numerical example describes Central Western European wholesale electricity market settings. Results indicate that the current market environment and price setup do not allow for profitable green hydrogen production as yet. However, an increasing CO2 price as the key determining parameter leads to improved competitiveness and expected profitability of the business case studied in this work. In the numerical example examined, a CO2 price above 245EUR /t triggers profitability, when green hydrogen production is competing with a future electricity contract price of 45EUR /MWh.

Practical Applications of Factor Model Index for Commodity Investment

Institutional investors, especially pension funds, often obtain commodity exposures by investing in commodity futures. But while investment in any asset class requires appropriate benchmarks for performance measurement and return attribution, the proper criteria for investment strategies based on commodity futures are just beginning to emerge. In <b><i>Factor Model Index for Commodity Investment</i></b>, from the Winter 2021 issue of <b><i>The Journal of Index Investing</i></b>, authors <b>Daniel Broby</b> of <b>Ulster University</b>, <b>Andrew McKenzie</b> of the <b>University of Arkansas</b>, and <b>Olivier Bauthéac</b> of <b>Strathclyde Business School</b> propose an approach for constructing a factor model index for commodities that is replicable and investable. They contend that factor model indexes (FMIs) can be substituted for existing production-based indexes that utilize futures contracts. The technique allows commodity investors to construct an optimal portfolio and measure investment performance more accurately.

Participation in the under-18 Euroleague Next Generation Tournament does not predict attaining NBA, Euroleague, or Eurocup

We examined whether participation and individual performance in the under-18 Euroleague Next Generation Tournament (NGT) predicted a future contract with an NBA, Euroleague, or Eurocup squad. Data from 1446 players between 2002–2003 and 2011–2012 seasons were considered. We considered information about each player, including country, the number of games played, and performance index rating (PIR). We tracked the players’ highest club level attained in their adult careers. We used a multilevel ordinal regression with a cumulative model in a fully Bayesian framework to examine the probability of the players playing in the NGT attaining the NBA, Euroleague, or Eurocup. Furthermore, we explored in the model if PIR in the NGT was a relevant predictor of achieving the highest club level in adult careers. From the total sample, only a very small percentage attain the NBA (20 in 1446, 1.4%), Euroleague (103 in 1446, 7.2%), and Eurocup (60 in 1446, 4.2%). The results highlight that a very small number of players with a very high PIR per game in the NGT had a higher chance to play in the NBA, Euroleague, or Eurocup. The probability of attainment of NBA and Euroleague for the population of highly selected basketball players playing the under-18 NGT in the first 10 years of the NGT was small. Hence, caution is warranted when assuming the effectiveness of current talent development models, even at the late stages of young players’ development, often labelled as young elite players.

Multiple-region, N-mixture community model to assess associations of riparian area, fragmentation, and species richness.

The associations of habitat area and fragmentation with species richness long have been major topics within community ecology. Recent discussion has focused on properly assessing fragmentation independent of habitat area (fragmentation per se), and on whether fragmentation has significant negative or positive associations with species richness. We created a novel, multiple-region, N-mixture community model (MNCM) to examine the relations of riparian area and fragmentation with species richness of breeding birds in mountain ranges within the Great Basin, Nevada, USA. Our MNCM accounts for imperfect detection in count data at the survey-point level while allowing comparisons of species richness among regions in which those points are embedded. We used individual canyons within mountain ranges as regions in our model and measured riparian area and the Normalized Landscape Shape Index, a metric of fragmentation that is independent of total riparian area. We found that riparian area, but not its fragmentation, was a primary predictor of canyon-level species richness of both riparian obligates and all species. The relationship between riparian area and riparian obligate species richness was nonlinear: canyons with ≥25 ha woody riparian vegetation had relatively high species richness, whereas species richness was considerably lower in canyons with <25 ha. Our MNCM can be used to calculate other metrics of diversity that require abundance estimates. For example, Simpson's evenness of riparian obligate species had a weak negative association with riparian area and was not associated with fragmentation. Projections of future riparian contraction suggested that decreases in species richness are likely to be greatest in canyons that currently have moderate (~10-25 ha) amounts of riparian vegetation. Our results suggest that if a goal of management is to maximize the species richness of breeding birds in montane riparian areas in the Great Basin, it may be more effective to focus on total habitat area than on fragmentation of patches within canyons, and that canyons with at least moderate amounts of riparian vegetation should be prioritized.

Review of the Legality of Binary Options According to Islamic Law and Laws in Indonesia

A binary Option is a financial or financial product in which the parties involved are placed on one of two options within a certain period of time. Juridically, the legality of Binary Options as a Futures Trading Commodity is still being debated. This is because in order to be considered a commodity, it must fulfill the phrase "future contract" as referred to in the Commodity Futures Trading Act. When referring to the objective terms of the contract, the contract must fulfill valid reasons where the Binary Option raises questions about the validity of the contract in the context of Binary Options. From a consumer perspective, without permission from CoFTRA for consumer protection, there is no clarity, both from a legal and practical perspective. The purpose of this study is to find out how Islamic law and laws in Indonesia treat the binary options affiliate system. Using normative law with a framework to find out legal norms, Islamic legal principles, and legal doctrines that are used to answer legal problems faced. take notes from literary books, laws, and regulations, newspapers, magazines, or online communication media that are relevant to the problem being studied

Competing hypotheses on the Samuelson effect in futures markets

ABSTRACT Using data of 12 commodity futures traded on three major futures exchanges in U.S., we find that about 55% of the agricultural futures contracts exhibit the Samuelson effect, about 30% for energy futures contracts, but only about 20% for metal and financial futures contracts. The proposed approach also enables us to take the unprecedented step of directly comparing explanatory power of the state variable hypothesis and the mean reversion hypothesis over the Samuelson effect. The result overall suggests that the mean reversion hypothesis can better explain the Samuelson effect.

Climate change will likely threaten areas of suitable habitats for the most relevant medicinal plants native to the Caatinga dry forest

Disruption of ecosystem services associated with climate change may affect human well-being in different ways. Medicinal plants provide extremely relevant ecosystem services. Here, we tested the hypothesis that highly suitable habitats (i.e. suitability ≥ 0.8) for medicinal plants in Caatinga dry forest may be potentially contracted under scenarios of climate change, which are represented by different levels of increases in greenhouse gas emissions. We performed species distribution modelling to simulate the effects of climate change on the range of suitable habitats for medicinal plants native to the Caatinga dry forest. We selected the 10 most important plant species based on their high local importance as medicinal resources. We documented that climate change may distinctly affect areas of suitable habitats for medicinal plants in the Caatinga dry forest. Independent of the future climatic scenario projected to 2070, 60% of the studied species will likely experience reductions in their areas of highly suitable habitats, 30% will likely experience increases and 10% may not be affected. Specifically, suitable habitats will likely be reduced for Myracrodruon urundeuva, Erythrina velutina, Operculina hamiltonii, Cereus jamacaru, Bauhinia cheilantha, and Anadenanthera colubrina; increased for Amburana cearensis, Neocalyptrocalyx longifolium and Operculina macrocarpa; and may not be affected exclusively for Maytenus rigida in future scenarios of climate change. We alert that potential future contractions of highly suitable habitats for the most important medicinal plants may compromise ecosystem functions and the provisioning of relevant natural medicines, mainly to low-income communities, which predominate abundant in the Caatinga dry forest.

Developing a Multicriteria Decision-Making Model Based on a Three-Layer Virtual Internet of Things Algorithm Model to Rank Players’ Value

This paper proposes a multicriteria decision-making model based on a three-layer virtual internet of things (IoT) algorithm to automatically track and evaluate professional football players’ performance over the Internet. The three layers were respectively related to (1) automated data reading, (2) the players’ comprehensive grey relational degree calculation, and (3) the players’ classification. The methodology was applied in the context of the COVID-19 pandemic to investigate the performance of the top 10 defenders (according to The Sun, an internationally renowned sports website) in the European leagues, participating in the knockout phase of the 2019–20 UEFA Champions League. The results indicate that Virgil van Dijk of Liverpool FC was the best defender, followed by Harry Maguire of Manchester United, and Sergio Ramos of Real Madrid in the second and third positions, respectively. However, this ranking contradicted that of The Sun’s, which ranked these defenders in the seventh, tenth, and eighth positions, respectively. These results can help club management, coaches, and teams negotiate price positioning and future contract renewals or player transfers.

A system analysis and design for ubiquitous material procurement control of cocoa-agroindustry

Cocoa is an annual plant passed down from generation to generation in farming communities. The Indonesian cocoa-based product agroindustry, in practice, still depends on cooperative ties with partner farmers to fulfil its raw materials. The problem with controlling cocoa procurement is the manual communication and information system with cocoa partner farmers. Data systems and document tracking are incomplete and tidy. This study proposes a task analysis and design material procurement control for cocoa beans in partner farmers. The methodology designs consisted of the use case diagram actor relational analysis. The model is equipped with the design process initiated with the BPMN. The data attributes construction was based on partnership contracts, resulting in database table relation schemes. A partnership contract was constructed based on the decision trees mechanism to get recommendations and evaluations in future contracts. The analysis results showcased how traceability systems work in the digital business ecosystem involved in dispersed stakeholders. Stakeholders provide manual data transformation to the digital system by using digital applications.

Testing Weak Form Information Memory: A Study of Indian Futures Market

The greatness and simplicity of EMH (Efficient Market Hypothesis) has surprised investors from time to time regarding the correct pricing and efficient strategies for investment. Applying the same logic to Indian Derivative market, the present paper makes an effort to examine the market efficiency of index futures. The study has undertaken tests of market efficiency of Nifty Index Futures contract from 1st January, 2018 to 1st January, 2021 Random walk theory is tried to be tested in this context and Ljung- Box test is applied to check the fluctuations in future contract prices. The background thought is kept like if market is inefficient at its weak-form that leads to the proof that market does have memory and future prices do not stick to random walk. Findings of the study reveals that past prices of future contracts cannot be used as base to forecast the terminal prices and abnormal profit can be made as they are random in nature.

The great divergence between the USO fund and WTI spot prices

ABSTRACT This paper discusses the concept of the ‘roll yield’ and its impact on the performance of ETFs that invest in futures contracts of storable commodities. It argues that comparing the returns of a futures position to the returns of a spot position can be quite misleading. As a case study, it examines the returns of the USO exchange traded fund whose investment objective is to mimic the performance of WTI prices using futures contracts. A simple regression model shows that the significant underperformance of the USO fund relative to WTI spot prices has been caused by the prolonged contango market and the steep WTI futures curve in the post-2009 period.

Integrating climate, ecophysiology, and forest cover to estimate the vulnerability of sloths to climate change

AbstractGlobal change imposes multiple challenges on species and, thus, a reliable prediction of current and future vulnerability of species must consider multiple stressors and intrinsic traits of species. Climate, physiology, and forest cover, for example, are required to evaluate threat to thermolabile forest-dependent species, such as sloths (Bradypus spp.; Mammalia: Xenarthra). Here, we estimated future changes in the distribution of three sloth species using a metabolic-hybrid model focused on climate (climatic only, i.e., CO approach) and adding forest cover constraints to distribution of species (climate plus land cover, i.e., CL approach). We used an innovative method to generate estimates of physiological parameters for endotherms, validated with field data. The CF approach predicted a future net expansion of distribution of B. torquatus and B. variegatus, and a future net contraction of distribution of B. tridactylus. The inclusion of forest cover constraints, however, reversed the predictions for B. torquatus, with a predicted net distribution contraction. It also reduced expansion of B. variegatus, although still showing a large net expansion. Thus, B. variegatus is not predicted to be threatened in the future; B. tridactylus emerges as the species most vulnerable to climate change, but with no considerable forest losses, while B. torquatus shows the opposite pattern. Our study highlights the importance of incorporating multiple stressors in predictive models in general. To increase resilience of species to climate change, it is key to control deforestation in the Amazon for B. tridactylus, and to promote reforestation in the Atlantic Forest for B. torquatus.

Modeling and Designing of Rainfall Derivative Contract in India

There has been a prolonged discussion on the use of rainfall derivatives in the Indian conditions. The use of rainfall derivative instruments that could empower the ecosystem of trading and absorbing rainfall risk. The study adopted a unique approach of designing the rainfall indexation based on proposed metrics which is DRD/ERD index, this could be used as building blocks for designing rainfall derivatives similar to HDDs/CDDs underlying temperature derivatives. DRD/ERD values are computed for 36 meteorological subdivisions of India. The basic rainfall future contract structure is defined and analyse how it can reduce the rainfall risk. Like CAT bonds and weather derivatives, rainfall derivatives constitute potentially a distinct asset class and hence could be an added arsenal in the hands of investors for enriching their portfolios.