Speculative Positions Research Articles

The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing?

The objective of this report is to re-visit the adequacy speculation debate in agricultural futures markets. The Commodity Futures Trading Commission makes available the positions held by index funds and other large traders in their Commitment of Traders reports. The results suggest that after an initial surge from early 2004 through mid-2005, index fund positions have stabilized as a percent of total open interest. Traditional speculative measures do not show any material changes or shifts over the sample period. In most markets, the increase in long speculative positions was equaled or surpassed by an increase in short hedging. So, even after adjusting speculative indices for index fund positions, values are within the historical ranges reported in prior research. One implication is that long-only index funds may be beneficial in markets traditionally dominated by short hedging. Attempts to curb speculation through regulatory means should be weighed carefully against the potential benefits provided by this class of speculators.

Speculative Attacks: A Laboratory Study in Continuous Time

We examine speculative attacks in a controlled laboratory environment featuring continuous time, size asymmetries, and varying amounts of public information. Attacks succeeded in 233 of 344 possible cases. When speculators have symmetric size and access to information: (a) weaker fundamentals increase the likelihood of successful speculative attacks and hasten their onset, and (b) contrary to some theory, success is enhanced by public access to information about either the net speculative position or the fundamentals. The presence of a larger speculator further enhances success, and experience with large speculators increases small speculatorsi¦ response to the public information. However, giving the large speculator increased size or better information does not significantly strengthen his impact.

A reexamination of the market efficiency hypothesis: Evidence from an electronic intra-day, inter-dealer FX market

Researchers acknowledge that the evidence of autocorrelation (price dependency) in daily/weekly asset returns provides no conclusive evidence against the market efficiency hypothesis since the holding period of actual speculative positions may be less than a day. Using a high frequency (up to one hundredth of a second), transaction-based, electronic foreign exchange (FX) brokerage data set, we show that dealers in this market tend to close their speculative positions in less than a minute. We provide evidence that there is a significant negative autocorrelation in the rate of return on DM/USD exchange rate. However, when we sample data at frequencies shorter than a minute, profits are infeasible for two reasons: (1) the structure of the autocorrelation pattern is not consistent enough; (2) the largest potential speculative profit derived from the autocorrelation pattern is smaller than the regulated tick size. Our results support the market efficiency hypothesis as dealers have evidently engaged potentially profitable speculation based on price dependency.

Profits and speculation in intra-day foreign exchange trading

This study examines profits and speculation in the USD/EUR trading of a bank in Germany over a four-month period. Dealing activity at the bank generates profits but speculation does not seem to contribute to this. We find that speculative positions fail to become profitable within a 30-min horizon. Also, the suggestion that exchange rate volatility would foster speculative profits cannot be confirmed. To explain daily revenues, neither the bank's speculative trading volume nor its inventory position, but only customer trading emerges as a significant determinant. Furthermore, a spread analysis reveals that there is hardly any room for revenues from speculation.

Heideggerian Thought in the Early Music of Paul Hindemith (With a Foreword to Benjamin Boretz)

Heideggerian Thought in the Early Music of Paul Hindemith (With a Foreword to Benjamin Boretz) 1? Martin Scherzinger Foreword to Benjamin Boretz Though there are many sides to Benjamin Boretz's critical poetics, two are central. On the one hand, there is a body of insights into and intuitions about how certain stretches ofmusic actually go. His com ments on music are always illuminating, often dazzling. I doubt that Mahler, Schoenberg, Babbitt, and all the other composers he considers could find a more sympathetic, attentive, and particularly cocreative listener-reader. But it'swhat happens along theway that seems to linger when Boretz's songtexts are ended: an invitatory quest to maximize awareness of music's non-coercive specificity. It is an invitation that sur HeideggerianThought intheMusic ofHindemith 81 faces repeatedly and inno way superficially throughout his writings. This, on the other hand then, isBoretz's meta-discursive journey: an adumbra tion of "primary creative activity" (2003, 95) through which listening might become "primal composition" (190); an act of discovery, as deeply personal as it is anti-authoritarian, which resists programmatic closure or constraint in even its most intimate syntactic details (95, 190). Reductive music-speak (whether formal or ideological), becomes, for Boretz, shouting without resonance. It isdamaging to the ear: "hearing analyses, hearing serial structures, hearing complex time-pattern relation ships, hearing motivic transformations, hearing adumbrations internally and intertextually and historically, hearing ideologies, hearing anything which is ontologically in the verbal?or symbolic?referential-linguistic domain rather than hearing music in its own fully ontologized experiential-intellectual language, is not only to freeze and paralyze the cumulating evolution of a person's innermusic-experiencing history, but threatens to annihilate the entire intuitivemusic-experiencing history a person may have already accumulated" (351-2). This kind of "ascriptive" discourse institutes the passive foreclosure of what could become active with invisible and mysterious design. We are encouraged to probe "thought inmusic" (in the double sense: to probe thought inmusical terms no less than to probe music's "creative content," which is also its "ontological reality"); an activity sometimes described as experiencing (music) "with no names" (277, 351, 338). What Boretz means bymaxi mum musical awareness, primal composition, unlabeled experience, etc., is revealed inpage aftermagical page. I will not attempt to disclose these insights today. Neither will I attempt?as I have done elsewhere?to suggest theirphilosophical limits, nor?as I have done elsewhere still?to elaborate their surprising histori cal acuity.1This is a time for congratulation and celebration. I offer these reflections to celebrate Ben's birthday; to celebrate his unique genius. Instead of more critique and reflection on it, I will therefore offer an excursion inspired by his musical thought-patterns. Though Boretz may not recognize his positions in the object ofmy reflections, I offer a way of listening to a particular historical moment ofmusic-making thatmay go as a response to an invitation: tomake creative hearing (inmy musico logical inquiry) primary. My personal doubt about the philosophical via bility of unfettered non-ascriptive thought (at least in the context of public utterance), aswell asmy personal interest inmusic's relevance to aspects of the social, historical, philosophical and political arenas, leads me to rein inmy analytic flight with contextual categories. Though it will become clear inwhat follows, I announce my speculative position in advance: Strenuous musical engagement (like Boretz's), especially in 82 PerspectivesofNew Music times of political crisis (like these), contributes to social upliftment. My aim is to probe its limits. Of course there is also a theory of politics at work in the Boretzian text. But, though he intermittently alludes to it,Boretz does not, except in an inconclusive way, address politics pure and simple. At the risk of oversimplifying, one might say that Boretz despairs of politics and looks to music for redemption. There is also, more prominently perhaps, a philosophical/metaphysical superstructure inwhich Boretz's language Muse speaks. His thought converses and resonates with the highest philosophical achievements of romanticism, modernism and post modernism (from Hegel and Schopenhauer through Adorno and Heidegger toDeleuze and Derrida). He addresses the ontology ofmusic itself, and, in the spirit of this continental philosophical tradition, the American maverick does so in a...

His Master's Voice: H.L.A. Hart and Lacanian Discourse Theory

The jurisprudence of H.L.A. Hart might seem completely antithetical to the psychoanalytic theory of Jacques Lacan. Hart works within the analytic school that dominates Anglo-American philosophy departments. Lacan works within an alternate tradition variously called speculative philosophy or critical theory more likely in this country to be banished to comparative literature departments. In this Article, Prof. Schroeder shows why this apparent conflict between Hart and Lacan is an over-simplification. Hart's account of positive law has surprising similarities to Lacan's account of law as the of the Master. Accordingly, anyone seeking to develop a psychoanalytically sophisticated critical theory of law should return to Hart. Moreover, legal positivists should not lightly dismiss psychoanalysis. From a speculative position, Hart's concept of law is too narrow. He describes only one aspect of legal experience: obedience to the law, and perhaps, only obedience by those officials who apply and enforce the law. He omits from the concept of law most of what legal actors actually do - the creation of law by legislators, the analysis of law by policy oriented scholars, and the critique of law by those subjected to its power. Perhaps, most importantly, Hart's concept of law does not include the practice of law by lawyers. Lacan, in contrast, thought that law could not be reduced to the single master's discourse but includes at least three other discourses which I argue correspond to legislation, some aspects of judging, legal scholarship, legal counseling, and the representation of clients. Lacan's analysis, therefore, supplements and complements Hart's.

Skewness Aversion, Output Uncertainty and Hedging in a Futures Market

This paper presents a simple theoretical equilibrium model for the competitive commodity futures market where the agents face both price and output uncertainty. Three groups of agents, producers, entrepreneurs and speculators are introduced. A three-moment expected utility function is applied which accounts for both volatility and negative skewness aversion (prudence). We show that negative skewness aversion reduces the hedging incentive of the producer (farmer) and in some cases causes the latter to enter speculative positions in a futures market. In addition, we show that in presence of agents with three-moment expected utility function an equilibrium futures price is positively biased estimator of the expected market price in comparisson to the classical case of agents with mean-variance preferences.

Unprecedented improvements in short-term heart rate variability due to Thought Field Therapy: Response to the Pignotti retraction

Short-term heart rate variability (S-HRV) is a valid and reliable measure of health and therapy effectiveness. Pignotti makes critical assertions about S-HRV with no evidence or authoritative support for these curious assertions. Short-term measures have advantages over long-term measures. The power of Thought Field Therapy (TFT) is demonstrated through unprecedented HRV improvements as well as other physiologic indices such as skin color, microscopic measures, and increases in T-cell numbers after successful TFT. Bilchick and associates' hypothesis (2002), "Each increase of 10 ms in standard deviation of normal-to-normal (SDNN) conferred a 20% decrease in risk of mortality (p = .0001)," is a bold and speculative position that appears to have general, if not highly specific, merit when applied to all groups investigated with HRV.

Adequação das medidas de valor em risco na formulação da exigência de capital para estratégias de opções no mercado brasileiro

Options strategies are combinations of transactions involving options on the same underlying asset or simultaneous positions on those derivatives assets and the underlying asset. Such transactions create new investment opportunities and different risk exposures, leading to specific capital requirements for financial institutions. However, there is a little agreement as to the methods for computing the capital requirements to cover strategic risks, so that, at the same time, speculative positions can be covered and risk-reducing transactions are not penalized. This article discusses various methods for the computation of capital requirements for stock option strategies in the Brazilian market. Six methods are analyzed according to the rules prescribed by the Basel Committee. One of the methods is standard, and the other five are based on Value at Risk concept.

Practical Wisdom in 4QInstruction

4QInstruction, or the Musar leMevin document, as reconstructed by modem editors, is comprised of a number of fragmentary scrolls from Cave 4, of which several are of sufficient length to imbue its text with a distinct profile.' Its primary focus revolves around contemplation of the eschaton, the hereafter, touching upon issues of reward and punishment, and offering the reader advice asserting the notion that a praiseworthy life will merit a favorable judgment. 4QInstruction has been classified by scholars as a wisdom text of the genre typical amongst the scrolls, and indeed second temple period Jewish literature in general. The text has been identified as a representative component in the development of the genre, the distinct features of which place its stance somewhere between the speculative positions assumed by

Hedging price risk in the presence of crop yield and revenue insurance

The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterisation of the first-best hedging strategy in the expected utility framework. It is then illustrated using numerical simulations. The presence of options is shown to allow the insured producer to adopt a more speculative position on the futures market. Futures are shown to be performing, in terms of willingness to receive. Options are weakly performing when futures markets are unbiased, while they are more performing when futures markets are biased.

Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect

ABSTRACTWe argue that short sellers affect prices in a significant and systematic manner. In particular, we contend that speculative short sales contribute to the weekend effect: The inability to trade over the weekend is likely to cause these short sellers to close their speculative positions on Fridays and reestablish new short positions on Mondays causing stock prices to rise on Fridays and fall on Mondays. We find evidence in support of this hypothesis based on a comparison of high short‐interest stocks and low short‐interest stocks, stocks with and without actively traded options, IPOs, zero short‐interest stocks, and highly volatile stocks.

Do Short Sellers Cause the Weekend Effect?

We claim that speculative short sellers are partly responsible for the weekend effect. Concerned with their inability to trade over the weekend and in an attempt to reduce their risk exposure, short sellers close their speculative positions on Fridays and re-establish new short positions on Mondays, causing higher returns on Friday than on Monday. We find evidence consistent with this claim. Stocks with higher short interest exhibit greater weekend effect than stocks with lower short interest. Examination of the weekend effect for IPOs, short-interest stocks, and highly volatile stocks lend additional support for our hypothesis. Although it is difficult for investors to directly trade individual stocks to profit from the weekend effect, they can protect themselves against the weekend effect by not selling stocks on Mondays and not buying on Fridays.

Impacts of Intervention Incorporates with Interest Rate Policy on Taiwan's Economy in E-commerce Environment

Fully sterilized intervention, an operation that involves a pure swap of foreign and domestic assets which leaves the money supply unchanged, gained it popularity through the experience among developed countries in the early 1980s. Ideally, it provides an independent policy tool that allows monetary authorities to pursue internal and external stabilization objectives simultaneously. In this paper, we employ a vector error correction model (VECM) to examine the dynamic interactions between exchange rate condition and policy reactions by Taiwanese monetary authorities, as Taiwan is ready to join the WTO and to help businesses take full advantages of e-commerce. We found that little efforts were made to sterilize interventions in the short term after an exchange rate shock occurred. The intention of not to sterilize interventions is to alleviate the exchange rate pressure by drastically changing domestic short term interest rates to force private sectors instantaneously adjust shares between domestic and foreign assets in their portfolios where there are speculative positions. Presumably, this official effort to avoid great fluctuations of exchange rates would offer businesses more freedoms in dealing with challenges in e-commerce environment. The result also suggests that, unlike the experience in developed countries, an independent monetary policy may not always be preferred by policy markers in small open economies.

Do Mandatory Hedge Disclosures Discourage or Encourage Excessive Speculation?

In order to shed some light on the desirability of hedge disclosures, I investigate the consequences of hedge disclosures on a firm’s risk management strategy. Several major results emerge from this analysis. First, greater transparency about a firm’s derivative activities is not necessarily a panacea for imprudent risk management strategies. I show that such transparency actually induces the firm to take excessive speculative positions in the derivative market. Second, I show that the firm may choose a prudent risk management strategy in the absence of hedge disclosures. However, the selection of a prudent risk management comes at a cost. The firm’s production policy is distorted in the absence of hedge disclosures.These findings suggest that regulators must carefully investigate the trade‐offs between production distortions and risk management distortions in evaluating the desirability of mandatory hedge disclosures for all firms.

Information, Trading Demand, and Futures Price Volatility

We examine the relation between futures price volatility and trading demand by type of trader in the Standard & Poor’s (S&P) 500‐stock index futures market. We find that volatility covaries negatively with signed speculative demand shocks but is positively related to signed hedging demand shocks. No significant relation between volatility and demand shocks for small traders is found. Our results suggest that changes in positions of large hedgers destabilize the market, whereas changes in positions of large speculators stabilize volatility. Consistent with models with asymmetrically informed traders, we find that large speculators are likely to possess superior forecasting ability, large hedgers behave like positive feedback traders, and small traders are liquidity traders.

Role of Short Sellers in Price Formation - The Weekend Effect

In this paper, we argue that short sellers affect prices in a significant and systematic manner. In particular, we contend that speculative short sales contribute to the weekend effect: the inability to trade over the weekend is likely to cause these short sellers to close many of their speculative positions on Fridays and reestablish new short positions on Mondays causing stock prices to rise on Fridays and fall on Mondays. We find evidence in support of this hypothesis: the weekend effect is significantly larger for high short-interest stocks than for low short-interest stocks. Further, we find that the likely substitution of speculative short sales by put options results in the weekend effect to diminish for stocks with actively traded options, but to continue for other stocks. An analysis of several special types of stocks, viz. IPOs, zero short-interest stocks, and highly volatile stocks, reveals support for the hypothesis.

The effect of net positions by type of trader on volatility in foreign currency futures markets

AbstractWe investigate the effect of net positions by type of trader on return volatility in six foreign currency futures markets using the weekly Commitments of Traders (COT) data. When net positions are decomposed into expected and unexpected components, we find that expected net positions by type of trader generally do not co‐vary with volatility. However, volatility is positively associated with shocks (in either direction) in net positions of speculators and small traders, and negatively related to shocks (in either direction) in net positions of hedgers. This evidence suggests that changes in speculative positions destabilize the market. Consistent with dispersion of beliefs models and noise trading theories, hedgers appear to possess private information, whereas speculators and small traders are less informed in these markets. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:427–450, 2002

A NETWORK MODEL FOR FOREIGN EXCHANGE ARBITRAGE, HEDGING AND SPECULATION

This paper presents alternative approach to foreign exchange market trading decisions. The model is equally applicable to the arbitrage practices of international banks, to the hedging decisions of multinational corporations, to the investment decisions of currency fund managers and to the uncovered positions of currency speculators. By using a network model to represent these situations complex problems can be modeled and the optimization problem required to maximize profit or eliminate risk can be accurately formulated.

Which way the natural gas price: an attempt to predict the direction of natural gas spot price movements using trader positions

This research provides a method of predicting direction of spot price movements in the natural gas market for the month succeeding from market participants positions in the futures market. Cumby and Modest (Cumby, R.E., Modest, D.M., 1987. Testing for market timing ability: a framework for forecast evaluation. Journal of Financial Economics 19, 169–189) provide the backdrop for analyzing the futures market positions of large hedgers and speculators to arrive at conclusions of market price movements in the spot market. This methodology is suggested as a means for municipalities entering the natural gas market to improve upon their ordering of quantities of gas for the ensuing months in order to take advantage of possibly foreseeable price trends.