Price Discovery in Derivatives Markets
SPEAKER:
- Dr. Gregory Arburn, Ph.D., Farmer and Professor of Finance
PRESENTATION:
- Utilizing CFTC COT data we test to see what variables are significant in price discovery in derivatives markets
- Results indicate that both producer/merchant and managed money significantly impact price discovery
- Managed money plays a significant role in price discovery during periods of rising prices but not during price declines
- Potential implications for policymakers
- Potential risk management and capital requirement implications for hedgers and speculators
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