Efficiency, predictability and liquidity in the commodity futures markets
| Název práce v češtině: | Efficiency, predictability and liquidity in the commodity futures markets |
|---|---|
| Název v anglickém jazyce: | Efficiency, predictability and liquidity in the commodity futures markets |
| Akademický rok vypsání: | 2013/2014 |
| Typ práce: | bakalářská práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | prof. PhDr. Ladislav Krištoufek, Ph.D. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 29.05.2014 |
| Datum zadání: | 30.05.2014 |
| Datum a čas obhajoby: | 16.06.2015 08:00 |
| Místo konání obhajoby: | IES |
| Datum odevzdání elektronické podoby: | 01.06.2015 |
| Datum proběhlé obhajoby: | 16.06.2015 |
| Oponenti: | PhDr. František Čech, Ph.D. |
| Kontrola URKUND: | |
| Předběžná náplň práce |
| Preliminary thesis content
Efficient market hypothesis asserts, that we should not be able to profit in financial markets using price forecasting or predict prices at all. However in some cases, we are able to create good forecasting model, that predicts prices accurately. Such behavior would inevitably violate efficient market hypothesis, unless we were unable to profit on it because of other factors, such as liquidity. In my thesis, i would like to further look into problems of forecasting of the futures market. In the first place, my goal will be to create model that is able to accurately predict market prices and then compare my findings with traded volume and open interest. Furthermore, i would like to examine whether the same behavior persists in different commodity markets. To do so, i will use standard methods used for short term forecasts, such as autoregressive moving average model. Hypothesis 1. Price of futures can be predicted in specific cases 2. Liquidity of futures can be approximated by traded volume and open interest. 3. There is a trade-off between liquidity and the ability to predict the price of futures, therefore the efficient market theory holds. 4. The relation between price forecasting and liquidity is same for all commodities, which means that this attribute is specifically for futures in general. Outline: 1. Introduction 2. Literature review, description of future contracts and its prediction 3. Description of possible methods 4. Application methods on various commodity type datasets 5. Results 6. Conclusion Core Bibliography: 1. WOOLDRIDGE J. M. (2008), Introductory econometrics: a modern approach, South Western College 2. WEI W. W. S., Time Series Analysis (2005): Univariate and Multivariate Methods (2nd Edition), Pearson 3. MURPHY J. J. (1986) Technical Analysis of the Futures Markets: A Comprehensive Guide to Trading Methods and Applications, Prentice Hall Press 4. TOMEK W.G.(1997), Commodity futures prices as forecast, Review of Agricultural Economics Vol. 19, No. 1 pp. 23-44, Agricultural & Applied Economics Association 5. FAMA E , FRENCH K. (1987),. Commodity Futures Prices: Some Evidence on Forecast Power, Premiums and the Theory of Storage, The Journal of Business Vol. 60, No. 1 pp. 55-73, The University of Chicago Press 6. KELLARD N., NEWBOLD P., RAYNER T., ENNEW C. (1999), The relative efficiency of commodity futures markets, Journal of Futures Markets , Vol. 19, Issue 4, p.p 413–432 |