Просмотр новости
Найдите то, что Вас интересует
Спутники
РН
SpaceX
Роскосмос
NASA
СпутникиРНSpaceXРоскосмосNASAUnit root tests are used to determine whether futures prices or spreads are mean reverting, but data errors, price limits, and market microstructure can produce misleading results. We examine daily live cattle, feeder cattle, September corn, December corn, and a constructed cattle crush spread from 1990 to 2025. Historical prices were validated against multiple data sources, and panel unit root tests were adjusted for price-limit observations and MA(1) microstructure noise. The preferred test does not reject a unit root for any individual futures market. The cattle crush spread shows weak evidence of mean reversion in unadjusted tests, but this result disappears after correcting for microstructure noise. Dropping limit-day observations has little effect, while correcting data errors materially changes the conclusions. If a cattle crush option is developed, the results favor using a Bachelier model.
Unit root tests are used to determine whether futures prices or spreads are mean reverting, but data errors, price limits, and market microstructure can produce misleading results. We examine daily live cattle, feeder cattle, September corn, December corn, and a constructed cattle crush spread from 1990 to 2025. Historical prices were validated against multiple data sources, and panel unit root tests were adjusted for price-limit observations and MA(1) microstructure noise. The preferred test does not reject a unit root for any individual futures market. The cattle crush spread shows weak evidence of mean reversion in unadjusted tests, but this result disappears after correcting for microstructure noise. Dropping limit-day observations has little effect, while correcting data errors materially changes the conclusions. If a cattle crush option is developed, the results favor using a Bachelier model.
| # | Наименование новости | Тональность | Информативность | Дата публикации |
|---|---|---|---|---|
| 1 | How Economic News Drives Implied Volatility in Agricultural Commodity Markets | 0 | 7 | 13-07-2026 |
| 2 | One contract, two deals: Electronic trading design of exchange-traded calendar spreads | 0 | 7 | 15-07-2026 |
| 3 | Shifting Price Discovery in Local Soybean Markets: Evidence from the Trade War Period | 0 | 8 | 13-07-2026 |
| 4 | Renewable Diesel Boom and Market Transition Towards Resilience in Soybeans | 0 | 7 | 15-07-2026 |
| 5 | The Effects of Brazilian Real Fluctuations on Global Soybean Prices | 0 | 8 | 15-07-2026 |
| 6 | Fixed-Horizon Commodity Price Forecasts from WASDE Reports | 2 | 7 | 13-07-2026 |
| 7 | Improving Forecasts of Cattle on Feed Placements | 0 | 7 | 15-07-2026 |
| 8 | Natural Gas Price Shocks and the U.S. Fertilizer Market: Are All Price Shocks Alike? | 0 | 8 | 15-07-2026 |
| 9 | Systems Forecasting By-Parts: A Study on Fed Beef Production | 0 | 7 | 15-07-2026 |
| 10 | Margins Under Pressure: MCO and the 2026 Hormuz Disruption | 0 | 7 | 15-07-2026 |