A trading simulation test for weak-form efficiency in live cattle futures

Article Abstract:

A comprehensive trading simulation test for weak-form efficiency in the live cattle futures market is developed to test the possibility of obtaining abnormal profits using only information gleaned from futures prices and analytical methods. Based on the capital asset pricing model and results showing large risk premia exhibited by futures funds, weak-form efficiency in the cattle futures market is rejected, together with strong-form and semi-strong efficiency.

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Solving for optimal futures and options positions using a simulation-optimization technique

Article Abstract:

A new, simple numerical procedure called the simulation-optimization technique has been developed. The procedure can be used to compute the optimal futures and option positions for an expected utility maximizing producer encountering price and yield uncertainty. It involves stochastic simulation, discrete numerical integration and numerical optimization. The procedure has been applied to a representative Midwest corn producer.

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Lower-boundary violations and market efficiency: evidence from the German DAX-index options market

Article Abstract:

Research is presented describing the efficiency of information systems operated by the German DAX stock market for options, with violations of lower boundaries discussed.

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