Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices

We propose a novel test to measure market efficiency while estimating the time-varying risk premiums of commodity futures, given that the prices are heteroscedastic. The risk premium is estimated using a state-space model with a Kalman filter modified for heteroscedasticity. Using 79 commodity futures traded on 16 exchanges during the period 2000–2014 and a Monte Carlo simulation, we demonstrate that the proposal produces robust results compared with conventional approaches. The global financial crisis has improved the efficiency and affected the trading volumes of commodity futures, but it has had no effect on the average or the volatility of risk premiums.     

Asian option pricing with orthogonal polynomials

In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black–Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the series are fully explicit and no numerical integration nor any special functions are involved. We provide sufficient conditions to guarantee convergence of the series. The moment indeterminacy of the log-normal distribution introduces an asymptotic bias in the series, however we show numerically that the bias can safely be ignored in practice.     

Exploiting commodity momentum along the futures curves

This study examines novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher risk-adjusted returns than a traditional momentum strategy, which only invests in the nearest contracts. Moreover, when incorporating conservative transaction costs we observe that our low-turnover momentum strategy more than doubles the net return compared to a traditional momentum strategy.     

不完全市场下的期权定价理论综述

由于B-S定价公式是在完全市场条件假设下推导出来的,这与现实存在很大的出路,因此后来的学者就针对市场条件状况,研究了不同市场条件下的期权定价,其中以不完全市场条件下的期权定价为主,这显然与事实更加吻合。不完全市场主要可以分为带交易费用的期权市场、存有违约风险的期权市场以及信息不完全的期权市场。文章在此基础上,分析总结了在这个市场假设条件下的研究现状,并给出了未来值得深入研究的方向:主要是进一步放松B-S定价模型的假设条件,引入更多的现实因素,深入研究不同市场状况下的期权定价问题。     

Portfolio constraints,differences in beliefs and bubbles

I propose an arbitrage-based theory of bubbles in economies with general portfolio constraints and differences in beliefs. I find that, in general, bubbles cannot exist unless the constraints restrict the demand for credit sufficiently to induce low interest rates. Speculation due to heterogeneous beliefs does not cause bubbles. Ruling out bubbles under asymmetric information requires stronger assumptions: the presence of some uninformed agents and mild portfolio restrictions (debt or borrowing constraints), or alternatively, the existence of some impatient and fully informed agents.     

Superhedging under ratio constraint

We consider superhedging of contingent claims under ratio constraint. It has been widely recognized that the minimum cost of superhedging a contingent claim with certain portfolio constraints is equal to the price of a claim with appropriately modified payoff but without constraints. In terms of the backward stochastic differential equation (BSDE) and the variational inequality equation approach, we revisit this result and provide two counterexamples.     

Ethical dilemmas: Teaching futures in schools

Educational policy is implicitly futures oriented, yet in most instances fails to engage learners with explicit futures tools and concepts at a school level. Futures studies in education, or futures education has the potential to reposition learning as purposeful and mobilizes the lives of participants by connecting the curriculum of schools with the multifaceted futures of learners. This is a complex task within the tensions often existing between: the cultural role of a school, the expectations of a society, the expertise of teachers, and the increasingly diverse needs of learners (Bateman, 2012). It is between the tensions of these things that the ‘ethical’ issues of what is taught, or omitted as content in a classroom and the consequences of these choices are evident.This paper highlights ethical and moral dilemmas, as they were apparent in two futures education projects. In the first study, the teachers discuss the inherent limitations of offering a broader and more futures oriented curriculum. In the second study, teachers reflect upon their students’ anxiety with regards to futures images as they are interrogated within a curriculum study. Each of these studies highlights the ethical challenges that arise, when possible, preferable and probable futures are developed as part of learning in school settings, which are culturally and demographically diverse.Tirri and Husu (2002) highlight the ethical dilemmas, which emerge in classrooms around the world, based on conflicts in values and competing intentions between key stakeholders. In the studies which contribute to this discussion, there is evidence to suggest that futures thinking causes conflict within an individual's perception of how the world should be, or their worldview as a result of futures imagining which goes beyond what is taken for granted, or is an assumed future eventuality. In the same way, Carrington, Deppeler, and Moss (2010) argue that all curriculum choices about what is taught (or not taught) in a classroom reflect an ethical decision made by a teacher, with regards to what is foregrounded for learning and what is omitted.It is crucial to re-examine the role of a school in educating students for their futures, as opposed to educating students with an aim of furthering governmental agendas. More significantly, however, as this paper highlights, it is exploring the boundaries of what is acceptable or unacceptable, appropriate or inappropriate to teach in a classroom, given the changing diversities of schools and education systems throughout the world.     

The New Narrative: Applying narratology to the shaping of futures outputs

Both scenario development and design practices incorporate elements of storytelling, but this use remains undertheorised. This paper will draw upon literary theory, film theory and science fiction criticism to develop an analytical model of narrative structure and rhetorics which speaks to the concerns of scenario developers and designers when engaged in shaping the final outputs or deliverables of a futures project.After highlighting the differing role of telos in art and futures and defining the metacategory of “narratives of futurity”, this paper then defines the terms “story”, “narrative”, “narrator” and “world” in the literary context. It then shows how those concepts map onto futures practice, before going into detail regarding the variety of narrative strategies available across a range of different forms and media, and the qualitative effects that they can reproduce in audiences. There follows the construction of a 2 × 2 matrix based on the critical concepts of narrative mode and narrative logic, within which narratives of futurity might be usefully catalogued and compared, and from which certain broad conclusions may be reached as regards the relation between choice of medium and rhetorical effect. The implications of this analysis are explored in detail.     

The implications,challenges and benefits of a complexity-orientated Futures Studies

Complexity science is increasingly cited as an essential component of a Futures Studies (FS) capable of assisting with the wide-ranging and complex societal problems of the 21st century. Yet, the exact implications of complexity science for FS remain somewhat opaque. This paper explicitly sets out the challenges for FS that arise from six complexity science concepts: (1) irreversibility of time (2) path dependence 3) sensitivity to initial conditions (4) emergence and systemness (5) attractor states (6) complex causation. The discussion highlights the implications of these challenges for FS tools such as horizon scanning and weak signals, and sets out the benefits of overcoming the challenges to create an explicitly complexity-orientated FS. The discussion concludes with a set of questions summarising the challenge for FS from complexity science with the aim of stimulating a discussion as to how they can be met. The concluding remarks make some initial suggestions in this regard.