'Explosions' of Corn Futures Prices

46 Pages Posted: 12 Nov 2019

Date Written: November 2, 2019

Abstract

The CME Globex Corn futures Time and Sales data, during the United States Department of Agriculture, USDA, news, are studied. The price fluctuations of high frequency and magnitude resemble explosions caused by chemical or nuclear branched chain reactions. The structure of the jumps and mechanisms of its dynamics are analyzed. Suggested equations satisfactory describe the volume rates. There is a relationship between the maximum profit strategy and cumulative volume.

Keywords: corn futures, price jumps, volume, maximum profit strategy, dynamics, modeling, tick time series

JEL Classification: G10, G13, C22, C61, Q14

Suggested Citation

Salov, Valerii, 'Explosions' of Corn Futures Prices (November 2, 2019). Available at SSRN: https://ssrn.com/abstract=3479685 or http://dx.doi.org/10.2139/ssrn.3479685

Valerii Salov (Contact Author)

Independent ( email )

No Address Available

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