Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models

Andreas Röthig and Carl Chiarella

No 172, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: This article explores nonlinearities in the response of speculators’ trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition regression models, we find a similar structure of nonlinearities with regard to the number of different regimes, the choice of the transition variable, and the value at which the transition occurs.

Keywords: futures marktes; speculation; nonlinear dynamics; smooth transition regression model (search for similar items in EconPapers)
JEL-codes: C22 C53 G10 G11 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2006-02-01
New Economics Papers: this item is included in nep-agr, nep-fin, nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published as: Rothig, A. and Chiarella, C., 2007, "Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models", Journal of Futures Markets, 27(8), 719-737.

Downloads: (external link)
https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp172.pdf (application/pdf)

Related works:
Working Paper: Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models (2009)
Journal Article: Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models (2007)
Working Paper: Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models (2007)
Working Paper: Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models (2006)
Working Paper: Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models (2006)
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