Statistical field theory of futures commodity prices

Belal E. Baaquie and Miao Yu

Physica A: Statistical Mechanics and its Applications, 2018, vol. 492, issue C, 250-264

Abstract: The statistical theory of commodity prices has been formulated by Baaquie (2013). Further empirical studies of single (Baaquie et al., 2015) and multiple commodity prices (Baaquie et al., 2016) have provided strong evidence in support the primary assumptions of the statistical formulation. In this paper, the model for spot prices (Baaquie, 2013) is extended to model futures commodity prices using a statistical field theory of futures commodity prices. The futures prices are modeled as a two dimensional statistical field and a nonlinear Lagrangian is postulated. Empirical studies provide clear evidence in support of the model, with many nontrivial features of the model finding unexpected support from market data.

Keywords: Commodity futures; Quantum field; Statistics (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:492:y:2018:i:c:p:250-264

DOI: 10.1016/j.physa.2017.09.036

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