|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|90344||2018||34 صفحه PDF||سفارش دهید||8218 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Physica A: Statistical Mechanics and its Applications, Volume 492, 15 February 2018, Pages 250-264
The statistical theory of commodity prices has been formulated by Baaquie (2013). Further empirical studies of single (Baaquie etÂ al., 2015) and multiple commodity prices (Baaquie etÂ 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.