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1976•Palgrave Macmillan UK eBooksRequires access

The Simultaneous Determination of Spot and Futures Prices

Jerome L. Stein

Open publisher page 431 citations

Abstract

This paper develops a simple geometric technique for the simultaneous determination of spot and futures prices in commodity markets; and it explains the allocation between hedged and unhedged holdings of stocks. On the basis of this analysis, it is possible to determine whether changes in spot and futures prices have occurred as a result of (a) changes in the excess supply of current production, or (b) changes in price expectations. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

About this research paper

What this paper is about

This paper develops a simple geometric technique for the simultaneous determination of spot and futures prices in commodity markets; and it explains the allocation between hedged and unhedged holdings of stocks. On the basis of this analysis, it is possible to determine whether changes in spot and futures prices have occurred as a result of (a) changes in the excess supply of current production, or (b) changes in price expectations. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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OpenAlex reports 431 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

This paper develops a simple geometric technique for the simultaneous determination of spot and futures prices in commodity markets; and it explains the allocation between hedged and unhedged holdings of stocks. On the basis of this analysis, it is possible to determine whether changes in spot and futures prices have occurred as a result of (a) changes in the excess supply of current production, or (b) changes in price expectations. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Key concepts: Futures contract, Spot contract, Economics, Commodity, Financial economics, Spot market, Econometrics, Normal backwardation

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