publication . Preprint . 2017

The Wandering of Corn

Salov, Valerii;
Open Access English
  • Published: 03 Apr 2017
Abstract
Time and Sales of corn futures traded electronically on the CME Group Globex are studied. Theories of continuous prices turn upside down reality of intra-day trading. Prices and their increments are discrete and obey lattice probability distributions. A function for systematic evolution of futures trading volume is proposed. Dependence between sample skewness and kurtosis of waiting times does not support hypothesis of Weibull distribution. Kumaraswamy distribution is more suitable for waiting times. Relationships between trading volume and maximum profit strategies are presented. Frequencies of absolute b-increments are approximated by a Hurwitz Zeta distributi...
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free text keywords: Quantitative Finance - General Finance
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Preprint . 2017
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