Research, Goss Routledge 2008.

ACADEMIC RESEARCH: Research associates of FMRA are interested also in undertaking academic research on futures markets. Current projects include first, the development and estimation of simultaneous models to analyze the determination of spot and futures prices, with rational expectations. These models can be used for forecasting prices, and hypothesis testing, and can be employed as the foundation for simulated trading programs. Previously we have developed such models for corn, soybeans, oats, wool, live cattle, and currencies, and we are completing a model of this type for copper futures. Second, we are interested in the determinants of liquidity, and in the relationships between liquidity, volume, volatility and market depth, with transaction data. Third, we are interested in policy proposals to utilize the potential of derivatives to reduce risk in new applications.

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