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Speculation in Commodity Futures: An Application of Statistical Decision Theory

Author

Listed:
  • Logan, Samuel H.
  • Bullock, J. Bruce

Abstract

A recursive, monthly price forecasting model for live; cattle serves as a basis for applying decision theory to speculation in cattle futures. The distribution of predicted futures prices is obtained from the standard error of the forecast of the cash price forecasting model in conjunction with the historical distribution of the difference between futures and cash prices during the month of futures contract delivery. Baumol's expected gain-confidence limit model is utilized in determining which of the available futures contracts offers the highest minimum payoff potential holding the probability of at least such a payoff constant.

Suggested Citation

  • Logan, Samuel H. & Bullock, J. Bruce, 1970. "Speculation in Commodity Futures: An Application of Statistical Decision Theory," Journal of Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, vol. 22(4), pages 1-8, October.
    • Handle: RePEc:ags:uersja:146890
    DOI: 10.22004/ag.econ.146890
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    Cited by:

    1. Lindner, Bob, 1987. "Toward A Framework for Evaluating Agricultural Economics Research," Discussion Papers 315419, University of Western Australia, School of Agricultural and Resource Economics.
    2. Stückler, Maria, 2002. "Handel auf Terminkontraktmärkten," Department of Economics Working Paper Series 80, WU Vienna University of Economics and Business.
    3. Jackson, Ron, 1975. "Decision Analysis And Farm Management: The Need For A New Perspective," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 43(03), pages 1-5, September.
    4. Maria Stückler, 2002. "Handel auf Terminkontraktmärkten," Department of Economics Working Papers wuwp080, Vienna University of Economics and Business, Department of Economics.

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