A market’s “curve” refers to how the prices of forward or future contracts differ from one another. Depending on its shape, it provides incentives and disincentives for market participants to act in different ways. As such, understanding different forward curve structures is key for any grain basis trader. This chapter provides an in-depth analysis of the academic theory behind the market curve and how it impacts basis trading and middlemen profit margins.

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Market Curve

  • Chris DeLong,
  • Andrew McKenzie,
  • Thomas Meierotto

摘要

A market’s “curve” refers to how the prices of forward or future contracts differ from one another. Depending on its shape, it provides incentives and disincentives for market participants to act in different ways. As such, understanding different forward curve structures is key for any grain basis trader. This chapter provides an in-depth analysis of the academic theory behind the market curve and how it impacts basis trading and middlemen profit margins.