Publication:
Statistical field theory of futures commodity prices
Abstract
The statistical theory of commodity prices has been formulated by Baaquie (2013). Further empirical studies of single (Baaquie et al., 2015) and multiple commodity prices (Baaquie et al., 2016) have provided strong evidence in support the primary assumptions of the statistical formulation. In this paper, the model for spot prices (Baaquie, 2013) is extended to model futures commodity prices using a statistical field theory of futures commodity prices. The futures prices are modeled as a two dimensional statistical field and a nonlinear Lagrangian is postulated. Empirical studies provide clear evidence in support of the model,
with many nontrivial features of the model finding unexpected support from market data.
Keywords
Commodity futures , Quantum field , Statistics
Citation
Baaquie, Belal E. and Miao, Yu. (2018). Statistical field theory of futures commodity prices. Physica A, 492, pp. 250-264.
Publisher
Elsevier