Cover title: Models of future markets.

Includes bibliographical references and index.

List of figures; List of tables; List of contributors; Brief description of this book; 1 Introduction: welfare, rationality and integrityin futures markets; The gains from futures trading; Rationality and rival hypotheses; The integrity of futures markets: price limits and thedistribution of price changes; 2 The gains from futures trading; Introduction; The basic model; The Pareto production gains fromforward contracting; The evolution of futures trading; Some initial implications; Gains from futures trading; Comparing futures trading with forward contracting. Dynamic welfare considerationsThe need for futures markets explained through quickeradaptation to exogenous disturbance; Adaptation to the shock with only a spot market; The effects of futures on spot price variability; Overall summary; 3 The development of commodity futures exchangesin Kazakhstan and China: evidence on their role inmarket development; Introduction; The development of commodity futures exchanges; The history of a wheat futures market in Kazakhstan; The successful development of futures tradingat CZCE; Conclusions. 4 A simultaneous model of the US dollar/Deutschmarkspot and futures marketsIntroduction; Specification of the model; Data, unit roots and co-integrationtests, and estimation; Results: intrasample period; Post-sample results; Conclusions; 5 Noise trader sentiment in futures markets; Introduction; A theoretical noise trader risk model forfutures markets; Empirical methodology; Noise trader sentiment and data; Noise traders' impact on futures prices; Summary and conclusions; 6 Microanalytics of price volatility in futures markets; Introduction; Background literature. An economic theory that implies theLorenz systemAnalysis of the Lorenz system; Empirical tests; Conclusion; 7 The integrity of futures markets: the impact of pricelimits on futures prices; Introduction; Absorbing limits: a target zone model; Price limits in agricultural futures contracts; Concluding remarks; Index.

This volume presents an entirely new analysis of the economics of futures markets that will be of great interest to both specialists in the area and the generalist economist seeking a new perspective.