The Wandering of Corn
Abstract
Time and Sales of corn futures traded electronically on the CME Group Globex are studied. Theories of continuous prices turn upside down reality of intraday trading. Prices and their increments are discrete and obey lattice probability distributions. A function for systematic evolution of futures trading volume is proposed. Dependence between sample skewness and kurtosis of waiting times does not support hypothesis of Weibull distribution. Kumaraswamy distribution is more suitable for waiting times. Relationships between trading volume and maximum profit strategies are presented. Frequencies of absolute bincrements are approximated by a Hurwitz Zeta distribution. Relative bincrements are nonGaussian too. Dependence between b and aincrements allows to interpret the sample variances of bincrements as a stochastic process. Mean sample variance of bincrements vs. aincrements is presented. The L1 distance and Loglikelihood statistics for independence between a and bincrements are controversial. Corn price jumps remind of chain branching reactions. Bilogarithmic plots of the empirical frequencies of extreme bincrements vs. ranks are presented. Corresponding distributions resemble snakes forked tongues. The maximum profit strategy is discussed as a measure of nonequilibrium.
 Publication:

arXiv eprints
 Pub Date:
 April 2017
 arXiv:
 arXiv:1704.01179
 Bibcode:
 2017arXiv170401179S
 Keywords:

 Quantitative Finance  General Finance
 EPrint:
 65 pages, 35 figures, 8 tables, 101 references