Corn production is scattered geographically over various continents, but most of it is grown in the United States. As such, the world price of corn futures contracts is largely dominated by North American corn prices as traded on the Chicago Board of Trade. In recent years, this market has been characterised by an increase in price volatility and magnitude of price movement as a result of decreasing stock levels. The development and implementation of an effective and successful derivative price risk management strategy based on the Chicago Board of Trade corn futures contract will therefore be of inestimable value to market stakeholders worldwide. The research focused on the efficient market hypothesis and the possibility of contesting this phenomenon through an application of a derivative price risk management methodology. The methodology is based on a combination of an analysis of market trends and technical oscillators with the objective of generating returns superior to that of a market benchmark. The study found that market participants are currently unable to exploit price movement in a manner which results in returns that contest the notion of efficient markets. The methodology proposed, however, does allow the user to consistently achieve returns superior to that of a predetermined market benchmark. The benchmark price for the purposes of this study was the average price offered by the market over the contract lifetime, and such, the efficient market hypothesis was successfully contested. / Business Management / D. Com. (Business Management)

本論文係研究期貨契約（Futures Contracts ）屏障（Hedge ）價格及利率風險之功 能，並對美國財務會計準則委員會所發布之第十八號會計準則，有關期貨契約會計處 理之規定，做一深入探討，以為國內未來發展期貨市場之參考。 全文共分五章，約六萬字。 第一章 緒論。說明本論文寫作之動機、目的、限制及研究方法。 第二章 探討期貨契約及期貨市場之發展、性質及期貨價格之習性，並對重要名辭加 以界定。 第三章 介紹屏障功能之性質、理論、風險及其有效性分析，並舉例說明。 第四章 介紹美國財務會計準則委員會第八十號會計準則發布始未，及期對期貨契約 會計處理之有關規定等。 第五章 結論。綜合以上各章之討論，做一總結，並提出適當建議。

This dissertation contains three essays in international macroeconomics and financial time series forecasting. In the first essay, I show, numerically, that a two-country New-Keynesian Sticky Prices model, driven by monetary and productivity shocks, is capable of explaining the highly positive correlation across the industrialized countries' inflation even though their cross-country correlation in money growth rate is negligible. The structure of this model generates cross-country correlations of inflation, output and consumption that appear to closely correspond to the data. Additionally, this model can explain the internal correlation between inflation and output observed in the data. The second essay presents two important results. First, gains from monetary policy cooperation are different from zero when the elasticity of substitution between domestic and imported goods consumption is different from one. Second, when monetary policy is endogenous in a two-country model, the only Nash equilibria supported by this model are those that are symmetrical. That is, all exporting firms in both countries choose to price in their own currency, or all exporting firms in both countries choose to price in the importer's currency. The last essay provides both conditional and unconditional predictive ability evaluations of the aluminum futures contracts prices, by using five different econometric models, in forecasting the aluminum spot price monthly return 3, 15, and 27-months ahead for the sample period 1989.01-2010.10. From these evaluations, the best model in forecasting the aluminum spot price monthly return 3 and 15 months ahead is followed by a (VAR) model whose variables are aluminum futures contracts price, aluminum spot price and risk free interest rate, whereas for the aluminum spot price monthly return 27 months ahead is a single equation model in which the aluminum spot price today is explained by the aluminum futures price 27 months earlier. Finally, it shows that iterated multiperiod-ahead time series forecasts have a better conditional out-of-sample forecasting performance of the aluminum spot price monthly return when an estimated (VAR) model is used as a forecasting tool.

Corn production is scattered geographically over various continents, but most of it is grown in the United States. As such, the world price of corn futures contracts is largely dominated by North American corn prices as traded on the Chicago Board of Trade. In recent years, this market has been characterised by an increase in price volatility and magnitude of price movement as a result of decreasing stock levels. The development and implementation of an effective and successful derivative price risk management strategy based on the Chicago Board of Trade corn futures contract will therefore be of inestimable value to market stakeholders worldwide. The research focused on the efficient market hypothesis and the possibility of contesting this phenomenon through an application of a derivative price risk management methodology. The methodology is based on a combination of an analysis of market trends and technical oscillators with the objective of generating returns superior to that of a market benchmark. The study found that market participants are currently unable to exploit price movement in a manner which results in returns that contest the notion of efficient markets. The methodology proposed, however, does allow the user to consistently achieve returns superior to that of a predetermined market benchmark. The benchmark price for the purposes of this study was the average price offered by the market over the contract lifetime, and such, the efficient market hypothesis was successfully contested. / Business Management / D. Com. (Business Management)

The goal of this thesis “Futures trading of commodities as a retail trader” is creation of investment suggestion, based on analysis of possibilities, markets and factors influencing the price. In the first part are defined basic terms and information for better orientation on the futures commodity market. In the next part are analysis of the major commodity markets, groups of commodities and detailed analysis of interest commodities – gold and silver. The last third part of the thesis engage in creation of strategy for trading of commodity futures on gold and silver, which is the basic element for the final investment suggestion.

Neural networks are powerful tools for modelling complex non-linear mappings, but they often suffer from overfitting and provide no measures of uncertainty in their predictions. Bayesian techniques are proposed as a remedy to these problems, as these both regularize and provide an inherent measure of uncertainty from their posterior predictive distributions. By quantifying predictive uncertainty, we attempt to improve a systematic trading strategy by scaling positions with uncertainty. Exact Bayesian inference is often impossible, and approximate techniques must be used. For this task, this thesis compares dropout, variational inference and Markov chain Monte Carlo. We find that dropout and variational inference provide powerful regularization techniques, but their predictive uncertainties cannot improve a systematic trading strategy. Markov chain Monte Carlo provides powerful regularization as well as promising estimates of predictive uncertainty that are able to improve a systematic trading strategy. However, Markov chain Monte Carlo suffers from an extreme computational cost in the high-dimensional setting of neural networks. / Neurala nätverk är kraftfulla verktyg för att modellera komplexa icke-linjära avbildningar, men de lider ofta av överanpassning och tillhandahåller inga mått på osäkerhet i deras prediktioner. Bayesianska tekniker har föreslagits för att råda bot på dessa problem, eftersom att de både har en regulariserande effekt, samt har ett inneboende mått på osäkerhet genom den prediktiva posteriora fördelningen. Genom att kvantifiera prediktiv osäkerhet försöker vi förbättra en systematisk tradingstrategi genom att skala modellens positioner med den skattade osäkerheten. Exakt Bayesiansk inferens är oftast omöjligt, och approximativa metoder måste användas. För detta ändamål jämför detta examensarbete dropout, variational inference och Markov chain Monte Carlo. Resultaten indikerar att både dropout och variational inference är kraftfulla regulariseringstekniker, men att deras prediktiva osäkerheter inte kan användas för att förbättra en systematisk tradingstrategi. Markov chain Monte Carlo ger en kraftfull regulariserande effekt, samt lovande skattningar av osäkerhet som kan användas för att förbättra en systematisk tradingstrategi. Dock lider Markov chain Monte Carlo av en enorm beräkningsmässig komplexitet i ett så högdimensionellt problem som neurala nätverk.

The agricultural sector plays an important role in the South African economy through job creation and earning foreign exchange. The role of agricultural co-operatives increased substantially over the last few decades. The research focuses firstly on the identification of derivative instruments in the market and their applicability to mitigate financial risks co-operatives experience. Secondly, research is conducted about the extent to which co-operatives use these derivatives to hedge financial risks. The research shows that most co-operatives are exposed to financial risks through different activities. It is, however, evident that although the derivative instruments are available, not all co-operatives make use of these instruments. Recommendations for further research include the development of a risk management framework and determining the different economic factors that have an influence on the use of derivatives by South African agricultural co-operatives. / Business Management / M.Comm.

The agricultural sector plays an important role in the South African economy through job creation and earning foreign exchange. The role of agricultural co-operatives increased substantially over the last few decades. The research focuses firstly on the identification of derivative instruments in the market and their applicability to mitigate financial risks co-operatives experience. Secondly, research is conducted about the extent to which co-operatives use these derivatives to hedge financial risks. The research shows that most co-operatives are exposed to financial risks through different activities. It is, however, evident that although the derivative instruments are available, not all co-operatives make use of these instruments. Recommendations for further research include the development of a risk management framework and determining the different economic factors that have an influence on the use of derivatives by South African agricultural co-operatives. / Business Management / M.Comm.