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I'm not sure how deep of a question you are asking. The dog that did not bark is from a Sherlock Holmes murder mystery. The dog at the house did not bark at the intruder, so Holmes believed the dog knew the intruder. Therefore, the lack of evidence like barking, was itself the evidence. In the Chochrane paper, the introduction mentions that the lack of ...


You don't have to have a large percentage of the participants able to take physical delivery, just a small percentage. For every contract there are plenty of people who will take it in to inventory or sell out of it if the spread between the spot and future is wide enough. So there's a band that's created. For example, if Henry Hub Gas is 2.9 and the ...


Although, I think this question is a bit off-topic for a Quant S.E., I'll try to answer it with my background sitting at a commodities desk at a bank. Since most of the future contracts are never settled physically (therefore, no actual trades occour), why would the rest (actual buyers and sellers) even agree to participate in this speculative ...


I suspect that you are mixing correlation and cointegration. What you describe as the co-movement of prices sounds like cointegration.


Actually prices dont make sense as they are correlated with previous samples (prices), returns are not. Better will be difference between prices, but then you dont have reference point and comparability between assets, so eventually you need returns. At the end that is what you are interested in I think as profit is usually measured in return.

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