Journal article
A Strategic Analysis of Corners and Squeezes
Journal of financial and quantitative analysis, Vol.33(1), pp.117-137
03/01/1998
DOI: 10.2307/2331380
Abstract
We develop a dynamic game-theoretic model of a futures market in which prices can be manipulated by corner and squeeze. We investigate equilibrium trading strategies and the price dynamics these strategies produce. Price paths produced by our model can mimic observed prices for potentially comerable commodities and explain the volatility of certain prices even when no manipulations occur. Our model also generates occasional apparent price bubbles and accounts for the existence of normal backwardation in futures markets even when players are risk neutral.
Details
- Title: Subtitle
- A Strategic Analysis of Corners and Squeezes
- Creators
- David J. Cooper - University of PittsburghR. Glen Donaldson - University of British Columbia
- Resource Type
- Journal article
- Publication Details
- Journal of financial and quantitative analysis, Vol.33(1), pp.117-137
- Publisher
- Cambridge University Press
- DOI
- 10.2307/2331380
- ISSN
- 0022-1090
- eISSN
- 1756-6916
- Number of pages
- 21
- Language
- English
- Date published
- 03/01/1998
- Academic Unit
- Economics
- Record Identifier
- 9984420937402771
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