搜索结果：Futures

Commodity futures can be represented hierarchically, with underlying assets at the upper level and individual futures contracts at the lower level. Entities at each level can be connected by edges reflecting inherent correlations, with cross-level edges capturing contract-to-underlying asset connections. Building on our observations of these structures, we propose a hierarchical graph learning approach for calendar spread (CS) strategies in commodity futures markets, addressing two significant gaps in the machine-learning literature: (i) the absence of learning-based methods for CS strategies in futures markets, and (ii) the lack of consideration of maturity-dependent interrelationships across commodity futures. We first establish the efficacy of CS strategies by analytically showing that CS strategies can possess higher risk-adjusted returns, measured by the information ratio, and lower risk, measured by variance and delta, than long-only strategies. We then introduce a method to convert learning-based predictions into CS positions. Next, we develop a hierarchical graph learning method that predicts futures price movements by utilizing the maturity-dependent interrelationships, th

As large language models (LLMs) and vision-language-action models (VLAs) become widely deployed, the tokens consumed by AI inference are evolving into a new type of commodity. This paper systematically analyzes the commodity attributes of tokens, arguing for their transition from intelligent service outputs to compute infrastructure raw materials, and draws comparisons with established commodities such as electricity, carbon emission allowances, and bandwidth. Building on the historical experience of electricity futures markets and the theory of commodity financialization, we propose a complete design for standardized token futures contracts, including the definition of a Standard Inference Token (SIT), contract specifications, settlement mechanisms, margin systems, and market-maker regimes. By constructing a mean-reverting jump-diffusion stochastic process model and conducting Monte Carlo simulations, we evaluate the hedging efficiency of the proposed futures contracts for application-layer enterprises. Simulation results show that, under an application-layer demand explosion scenario, token futures can reduce enterprise compute cost volatility by 62%-78%. We also explore the feas

Leveraging a unique dataset of carbon futures option prices traded on the ICE market from December 2015 until December 2020, we present the results from an unprecedented calibration exercise. Within a multifactor stochastic volatility framework with jumps, we employ a three-dimensional pricing kernel compensating for equity and variance components' risk to derive an analytically tractable and numerically practical approach to pricing. To the best of our knowledge, we are the first to provide an estimate of the equity and variance risk premia for the carbon futures option market. We gain insights into daily option and futures dynamics by exploiting the information from tick-by-tick futures trade data. Decomposing the realized measure of futures volatility into continuous and jump components, we employ them as auxiliary variables for estimating futures dynamics via indirect inference. Our approach provides a realistic description of carbon futures price, volatility, and jump dynamics and an insightful understanding of the carbon option market.

This study analyzes historical data from five agricultural commodities in the Chinese futures market to explore the correlation, cointegration, and Granger causality between Peanut futures and related futures. Multivariate linear regression models are constructed for prices and logarithmic returns, while dynamic relationships are examined using VAR and DCC-EGARCH models. The results reveal a significant dynamic linkage between Peanut and Soybean Oil futures through DCC-EGARCH, whereas the VAR model suggests limited influence from other futures. Additionally, the application of MLP, CNN, and LSTM neural networks for price prediction highlights the critical role of time step configurations in forecasting accuracy. These findings provide valuable insights into the interconnectedness of agricultural futures markets and the efficacy of advanced modeling techniques in financial analysis.

Plausible findings about futures are inherently difficult to obtain as they require critical, well-informed speculations backed with data. HCI scholars tackle this challenge via user studies wherein futuristic prototypes and other props concretise possible futures for participants. By observing participants' actions, researchers then can 'time travel' to see that future as reality, in action. However, such studies may yield particularised findings, inherent to study's intricacies, and lack broader plausibility. This paper suggests that triangulation of possible futures may help researchers disentangle particularities from more generalisable findings. We explored this approach by conducting a study on two alternative futures of AI-augmented knowledge work. Some findings emerged in both futures while others were particular to only one or the other. This approach enabled cross-checking of plausibility and simultaneously afforded deeper insight. The paper discusses how triangulating possible futures renders HCI studies more future-proof and provides means for reflective anticipation of possible futures.

Ferrous metal futures have become unique commodity futures with Chinese characteristics. Due to the late listing time, it has received less attention from scholars. Our research focuses on the volatility spillover effects, defined as the intensity of price volatility in financial instruments. We use DCC-GARCH, BEKK-GARCH, and DY(2012) index methods to conduct empirical tests on the volatility spillover effects of the Chinese ferrous metal futures market and other parts of the Chinese commodity futures market, as well as industries related to the steel industry chain in stock markets. It can be seen that there is a close volatility spillover relationship between ferrous metal futures and nonferrous metal futures. Energy futures and chemical futures have a significant transmission effect on the fluctuations of ferrous metals. In addition, ferrous metal futures have a significant spillover effect on the stock index of the steel industry, real estate industry, building materials industry, machinery equipment industry, and household appliance industry. Studying the volatility spillover effect of the ferrous metal futures market can reveal the operating laws of this field and provide ide

Agricultural products play a critical role in human development. With economic globalization and the financialization of agricultural products continuing to advance, the interconnections between different agricultural futures have become closer. We utilize a TVP-VAR-DY model combined with the quantile method to measure the risk spillover between 11 agricultural futures on the futures exchanges of US and China from July 9,2014, to December 31,2022. This study yielded several significant findings. Firstly, CBOT corn, soybean, and wheat were identified as the primary risk transmitters, with DCE corn and soybean as the main risk receivers. Secondly, sudden events or increased economic uncertainty can increase the overall risk spillovers. Thirdly, there is an aggregation of risk spillovers amongst agricultural futures based on the dynamic directional spillover results. Lastly, the central agricultural futures under the conditional mean are CBOT corn and soybean, while CZCE hard wheat and long-grained rice are the two risk spillover centers in extreme cases, as per the results of the spillover network and minimum spanning tree. Based on these results, decision-makers are advised to safeg

This paper compares gradient boosting and long short-term memory (LSTM) architectures for intraday directional prediction in Micro E-Mini Nasdaq 100 futures (MNQ). Motivated by recent foundation-model research on financial candlestick data, including the Kronos architecture, we test whether five-minute OHLCV bar sequences contain exploitable sequential predictive structure at the scale of a single instrument dataset. Using 944 trading days from 2021-2025, four model configurations are evaluated under strict expanding-window walk-forward validation across three out-of-sample periods. The target variable is whether the session close exceeds the 10:30 AM open by more than ten points. No configuration produces statistically significant out-of-sample accuracy above the 51.8% base rate. Combined OOS accuracies range from 50.00% to 50.89% across gradient boosting variants, while the LSTM achieves 50.59%. Permutation tests yield p-values of 0.135 for the best gradient boosting model and 0.515 for the LSTM, indicating no statistically significant predictive edge. Feature importance instability across walk-forward folds suggests noise fitting rather than stable structural signal capture. The

In this work, we study statistical arbitrage strategies in international crude oil futures markets. We analyse strategies that extend classical pairs trading strategies, considering the two benchmark crude oil futures (Brent and WTI) together with the newly introduced Shanghai crude oil futures. We document that the time series of these three futures prices are cointegrated and we model the resulting cointegration spread by a mean-reverting regime-switching process modulated by a hidden Markov chain. By relying on our stochastic model and applying online filter-based parameter estimators, we implement and test a number of statistical arbitrage strategies. Our analysis reveals that statistical arbitrage strategies involving the Shanghai crude oil futures are profitable even under conservative levels of transaction costs and over different time periods. On the contrary, statistical arbitrage strategies involving the three traditional crude oil futures (Brent, WTI, Dubai) do not yield profitable investment opportunities. Our findings suggest that the Shanghai futures, which has already become the benchmark for the Chinese domestic crude oil market, can be a valuable asset for internat

This paper examines the speculative topic of equitable robots through an exploratory essay format. It focuses specifically on robots by and for LGBTQ+ populations. It aims to provoke thought and conversations in the field about what aspirational queer robotics futures may look like, both in the arts and sciences. First, it briefly reviews the state-of-the-art of queer robotics in fiction and science, drawing together threads from each. Then, it discusses queering robots through three speculative design proposals for queer robot roles: 1) reflecting the queerness of their ''in-group'' queer users, building and celebrating ''in-group'' identity, 2) a new kind of queer activism by implementing queer robot identity performance to interact with ''out-group'' users, with a goal of reducing bigotry through familiarisation, and 3) a network of queer-owned robots, through which the community could reach each other, and distribute and access important resources. The paper then questions whether robots should be queered, and what ethical implications this raises. Finally, the paper makes suggestions for what aspirational queer robotics futures may look like, and what would be required to get

Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no-arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and continuous-time. In particular, we show that the futures price is given by the risk-neutral expectation of the spot sampled at a random time that reflects the intensity of the price anchoring. Furthermore, we identify funding specifications that guarantee the coincidence of futures and spot prices, and show that for such specifications perpetual futures contracts can be replicated by dynamic trading in primitive securities.

HCI is future-oriented by nature: it explores new human--technology interactions and applies the findings to promote and shape vital visions of society. Still, the visions of futures in HCI publications seem largely implicit, techno-deterministic, narrow, and lacking in roadmaps and attention to uncertainties. A literature review centered on this problem examined futuring and its forms in the ACM Digital Library's most frequently cited HCI publications. This analysis entailed developing the four-category framework SPIN, informed by futures studies literature. The results confirm that, while technology indeed drives futuring in HCI, a growing body of HCI research is coming to challenge techno-centric visions. Emerging foci of HCI futuring demonstrate active exploration of uncertainty, a focus on human experience, and contestation of dominant narratives. The paper concludes with insight illuminating factors behind techno-centrism's continued dominance of HCI discourse, as grounding for five opportunities for the field to expand its contribution to futures and anticipation research.

A future is an entity representing the result of an ongoing computation. A synchronisation with a "get" operation blocks the caller until the computation is over, to return the corresponding value. When a computation in charge of fulfilling a future delegates part of its processing to another task, mainstream languages return nested futures, and several "get" operations are needed to retrieve the computed value (we call such futures "control-flow futures"). Several approaches were proposed to tackle this issues: the "forward" construct, that allows the programmer to make delegation explicit and avoid nested futures, and "data-flow explicit futures" which natively collapse nested futures into plain futures. This paper supports the claim that data-flow explicit futures form a powerful set of language primitives, on top of which other approaches can be built. We prove the equivalence, in the context of data-flow explicit futures, between the "forward" construct and classical "return" from functions. The proof relies on a branching bisimulation between a program using "forward" and its "return" counterpart. This result allows language designers to consider "forward" as an optimisation

This paper adopts the random matrix theory (RMT) to analyze the correlation structure of the global agricultural futures market from 2000 to 2020. It is found that the distribution of correlation coefficients is asymmetric and right skewed, and many eigenvalues of the correlation matrix deviate from the RMT prediction. The largest eigenvalue reflects a collective market effect common to all agricultural futures, the other largest deviating eigenvalues can be implemented to identify futures groups, and there are modular structures based on regional properties or agricultural commodities among the significant participants of their corresponding eigenvectors. Except for the smallest eigenvalue, other smallest deviating eigenvalues represent the agricultural futures pairs with highest correlations. This paper can be of reference and significance for using agricultural futures to manage risk and optimize asset allocation.

Augmentation technologies, fueled by Artificial Intelligence (AI), are undergoing a process of adaptation and normalization geared to everyday users in various roles as practitioners, educators, and students. While new innovations, applications, and algorithms are developed as augmentation technology, Chapter 1 focuses on human subjects, contexts, and rhetorical strategies proposed for them by external actors. The chapter discusses core functions of technical and professional communication and provides rationale for positioning technical and professional communicators (TPCs) to understand augmentation technologies and AI as a means to design ethical futures across this work. An overview of Augmentation Technologies and AI- An Ethical Design Futures Framework serves as a guide for reframing professional practice and pedagogy to promote digital and AI literacy surrounding the ethical design, adoption, and adaptation of augmentation technologies. The chapter concludes with an overview of the remaining chapters in this book.

Delivering groceries or cleaning airports, mobile robots exist in public spaces. While these examples showcase robots that execute tasks, this paper explores mobile robots that encourage posthuman collaboration rather than managing environments independently. With feigned fragility, cuteness and incomplete functionalities, the so-called "weak robots" invite passersby to engage not only on a utilitarian level, but also through imaginative and emotional responses. After examining the workings of "weak robots" by queering notions of function and ability, we introduce two speculative design fiction vignettes that describe choreographies of such robots in future urban spaces -- one exploring a utopian weak robot and the other a dystopian weak robot. We introduce these speculations in order to discuss how different values may drive design decisions, and how such decisions may shape and drive different socio-technical futures in which robots and humans share public spaces that incentivise collaboration.

Futures trading is the core of futures business, and it is considered as one of the typical complex systems. To investigate the complexity of futures trading, we employ the analytical method of complex networks. First, we use real trading records from the Shanghai Futures Exchange to construct futures trading networks, in which nodes are trading participants, and two nodes have a common edge if the two corresponding investors appear simultaneously in at least one trading record as a purchaser and a seller respectively. Then, we conduct a comprehensive statistical analysis on the constructed futures trading networks. Empirical results show that the futures trading networks exhibit features such as scale-free behavior with interesting odd-even-degree divergence in low-degree regions, small-world effect, hierarchical organization, power-law betweenness distribution, disassortative mixing, and shrinkage of both the average path length and the diameter as network size increases. To the best of our knowledge, this is the first work that uses real data to study futures trading networks, and we argue that the research results can shed light on the nature of real futures business.

Children are the builders of the future and crucial to how the technologies around us develop. They are not voters but are participants in how the public spaces in a city are used. Through a workshop designed around kids of age 9-12, we investigate if novel technologies like artificial intelligence can be integrated in existing ways of play and performance to 1) re-imagine the future of civic spaces, 2) reflect on these novel technologies in the process and 3) build ways of civic engagement through play. We do this using a blend AI image generation and Puppet making to ultimately build future scenarios, perform debate and discussion around the futures and reflect on AI, its role and potential in their process. We present our findings of how AI helped envision these futures, aid performances, and report some initial reflections from children about the technology.

Artificial General Intelligence (AGI) is promoted by technology leaders and investors as a system capable of performing all human intellectual tasks, and potentially surpassing them. Despite its vague definition and uncertain feasibility, AGI has attracted major investment and political attention, fuelled by promises of civilisational transformation. This paper conceptualises AGI as sustained by deep hype: a long-term, overpromissory dynamic articulated through sociotechnical fictions that render not-yet-existing technologies desirable and urgent. The analysis highlights how uncertainty, fiction, and venture capital speculation interact to advance a cyberlibertarian and longtermist programme that sidelines democratic oversight and reframes regulation as obsolete, with critical implications for the governance of technological futures.