Commodity Markets: Financialization and Regulation

April 8–9, 2016 at Princeton University

About

This workshop is the result of a thematic semester on commodity derivative markets held in 2015. It aims to examine recent developments on this subject. We intend to mobilize researchers in economics, finance and mathematics, on theoretical as well as on empirical issues. We also wish to promote interactions between academic research and industry regulatory authorities. The topics that could be addressed are:

  • Physical markets for commodities: transparency of transactions, price manipulations
  • Clearing houses: systemic risk, incentive issues
  • Formation of equilibrium in the collateral market
  • Climate change, drought and prices of agricultural products
  • Financialization: impact of financial operator’s positions on commodity price fluctuations and/or on the welfare of operators, definition of good or bad speculation, impact of high frequency trading
  • Links between the physical and the derivative markets for commodities
  • Regulatory issues: relevance of trading limits, formation of equilibrium in the collateral market

Confirmed Speakers

  • Christiane Baumeister, University of Notre Dame
  • Eugenio Bobenrieth, Pontifical Catholic University of Chile
  • Bahattin Buyuksahin, Bank of Canada
  • Colin Carter, University of California, Davis
  • Richard Haynes, Commodity Futures Trading Commission
  • Harrison Hong, Princeton University
  • Michel Robe, American University
  • Ronnie Sircar, Princeton University
  • Nizar Touzi, Ecole Polytechnique, Paris
  • Bertrand Villeneuve, University Dauphine, Paris
  • Frank Wolak, Stanford University
  • Brian Wright, University of California, Berkeley
  • Cynthia Wu, University of Chicago
  • Wei Xiong, Princeton University

Scientific Committee

  • René Aïd (Electricité de France)
  • Clémence Alasseur (Institut Louis Bachelier)
  • Ivar Ekeland (Université Paris-Dauphine)

Organizers

  • René Carmona (Princeton University)
  • Delphine Lautier (Université Paris-Dauphine)

Schedule

Friday, April 8th
Time Event
8:15–8:45 Breakfast and Registration
8:45–9:00 Opening Remarks
9:00–9:45 Cynthia Wu–Effects of Index-Fund Investing on Commodity Futures Prices
9:45–10:30 Ronnie Sircar–Fracking, Renewables & Mean Field Games
10:30–11:00 Coffee break
11:00–11:45 Frank Wolak–Quantifying the Economic Benefits of Purely Financial Participants in Wholesale Electricity Markets
11:45–12:30 Bertrand Villeneuve–Spot and Futures Markets for Commodities: An Infinite- Horizon Stochastic Model
12:30–2:00 Lunch
2:00–2:45 Brian Wright–Storage Arbitrage in Grain Markets
2:45–3:30 Eugenio Bobenrieth–The Mischief Made by Neglected Trends: A Reinterpretation of Commodity Price Dynamics
3:30–4:00 Coffee break
4:00–4:45 Harrison Hong–Hoard Behavior and Commodity Bubbles
4:45–5:30 Panel – René Aïd, Harrison Hong, Zef Lokhandwalla, Philipp Vassilopoulos
6:30– Conference dinner, Nassau Club (by invitation only)
Saturday, April 9th
Time Event
8:30–9:00 Breakfast
9:00–9:45 Michel Robe–Liquidity Provision Under Stress: Evidence From Crude Oil Futures
9:45–10:30 Bahattin Buyuksahin–Commodity Supercycle: What Lies Ahead?
10:30–11:00 Coffee break
11:00–11:45 Wei Xiong–Information Frictions in Global Oil Markets
11:45–12:30 Nizar Touzi–Stochastic Control of Path-Dependent Systems, Application to the Principal-Agent Problem
12:30–2:00 Lunch
2:00–2:45 Richard Haines–Anticipatory Traders and Trading Speed
2:45–3:30 Christiane Baumeister–A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
3:30–4:15 Colin Carter–Air Pollution and Rice Yields: Evidence from Southeast China
4:15–4:45 Farewell Coffee

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