APPROACHES TO PRICE FORMATION IN FINANCIALIZED COMMODITY MARKETS
梳理了金融化商品市场中纳入指数交易者的新价格形成模型，指出其源于商品套利定价与凯恩斯主义对冲压力模型的结合，并提出了可检验的假设，为实证研究指数交易者对价格发现的影响提供指导。
Abstract A recent debate about the financialization of commodity markets has stimulated the development of new approaches to price formation which incorporate index traders as a new trader category. I survey these new approaches by retracing their emergence to traditional price formation models and show that they arise from a synthesis between commodity arbitrage pricing and behavioural pricing theories in the tradition of Keynesian inspired hedging pressure models. Based on these insights, I derive testable hypotheses and provide guidance for a growing literature that seeks to empirically evaluate the effects of index traders on price discovery in commodity futures markets.