Investing in commodity futures markets: can pricing models help?
本文实证检验了连续时间定价模型能否帮助发现商品期货的错误定价，基于四种模型对原油、铜、银、金市场进行分析，发现定价误差能预测未来价格走势，据此构建的投资策略可获得超额收益。
This article empirically investigates whether continuous time pricing models are able to help reveal mispriced commodity futures contracts. Mispricings are identified based on the difference between model and observed prices, using four different pricing models for four different commodity markets, namely crude oil, copper, silver, and gold. Pricing errors are found to carry informational content for future price movements in excess of the overall market. Investment strategies based on these pricing errors yield significant excess returns, particularly for the relatively small copper and silver markets.