Home  Journals  Financial Analytics: Science and Experience  6(30) - 2010 June

Efficiency of long-term forecasts in the pricing of weather derivatives

Available online: 7 June 2010

Subject Heading: FUND MARKET

JEL Classification: 

Strategy and an economic estimation of efficiency of the price forecast of weather futures, traded on Chicago Mercantile Exchange (CME), are studied in this paper. The research is based on the assumption of fractal nature of natural time series while the nature of usual financial tools has a multifractal basis.

Keywords: forecasting, futures, investment, the activity, dynamics, algorithm, market, weather, derivative

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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