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Revised rollover measure: an application to Euronext’s wheat futures contract

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Abstract

This article extends an existing model on contracts rollover, that allows us to lower the bound measuring the number of contracts rolled by verifying that the difference between the number of contracts opened and closed is non negative. This new model is later applied to a futures contract (on milling wheat), to better understand the hedging activity that takes place, and in particular to increase our knowledge on the behavior of hedgers.

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Ce travail doctoral vise à rapprocher le céréalier français des marchés financiers à travers un serious game. Pour un producteur agricole, l’incertitude sur le prix et les quantités induit un risque important. La négociation d’un contrat avec un intermédiaire (stockeur ou courtier) permet de transférer une partie du risque mais augmente la dépendance des céréaliers envers des tiers. La couverture financière contre les risques de variations des prix est étudiée dans le cas du marché européen Euronext, afin d’évaluer sa pertinence : les contrats à terme et les options sont analysés d’un point de vue micro-structural (volume, position ouverte, volatilité, transferts d’information et de volatilité, détenteurs des contrats, roulements de positions) et sont comparés. Les marchés sont ensuite mis de côté pour s’intéresser aux caractéristiques des céréaliers à travers des enquêtes qualitatives. Pour finir, un outil numérique sous forme de serious game est développé pour initier les céréaliers aux marchés financiers.
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