Futures contracts as a basis for comprehensive technical analysis and economic and mathematical modeling of the grain market

Abstract

Importance: аgriculture is a high-risk industry. Managing this type of risk is therefore a crucial task for agricultural producers. Derivative financial instruments such as grain futures have been used as a tool for analysis and forecasting. Quotations from futures contracts serve as a reliable indicator in times of high market volatility. Purpose: to conduct a comprehensive study of the most effective mathematical and economic tools and techniques used in the derivatives market, and to investigate how these methods can be applied to predict price movements, generate profits, and mitigate losses in a competitive economic environment. Research design: the study analyzes grain futures contracts as a basis for constructing economic and mathematical models for financial risk assessment. The focus of the research is on grain futures traded on the Moscow Exchange, with a forecast horizon covering the period from April 2021 to May 2024, with daily sampling intervals. Results: а new tool based on fractal analysis has been developed, which addresses the challenge of forecasting in the grain derivatives market and enhances the quality and precision of risk identification, assessment, monitoring, and management for agricultural producers. This tool provides a more accurate and reliable basis for making informed decisions. The dynamics of the fractal dimension in financial series, in relation to the wheat price trend, is described. It has been determined that a relative change in the fractal dimension exceeding 10% over an annual period indicates an approaching crisis in the price index. A key property of the fractality has been identified: the more stable and longer a trend, the less stable the fractal value will be, and conversely, this characteristic can serve as a reliable indicator of the current state of financial time series. Based on the constructed model, it should be assumed that the trend-resistant nature of the price policy of wheat futures in the future. In combination with classical regression analysis methods, a slight decrease in pricing policy is expected, but sharp drops and price spikes are not expected