|Commodity Markets and Price Analysis|
|Instructor:||James (Jim) Vercammen|
|Office:||Henry Angus (HA) 268: ph. 604-827-3844|
|Office Hours:||Office hours: After lectures in classroom
M 10 – 11:30 & W 10:30 – 12:00 in HA 268
|Class Schedule:||MW 3:00 - 4:30 pm (MCML 154)
Simulated Futures Trading: Friday 1–2:30 (Sept. 7, 14, 21; Oct 12 or 19) FSC 103
|Important Course Pages|
FRE 501 examines food prices using various perspectives. The first third of the course theoretically examines the determination of agricultural commodity futures and spot prices (e.g., corn, wheat and soybeans). Interested students can learn speculative trading strategies by trading commodities in a simulated futures market. The middle third of the course uses an industrial organization framework to examine strategic elements of pricing in wholesale and retail food markets. The final third of the course is devoted to empirical analysis: pricing trends, volatility, co-movement and options on futures for agricultural commodities.
The course website can be access through http://canvas.ubc.ca
Course Support: Xiao Han (MFRE Alumni), email@example.com
Office hours: See course website
Piazza Discussion Forum: You should have received an email invitation to sign up.
By the end of the course, students will be able to:
- Describe the institutional rules and mechanics of trading agricultural commodity futures;
- Explain important structural features of commodity markets such as the law-of-one price and pricing spreads, and also explain important theories such as convenience yield and Keynesian backwardation;
- Identify key industrial organization concepts that influence wholesale and retail food prices including double marginalization, spatial price discrimination and the role of franchises;
- Describe the determinants of commodity price volatility and co-movement, and implement methods of measurement in Stata.
Academic Integrity and Misconduct
All UBC students are expected to behave as honest and responsible members of an academic community. See details below. In addition, all students are expected to attend class regularly and to arrive on time.
|Activity||Percent of Grade|
|#1 Distributed Sept. 12, due September 19||7.5%|
|#2 Distributed Nov. 7, due Nov. 18||7.5%|
|On-line Quizzes (Sept. 10, 12, 26; Oct. 31)||15%|
|Midterm Exam Oct. 3.||30%|
Simulated Futures Trading
FRE 501 includes optional participation in simulated commodity futures trading, which will run for roughly the first half of this semester. You are encouraged to participate in this important and interesting activity but it is important that your participation is meaningful: (i) attend the four Friday afternoon sessions that are designed to provide you with trading knowledge and skills; (ii) actively trade (e.g., at least two trades each week); and (iii) actively participate in the FRE 501 Piazza class discussion forum.
Simulated futures trading will be led by Nishant Kalia who is a current UBC MBA student in the Sauder School of Business. Nishant has considerable real world experience trading commodity futures both as a commodity research manager with a small boutique investment firm in India and as an analyst with a multinational futures trading firm. Nishant will not hold office hours but he can be contacted through the Piazza discussion forum (preferred) or directly at firstname.lastname@example.org.
Trading within the simulated trading platform (Stocktrak) and discussions on Piazza discussion forum for FRE 501 can take place 24/7. Face-to-face sessions with Nishant in Forest Sciences Centre 1003 are as follows:
- Class 1: September 7, 1:00 to 1:50 pm, 50 minutes
- Class 2: September 14, 1:00 to 2:30 pm, 80 minutes with a 10-minute break
- Class 3: September 21, 1:00 to 2:30 pm, 80 minutes with a 10-minute break
- Class 4, October 12 or 19, 1:00 to 2:30 pm, 80 minutes with a 10-minute break
Schedule and Readings
|Week 1 (Sept. 3 – 7)||
|Part A: Agricultural Commodity Prices|
|Week 2 (Sept. 10 –14)||
|Week 3 (Sept. 17 – 21)||
|Week 4 (Sept. 24 – 28)||
|Week 5 (Oct. 1 – 5)||
|Part B: Industrial Organization and Retail Food Prices
(based on the lecture notes of MIT Professor Robert Pindyck)
|Week 6 (Oct. 8 – 12)||
|Week 7 (Oct. 15 – 19)||
|Week 8 (Oct. 22 – 26)||
|Week 9 (Oct. 29 – Nov. 2)||
|Part C: Time Series Properties of Agricultural Commodity Prices|
|Week 10 (Nov. 5 – 9)||
Dick Durevall; Cost pass-through in the Swedish coffee market, European Review of Agricultural Economics, Volume 45, Issue 4, 1 September 2018, Pages 505–529 (download from UBC Library)
|Week 11 (Nov. 12 – 16)||
|Week 12 (Nov. 18 – 23)||
|Week 13 (Nov. 26 – Nov 30)||
Academic Misconduct – please read carefully!
Academic honesty is essential to the continued functioning of the University of British Columbia as an institution of higher learning and research. All UBC students are expected to behave as honest and responsible members of an academic community. Breach of those expectations or failure to follow the appropriate policies, principles, rules, and guidelines of the University with respect to academic honesty may result in disciplinary action.
Academic misconduct that is subject to disciplinary measures includes, but is not limited, to the following:
- Plagiarism, which is intellectual theft, occurs where an individual submits or presents the oral or written work of another person as his or her own. In many UBC courses, you will be required to submit material in electronic form. The electronic material will be submitted to a service which UBC subscribes, called TurnItIn. This service checks textual material for originality. It is increasingly used in North American universities. For more information, review TurnItIn website online.
- Cheating, which may include, but is not limited to falsification of any material subject to academic evaluation, unauthorized collaborative work; or use of unauthorized means to complete an examination.
- Submitting others work as your own, may include but not limited to i. using, or attempting to use, another student’s answers; ii. providing answers to other students; iii. failing to take reasonable measures to protect answers from use by other students; or iv. in the case of students who study together, submitting identical or virtually identical assignments for evaluation unless permitted by the course instructor.
- Resubmission of Material, submitting the same, or substantially the same, essay, presentation, or assignment more than once (whether the earlier submission was at this or another institution) unless prior approval has been obtained from the instructor(s) to whom the assignment is to be submitted.
- Use of academic ghostwriting services, including hiring of writing or research services and submitting papers or assignments as his or her own. Student Responsibility: Students are responsible for informing themselves of the guidelines of acceptable and non-acceptable conduct for examinations and graded assignments as presented via FRE code of conduct guidelines; course syllabus and instructors; and UBC academic misconduct policies, Review the following web sites for details: http://www.calendar.ubc.ca/Vancouver/index.cfm?tree=3,54,111,0
Penalties for Academic Dishonesty: Academic misconduct is treated as a serious offence at UBC and within the MFRE program. Penalties for academic dishonesty are applied at the discretion of the course instructor. Incidences of academic misconduct may result in a reduction of grade or a mark of zero on the assignment or examination with more serious consequences being applied if the matter is referred to the Dean’s office and/or President’s Advisory Committee on Student Discipline. Careful records are kept to ensure monitoring and prevent recurrences