Abstract
Countries compete with products which have an absolute advantage in foreign trade operations. Also, there are derivative financial instruments derived from these products in many developing financial markets. Thus, these products provide opportunities for investors such as speculation, arbitrage, and particularly hedging with the help of trading in derivative markets. The trading of these products on derivative markets also brings about the impact of global parameters on spot markets, as well as on futures markets. Hence, it is important for both real investors and financial investors to determine and observe the major macroeconomic variables that affect these products.
This chapter aims to determine macroeconomic variables which affect domestic (local) commodity derivatives such as banana (Central America and Ecuador), palm oil (Malaysia), rice (Thailand), and tea (Kenya). Thereby when the market efficiency is weak or almost absent, the ability to lower the fragility against risks faced by the investors and the other related parties by maintaining advance information is analyzed. For this purpose, K* (K Star) algorithm as a data mining method which is one of the knowledge-based analysis techniques is used in the analysis. In this chapter, four derivative products were estimated by the K* algorithm, which predicts whether their direction will decrease or increase during the next 18 months. The results show that the K* algorithm predicts an accuracy of 66.7–72.2% for three of the four domestic commodity derivatives so that this algorithm is successful in identifying similar properties between global macroeconomic variables and domestic commodity derivatives.
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Keyword Definitions
Keyword Definitions
Derivatives markets
The derivatives market is the financial market for derivatives, financial instruments like futures contracts or options, which are derived from other forms of assets.
Macro-finance
Macro-finance is a new area of open economy macroeconomics that brings portfolio choice and asset pricing considerations into models of international macroeconomics.
K* (K Star) algorithm
The K* algorithm can be defined as an instance-based learning algorithm of classification analysis which mainly aims at the partition of “n” instances into “k” classes in which each instance belongs to the class with the nearest mean.
Lazy learning
Lazy learning is a machine learning method in which generalization beyond the training data is deferred until a request is sent to the system, in contrast to in eager learning, where the system tries to generalize the training data before receiving requests.
Data mining
Data mining is the process of discovering actionable information from large sets of data.
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Basarir, C., Bayramoglu, M.F. (2018). Global Macroeconomic Determinants of the Domestic Commodity Derivatives. In: Dincer, H., Hacioglu, Ü., Yüksel, S. (eds) Global Approaches in Financial Economics, Banking, and Finance. Contributions to Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-78494-6_16
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