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15 August 2017 An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield
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Abstract

On the basis of a popular two-factor approach applied in commodity markets, we develop a model featuring seasonality and study futures contracts written on fresh farmed salmon, which have been actively traded at the Fish Pool market in Norway since 2006. The model is estimated by means of Kalman filtering, using a rich data set of contracts with different maturities traded at Fish Pool between 01/01/2010 and 24/04/2014. The results are then discussed in the context of other commodity markets, specifically live cattle, which is a substitute. We show that the seasonally adjusted model proposed in this article describes the behavior of salmon price very well. More importantly we show that seasonality exists in the salmon futures market. This is highly important in pricing of contingent claims, designing hedging strategies, and making real investment decisions in marine resources.

JEL Codes: G13, Q20, Q22.

© 2017 MRE Foundation, Inc. All rights reserved.
Christian-Oliver Ewald and Ruolan Ouyang "An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield," Marine Resource Economics 32(4), 431-449, (15 August 2017). https://doi.org/10.1086/693375
Received: 24 March 2015; Accepted: 1 March 2017; Published: 15 August 2017
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