Spatial Competition, Arbitrage, and Risk in U.S. Soybeans

Author

Kristopher Skadberg, William Wilson, Ryan Larsen (ryan.larsen@usu.edu) and Bruce Dahl

Journal of Agricultural and Resource Economics, 2015, vol. 40, issue 3

Abstract: This paper analyzes spatial arbitrage and vertical integration of a U.S. soybean-trading firm. A risk-constrained optimization model using Monte Carlo simulation and copula joint distributions is specified. Results show that spatial-arbitrage payoffs vary regionally. Sensitivity results indicate that payoffs and risks increase as firms become more vertically integrated.

Keywords: copula; spatial arbitrage; spatial competition; trading strategies; Crop Production/Industries (search for similar items in EconPapers)
Date: 2015
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