University of Colorado Denver Business School, offering Bachelor, MBA, MS, and PhD degrees

Nicolas Merener is Assistant Professor of Finance at UTDT Business School in Buenos Aires, Argentina. He gained his PhD in Applied Mathematics at Columbia University focusing on computational finance. Prior to joining UTDT he was a Senior Vice President in the Fixed Income Research group at Lehman Brothers in New York, where he was in charge of developing models and algorithms for pricing and hedging interest rate derivatives. His research interests are in quantitative finance, commodities and numerical methods. His work has been published in Finance and Stochastics, Quantitative Finance and The Journal of Computational Finance, and presented at universities in North America, Europe and Asia.

The abstract of his presentation:

In this talk I will present results from two papers that explore the link between geographically distributed commodity production and commodity returns. In the first paper I investigate how local supply shocks in the global production of commodities are incorporated into CME futures prices. I exploit that the soybean market share of the US (Argentina) decreased (increased) between 1996 and 2010, and use rain, which tends to increase output, as a source of exogenous supply shocks. I find a significantly negative response of CME soybean prices to daily rain across regions and time. Moreover, the impact of local rain in the CME price is approximately linear in the time-varying local share of global output. Hence, CME traders seem to aggregate supply in a globally integrated manner, making US based hedgers increasingly exposed to shocks abroad. I will also present a summary of results from a second paper in which I evaluate the impact of commodity production concentration on the likelihood of extreme commodity returns, using a sample of 17 agricultural, mineral and energy commodities traded through futures in London, New York and Chicago. I find that the occurrence of extreme price moves during 2006-2010 was positively correlated with measures of production concentration such as the Herfindahl index computed on national shares of global output. This is also consistent with a simple model of spatially distributed local supply shocks that impact aggregate supply and hence global commodity prices.