Speculators, Arbitrageurs and hedgers are the main participants in futures market in which every one does special activity based on their needs and goals. The difference between spot price and futures price and the type of relationship between the two markets are important issues for these market participants. To get access to such information, we should embark on an entire survey on the price trends in the spot market as well as futures market and the due relationship of these two marketplaces which enables us eventually to make the best price forecast on the basis of the evaluated model. In this due, the nature of the relationship between the spot and futures prices of gold coin in the Iranian markets was studied as the single active futures contract in futures market of Iran. However, with respect to the nature of the data, the bivariate GARCH model and Johansson Test were employed and the relationship between the spot and futures prices of gold coin was analyzed. Finally, as per Johansson Test results the existence of a long-term relation between spot and futures prices of gold coin in Iran were confirmed and it was also confirmed that the futures market can lead the spot price.

In this paper, a model based on GMDH Type Neural Network, is used to predict gas price in the spot market while using oil spot market price, gas spot market price, gas future market price, oil future market price and average temperature of the weather. The results suggest that GMDH Neural Network model, according to the Root Mean Squared Error (RMSE) and Direction statistics (Dstat) statistics are more effective than OLS method. Also, first lag of gas price in the future market is the most efficient variable in predicting gas price in spot market.

One of the most important topics in financial markets in recent decades is the market efficiency. The efficient market hypothesis states that all available information is fully and immediately reflected in asset prices, therefore it is not possible to achieve systematic profits by price forecasting. The main purpose of this study is to evaluate the weak form of efficient market hypothesis for gold coin futures market in two settings of low volatility and high volatility of returns.
In order to test the weak form market efficiency in prices of gold coin futures market, Markov-switching GARCH and Markov-switching autoregression methods have been applied to the period from 2008 to 2017. The results of the FIGARCH and FARMA models indicate the fact that the series have long term memories of risk and average returns. The results of the estimation for the Markov-switching GARCH model (MS-E-GARCH) and the Markov-switching autoregression (MS-AR) imply that both risk and average return of gold coin futures market is predictable, and as a result the gold coin futures market does not have the weak form of efficiency in both low and high volatility settings and systematic profits could be achieved in this mark

In this paper an attempt is made to determine the most suitable agricultural commodities to be adopted for establishing a futures market in Iran. Two different approaches are adopted: the first involves identifying factors that contribute significantly to the success or failure of existing agricultural commodities futures contracts in established futures markets. The second involves simulating the hedging performance of potential commodities to determine the optimum contract choice. According the results of this study, commercialization rates, cash market size and spot price fluctuations of commodities have the greatest effects in the success of their futures trading. Also, although some of commodities have acceptable levels of the necessary conditions for entering them into futures market, they don’t have enough attraction for their use as futures contracts in terms of producer's hedging effectiveness. The results suggest that saffron, pistachios and rice are the three most feasible commodities to be adopted in order to establish commodity futures trading in Iran.

After the unprecedented volatility of gold coin prices over the past years in Iran, there has been a growing concern among academic and policy makers about the potential role of gold coin futures contract in this regard. This paper investigates the impact of gold futures contract on the respective spot market in Iran. For this purpose, two approaches have been used. In the first approach (volatility spillovers approach), a DCC-GARCH-VECM model has been employed for studying the volatility spillovers between gold coin spot and futures markets over the period November 2013- June 2015. In the second approach (dummy variable approach), the impact of the introduction of gold coin futures contract on the spot market has been analyzed using a simple GARCH model. The model is estimated by using daily spot and futures prices of gold coin in the period June 2006- June 2015. The results show that the introduction of futures contact has not affected the volatility of the spot market. Moreover, the volatility transmission is from the spot market to the futures market meaning that spot market shocks increase futures market volatility, not vice versa. Furthermore, the results show that economic sanctions against Iran have had a significant effect on the volatility of the spot market. The results are consistent with basic characteristics of the futures market in Iran: it is in the early stages of its development and its size, in comparison to the spot market, is small. Therefore it is acceptable to see that the volatility is transmitted from the spot market to the futures market.

Discovering the structure and pattern of crude oil price fluctuations enables us to disclose valuable information about the price change، information transmission and reactions of these markets to the spillover in NYMEX. This study focuses on this task. Moreover، it tries to capture the fluctuation effects on the markets'' instabilities and analyses the spot and future markets operations in both price discovery – through error correction model- or volatility and risk spillover – through multivariate GARCH-BRKK model. The results show that causality in mean is from future to spot market and not the vice versa. In other words future markets undertake price discovery and leadership. The result of volatility spillover، information and risk transmission between markets shows that information transmission is from future to spot market and the reverse does not hold

Agricultural products market in Iran is facing structural problems with non-competitive and inefficient conditions for trade of agricultural products, which leads to high price fluctuations for these products. Future markets as one of the risk sharing strategies would shift price risk to brokers and intermediaries. So, future markets are considered as one of the best tools for reducing agricultural risk. Designing and implementing future contracts is time-consuming and costly. Therefore, in order to succeed in setting up such contracts, it is essential to pay attention to several main issues consisting selecting the correct commodity for exchange, determining the optimal specification of the future contracts of agricultural products, and the way of decision making and preferences of market participants. Despite the precise design of future contracts, future markets may fail after commencing due to lack of access for farmers, to use these tools. The purpose of this study is to predict future market acceptance by rice farmers in Sari.
To achieve this goal, the positive Mathematical Programming Model (PMP) is used in the simulation of the traditional and future market within the framework of the GAMS software. All required data were derived from statistics provided by the Ministry of Agriculture and Statistical Center of Iran during 2000 to 2015. The objective function of the model was a calibrated objective function which maximizes the actual quantities of farmers' production. But it should be noted that in solving this model, it was assumed that when the future market is launched the decision of the producers regarding the amount of production is not affected and only a part of their product will be offered in the future market, rather than in the traditional market, with the aim of reducing the price risk. Since this assumption does not validate   in the actual operating conditions and it is expected that the producers' decision-making process would also be affected after entering the futures market and trading in this market. The results of simulation of the traditional market showed that the real average of the production, consumption, and net exports respectively were about 1.1663*10+5, 24074.390 and 1.4071*10+5 tone and the total profit of the producers of these products was about 3.7928*10+8 million Rials..
Based on the results of simulation of future market, the real average of the production, Consumption and Net exports equals about 1.4349*10+5, 26199.05 and 1.1729*10+5 tone respectively and the total profit of the producers of these products is about 3.7958*10+8 million Rials. Thus it is expected that after commencing future market for agricultural products, 44% of all rice farmers would sell their product using future contracts.
Therefore producers' decisions are not affected by the level of production and only a part of their product would be offered in the future market instead of the traditional market with the aim of reducing the price risk. In addition to comparing this market to the traditional market, the launch of the future market will increase the production, consumption and net exports about 1.9, 8.8 and 5.6 percent respectively. Due to the strategic condition of the rice product and the suitability of this product to enter the future market, it should be noted that in the process of optimal design of future contracts, without paying attention to all dimensions for launching the upcoming market, this market will not be successful. Therefore, in this study determination of the amount of participation by rice farmers before launching a successful future market for rice crops has been considered. The first stage were simulating conditions before the launch of the future market, named traditional market conditions of rice, and the average real values of production, consumption, net exports and total profit of the producers of this product were estimated in Sari city. Subsequently, with the goal of reducing the price risk, the conditions after launch of the future market were simulated that represent about half of rice producers will be participanting in the upcoming market. Base on the results of this study, it is suggested that the launch of futures markets and transfering process to the Agricultural Commodity Exchange would need cultural and extension courses to understand the benefits of entering this market.

The significance of oil market and its impact on economic growth in oil-exporting and oil-consuming countries has led to examination of factors affecting it in different studies. Financial market and its components have penetrated in traditional oil market and this has resulted in creation of exchanges to trade oil-related securities. Therefore, the importance of financial markets has emerged not as an exogenous variable but as an endogenous variable within the oil market. Scientific results of the research demonstrate that the long-term impact of futures markets on the oil market is definite, however during the crises, due to the concerns about complicated crisis conditions, the effective time horizon becomes short-term, and consequently it is the spot market that influences future variables. Therefore, it is suggested that, in order to prevent the impact of global financial crises on the state’s budget, we have to monitor the financial markets and also participate in oil futures market which has the advantage of generating risk coverage and ensuring the country’s budget to become secure against price fluctuations of international markets. Finally, by undertaking a wise strategy of speculation, we can take advantage of potential opportunities, if supported by domestic financial institutions and Ministry of Petroleum and, therefore, earn the country tremendous revenues.

The relationship between spot and futures markets and how the causal relationship between these markets is one of the important issues that its identification has a great impact on the planning of the actors of these markets and the forecast of future prices of a basic asset. In this study, the price discovery function has been investigated in relationship between Iran's oil spot market and West Texas Intermediate Futures market. For this purpose, the linear causality test based on VECM equations and the non-linear causality test of Toda Yamamoto, as well as monthly data including the Iran's oil spot prices and the one-to-three month futures prices of the World Oil Market (WTI) has been used during the period of December 2002 Until January 2018. The results show that the linear and nonlinear Granger causality has been from the Iran's oil spot market to the world oil futures market, and the reverse is not true.This finding confirms the dominant role of the Iran's oil spot market in price discovery of the world oil futures market.Therefore, the expected price discovery function for the WTI Futures market has not happened. According  to the results of the VAR-based response functions, The WTI futures market has been an follower market and also the Iran's oil spot market is a leader market in the transmission of price fluctuations.

The interaction between financial derivatives and their underlying physical markets has been the subject of extensive research in finance. This article examines the effect of dynamic contagion between the gold futures market and the physical gold market in financial markets and Tehran Stock Exchange, period of 08/29/2009 and 09/05/2018. It specifically focuses on the oscillating cycle that occurs between these two interconnected domains. Data is collected daily. Using a comprehensive data set covering a significant period, advanced econometric techniques from GARCH-BEKK, Markov-Switching and Structural VAR models to analyze volatility dynamics and contagion between gold futures and We use the physical gold market. Our findings show the existence of a two-way relationship, in which there is a contagion effect of turbulence from the physical gold market to the coin futures market. Also, another result of the research is that the contagion effect of turbulence from the physical gold market to the coin futures market is different in different regimes.