Seasonality in Agricultural Futures and Commodity Data

Summary

The document considers how to remove seasonal patterns from agricultural futures data. Its answer cautions that seasonality can vary by commodity: planting, growing, and harvest schedules, including the number of harvests, may shape within-year patterns. It also raises longer cycles associated with atmospheric conditions such as El Niño, which can affect pests and water availability.

The response suggests consulting a general deseasonalization resource for an R implementation, but it does not lay out a statistical procedure, specify which futures prices or contract maturities to adjust, or show results. The discussion is therefore a reminder to identify commodity-specific seasonal drivers before choosing an adjustment method, rather than a validated recipe. A separate answer points to related discussion of gas and power term structures without explaining that approach.

Key ideas

• Agricultural futures may exhibit seasonal patterns tied to commodity-specific production cycles.
• The timing and number of harvests can influence within-year seasonality.
• Longer atmospheric cycles may affect agricultural supply conditions and prices.
• The document suggests an R resource but does not specify or validate a deseasonalization method.

Tags

# remove seasonality in future contracts


# remove seasonality in future contracts












very new to commodities.

I have raw agriculture future data, and I need to remove the seasonality (de-seasonalize) from the data, what is the general approach ? Thanks for the help!

## Answer by Barnaby (score 1)

https://quant.stackexchange.com/a/17758

My guess is that you may have different seasonalities in the data as per each agricultural commodity characteristics. My guess is that there may be seasonality within the year as per the specific commodity depending if one or more harvestings occur a year. Also due to the specific unceirtanty due to planting, growth season and harvesting times. In addition also longer than a year seasonalities may occur due to long term atmosferic cycles (el niño for example) which may cause spread of plagues, watter shortages or abundances.

I would take a look into http://cran.r-project.org/web/packages/deseasonalize/deseasonalize.pdf for R.

## Answer by ZRH (score 0)

https://quant.stackexchange.com/a/43871

Answered this in respect of power and gas, please have a look at How to de-seasonalize natural gas term structure data?

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.