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The dataset contains daily price ranges calculated from the daily high and low prices for Chicago Wheat, Corn, and Oats futures contracts, starting in 1877. The data is manually extracted from the ``Annual Reports of the Trade and Commerce of Chicago'' (today, the Chicago Board of Trade, CBOT, which is part of the CME group).
The price range is calculated as Ranget = ln(Ht) - ln(Lt), where Ht and Lt are the highest and lowest price observed on trading day t.
Description of the dataset:
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This analysis presents a rigorous exploration of financial data, incorporating a diverse range of statistical features. By providing a robust foundation, it facilitates advanced research and innovative modeling techniques within the field of finance.
Historical daily stock prices (open, high, low, close, volume)
Fundamental data (e.g., market capitalization, price to earnings P/E ratio, dividend yield, earnings per share EPS, price to earnings growth, debt-to-equity ratio, price-to-book ratio, current ratio, free cash flow, projected earnings growth, return on equity, dividend payout ratio, price to sales ratio, credit rating)
Technical indicators (e.g., moving averages, RSI, MACD, average directional index, aroon oscillator, stochastic oscillator, on-balance volume, accumulation/distribution A/D line, parabolic SAR indicator, bollinger bands indicators, fibonacci, williams percent range, commodity channel index)
Feature engineering based on financial data and technical indicators
Sentiment analysis data from social media and news articles
Macroeconomic data (e.g., GDP, unemployment rate, interest rates, consumer spending, building permits, consumer confidence, inflation, producer price index, money supply, home sales, retail sales, bond yields)
Stock price prediction
Portfolio optimization
Algorithmic trading
Market sentiment analysis
Risk management
Researchers investigating the effectiveness of machine learning in stock market prediction
Analysts developing quantitative trading Buy/Sell strategies
Individuals interested in building their own stock market prediction models
Students learning about machine learning and financial applications
The dataset may include different levels of granularity (e.g., daily, hourly)
Data cleaning and preprocessing are essential before model training
Regular updates are recommended to maintain the accuracy and relevance of the data
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Explore the factors influencing milling wheat prices in 2023, including climatic conditions, geopolitical events, supply chain challenges, and trade policies. Understand how these dynamics affect global markets and strategies for navigating price volatility.
Wheat Market Size 2025-2029
The wheat market size is forecast to increase by USD 87.6 billion at a CAGR of 4.6% between 2024 and 2029.
The market is experiencing significant shifts driven by several key trends and challenges. The growing vegan population represents a notable trend, as an increasing number of consumers adopt plant-based diets, leading to a higher demand for wheat-based food products and supplements. Simultaneously, the expansion of retail stores offering organic wheat-based supplements caters to the health-conscious consumer segment, further fueling market growth. The market plays a significant role in the global food industry, with its production and consumption influencing various sectors such as food manufacturing, food retail, and food service. However, the market faces challenges due to climate change and unpredictable weather patterns. Extreme weather conditions, such as droughts and heavy rainfall, can negatively impact wheat production, leading to supply chain disruptions and price volatility.
These challenges necessitate strategic planning and adaptability from market players to ensure a consistent supply of high-quality wheat products and maintain competitiveness. Companies seeking to capitalize on market opportunities and navigate challenges effectively must focus on innovation, sustainability, and risk management strategies. Durum wheat, a key component in pasta and craft beer production, is also gaining attention, and will subsequently help with market expansion in the coming years.
What will be the Size of the Wheat Market during the forecast period?
Explore in-depth regional segment analysis with market size data - historical 2019-2023 and forecasts 2025-2029 - in the full report.
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The market encompasses various aspects, including gluten-free wheat, grain drying, and farming practices. Farmers employ precision agriculture to optimize wheat production, while grain drying ensures optimal moisture levels before storage in silos. Flour fortification enhances nutritional value, and flour milling technology, such as roller mills and stone mills, transforms wheat into various products like pasta and bread. Grain transportation and handling are crucial components, with grain elevators facilitating efficient movement. Grain inspection ensures grain quality, and certification guarantees adherence to industry standards. Wheat-based products, including bakery items, require careful flour blending and gluten content control. Wheat industry trends lean towards organic and non-GMO production, sustainability, and innovation in flour milling technology. The market is expected to witness notable expansion due to its increasing use in various industries, including food and animal feed.
Grain cleaning and grain storage are essential for maintaining grain quality and mitigating wheat price volatility. Pastry making and bread making continue to be significant applications, with the bakery industry driving demand for high-quality wheat and flour. Flour milling technology advances, such as grain inspection and grain handling systems, contribute to improved grain quality control. The market outlook remains positive, with ongoing research and development in wheat farming practices and wheat substitutes.
How is this Wheat Industry segmented?
The wheat industry research report provides comprehensive data (region-wise segment analysis), with forecasts and estimates in 'USD billion' for the period 2025-2029, as well as historical data from 2019-2023 for the following segments.
Application
Human
Feed
Type
Hard red winter
Hard red spring
Soft red winter
Others
Distribution Channel
Direct sales (B2B)
Retail stores
Online platforms
Geography
North America
US
Europe
France
Germany
Russia
UK
APAC
China
India
Indonesia
Pakistan
South Korea
Rest of World (ROW)
By Application Insights
The human segment is estimated to witness significant growth during the forecast period. Wheat, a significant global staple food, is renowned for its high carbohydrate content, primarily in the form of starch. Beyond its carbohydrate value, wheat offers essential nutrients, including protein, vitamins, soluble fiber, and phytochemicals. Consequently, wheat-based foods are popular worldwide, catering to both human consumption and industrial applications. These include refined wheat flour, pasta, noodles, beverages like wheat beer and malted milk, and various other processed goods. Wheat farming involves the use of fertilizers, herbicides, and water for optimal growth. Diseases and pests pose challenges to production, necessitating ongoing research and innovation. Winter and spring wheat varieties are cultivated, with spring wheat being more commonly used for food products due to its higher protein content.
Wheat proce
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Replication data for "Trade policy announcements can increase price volatility in global food commodity markets":
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This analysis presents a rigorous exploration of financial data, incorporating a diverse range of statistical features. By providing a robust foundation, it facilitates advanced research and innovative modeling techniques within the field of finance.
Historical daily stock prices (open, high, low, close, volume)
Fundamental data (e.g., market capitalization, price to earnings P/E ratio, dividend yield, earnings per share EPS, price to earnings growth, debt-to-equity ratio, price-to-book ratio, current ratio, free cash flow, projected earnings growth, return on equity, dividend payout ratio, price to sales ratio, credit rating)
Technical indicators (e.g., moving averages, RSI, MACD, average directional index, aroon oscillator, stochastic oscillator, on-balance volume, accumulation/distribution A/D line, parabolic SAR indicator, bollinger bands indicators, fibonacci, williams percent range, commodity channel index)
Feature engineering based on financial data and technical indicators
Sentiment analysis data from social media and news articles
Macroeconomic data (e.g., GDP, unemployment rate, interest rates, consumer spending, building permits, consumer confidence, inflation, producer price index, money supply, home sales, retail sales, bond yields)
Stock price prediction
Portfolio optimization
Algorithmic trading
Market sentiment analysis
Risk management
Researchers investigating the effectiveness of machine learning in stock market prediction
Analysts developing quantitative trading Buy/Sell strategies
Individuals interested in building their own stock market prediction models
Students learning about machine learning and financial applications
The dataset may include different levels of granularity (e.g., daily, hourly)
Data cleaning and preprocessing are essential before model training
Regular updates are recommended to maintain the accuracy and relevance of the data
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License information was derived automatically
Explore the myriad factors influencing Malwa Gold wheat prices, from weather conditions and input costs to market demand and government policies, dissecting how these elements contribute to price volatility and fluctuations in both regional and global markets.
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Abstract The purpose of this paper is to investigate the volatility persistence and the inventory effect in grain futures markets during the period of 1959–2014. The innovative nature of this study lies in the evaluation of rolling estimates, using a recursive univariate TARCH(1,1)-in-mean volatility model. The daily evolution of volatility persistence and the inventory effect on corn and soybean futures contracts is analyzed using a rolling window of 1008 observations over four years. In general, the results suggest that the conditional volatility in both markets is highly persistent. There is also evidence of inventory, time-to-maturity, and seasonality effects on the volatility dynamics of corn and soybeans. In addition, the findings point to a lower short-run volatility persistence in recent years, which caused a slight decrease in long-run volatility persistence and the half-life period in both markets.
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Explore the historical trends and volatility of wheat prices on the Chicago Board of Trade (CBOT), influenced by weather, supply, demand, and geopolitical events. Learn how these factors impact global markets and provide insights for traders, investors, and policymakers.
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According to Cognitive Market Research, the global Wheat Fiber market size will be USD 1954.5 million in 2024. It will expand at a compound annual growth rate (CAGR) of 8.00% from 2024 to 2031.
North America held the major market share for more than 40% of the global revenue with a market size of USD 781.80 million in 2024 and will grow at a compound annual growth rate (CAGR) of 6.2% from 2024 to 2031.
Europe accounted for a market share of over 30% of the global revenue with a market size of USD 586.35 million.
Asia Pacific held a market share of around 23% of the global revenue with a market size of USD 449.54 million in 2024 and will grow at a compound annual growth rate (CAGR) of 10.0% from 2024 to 2031.
Latin America had a market share of more than 5% of the global revenue with a market size of USD 97.73 million in 2024 and will grow at a compound annual growth rate (CAGR) of 7.4% from 2024 to 2031.
Middle East and Africa had a market share of around 2% of the global revenue and was estimated at a market size of USD 39.09 million in 2024 and will grow at a compound annual growth rate (CAGR) of 7.7% from 2024 to 2031.
The Food & Beverages held the highest Wheat Fiber market revenue share in 2024.
Market Dynamics of Wheat Fiber Market
Key Drivers for Wheat Fiber Market
Rising Health Awareness Among Consumers to Increase the Demand Globally
Due to the rising incidence of lifestyle-related illnesses and the easier availability of health information, consumers are becoming more aware of their health and well-being. Dietary decisions that support long-term health are receiving more attention as a result of this increased understanding. Wheat fiber is becoming more and more recognized as a crucial part of a balanced diet because of its benefits in promoting weight management, lowering blood sugar, and enhancing digestive health. This trend is being driven by consumer demand for foods and supplements that provide measurable health advantages, as well as educational initiatives and the impact of health-oriented media. Food producers are consequently adding more fiber-rich components to their goods, which is fueling the expansion of the wheat fiber market.
Growing Shift Towards Plant-based Diets to Propel Market Growth
The growing popularity of plant-based diets is having a big impact on the industry. Diets based on plants, which comprise whole grains, legumes, fruits, and vegetables, are inherently high in dietary fiber. The market is expanding because of this dietary transition, which is being fueled by several causes including worries about animal cruelty, environmental sustainability, and the health advantages of eating a plant-based diet. The popularity of vegetarian and vegan diets is driving up demand for high-fiber plant-based meals. The surge in plant-based product developments that appeal to both traditional and plant-based eaters—such as fiber-fortified snacks and plant-based meat substitutes—also supports this trend. As a result, the market for wheat fiber is expanding as producers modify their products to suit the changing tastes of consumers who want plant-based, high-fiber diets.
Restraint Factor for the Wheat Fiber Market
Competition from Alternatives and Price Volatility of Raw Materials to Limit the Sales
Inulin, psyllium husk, and oat fiber—all of which are utilized in food products for their health benefits—are becoming more and more a rival. The market can be dominated by these substitute fibers, some of which are gluten-free. Furthermore, due to variables like weather, crop yields, and international trade regulations, wheat prices can fluctuate much like those of other agricultural commodities. The price fluctuations of wheat can impact the growth of the market by affecting the cost of generating wheat fiber.
Impact of Covid-19 on the Wheat Fiber Market
The wheat fiber market was affected by the COVID-19 epidemic in several ways. Products that support digestive health and general well-being are in high demand as a result of the pandemic's increased awareness of health and wellbeing among consumers. Due to its well-known ability to improve intestinal health, wheat fiber has become more widely used in a variety of dietary products. Furthermore, there was a noticeable rise in home baking and cooking as a result of lockdowns and social distancing measures. In order to enhance the nutritional profile of handmade fo...
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Explore the dynamic factors influencing the price of wheat per ton, including geopolitical influences, supply chain dynamics, weather conditions, and global demand. Understand the volatility in wheat pricing and the impact of technological advancements, climate change, and logistic challenges on global wheat markets.
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The decline in revenue for industry farmers during the current period has primarily been driven by high global stocks and fierce international competition, compounded by climate volatility and challenging trade dynamics. High stocks of wheat and coarse grains are pressuring prices downward despite record domestic food use and demand for animal feed. Intense export competition from regions like the EU, Russia and Canada exacerbates this issue, making it difficult for US producers to maintain profit. Compounding the problem are climate and weather volatility, with increased instances of droughts and heat waves reducing yields and hindering production. Trade headwinds, including retaliatory tariffs and a strong US dollar, are also constraining exports, diminishing the competitiveness of US grain globally. Overall, industry revenue has dropped at a CAGR of 1.2% since 2020 to reach an expected $13.2 billion after a decrease of 6.3% in 2025. In addition to these external pressures, input costs remain a significant challenge for industry farmers. The persistently strong prices for fertilizers, pesticides and seeds, alongside increased agricultural wages and labor shortages, have elevated production expenses, straining profit as grain prices drop. Smaller and mid-sized farms are particularly affected, facing negative returns and low cash receipts. Some operations may be forced into consolidation if they are unable to absorb high costs. While some input prices, such as fuel and agrochemicals, have eased from huge spikes earlier in the current period, overall expenses continue to surpass commodity prices, eroding financial stability and forcing many producers to seek USDA program assistance to mitigate these challenges. Looking ahead, the wheat, barley, sorghum, oats and rye farming sector is expected to gradually recover as global stocks stabilize and demand grows, expanding at a CAGR of 0.9% to reach $13.8 billion in 2030. Easing supply chain disruptions and stabilizing input costs are expected to support this recovery. Future weakening of the US dollar stands to improve export competitiveness, offering some optimism for US producers. However, the recovery will vary across segments, with those benefiting from strong domestic demand or value-added products rebounding more quickly than those reliant on bulk exports.
The aim of this study is to investigate sources of food prices volatility. The analysis uses daily series for volatility of corn, soybean, wheat, rice, US dollar, crude oil, and SP500 futures spanning the period January 4, 2000 to April 1, 2017. The authors employ the generalized vector autoregressive framework in rolling sample approach in order to capture the time-varying nature of volatility spillovers. The results reveal that: volatility spillovers measures change over time; most of the volatility spillovers are observed within the two groups of markets: food markets and “non-food” markets; corn market is net volatility transmitter.
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An overview of the current state of the wheat market, including global production, growing demand, trade dynamics, price volatility, quality and varietal preferences, and innovations and technologies driving productivity and efficiency. Uncertainties and risks, such as weather events and trade disruptions, can significantly impact the market dynamics.
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Wheat Protein Market size was valued at USD 2675.31 Million in 2024 and is projected to reach USD 3787.68 Million by 2031, growing at a CAGR of 4.90% from 2024 to 2031.
Global Wheat Protein Market Drivers
Rising Demand for Plant-Based Protein: The global shift towards plant-based diets is driving the demand for alternative protein sources, including wheat protein. Health and Wellness Trends: Consumers are increasingly seeking healthier and more sustainable food options, leading to the popularity of wheat protein. Food Allergy and Intolerance: Wheat protein can be a suitable alternative for individuals with dairy or soy allergies. Functional Food and Beverage Industry: Wheat protein is used as a functional ingredient in various food and beverage products, such as protein powders, bars, and sports drinks.
Global Wheat Protein Market Restraints
Gluten Sensitivity and Celiac Disease: For individuals with gluten sensitivity or celiac disease, wheat protein is not suitable, limiting its market potential. Price Volatility of Wheat: Fluctuations in wheat prices can impact the cost of wheat protein, affecting its market competitiveness. Competition from Other Plant-Based Proteins: Wheat protein competes with other plant-based protein sources, such as pea protein, soy protein, and rice protein.
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According to Cognitive Market Research, the global Vital Wheat Gluten market size will be USD 2,591.8 million in 2025. It will expand at a compound annual growth rate (CAGR) of 7.00% from 2025 to 2033.
North America held the major market share for more than 37% of the global revenue with a market size of USD 958.97 million in 2025 and will grow at a compound annual growth rate (CAGR) of 5.8% from 2025 to 2033.
Europe accounted for a market share of over 29% of the global revenue with a market size of USD 751.62 million.
APAC held a market share of around 24% of the global revenue with a market size of USD 622.03 million in 2025 and will grow at a compound annual growth rate (CAGR) of 9.6% from 2025 to 2033.
South America has a market share of more than 3.8% of the global revenue with a market size of USD 98.49 million in 2025 and will grow at a compound annual growth rate (CAGR) of 7.3% from 2025 to 2033.
Middle East had a market share of around 4% of the global revenue and was estimated at a market size of USD 103.67 million in 2025 and will grow at a compound annual growth rate (CAGR) of 7.5% from 2025 to 2033.
Africa had a market share of around 2.2% of the global revenue and was estimated at a market size of USD 57.02 million in 2025 and will grow at a compound annual growth rate (CAGR) of 6.7% from 2025 to 2033.
Conventional is the fastest growing segment of the Vital Wheat Gluten industry
Market Dynamics of Vital Wheat Gluten Market
Key Drivers for Vital Wheat Gluten Market
Increasing Application in Animal Feed and Aquaculture Is Expected To Boost Market Growth
The demand for vital wheat gluten in animal feed and aquaculture has been steadily increasing due to its high protein content, digestibility, and functional properties. As a concentrated source of plant-based protein, wheat gluten serves as an excellent alternative to traditional protein sources such as soy and fishmeal. It provides essential amino acids that support growth and development in livestock, poultry, and aquatic species, making it a valuable ingredient in feed formulations. Additionally, its binding properties help improve the texture and stability of feed pellets, reducing feed wastage and enhancing nutrient absorption. The Indian government extended the FIDF for an additional three years up to 2025-26, maintaining the fund size at ?7,522.48 crore with a budgetary support of ?939.48 crore. This extension aims to bolster infrastructure such as fishing harbors, cold storage facilities, and fish processing units, thereby enhancing the fisheries and aquaculture sectors.
Increasing Demand for Clean-Label and Natural Ingredients To Boost Market Growth
The global food industry is experiencing a significant shift towards clean-label and natural ingredients, driven by growing consumer awareness of health, nutrition, and ingredient transparency. Consumers are becoming more conscious of what goes into their food, leading to a rising preference for minimally processed, non-GMO, and chemical-free ingredients. Vital wheat gluten aligns with this trend as it is a naturally derived protein extracted from wheat flour without the use of artificial additives or chemical modifications. Its clean-label appeal makes it a desirable ingredient in various food applications, including bakery products, meat alternatives, and functional foods. In the bakery industry, vital wheat gluten is widely used to improve dough elasticity, enhance texture, and extend shelf life without the need for synthetic additives. As consumers increasingly demand preservative-free and organic baked goods, manufacturers are turning to natural functional ingredients like wheat gluten to meet market expectations.
Restraint Factor for the Vital Wheat Gluten Market
Price Volatility of Wheat and Raw Material Availability, Will Limit Market Growth
The vital wheat gluten market is highly dependent on the availability and pricing of wheat, which is subject to significant fluctuations due to various economic, environmental, and geopolitical factors. Wheat prices are influenced by factors such as global supply and demand dynamics, weather conditions, trade policies, and agricultural productivity. Droughts, floods, and other climate-related disruptions can severely impact...
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Corn rose to 381.52 USd/BU on August 7, 2025, up 0.47% from the previous day. Over the past month, Corn's price has fallen 7.17%, and is down 3.90% compared to the same time last year, according to trading on a contract for difference (CFD) that tracks the benchmark market for this commodity. Corn - values, historical data, forecasts and news - updated on August of 2025.
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The global wheat gluten market, valued at $5.79 billion in 2025, is projected to experience robust growth, exhibiting a Compound Annual Growth Rate (CAGR) of 11.6% from 2025 to 2033. This expansion is primarily driven by the increasing demand for gluten-free products in the bakery and confectionery sector, coupled with the rising popularity of dietary supplements and specialized animal feed incorporating wheat gluten. The bakery and confectionery segment currently holds a significant market share, fueled by consumer preferences for texture enhancement and improved product quality. The dietary supplements segment is witnessing substantial growth due to the recognized health benefits associated with certain wheat gluten components, particularly in sports nutrition and specialized diets. Simultaneously, the animal feed segment is expanding due to the inclusion of wheat gluten as a protein source in livestock feed. While the market faces potential restraints such as fluctuations in wheat prices and concerns about gluten intolerance, the overall growth trajectory remains positive, driven by innovation in product formulation and the development of gluten-modified ingredients catering to specific dietary needs. Regional analysis indicates that North America and Europe currently dominate the market, with significant growth potential expected in the Asia-Pacific region, particularly in China and India, driven by rising disposable incomes and changing dietary habits. Further growth will be fueled by continuous research and development in wheat gluten applications. Manufacturers are focusing on producing high-quality, standardized wheat gluten products with improved functionalities, which will enhance their utilization in various industries. The growing awareness of the nutritional benefits of wheat gluten, particularly its protein content and role in enhancing texture, will further stimulate demand across multiple segments. Competitive strategies among leading companies include product diversification, strategic partnerships, and acquisitions to strengthen market position. However, mitigating risks associated with raw material price volatility and meeting stringent regulatory standards will remain crucial for market success. By 2033, the market is expected to reach a considerably larger size, reflecting the consistent growth trajectory projected based on the current market dynamics and future trends.
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The global wheat grass powder market is experiencing robust growth, driven by increasing consumer awareness of its health benefits and the rising popularity of functional foods and beverages. The market, estimated at $500 million in 2025, is projected to exhibit a Compound Annual Growth Rate (CAGR) of 7% from 2025 to 2033, reaching approximately $850 million by 2033. This growth is fueled by several key factors. The expanding health and wellness industry, coupled with increasing demand for natural and organic products, significantly contributes to market expansion. Consumers are increasingly seeking natural alternatives to synthetic supplements, driving demand for organic wheat grass powder, a segment expected to outperform the regular wheat grass powder market. Furthermore, the rising prevalence of chronic diseases and the growing focus on preventative healthcare are also contributing factors. The application of wheat grass powder in various food and health products, including smoothies, juices, and dietary supplements, further expands the market's reach and potential. Key players in the market are continuously innovating with new product formulations and delivery methods to cater to evolving consumer preferences. However, market growth faces certain constraints. Price volatility of raw materials, particularly wheat grass, can impact profitability and potentially hinder market expansion. Moreover, the relatively short shelf life of wheat grass powder and the need for proper storage can present challenges for both manufacturers and consumers. Nevertheless, the market is likely to overcome these challenges due to the strong underlying demand and the ongoing efforts of industry players to improve product stability and distribution. The market segmentation, with organic and regular wheat grass powder variants and applications across food and health products, offers diverse opportunities for growth and strategic positioning for market participants. The regional data, though not fully specified, suggests a significant presence across major global markets, implying further expansion potential.
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The global vital wheat gluten market is projected to reach $3.38 billion in 2025, exhibiting a robust Compound Annual Growth Rate (CAGR) of 5.0% from 2025 to 2033. This growth is fueled by several key factors. The increasing demand for gluten-free products paradoxically drives the market for vital wheat gluten, as it's a crucial ingredient in creating gluten-free alternatives for individuals with celiac disease or gluten intolerance. The expanding food processing industry, particularly in bakery and meat alternatives, significantly contributes to the market's expansion. Furthermore, the growing popularity of plant-based protein sources and the increasing awareness of the health benefits of wheat gluten, such as its high protein content and ability to improve texture in processed foods, bolster market growth. The market is segmented by type (food grade and feed grade) and sales channel (online and offline). The food grade segment dominates, propelled by the aforementioned trends in food processing and health-conscious consumer preferences. Geographical expansion into developing economies, particularly within Asia Pacific, presents substantial growth opportunities. However, fluctuations in wheat prices and potential competition from alternative protein sources pose challenges. The competitive landscape is characterized by a mix of large multinational corporations and smaller regional players, each vying for market share through product innovation and strategic partnerships. The significant growth trajectory is anticipated to continue throughout the forecast period (2025-2033), driven by consistent demand from established markets and expansion into new regions. While the challenges posed by price volatility and competitive pressures remain, the ongoing trends of increasing health awareness, the rising demand for gluten-free and plant-based foods, and technological advancements in food processing are expected to outweigh these challenges, supporting the sustained and healthy growth of the vital wheat gluten market. Further market segmentation, leveraging regional consumer preferences and adapting to local regulatory frameworks, will be crucial for companies seeking to maximize their market presence and capitalize on the projected growth.
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The dataset contains daily price ranges calculated from the daily high and low prices for Chicago Wheat, Corn, and Oats futures contracts, starting in 1877. The data is manually extracted from the ``Annual Reports of the Trade and Commerce of Chicago'' (today, the Chicago Board of Trade, CBOT, which is part of the CME group).
The price range is calculated as Ranget = ln(Ht) - ln(Lt), where Ht and Lt are the highest and lowest price observed on trading day t.
Description of the dataset: