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Relevant bibliographies by topics / Price spreads

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Academic literature on the topic 'Price spreads'

Author: Grafiati

Published: 4 June 2021

Last updated: 12 February 2022

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Journal articles on the topic "Price spreads"

1

Gunay, Samet. "Fractionally Cointegrated Vector Autoregression Model: Evaluation of High/Low and Close/Open Spreads for Precious Metals." SAGE Open 8, no. 4 (2018): 215824401881264. http://dx.doi.org/10.1177/2158244018812649.

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Daily high/low and close/open prices are the key parameters of candlestick approach in technical analysis. Besides, the price spreads are also important as they represent an upward or a downward trend. In this study, we investigate the relationship between daily high/low prices and close/open prices for precious metals: gold, copper, palladium, and silver. Empirical analysis has been performed through fractionally cointegrated vector autoregression (FCVAR) model. To observe the relationships, the trends are tested for their characteristics in both states: positive and negative spreads in close

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ARMSTRONG, JOHN, TEEMU PENNANEN, and UDOMSAK RAKWONGWAN. "PRICING INDEX OPTIONS BY STATIC HEDGING UNDER FINITE LIQUIDITY." International Journal of Theoretical and Applied Finance 21, no. 06 (2018): 1850044. http://dx.doi.org/10.1142/s0219024918500449.

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We develop a model for indifference pricing in derivatives markets, where price quotes have bid–ask spreads and finite quantities. The model quantifies the dependence of the prices and hedging portfolios on an investor’s views, risk preferences and financial position as well as on the price quotes. Computational techniques of convex optimization allow for fast computation of the hedging portfolios and prices as well as sensitivities with respect to various model parameters. We illustrate the techniques by pricing and hedging of exotic derivatives on S&P index using call and put options, fo

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3

Baumeister, Christiane, Lutz Kilian, and Xiaoqing Zhou. "ARE PRODUCT SPREADS USEFUL FOR FORECASTING OIL PRICES? AN EMPIRICAL EVALUATION OF THE VERLEGER HYPOTHESIS." Macroeconomic Dynamics 22, no. 3 (2017): 562–80. http://dx.doi.org/10.1017/s1365100516000237.

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Many oil industry analysts believe that there is predictive power in the product spread, defined as the difference between suitably weighted refined product market prices and the price of crude oil. We derive a number of alternative forecasting model specifications based on product spreads and compare the implied forecasts to the no-change forecast of the real price of oil. We show that not all product spread models are useful for out-of-sample forecasting, but some models are, even at horizons between one and two years. The most accurate model is a time-varying parameter model of gasoline and

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4

Kim, Min-Kyoung, and Raymond M. Leuthold. "The Distributional Behavior of Futures Price Spreads." Journal of Agricultural and Applied Economics 32, no. 1 (2000): 73–87. http://dx.doi.org/10.1017/s1074070800027838.

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AbstractThe distributional behavior of futures price spreads is examined for four commodities: corn, live cattle, gold and T-bonds. Remarkably different results are found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and for corn produce more normal distributions for weekly than for daily differencing intervals, while all live cattle spreads for actual changes are normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for corn and live cattle do not become more normal

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Abramova, Ekaterina, and Derek Bunn. "Optimal Daily Trading of Battery Operations Using Arbitrage Spreads." Energies 14, no. 16 (2021): 4931. http://dx.doi.org/10.3390/en14164931.

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An important revenue stream for electric battery operators is often arbitraging the hourly price spreads in the day-ahead auction. The optimal approach to this is challenging if risk is a consideration as this requires the estimation of density functions. Since the hourly prices are not normal and not independent, creating spread densities from the difference of separately estimated price densities is generally intractable. Thus, forecasts of all intraday hourly spreads were directly specified as an upper triangular matrix containing densities. The model was a flexible four-parameter distribut

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6

Fatikhah, Sabna Ainazah, and Siti Puryandani. "FAKTOR PENENTU BID-ASK SPREAD SAHAM LQ45." ECONBANK: Journal of Economics and Banking 2, no. 1 (2020): 43–54. http://dx.doi.org/10.35829/econbank.v2i1.78.

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Investors always use various information to get the maximum profit in investment activities. One such information is the bid-ask spread. This study aims to determine the effect of company size, stock prices, stock price volatility and trading volume on the bid-ask spread of companies listed in the LQ45 index in the period 2015 to 2018. A total of 14 companies were taken as a purposive sampling sample in order to obtain 56 observational data. The analytical method used in this study is the method of multiple linear regression analysis. The results showed that stock prices and stock price volati

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7

Łamasz, Bartosz, and Natalia Iwaszczuk. "The Impact of Implied Volatility Fluctuations on Vertical Spread Option Strategies: The Case of WTI Crude Oil Market." Energies 13, no. 20 (2020): 5323. http://dx.doi.org/10.3390/en13205323.

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This paper aims to analyze the impact of implied volatility on the costs, break-even points (BEPs), and the final results of the vertical spread option strategies (vertical spreads). We considered two main groups of vertical spreads: with limited and unlimited profits. The strategy with limited profits was divided into net credit spread and net debit spread. The analysis takes into account West Texas Intermediate (WTI) crude oil options listed on New York Mercantile Exchange (NYMEX) from 17 November 2008 to 15 April 2020. Our findings suggest that the unlimited vertical spreads were executed w

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8

Hinch, Martin, Jim Berry, William McGreal, and Terry Grissom. "LIBOR, base rate spreads and the UK housing market." International Journal of Housing Markets and Analysis 8, no. 1 (2015): 118–34. http://dx.doi.org/10.1108/ijhma-04-2014-0009.

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Purpose – The purpose of this paper is to analyse how London Interbank Offered Rate Index (LIBOR) and the spread between LIBOR and the base rate of interest as set by the Bank of England (BoE) influences the variation in house prices in the UK. Design/methodology/approach – This paper uses monthly data over a long time series, since 1986, to investigate the relationships between house price and LIBOR. Data are drawn from several different sources to include housing, financial and macro-economic variables. The time series is sub-divided into a series of splines based on stages in the economic a

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SZNAJD-WERON, K., and R. WERON. "A SIMPLE MODEL OF PRICE FORMATION." International Journal of Modern Physics C 13, no. 01 (2002): 115–23. http://dx.doi.org/10.1142/s0129183102003000.

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A simple Ising spin model, which can describe the mechanism of price formation in financial markets is proposed. In contrast to other agent-based models, the influence does not flow inward from the surrounding neighbors to the center site, but spreads outward from the center to the neighbors. The model thus describes the spread of opinions among traders. It is shown via standard Monte Carlo simulations that very simple rules lead to dynamics that duplicate those of asset prices.

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Paul, Allen B. "Liquidation Bias in Futures Price Spreads." American Journal of Agricultural Economics 68, no. 2 (1986): 313–21. http://dx.doi.org/10.2307/1241433.

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Dissertations / Theses on the topic "Price spreads"

1

Irvine, John B. "Geographic price spreads in world wheat trade." Thesis, Kansas State University, 1985. http://hdl.handle.net/2097/9852.

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2

Dickerson, Marla Lashea. "Analysis of farm-to-retail price spreads for whole and two percent milk in seven selected cities." Texas A&M University, 2003. http://hdl.handle.net/1969.1/581.

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The objectives of this study were threefold: (1) to determine a suitable model for defining the farm-retail price spread for two percent and whole milk in seven cities (Atlanta, Boston, Chicago, Dallas, Hartford, Seattle, St. Louis); (2) to discover the determinants that contribute significantly to the price spreads of two percent and whole milk in seven selected cities, and (3) to calculate the elasticity of price transmission for whole and two percent milk in the seven cities. The work of Wohlgenant and Mullen in -Modeling the Farm-Retail Price Spread for Beef" was followed in order to dete

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3

Thompson, G. "The Effects of Navel Orange Prorate Suspension on F. O. B. to Retail Price Spreads." College of Agriculture, University of Arizona (Tucson, AZ), 1988. http://hdl.handle.net/10150/215711.

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The effects of the navel orange prorate suspension on packinghouse to retail price spreads are analyzed When compared with price spreads for the 1986 season, F.o.b.-retail price spreads declined for Atlanta and San Francisco, but increased for Dallas.

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4

Hill, Amelia Mary. "Three Essays on the Impact of Electronic Screen Trading in Futures Markets." University of Sydney. Finance, 2001. http://hdl.handle.net/2123/588.

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This dissertation consists of 3 essays that examine the impact of electronic screen trading in futures markets. The research provides empirical evidence on increasingly significant issues given the rapid global advances in technology used in securities markets. Each essay addresses the scarcity of conclusive research in order to aid researchers, regulators, exchange policy makers and systems builders as they confront issues related to electronic trading systems.

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Lopes, Sara Bárbara Dutra. "Real World Economic Scenario Generator." Doctoral thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/21442.

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Doutoramento em Matemática Aplicada à Economia e Gestão<br>Neste trabalho apresentamos uma metodologia para simular a evolução das taxas de juros sob medida de probabilidade real. Mais precisamente, usando o modelo de mercado Shifted Lognormal LIBOR multidimensional e uma especificação do vetor do preço de mercado do risco, explicamos como realizar simulações das taxas de juro futuras, usando o método de Euler-Maruyama com preditor-corretor. A metodologia proposta permite acomodar a presença de taxas de juro negativas, tal como é observado atualmente em vários mercados. Após definir a estrutur

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Coutinho, Cristina Fonseca. "Sovereign default probabilities within the european crisis." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/4955.

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Mestrado em Matemática Financeira<br>In this thesis we assess the real default probabilities of three groups of European sovereigns - peripheral, central and safe haven - in order to get a forward looking measure of the market sentiment about their default, as well as their evolution within the current European crisis. We follow Moody's CDS-implied EDF Credit Measures and Fair-Value Spreads methodology by extracting risk-neutral probabilities of default, assumed to be Weibull distributed, from CDS spreads and convert them into real probabilities of default, using an adaptation of the Merton m

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Tang, Ke. "Stochastic behaviour of commodity prices and spreads with applications." Thesis, University of Cambridge, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.612453.

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shen, zhangxin. "Modeling Farm-Retail Price Spread in the U.S. Pork Industry." NCSU, 2010. http://www.lib.ncsu.edu/theses/available/etd-04012010-133623/.

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The farm-retail price spread is the difference between the retail price of a product and its farm value. It changes with changes in factor prices, the efficiency of providing services, and the quantity and quality of services embodied in the final product. A model was derived by Box-Cox transform base on the relative price spread mode for the U.S. pork industry. The new model analyses the determinant of margins more accurately. The results indicate the log of farm-retail price spread is significantly and positively related to increases in log of retail price and log of quantity of farm input.

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Wilks, Megan. "Spread, inventory and spot price volatility in the platinum market." Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/12453.

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Includes bibliographical references<br>The central idea of the theory of storage is that the level of inventory influences the effect that changes in the demand-and-supply conditions have on spot and futures prices. With the use of monthly data for the period January 1992 to January 2010, I find that the predictions of the theory of storage do not always hold in the platinum market. In conflict with the theoretical predictions, I find that: i) demand-and-supply shocks will have the same effect on spot and futures prices, regardless of the level of inventory; and ii) changes in spot prices have

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McGroarty, Francis Joseph Anthony. "Determinants of prices and spreads in global currency and money markets." Thesis, University of Southampton, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.402234.

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Books on the topic "Price spreads"

1

MacIntosh, Robin. Weekly auction-retail price spreads for fish in the Sydney market. NSW Agriculture & Fisheries, 1988.

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2

Liu, Jun. The market price of credit risk: An empirical analysis of interest rate swap spreads. National Bureau of Economic Research, 2002.

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3

Wohlgenant, Michael K. Approaches to modeling retail-farm price spreads and derived demand relationships for food commodities: A selected, annotated bibliography. U.S. Dept. of Agriculture, Economic Research Service, Commodity Economics Division, 1991.

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4

C, Haidacher Richard, and United States. Dept. of Agriculture. Commodity Economics Division, eds. Approaches to modeling retail-farm price spreads and derived demand relationships for food commodities: A selected, annotated bibliography. U.S. Dept. of Agriculture, Economic Research Service, Commodity Economics Division, 1991.

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Wohlgenant, Michael K. Approaches to modeling retail-farm price spreads and derived demand relationships for food commodities: A selected, annotated bibliography. U.S. Dept. of Agriculture, Economic Research Service, Commodity Economics Division, 1991.

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6

Cohen, Randolph B. The value spread. National Bureau of Economic Research, 2001.

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7

Prasad, Jagdish. Price-spread of selected agricultural commodities in Bihar. A.N. Sinha Institute of Social Studies, 1992.

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8

Hansen, Brandon. Determinants of the farm-to-retail milk price spread. U.S. Dept. of Agriculture, Economic Research Service, 1994.

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9

Hansen, Brandon. Determinants of the farm-to-retail milk price spread. U.S. Dept. of Agriculture, Economic Research Service, 1994.

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10

Duewer, Lawrence A. U.S. poultry and red meat consumption, prices, spreads, and margins. U.S. Dept. of Agriculture, Economic Research Service, 1993.

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Book chapters on the topic "Price spreads"

1

Batchelor, Roy A., Amir H. Alizadeh, and Ilias D. Visvikis. "The Relation between Bid-Ask Spreads and Price Volatility in Forward Markets." In Derivatives and Hedge Funds. Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/9781137554178_8.

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2

Bishop, Graham. "The EC’s public debt disease: discipline with credit spreads and cure with price stability." In Fiscal Policy, Taxation and the Financial System in an Increasingly Integrated Europe. Springer Netherlands, 1992. http://dx.doi.org/10.1007/978-94-011-2628-1_11.

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Berger, Verena Anna. "Modelling credit default swap prices." In Impact of Government Bonds Spreads on Credit Derivatives. Springer Fachmedien Wiesbaden, 2017. http://dx.doi.org/10.1007/978-3-658-20219-4_3.

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4

Brown, Brendan. "How Fed Quantitative Easing Spread Asset Price Inflation Globally." In A Global Monetary Plague. Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137478856_3.

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5

Irvine, Paul J. "Liquidity beyond the Inside Spread: The Price Impact of Trading." In Market Microstructure in Emerging and Developed Markets. John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118681145.ch15.

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6

Yamano, Takashi, and Ayumi Arai. "The Maize Farm-Market Price Spread in Kenya and Uganda." In Emerging Development of Agriculture in East Africa. Springer Netherlands, 2011. http://dx.doi.org/10.1007/978-94-007-1201-0_2.

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7

Yamazaki, Akira. "Monetary equilibrium with buying and selling price spread without transactions costs." In Advances in Mathematical Economics. Springer Japan, 2004. http://dx.doi.org/10.1007/978-4-431-68450-3_8.

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Luciano, Elisa. "Spark Spread Options when Commodity Prices are Represented as Time Changed Processes." In Risk Management in Commodity Markets. John Wiley & Sons, Ltd., 2012. http://dx.doi.org/10.1002/9781118467381.ch10.

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Bindseil, Ulrich, and Alessio Fotia. "Financial Instability." In Introduction to Central Banking. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-70884-9_5.

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AbstractIn this chapter, the central bank is put aside and we review simple models of financial instability, which will be the basis for the subsequent chapter to explain the role of the central bank as lender of last resort. We first recall that financial instability is mostly triggered by a negative shock on asset prices, and thereby on the solvency of debtors, which in turn worsens access to credit and can set in motion a liquidity crisis with vicious circles. We develop the concepts of solvency “conditional” and “unconditional” on liquidity: a decline in asset prices can lead an unconditionally solvent debtor to become only conditionally solvent, such that sufficient liquidity becomes decisive for preventing its default. We then apply these concepts to the stability of bank funding and introduce the problem of bank runs. We subsequently show why asset liquidity in a dealer market deteriorates during a financial crisis (increased volatility and uncertainty increase the required bid-ask spread); how asymmetric information can lead to a freeze of credit markets in a simple adverse selection model; how declining and more volatile asset prices drive increases of haircut, and how these can force fire sales and defaults of borrowers. We finally discuss the interaction between these various crisis channels.

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Apergis, Nicholas. "The Role of Sovereign CDS Spreads for Stock Prices: Evidence from the Athens Stock Exchange Over a ‘Default’ Period." In The Greek Debt Crisis. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-59102-5_6.

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Conference papers on the topic "Price spreads"

1

Genoese, Massimo, Fabio Genoese, Dominik Most, and Wolf Fichtner. "Price spreads in electricity markets: What are fundamental drivers?" In 2010 7th International Conference on the European Energy Market (EEM 2010). IEEE, 2010. http://dx.doi.org/10.1109/eem.2010.5558727.

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2

Makkonen, Mari, Satu Viljainen, and Petr Spodniak. "Economic impacts of price spreads in the Nordic electricity markets." In 2013 10th International Conference on the European Energy Market (EEM 2013). IEEE, 2013. http://dx.doi.org/10.1109/eem.2013.6607305.

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Spodniak, Petr, Satu Viljainen, Mari Makkonen, and Ari Jantunen. "Area price spreads in the Nordic electricity market: The role of transmission lines and electricity import dependency." In 2013 10th International Conference on the European Energy Market (EEM 2013). IEEE, 2013. http://dx.doi.org/10.1109/eem.2013.6607281.

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"Price Signals and Bid-Ask Spreads in an Illiquid Market: The Case of Residential Property in Ireland, 2006-2011." In 20th Annual European Real Estate Society Conference: ERES Conference 2013. ÖKK-Editions, Vienna, 2013. http://dx.doi.org/10.15396/eres2013_244.

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Han, Zhuoyang, Ang Li, and Yu Sun. "An Automated Data-Driven Prediction of Product Pricing Based on Covid-19 Case Number using Data Mining and Machine Learning." In 9th International Conference on Natural Language Processing (NLP 2020). AIRCC Publishing Corporation, 2020. http://dx.doi.org/10.5121/csit.2020.101420.

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In early 2020, a global outbreak of Corona Disease Virus 2019 (Covid-19) emerged as an acute respiratory infectious Disease with high infectivity and incidence. China imposed a blockade on the worst affected city of Wuhan at the end of January 2020, and over time, covid19 spread rapidly around the world and was designated pandemic by the World Health Organization on March 11. As the epidemic spread, the number of confirmed cases and the number of deaths in countries around the world are changing day by day. Correspondingly, the price of face masks, as important epidemic prevention materials, i

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Bhopte, Siddharth, Seshu B. Desu, and Bahgat Sammakia. "An Integrated Nano-Structured Heat Spreader for High Heat Flux Electronic Systems." In 2010 14th International Heat Transfer Conference. ASMEDC, 2010. http://dx.doi.org/10.1115/ihtc14-22918.

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With the increase in power densities and decrease in chip and electronic package dimensions, their thermal management is a challenge and is a focus of several ongoing research efforts. To achieve the desired thermal management for optimal device operation, heat generated by the chip has to be effectively transferred to the ambient via several structures of the electronic package. Hence the need for development of high thermal conductivity structures is of prime importance. Heat spreaders quickly spread the heat generated by the chips over a larger area from where it is conducted to the ambient

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Wistbacka, Pontus, Samuel Rönnqvist, Katia Vozian, and Satchit Sagade. "Predicting stock price and spread movements from news." In Hawaii International Conference on System Sciences. Hawaii International Conference on System Sciences, 2021. http://dx.doi.org/10.24251/hicss.2021.192.

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Sitarčík, Adam, and Alena Novák Sedláčková. "International regulation of air freight." In Práce a štúdie. University of Žilina, 2021. http://dx.doi.org/10.26552/pas.z.2021.1.26.

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This article is focused on the issue of air freight, its development, importance and current status. The article defines general knowledge in the field of civil cargo air transport as history, current global events, current measures due to the pandemic of the spread of Covid-19 and the division of airlines according to business models. It also includes the periodic development of legislation in the field of air transport freight, global and European legislation, as well as air alliances and organizations in civil aviation. The article deals with contracts in the field of air freight transport

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Brodniansky, Martin, and Andrej Andrej. "Design of UAV detection system utilizing communication monitoring." In Práce a štúdie. University of Zilina, 2021. http://dx.doi.org/10.26552/pas.z.2021.2.04.

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Aim of the paper is to design a system capable of detecting unmanned aerial vehicles utilizing radio communication sensing. The need to detect UAVs is caused by combination of their compact size, sensing capabilities, autonomous nature, ways of misusing them or their spread among unprofessional users unaware of their own risky handling of UAV. All these factors can lead to serious security threats and risk to human lives or infrastructure. In this paper, radio communication detection system is proposed as part of a robust system where radio detection is supplemented by other methods, to maximi

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Verhaar, Robert, and Alena Novák Sedláčková. "The coronacrisis and its impact on changes in civil aviation legislation." In Práce a štúdie. University of Žilina, 2021. http://dx.doi.org/10.26552/pas.z.2021.1.38.

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The paper deals with the analysis of the impact of the coronacrisis on civil aviation legislation. Its main goal is to analyse the impact of the coronacrisis and some of the measures taken to mitigate this impact on civil aviation. The paper consists of four chapters. The first chapter is focused on the analysis of the onset of the crisis in civil aviation caused by the spread of the COVID-19 disease and has also present the previous crises in the field of civil aviation, that had impact on civil aviation. In addition, this part of the article is focused on impacts of the coronacrisis on the c

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Reports on the topic "Price spreads"

1

Liu, Jun, Francis Longstaff, and Ravit Mandell. The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads. National Bureau of Economic Research, 2002. http://dx.doi.org/10.3386/w8990.

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2

Rincón-Torres, Andrey Duván, Kimberly Rojas-Silva, and Juan Manuel Julio-Román. The Interdependence of FX and Treasury Bonds Markets: The Case of Colombia. Banco de la República, 2021. http://dx.doi.org/10.32468/be.1171.

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We study the interdependence of FX and Treasury Bonds (TES) markets in Colombia. To do this, we estimate a heteroskedasticity identified VAR model on the returns of the COP/USD exchange rate (TRM) and bond prices, as well as event-analysis models for return volatilities, number of quotes, quote volume, and bid/ask spreads. The data under analysis consists of 5-minute intraday bid/ask US dollar prices and bond quotes, for an assortment of bond species. For these species we also have the number of bid/ask quotes as well as their volume. We found, also, that the exchange rate conveys information

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3

Liu, C., J. Kewisch, and H. Huang. Minimization of spin tune spread by matching dispersion prime at RHIC. Office of Scientific and Technical Information (OSTI), 2017. http://dx.doi.org/10.2172/1392255.

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Vargas-Herrera, Hernando, Juan Jose Ospina-Tejeiro, Carlos Alfonso Huertas-Campos, et al. Monetary Policy Report - April de 2021. Banco de la República de Colombia, 2021. http://dx.doi.org/10.32468/inf-pol-mont-eng.tr2-2021.

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1.1 Macroeconomic summary Economic recovery has consistently outperformed the technical staff’s expectations following a steep decline in activity in the second quarter of 2020. At the same time, total and core inflation rates have fallen and remain at low levels, suggesting that a significant element of the reactivation of Colombia’s economy has been related to recovery in potential GDP. This would support the technical staff’s diagnosis of weak aggregate demand and ample excess capacity. The most recently available data on 2020 growth suggests a contraction in economic activity of 6.8%, lowe

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Financial Stability Report - September 2015. Banco de la República, 2021. http://dx.doi.org/10.32468/rept-estab-fin.sem2.eng-2015.

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From this edition, the Financial Stability Report will have fewer pages with some changes in its structure. The purpose of this change is to present the most relevant facts of the financial system and their implications on the financial stability. This allows displaying the analysis more concisely and clearly, as it will focus on describing the evolution of the variables that have the greatest impact on the performance of the financial system, for estimating then the effect of a possible materialization of these risks on the financial health of the institutions. The changing dynamics of the ri

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