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Chalamandaris, George. "Liquidity risk in spot foreign exchange markets." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.325567.
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He, Yi. "Topics in contract pricing and spot markets." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/24792.
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Thesis (Ph.D.)--Industrial and Systems Engineering, Georgia Institute of Technology, 2008.Committee Chair: Anton Kleywegt; Committee Member: Dong Jun Wu; Committee Member: Ellis Johnson; Committee Member: George L. Nemhauser; Committee Member: Pinar Keskinocak.
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FERNANDES, ANDRE VENTURA. "MICROSTRUCTURE OF BRAZILIAN FX MARKET: COMPARISON OF THE SPOT AND FUTURES MARKETS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=11912@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIORFUNDAÇÃO DE APOIO À PESQUISA DO ESTADO DO RIO DE JANEIRO
O objetivo deste trabalho é comparar o mercado à vista e futuro de câmbio no Brasil, buscando identificar em qual dos mercados se dá a formação da taxa de câmbio. Analisa-se o funcionamento do mercado cambial no seu nível micro, isto é, nas suas instituições e nas assimetrias dos seus participantes, através da abordagem da microestrutura. Utiliza-se uma base de dados que contém 100% das propostas de compra, venda e dos negócios fechados dos pregões de dólar futuro e do mercado interbancário de dólar à vista entre 01/02/2006 a 31/05/2007. Mostra-se que o mercado de dólar futuro é muito mais líquido do que o mercado à vista no Brasil. Ademais, demonstra-se que a cotação da taxa de câmbio se forma primeiro no mercado futuro, sendo então transmitida por arbitragem para o mercado à vista. Por fim, utiliza-se a abordagem da microestrutura para realizar previsões intradiárias para a taxa de câmbio, obtendo resultados superiores às demais abordagens usualmente testadas na literatura, como a Paridade Descoberta da Taxa de Juros e o passeio aleatório.
This paper compares the spot and futures FX markets in Brazil, trying to identify which one leads the price determination. FX markets are analyzed at the micro level, at the level of its institutions and the asymmetries of its players, through the microstructure approach. A database that contains 100% of the bids, asks and deals of the dollar futures and interbank spot markets from 02/01/2006 to 05/31/2007 is used. It is shown that the futures market is much more liquid than the spot market in Brazil. Moreover, it is shown that the quote is determined firstly in the futures market, being transmitted through arbitrage to the spot market. The microstructure approach is also used to make intraday forecasts to the FX rate with superior results to the other approaches usually tested in the literature, like the Uncovered Interest Rate Parity and the Random Walk.
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Vergel, Eleuterio Pedro. "Essays on agricultural commodity spot and forward markets." Thesis, Birkbeck (University of London), 2015. http://bbktheses.da.ulcc.ac.uk/162/.
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This thesis explores several topics related to agricultural commodities. It is comprised of three empirical chapters: In Chapter 2, we show the validity of investing capital in fertilizer mining companies, both from a market return perspective for individual or institutional investors, and from a hedging standpoint for insurance companies and other economic actors exposed to inflation risk and high agricultural commodity prices. First, we explore the relationship between corn, wheat, and fertilizers, showing how price spikes in corn and wheat, followed by a price spike in fertilizers, made fertilizers visible to investors for the first time. We then analyse an exhaustive sample of listed fertilizer-mining companies and look at the sensitivities of their stocks to agricultural indexes and the fertilizer index in order to better explain the high returns they offered at the time of the first food crisis. Chapter 3 focuses on corn and wheat and is twofold. Firstly, we argue that the coefficient of variation and standard deviation of prices are more informative measures of uncertainty than the volatility of returns, since it is food prices and their “volatility” that matter for the survival of human beings. Secondly, we compare the quality of future price prediction provided by individual forward contracts with the geometric average of the forward curve introduced by Borovkova and Geman (2006).
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Białkowski, Jȩdrzej. "International stock markets linkages and arbitrage and arbitrage between futures and spot markets." [S.l. : s.n.], 2005. http://deposit.ddb.de/cgi-bin/dokserv?idn=975615882.
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Jin, Zengxiang. "Price discovery in the property forward and spot markets." View the Table of Contents & Abstract, 2007. http://sunzi.lib.hku.hk/hkuto/record/B3828568X.
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Jin, Zengxiang, and 金增祥. "Price discovery in the property forward and spot markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B38957759.
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Koubida, Sallem. "Volatility of exchange rates in spot and futures markets /." Available to subscribers only, 2007. http://proquest.umi.com/pqdweb?did=1456289991&sid=13&Fmt=2&clientId=1509&RQT=309&VName=PQD.
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Visudhiphan, Poonsaeng 1973. "An agent-based approach to modeling electricity spot markets." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/28270.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2003.Includes bibliographical references (p. 323-327).
(cont.) The model could also be used to analyze market factors (such as new market rules) and their effects on market price dynamics and market participants' behaviors, as well as to identify the "best" response action of one participant against the opponents' actions.
Current approaches used for modeling electricity spot markets are static oligopoly models that provide top-down analyses without considering dynamic interactions among market participants. This thesis presents an alternative model, an agent-based model, and uses it to analyze the markets under various conditions. These markets, in which the participants engage in sealed-bid auctions to sell and/or buy electricity regularly, are viewed as multiagent systems, or as repeated games, played by participants with incomplete information. To represent these market characteristics, the agent-based model is selected, consisting of several power-producing agents with non-uniform portfolios of generating units. These agents employ learning algorithms, including Auer et al. 's, softmax action selection, or Visudhiphan and IliC's model-based algorithms, in determining bid-supply functions from available information. The simulated outcomes from the agent-based model depend on the choice of non-uniform portfolios and on the learning algorithms that the agents employ. Model verifications against the actual markets are suggested; however, due to a lack of certain confidential information, numerical examples cannot be presented. Nevertheless, the model is used to analyze the effects of market structures and the effect of load-serving entities on the power-producer bidding behavior and market outcomes. This model could provide one of the main tools for regulators, system planners, and market participants to use scenario simulations to investigate market conditions that could lead to high electricity prices.
by Poonsaeng Visudhiphan.
Ph.D.
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Leykam, Kilian. "Cointegration and Volatility in the European Natural Gas Spot Markets." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/03606241003/$FILE/03606241003.pdf.
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Tipping, James Patrick. "The Analysis of Spot Price Stochasticity in Deregulated Wholesale Electricity Markets." Thesis, University of Canterbury. Management, 2007. http://hdl.handle.net/10092/864.
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Traditionally, time series of wholesale electricity market spot prices have been modelled either by mimicking market operation and equilibrating demand and supply, or by specifying an exogenous process for prices. More recently, a number of hybrid models have been developed, combining the merits of both methods. In this vein, we present an econometric model for daily spot prices in the New Zealand Electricity Market (NZEM) that utilises reservoir management theory to incorporate information on the hydro storage level, a recognised driver of NZEM spot price behaviour. In order to forecast future storage levels and prices, we also construct a model for daily reservoir releases that can be used in conjunction with time series of inflows. This analysis reveals that releases in New Zealand are driven primarily by hydrological factors, as opposed to market conditions. The combined price and storage forecasting model can be applied in a variety of contexts, and offers an alternative perspective to the traditional models of NZEM behaviour. Finally, we calibrate a Cournot model of market behaviour in the National Electricity Market of Australia during daily peak, shoulder and off-peak periods, adding credibility to the future application of such models. The resulting model parameters are, in general, consistent with conventional wisdom. Spot prices from this market are then modelled by combining the output of the analytical model with a stochastic price process.
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Gugler, Klaus, Adhurim Haxhimusa, and Mario Liebensteiner. "Integration and Efficiency of European Electricity Markets: Evidence from Spot Prices." WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/5070/1/wp226.pdf.
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This paper seeks to investigate the current state of market integration among European electricity day-ahead spot prices. We provide reasoning that market integration brings about benefits, such as lower average prices and increased welfare from allocative efficiency. Yet, price convergence leads to higher prices in the low-price market and to lower prices in the high-price market, which creates winners and losers and thus makes the political implementation of market integration cumbersome. In our empirical analysis, we utilize a large sample of hourly spot prices of 25 European markets for the period 01.01.2010-30.06.2015 and combine it with other relevant data such as interconnector capacities and the existence of market coupling. Firstly, empirical results from cointegration analysis indicate that market integration increased from 2010 to 2012 but then declined until 2015, most likely due to increased feed-in from intermittent renewables. Secondly, we empirically assess the speed of adjustment from price shocks and reach the conclusion that the resulting efficiency of integration is rather modest. In general, our findings suggest that integration among European electricity markets has a large potential for improvements from additional capacity investments and further promotion of market coupling. (authors' abstract)Series: Department of Economics Working Paper Series
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Le, Coq Chloé. "Quantity choices and market power in electricity markets." Doctoral thesis, Handelshögskolan i Stockholm, Samhällsekonomi (S), 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-566.
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Competitive power markets from different countries exhibit a common market design, especially because of the nature of electricity (lack of storage, inelastic load, and strong seasonal effects on multiple time scales). For example, a majority of countries have created a spot market where electricity is traded hourly. The design of the spot markets reflected an ambition of providing strong incentives for efficient and least-cost production. Subsequently, the spot market price has been considered as a reference price for other existing electricity markets such as the contract market or the real-time market. However, empirical studies on electricity markets find some evidence of abnormally high markups. The literature on the electricity spot market mainly focuses on the producers' pricing decisions. The present thesis argues that quantity choices, both in terms of available as well as contracted quantities, are crucial for understanding market power in electricity markets.Diss. Stockholm : Handelshögskolan, 2003 [4], iii, [1] s., s. 1-6: sammanfattning, s. 7-119, [5] s.: 4 uppsatser
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Figliozzi, Miguel A. "Performance and analysis of spot truck-load procurement markets using sequential auctions." College Park, Md. : University of Maryland, 2004. http://hdl.handle.net/1903/1432.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2004.Thesis research directed by: Civil Engineering. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Andriosopoulos, Kostas. "Modelling spot prices, risk management, and investment strategies for the energy markets." Thesis, City University London, 2011. http://openaccess.city.ac.uk/11670/.
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This thesis addresses the topics of spot price modelling, risk management, and investment applications in the energy markets. Eight of the most important energy markets that trade futures contracts on NYMEX, and one Spot Energy Index (SEI) proposed for the first time in this thesis, are investigated. A new modelling approach is proposed for optimally capturing the behaviour of the energy spot prices, combining a mean-reverting and a spike model that incorporate two different speeds of mean reversion, and time-varying volatility modelled as a GARCH and an EGARCH process. The aforementioned modelling approach is also evaluated in terms of its ability to quantify energy spot price risk by accurately calculating Value-at-Risk (VaR) and Expected Shortfall (ES) measures. A number of commonly used VaR methodologies are evaluated along with various Monte Carlo (MC) simulations based models and a Hybrid Monte Carlo with Historical Simulation (MC-HS) approach, introduced in this thesis for the first time. This thesis also delves into index investment applications for the energy markets that have recently attracted a lot of attention. To that end, the index tracking problem is addressed by applying equity algorithmic trading using two innovative Evolutionary Algorithms (EAs), aiming to replicate the performance of a direct energy commodity investment which is proxied by the constructed spot energy index. The empirical evidence in this thesis shows that the proposed modelling approach can effectively capture the behaviour of the energy spot prices examined, and that it is the most reasonable, efficient, and consistent approach for calculating the VaR of spot energy prices and the SEI, for both long and short positions. Hence, it can be successfully applied for forecasting, risk management, derivatives pricing, and policy development and monitoring purposes. Finally, it is shown that energy commodities, proxied by the SEI, can have equity-like returns as they can be effectively tracked with stock portfolios selected by the investment methodology proposed in this thesis. The latter investment approach can be used by fund managers to set-up energy Exchange Traded Funds that would track the performance of the SEI, giving them the full flexibility of any investment style, long or short, that equities can provide.
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Tantisantiwong, Nongnuch. "The relationships between agricultural spot and futures markets : the case of rice." Thesis, University of York, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.421594.
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Hudzina, John Stephen. "An Enhanced MapReduce Workload Allocation Tool for Spot Market Resources." NSUWorks, 2015. http://nsuworks.nova.edu/gscis_etd/34.
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When a cloud user allocates a cluster to execute a map-reduce workload, the user must determine the number and type of virtual machine instances to minimize the workload's financial cost. The cloud user may rent on-demand instances at a fixed price or spot instances at a variable price to execute the workload. Although the cloud user may bid on spot virtual machine instances at a reduced rate, the spot market auction may delay the workload's start or terminate the spot instances before the workload completes. The cloud user requires a forecast for the workload's financial cost and completion time to analyze the trade-offs between on-demand and spot instances.
While existing estimation tools predict map-reduce workloads' completion times and costs, these tools do not provide spot instance estimates because a spot market auction determines the instance's start time and duration. The ephemeral spot instances impact execution time estimates because the spot market auction forces the map-reduce workloads to use different storage strategies to persist data after the spot instances terminate. The spot market also reduces the existing tools' completion time and cost estimate accuracy because the tool must factor in spot instance wait times and early terminations.
This dissertation updated an existing tool to forecast map-reduce workload's monetary cost and completion time based on spot market historical traces. The enhanced estimation tool includes three new enhancements over existing tools. First, the estimation tool models the impact to the execution from new storage strategies. Second, the enhanced tool calculates additional execution time from early spot instance termination. Finally, the enhance tool predicts the workloads wait time and early termination probabilities from historic traces. Based on two historical Amazon EC2 spot market traces, the enhancements reduce the average completion time prediction error by 96% and the average monetary cost prediction error by 99% over existing tools.
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Kuo, April Yi-Wen. "Multi-carrier track capacity allocation in forward and spot markets of freight transport." College Park, Md.: University of Maryland, 2008. http://hdl.handle.net/1903/7866.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2008.Thesis research directed by: Dept. of Civil and Environmental Engineering. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Goetz, Cole Louis. "The Effects of Futures Markets on the Spot Price Volatility of Storable Commodities." Thesis, North Dakota State University, 2019. https://hdl.handle.net/10365/29795.
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This thesis examines the relationship between spot prices, futures prices, and ending stocks for storable commodities. We used Granger causality and DAGs to determine causal relationships and cointegration tests to determine long-run relationships. We use VAR/VECM and consider innovation accounting techniques to see how volatility in one market affects the price behavior and volatility in the other market. Results suggest that for agricultural commodities, innovations in futures price permanently increase the level of spot prices while accounting for much of spot price variance over time. For national oil, shocks to futures price decrease the level of spot price in the long run. In regional oil markets, there are transitory impulse responses. Futures price plays a small role in the volatility of spot prices for oil over time. Overall results are mixed, with oil suggesting futures markets may have a price stabilizing effect and agriculture commodities indicating spot price destabilization.
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Park, Haesun. "Essays on price dynamics, discovery, and dynamic threshold effects among energy spot markets in North America." Texas A&M University, 2005. http://hdl.handle.net/1969.1/2668.
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Given the role electricity and natural gas sectors play in the North American economy,
an understanding of how markets for these commodities interact is important. This
dissertation independently characterizes the price dynamics of major electricity and
natural gas spot markets in North America by combining directed acyclic graphs with
time series analyses. Furthermore, the dissertation explores a generalization of price
difference bands associated with the law of one price.
Interdependencies among 11 major electricity spot markets are examined in
Chapter II using a vector autoregression model. Results suggest that the relationships
between the markets vary by time. Western markets are separated from the eastern
markets and the Electricity Reliability Council of Texas. At longer time horizons these
separations disappear. Palo Verde is the important spot market in the west for price
discovery. Southwest Power Pool is the dominant market in Eastern Interconnected
System for price discovery.
Interdependencies among eight major natural gas spot markets are investigated
using a vector error correction model and the Greedy Equivalence Search Algorithm in
Chapter III. Findings suggest that the eight price series are tied together through sixlong-run cointegration relationships, supporting the argument that the natural gas market
has developed into a single integrated market in North America since deregulation.
Results indicate that price discovery tends to occur in the excess consuming regions and
move to the excess producing regions. Across North America, the U.S. Midwest region,
represented by the Chicago spot market, is the most important for price discovery. The
Ellisburg-Leidy Hub in Pennsylvania and Malin Hub in Oregon are important for eastern
and western markets.
In Chapter IV, a threshold vector error correction model is applied to the natural
gas markets to examine nonlinearities in adjustments to the law of one price. Results
show that there are nonlinear adjustments to the law of one price in seven pair-wise
markets. Four alternative cases for the law of one price are presented as a theoretical
background. A methodology is developed for finding a threshold cointegration model
that accounts for seasonality in the threshold levels. Results indicate that dynamic
threshold effects vary depending on geographical location and whether the markets are
excess producing or excess consuming markets.
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Wölfing, Nikolas. "Interacting markets in electricity wholesale : forward and spot, and the impact of emissions trading." Thesis, Paris 1, 2013. http://www.theses.fr/2013PA010049.
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Cette thèse s'intéresse à plusieurs aspects des marchés de gros de l'électricité. L'achat et vente d'électricité se négocient sur les marchés à terme et sur le marché day-ahead. Sur ce dernier se pratique un type d'enchère très spécifique, où les enchères des acteurs prennent la forme de fonctions d'offre et de demande. Chapitre 2 prend comme point de départ un résultat de Zachmann et von Hirschhausen (2008) qui constatent une réponse asymétrique du prix de gros de l'électricité en Allemagne au changement du prix des permis d'émission négociable ( EUA ). Cependant, en contradiction avec les résultats existants, il est démontré que l'asymétrie a disparu suite à la publication d'un rapport d'enquête par l'autorité de la concurrence. Chapitre 3 porte sur l'interaction des marchés à terme et day-ahead dans un jeu d'oligopole répété. L'effet du marché à terme sur la stabilité des collusions est étudié dans le cas où les stratégies sur le marché spot prennent la forme des fonctions d'offre. Il est démontré que la simple existence d'un marché à terme peut élargir l'intervalle des valeurs du facteur d'actualisation pour lesquelles la collusion est soutenable. Chapitre 4 examine si une réaction asymétrique au changement du prix du C02 est également présente dans les fonctions d'offre du marché d'électricité day-ahead. À cette fin, les outils de l'analyse des données fonctionnelles sont adoptés et appliquées à des données des enchères. Chapitre 5 développe un test pour l'auto-corrélation dans un panel d'observations fonctionnelles. Une simulation Monte-Carlo montre une bonne puissance du test dans des échantillons de taille habituellement utilisé dans la recherche appliquéeThis thesis addresses aspects of interacting markets in electricity wholesale. Electricity is traded in forward markets and in day-ahead auctions, which implement a very specifie market design. The bids of market participants take the fonn of supply and demand functions. Chapter 2 builds upon a finding of Zachmann and von Hirschhausen (2008) who report an asymmetric response of electricity wholesale prices for Gennany to changes in the price of EV Emission Allowances (EVA). ln contrast to the fonner contribution, it is shown that the asymmetry disappeared in response to a report on investigations by the competition authority. Chapter 3 addresses the interaction offorward markets and day-ahead auctions in a repeated oligopoly game. The effect offorward trading on the sustainability of collusion is studied for the case that spot market strategies take the fonn of supply functions. It is shown that the existence of forward markets enlarges the range of discount factors for which collusion can be sustained. Chapter 4 examines if an asymmetric reaction to EVA prices can also be found in the supply functions from the day-ahead market. To this end, tools from the field of functionaJ data analysis are adopted and applied to observed bids from the day-ahead auction. Chapter 5 develops a test for autocorrelation in functional panel data. Asymptotic nonnality of the statistic is proved, and Monte-Carlo simulation sho\l good power of the test in sample sizes which frequently prevail in applied research
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Talasli, Irem. "Stochastic Modeling Of Electricity Markets." Phd thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614034/index.pdf.
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Day-ahead spot electricity markets are the most transparent spot markets where one can find integrated supply and demand curves of the market players for each settlement period. Since it is an indicator for the market players and regulators, in this thesis we model the spot electricity prices. Logarithmic daily average spot electricity prices are modeled as a summation of a deterministic function and multi-factor stochastic process. Randomness in the spot prices is assumed to be governed by three jump processes and a Brownian motion where two of the jump processes are mean reverting. While the Brownian motion captures daily regular price
movements, the pure jump process models price shocks which have long term effects and two Ornstein Uhlenbeck type jump processes with different mean reversion speeds capturing
the price shocks that affect the price level for relatively shorter time periods. After removing the seasonality which is modeled as a deterministic function from price observations, an iterative threshold function is used to filter the jumps. The threshold function is constructed on volatility estimation generated by a GARCH(1,1) model. Not only the jumps but also the mean reverting returns following the jumps are filtered. Both of the filtered jump processes and residual Brownian components are estimated separately. The model is applied to Austrian, Italian, Spanish and Turkish electricity markets data and it is found that the weekly forecasts, which are generated by the estimated parameters, turn out to be able to capture the characteristics of the observations.
After examining the future contracts written on electricity, we also suggest a decision technique which is built on risk premium theory. With the help of this methodology derivative
market players can decide on taking whether a long or a short position for a given contract. After testing our technique, we conclude that the decision rule is promising but needs more
empirical research.
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Haxhimusa, Adhurim. "The Effects of German Wind and Solar Electricity on French Spot Price Volatility: An Empirical Investigation." WU Vienna University of Economics and Business, 2018. http://epub.wu.ac.at/6019/1/wp258_korr.pdf.
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We examine the relationship between German wind and solar electricity and French spot price volatility. Using hourly data, we find that French imports from Germany driven by German wind and solar electricity sometimes decrease, sometimes increase the volatility of French spot prices. These two opposing effects depend on the shape of the French supply function and on the French demand. We, therefore, estimate different coefficients for imports depending on different demand levels. We acknowledge the endogeneity problem in identifying these effects and employ instrumental variable techniques to circumvent this problem. Our results show the urgent need for further coordination of national energy policies in order to reduce the potential for negative spill over effects of nationally driven energy policies in neighbouring countries as European electricity markets are becoming more integrated.Series: Department of Economics Working Paper Series
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Doan, Bich-Thuy. "Impact of German Renewable Energies on the Spot Prices of the French-German Electricity Markets." Thesis, KTH, Elektriska energisystem, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-118527.
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Thanks to growing environmental concerns, renewable energies take a higher andhigher share of electricity generating portfolios. In Germany particularly, the installedcapacity of wind and solar plants has increased continuously for the past ten years. Given theprinciple of the merit-order dispatch, a greater use of wind and solar power allows theelectricity spot prices to drop significantly. However, wind and sun are both intermittentresources, and this leaves great room for uncertainties on prices. As a consequence, pricesbecome much more dependent on the weather conditions and show greater volatilities,making hedging much more difficult. At the same time, the mechanism of market coupling inthe Central West Europe (France, Germany, Benelux) goes toward a harmonization of prices.As such, the cross-border interconnections play a decisive role in the electricity pricing.This paper deals with the actual influence of the interconnections between France andGermany on electricity spot prices when renewable energies are added to the energy mix. Amodel of a French-German market is made in order to see the impact of an increasingpenetration of renewable energies on spot prices. The wind and solar generations aremodelled using artificial neural networks, ANN. Multiple linear regression is employed tomodel the French and German loads. The cross-border interconnections are modelled basedon the capacity allocations published by RTE (the national French grid operator) and finallythe French and German prices are modelled with a GARCH process to study the volatilities.The study is made for three different scenarios: the reference scenario, with a penetration ofrenewable energies as seen in 2012, a 2020 scenario, with a penetration of renewable energiesas predicted in 2012, and a 2020 scenario with increased interconnection capacities betweenFrance and Germany.Running the models shows that a higher penetration of renewable energies lowers spotprices in average, but introduces price spikes that did not exist beforehand. On short periodsof observation, the volatility seems to decrease, but on longer periods, the spikes increase thevolatility. Also, increasing the interconnection capacities does make the prices converge, butto a certain extent only.Finding fitting hedging strategies becomes more delicate when prices vary with suchuncertainty. The study could be more developed (by extending it to the whole Europeancontinent) in order to get a more accurate vision of how energy markets will look like in a fewyears. However, it must be understood that the future scenarios depend on many variablefactors, and no mathematical model is able to capture all those factors accurately.
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Madonia, Tommaso. "Container-based spot market in the cloud: design of a bid advisor." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2017. http://amslaurea.unibo.it/13367/.
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Il cloud mette a disposizione a chiunque risorse computazionali “infinite” che possono essere acquistate tramite Internet ed essere pronte all’utilizzo in pochi secondi. Utilizzare il cloud permette di risparmiare sui costi e allo stesso tempo poter eseguire su larga scala applicazioni complesse come quelle di machine learning. Per poter sfruttare al massimo l’infrastruttura, e quindi aumentare i profitti, alcuni cloud provider vendono le risorse computazionali inutilizzate a prezzi scontati, queste vengono assegnate agli utenti disposti a pagare di più a cui vengono revocate in caso qualcun altro faccia un’offerta maggiore; questo modello prende il nome di cloud spot market. L’obiettivo del progetto di tesi svolto era quello di integrare Apache Spark con uno spot market basato su Kubernetes e di realizzare un “bid advisor” che possa essere utilizzato dall’utente per poter decidere quanto pagare per le risorse “spot” in modo da ottenere le performance desiderate. Inoltre, è stata proposta una soluzione per ridurre gli effetti negativi che la preemption delle risorse computazionali può avere quando si eseguono applicazioni basate su Spark. Il sistema finale è stato testato per verificarne il corretto funzionamento e per valutare la qualità delle previsioni effettuate dal bid advisor.
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Kullmann, Carl-Erik Berentsen. "Optimal Bidding in day-ahead Spot Markets for Electricity : The Case of Wind Power in Norway." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for industriell økonomi og teknologiledelse, 2012. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-21078.
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Through the last decades, climate change and energy dependence concerns have gained increased attention. Renewable energy development has expanded, with wind power being the fastest growing technology. This thesis investigates the op- timal interaction between an operational wind park and the Nordic power market. Wind power producers incur costs of imbalances resulting from deviations from their submitted production plans to the spot market. This report develop, im- plement and test a stochastic optimisation model giving optimal spot market bids for intermittent electricity producers in a day-ahead power market. The optimal bids are based on the evaluation of a large number of scenarios for the uncertain realisations of the wind forecasts, the balancing market prices and the spot market prices. A case study is undertaken in order to evaluate model performance. Data is collected for specified dates at current and future wind power sites of a Norwegian company. The developed stochastic optimal bidding model is executed, once for each wind park individually and once for all wind parks jointly. The case study re- veals that jointly use of the model gives expected revenues higher than both the sum of individual use and submission of bids equal expected production. The increase in expected revenues results from a risk-pooling effect of jointly bid submission and from the inclusion of price and production uncertainty. The risk-pooling effect also suggests that wind park owners would benefit from geographically diversifying their wind parks within the same price area. Use of the developed model gives rather small increases in expected revenues and is likely to violate the Balance Agreement. However, investigations of model results give basis for further discussions. Examinations of the case study results show that perfect production forecasts would make the inclusion of uncertainty unnecessary, indicating that efforts should be made in order to reduce the uncertainty of the production forecasts, rather than on improving the price forecasts. From a socio-economic point of view, the regulation costs incurred to wind power producers represents a reduction in value from introducing wind power to the power system. Some of the potential value of wind power is lost, through what can be seen as transaction costs of the current power market. It is suggested that delaying the spot market bid submission deadline, which in turn reduce the wind forecast lead-time and hence uncertainty, would increase the value of introducing wind power to the power system. Further research should be undertaken in order to investigate the optimal spot market bid submission deadline, minimising all costs related to this deadline.
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Zhang, Qiang. "The study, modelling and implications of realised volatility for Chinese stock index futures and spot markets." Thesis, University of Portsmouth, 2017. https://researchportal.port.ac.uk/portal/en/theses/the-study-modelling-and-implications-of-realised-volatility-for-chinese-stock-index-futures-and-spot-markets(32432a6e-1927-47b4-9272-8cdd98c23b4a).html.
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Realised volatility is a recently developed measure (Andersen et al., 2001), and it has attracted the attention of numerous economic researchers. This thesis aims to explore how realised volatility can be applied in Chinese capital markets in the area of shares and stock index futures, to investigate the applicability of an optimal realised volatility forecast model and to examine the implications of realised volatility on optimal hedge ratio and Value-at-Risk (VaR) performance. The empirical results indicate four important realised volatility characteristics of the selected markets. First, the optimum data frequency intervals for applying realised volatility models are equal to five minutes. Second, there is empirical support of the hypothesis that daily volatility jumps exist, and that there are significant intraday volatility jumps and periodicity effects, where logarithm realised volatility shows resilient long memory characteristics. Two important issues (volatility transmission and Markov regime-switching) are examined before modelling realised volatility. Third, based on these results, this thesis proposes, for the first time in economic history, a Heterogeneous Autoregressive-Jumps- Markov Regime-switching (HAR-J-MS) model, which combines the daily volatility jump components and regime-switching effects. The empirical results indicate the superior forecasting power of this new proposed model. Fourth, the empirical results suggest realised volatility performs better on optimal hedge ratio and VaR compared to other models. This thesis contributes to the current literature in four respects. First, it provides fresh and timely evidence on the features of both the spot and futures financial markets in the largest emerging economy: China. Second, this thesis not only investigates China’s financial markets from the traditional perspective of conditional volatility, but also from the relative new perspective of realised volatility (Andersen et al., 2001). Third, it investigates volatility spillover by using both intraday and daily data. Fourth, in terms of methodology, this thesis proposes, for the first time, a HAR-J-MS model to combine the influence of daily volatility jumps and a Markov regime-switching based on a HAR framework, which constitutes a methodological innovation. Overall, this thesis is a comprehensive research paper on realised volatility. To the best of the author’s knowledge, there are few studies that apply realised volatility on Chinese stock index futures and spot markets. This thesis fills this gap in the literature.
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Concettini, Silvia. "Competition in electricity markets : retailers, generators and technologies." Thesis, Paris 10, 2015. http://www.theses.fr/2015PA100033/document.
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Cette thèse vise à répondre à trois questions soulevées par la vague de réformes dans les secteurs de l’électricité: est-ce que la libéralisation de la fourniture d’électricité a atteint ses objectifs dans l’Union Européenne ? Comment les producteurs qui utilisent des sources renouvelables et non renouvelables se font concurrence dans le marché libéralisé ? Quel est l’'impact de l’augmentation de la production d’électricité à partir de sources renouvelables sur la congestion du réseau et sur les différences de prix zonaux en Italie ? Le premier chapitre fournit une évaluation à mi-terme de la libéralisation de la fourniture d’électricité en Europe. On propose une théorie complète sur la libéralisation de la fourniture et on teste sa cohérence avec la pratique dans l’Union Européenne. L’analyse met en évidence la persistance d’une structure oligopolistique dans la fourniture, un faible engagement des clients et des asymétries dans le taux et la vitesse de transfert des coûts d’approvisionnement dans les prix des contrats. L’attribution aux enchères des services par défaut et de dernier recours semble la meilleure solution afin de favoriser le développement de la concurrence. Dans le deuxième chapitre, nous étudions les interactions stratégiques entre une technologie de production traditionnelle et une renouvelable caractérisée par une capacité aléatoire. Nous employons une version modifiée du modèle de Dixit sur les investissements stratégiques de dissuasion à l’entrée avec deux configurations pour la concurrence après l’entrée: concurrence à la Cournot dans un jeu en deux étapes et le cadre entreprise dominante-frange concurrentielle dans un jeu en trois étapes. Dans les deux cas, l’analyse suggère que le producteur renouvelable exploite l’ordre de mérite afin de remplacer la production de son rival. Dans le troisième chapitre, nous analysons l’impact de la production d’énergie renouvelable sur la congestion et sur les différences de prix zonaux en Italie. En utilisant une base de données unique, nous estimons deux modèles économétriques sur cinq couples de zones: un modèle logit multinomial pour l’occurrence et la direction de la congestion et un modèle MCO pour la taille des différences de prix. L’analyse montre que dans une région importatrice l’effet de l’augmentation de la production renouvelable locale est de diminuer (augmenter) la probabilité de congestion provoquée par la région limitrophe (causée à la région limitrophe). L’augmentation de la production d’énergie renouvelable semble avoir un impact significatif sur les zones insulaires, en diminuant (augmentant) le niveau des différences positives (négatives) des prixThe objective of this thesis is to answer to three questions raised by the wave of reform in electricity industries: has retail liberalization achieved its objectives in European Union? How traditional and renewable generators compete in a liberalized market? What is the impact on congestion and zonal price differences of increased production from renewable intermittent sources in Italy? The first chapter provides a mid-term evaluation of liberalization of electricity retailing in Europe. We propose a comprehensive theory on retail liberalization and test its consistency with the practice in European Union. The analysis highlights the presence of an oligopolistic supply structure, a limited level of customer engagement in the market and asymmetries in the rate and speed of cost-pass through. The attribution of the Default/Last Resort service through an auction mechanism seems the best solution to favor the development of competition. In the second chapter we study the strategic interactions between a traditional generation technology and a renewable one characterized by an intermittent availability of capacity. We employ a modified version of the Dixit model for entry deterrence with two post entry competition settings: the Cournot framework in a two stage game and the dominant firm-competitive fringe setting in a three stage game. In both cases, the analysis suggests that the renewable generator exploits the merit order rule to crowd out the production of its rival. In the third chapter we analyze the impact of renewable generation on congestion and zonal price differences in Italy. Using a unique database we estimate two econometric models on five zonal pairings: a multinomial logit model for the occurrence and direction of congestion and an OLS model for the size of paired-price differences. The analysis shows that in an importing region the effect of a larger local renewable supply is to decrease (increase) the probability of congestion in entry (exit). Increasing renewable generation seems to have a significant impact on the islander zones, decreasing (increasing) the level of positive (negative) price differences
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Aulton, Anneliese Julia. "A theoretical and econometric analysis of agricultural futures markets and the implications for agricultural policy reform." Thesis, University of Nottingham, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.318297.
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Abuk, Nese. "The Intraday Lead-lag Relationship Of Spot And Futures Markets In Turkey: Co-integration And Causality Analyses." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613292/index.pdf.
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This study is concerned with the lead-lag relationship between Turkish spot equity and derivatives markets. In the study, the spot equity market is represented by the ISE-30 Index. In order to compare the structure of the two markets, the futures contract written on the ISE-30 Index, namely TURKDEX-ISE 30, is chosen to represent the derivatives market. The analysis is performed over the sample period beginning February 4, 2005 and ending on December 10, 2010 which actually covers the entire time span from the establishment of the TURKDEX market until the end of last year. This sample period is examined on the basis of 5-minute intervals during the trading day, enabling a more detailed and accurate evaluation of the lead-lag power of the markets. The main methods applied to examine the structure of information flow between the markets are co-integration and causality analyses. Different approaches of these basic methods are employed as well in order to provide robust results. An additional robustness check is provided through examining the relationship between the markets by using both raw and filtered prices. ARMA filtering is performed on the prices and these findings are compared to those obtained by raw prices in order to avoid the problem of infrequent trading. Outcomes of both raw and filtered price analyses reveal that in 2006, 2007 and 2009 the relationship between the markets is bi-directional, whereas in 2008 and 2010, futures market strictly leads the spot market. Filtered and raw analyses do not have a definitive conclusion regarding the lead-lag relationship in 2005. For this year, while the raw data support a bi-directional relationship, ARMA filtering indicates that the spot market leads the derivatives market.
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Antonakakis, Nikolaos, Renatas Kizys, and Christos Floros. "Dynamic Spillover Effects in Futures Markets: UK and US Evidence." Elsevier, 2016. http://dx.doi.org/10.1016/j.irfa.2015.03.008.
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Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 25, 2008 to March 14, 2013, that encompasses both the global financial crisis and the Eurozone debt crisis, we find that spot and futures volatilities in the UK (US) are net receivers (net transmitters) of shocks to volume of futures trading and open interest. The analysis also sheds light on the dynamic interdependence of spot and futures market volatilities between the US and the UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature, however, they are affected by major economic events such as the global financial and Eurozone debt crisis. Several robustness checks endorse our main findings. Overall, these results have important implications for various market participants and financial sector regulators.
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Deng, Daniel. "Three essays on electricity spot and financial derivative prices at the Nordic power exchange /." Göteborg : Department of Economics, School of Economics and Commercial Law [Nationalekonomiska institutionen, Handelshögskolan], Göteborg University, 2006. http://www.handels.gu.se/epc/archive/00004820/01/Deng%5Ffull.pdf.
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Castillan, Solenne. "Contrat à terme sur indice boursier : le cas du FCE sur CAC40." Thesis, Montpellier, 2016. http://www.theses.fr/2016MONTD056/document.
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L’indice CAC40 est la première chose à laquelle on pense lorsqu’on parle de bourse en France. Cependant il n’est pas négociable. C’est pourquoi sont apparus des contrats dérivés comme le contrat future FCE dont le sous-jacent est le CAC40 qui peuvent être achetés et vendus. Leurs valeurs sont très proches mais non égales. Quel est donc la relation qui lie le contrat FCE au CAC40 ? A l’aide de données téléchargeables quotidiennement sur Internet et accessibles à tous une réponse va être apportée. Dans une première partie nous présentons le contrat à terme dérivé du CAC40, les raisons de le « trader » et le comparons aux autres contrats future dérivés d’indices boursiers dans le monde. Nous étudions ensuite la relation FCE/CAC40 en terme d’efficience informationnelle. Pour cela nous allons étudier différentes notions de base et tenter de les modéliser. Enfin dans une dernière partie nous nous intéressons à cette même relation d’un point de vue microstructure, en étudiant en particulier des variables non prix (volume et position ouverte), et la volatilité. Nous allons enfin tenter d’apporter une modélisation de la volatilité en fonction de ces variablesThe CAC 40 index is the first thing that comes to mind when talking about financial markets. However it is not negotiable. Therefore appeared derivative contracts such as futures contract FCE whose underlying is the CAC40 index which can be bought and sold. Their values are very close but not equal. So what is the relationship between the FCE contract and the CAC40? Using daily downloadable data on the Internet and accessible to everyone, answers will be given. In the first part we present the future contracts derived from the CAC40, the reasons to trade it, and we compare it to other stock index futures in the world. We then study the relationship FCE / CAC40 in terms of informational efficiency. For that we will study different notions of basis and try to model them. Finally in the last part we are interested in the same relationship but with a microstructure point of view, studying in particular non-price variables: volume and open interest, and volatility. Finally, we will try to modelise volatility with these variables
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Borocco, Etienne. "The heterogeneity of information and beliefs among operators in the commodity markets." Thesis, Paris Sciences et Lettres (ComUE), 2019. http://www.theses.fr/2019PSLED072.
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Le projet de thèse consiste à étudier l’hétérogénéité de l’information et des croyances parmi les opérateurs sur les marchés de matières premières pour s’attaquer aux puzzles de la volatilité et de la prime de risque sur ces marchés. La première étape a été d’introduire l’asymétrie d’information dans un modèle de stockage. Il en est ressorti que le marché est efficient et que l’on peut distinguer un effet informationnel aléatoire d’un effet physique déterministe. La deuxième étape est d’estimer empiriquement les paramètres d’une version modifiée du modèle théorique évoqué plus haut. L’hypothèse de rationalité économique est relâchée. Sont introduit des "chartistes" qui suivent les cours. Le but de ce papier est d’estimer leur influence sur la formation des prix. Le marché choisi pour l’étude empirique est le marché du gaz naturel américain Henry hub. La troisième étape est un modèle où agents rationnels et agents à rationalité limitée cohabitent dans un marché de matières premières. Ce dernier chapitre montre comment des traders suivant la tendance sur le marché à terme peuvent déstabiliser le marché physiqueThis Ph.D. project aims to study the heterogeneity of information and beliefs among speculators on commodity markets to tackle the issues of the risk premium and volatility puzzles. The first step was to introduce information asymmetry in a storage model. The output is an efficient market where it is possible to distinguish a random informational effect from a deterministic physical effect. The second step is to estimate empirically the parameters of a modified version of the theoretical model above. The rationality hypothesis is relaxed."Chartists," who are trend-followers, are introduced. The goal of this paper is to estimate their influence on asset pricing. The chosen market for the empirical study is the Henry Hub natural gas market. The third step is a model where rational agents and bounded-rational agents interact together in a commodity market. This last chapter shows how trend-followers in the futures market can destabilize the spot market
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Biegler-König, Richard [Verfasser], Rüdiger [Akademischer Betreuer] Kiesel, and Fred Espen [Akademischer Betreuer] Benth. "The Information Premium on Electricity Markets : A New Spot-Forward Relationship for non-Storable Underlyings / Richard Biegler-König. Gutachter: Fred Espen Benth. Betreuer: Rüdiger Kiesel." Duisburg, 2013. http://d-nb.info/1035402610/34.
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Higgs, Helen. "Price and volatility relationships in the Australian electricity market." Queensland University of Technology, 2006. http://eprints.qut.edu.au/16404/.
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This thesis presents a collection of papers that has been published, accepted or submitted for publication. They assess price, volatility and market relationships in the five regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy Mountains Hydroelectric Scheme (SNO) and Victoria (VIC). The transmission networks that link regional systems via interconnectors across the eastern states have played an important role in the connection of the regional markets into an efficient national electricity market. During peak periods, the interconnectors become congested and the NEM separates into its regions, promoting price differences across the market and exacerbating reliability problems in regional utilities. This thesis is motivated in part by the fact that assessment of these prices and volatility within and between regional markets allows for better forecasts by electricity producers, transmitters and retailers and the efficient distribution of energy on a national level. The first two papers explore whether the lagged price and volatility information flows of the connected spot electricity markets can be used to forecast the pricing behaviour of individual markets. A multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of price and volatility spillovers within (intra-relationship) and across (inter-relationship) the various spot markets. The results show evidence of the fact that prices in one market can be explained by their own price lagged one-period and are independent of lagged spot prices of any other markets when daily data is employed. This implies that the regional spot electricity markets are not fully integrated. However, there is also evidence of a large number of significant ownvolatility and cross-volatility spillovers in all five markets indicating that shocks in some markets will affect price volatility in others. Similar conclusions are obtained when the daily data are disaggregated into peak and off-peak periods, suggesting that the spot electricity markets are still rather isolated. These results inspired the research underlying the third paper of the thesis on modelling the dynamics of spot electricity prices in each regional market. A family of generalised autoregressive conditional heteroskedasticity (GARCH), RiskMetrics, normal Asymmetric Power ARCH (APARCH), Student APARCH and skewed Student APARCH is used to model the time-varying variance in prices with the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The important contribution in this paper lies in the use of two latter methodologies, namely, the Student APARCH and skewed Student APARCH which take account of the skewness and fat tailed characteristics of the electricity spot price series. The results indicate significant innovation spillovers (ARCH effects) and volatility spillovers (GARCH effects) in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information (that is, positive shocks or good news are associated with higher volatility than negative shocks or bad news). The fourth research paper attempts to capture salient feature of price hikes or spikes in wholesale electricity markets. The results show that electricity prices exhibit stronger mean-reversion after a price spike than the mean-reversion in the normal period, suggesting the electricity price quickly returns from some extreme position (such as a price spike) to equilibrium; this is, extreme price spikes are shortlived. Mean-reversion can be measured in a separate regime from the normal regime using Markov probability transition to identify the different regimes. The fifth and final paper investigates whether interstate/regional trade has enhanced the efficiency of each spot electricity market. Multiple variance ratio tests are used to determine if Australian spot electricity markets follow a random walk; that is, if they are informationally efficient. The results indicate that despite the presence of a national market only the Victorian market during the off-peak period is informationally (or market) efficient and follows a random walk. This thesis makes a significant contribution in estimating the volatility and the efficiency of the wholesale electricity prices by employing four advanced time series techniques that have not been previously explored in the Australian context. An understanding of the modelling and forecastability of electricity spot price volatility across and within the Australian spot markets is vital for generators, distributors and market regulators. Such an understanding influences the pricing of derivative contracts traded on the electricity markets and enables market participants to better manage their financial risks.
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MEDEIROS, LUCIO DE. "SPOT PRICE FORECASTING IN THE ELECTRICITY MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=4777@1.
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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOO objetivo da tese é propor uma metodologia para previsão do preço de curto prazo (spot) da energia elétrica no Brasil baseada em sistemas neuro-fuzzy e nos programas do planejamento da operação do sistema elétrico brasileiro. Com essa abordagem, obtém-se distribuições estimadas do preço spot para o curto prazo com menor dispersão do que as obtidas somente com os programas do planejamento da operação. Além disso, por ser rápido, o sistema de previsão final possibilita análises de cenários ou simulações Monte Carlo. As principais variáveis que afetam o preço spot no Brasil são consideradas, tais como a energia natural afluente e a energia armazenada, entre outras. Ainda, é possível incluir também variáveis que não têm um histórico definido ou dados suficientes para o treinamento, tais como o plano de obras, limites de intercâmbio, demanda etc. Comparações com modelos de redes neurais são feitas. Apresenta-se, também, o estado da arte em modelagem para a política e o mercado de energia elétrica e os principais conceitos de gerenciamento de risco no mercado de eletricidade.
This thesis focuses on spot price forecasting and risk management in the Brazilian electricity industry. It is proposed a new methodology for the problem based on neuro- fuzzy systems and the dispatching and planning operation programs. The main advantage of the approach is to be able to get more informative spot price distributions than using the operation and planning programs alone. Furthermore, it allows Monte Carlo simulations or scenarios analysis as the forecasting system runs in less than 1 minute. The main variables which affect the spot price (inflow river, storage capacity of reservoir, among others) are included in the model. Even variables such as the interchange limits, without a well-defined time series and which could be important, could also be included because of the intrinsic characteristics of each fuzzy model. Comparisons with neural networks models are made. It is also presented the state-of-the-art in the market and politics modelling for the electricity market around the world, as well as some main concepts of the risk management.
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Leopando, Paul Jeffrey Ramirez, and Kyle A. C. Rocca. "Carrier strategies in the spot trucking market." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/92645.
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Thesis: M. Eng. in Logistics, Massachusetts Institute of Technology, Engineering Systems Division, 2014.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 76-78).
How an owner-operator chooses a specific load is a relatively unstudied field in transportation literature. Stakeholders in the decisions, such as freight brokers, stand to benefit from a better understanding of the selection process. Using load board data from a freight brokerage, we identified four parameters available to a carrier when a load is presented: length of haul, revenue per mile (RPM), the probability of finding an onward load from the destination, and the required mileage to reposition to the shipment origin. We also identified preferences of the owner-operators based on experience, literature, and the data, such as owner-operators' preference for long haul routes. We tested selection strategies that disintegrated the four load parameters and incorporated owner-operator preferences in a computerized simulation. We found that strategies combining two or more of the identified parameters provide better results in terms of revenue and utilization (% loaded) maximization. Furthermore, we found that including consideration of the empty repositioning distance was critical to success. Our simulated carriers outperformed peers in the dataset by up to 16%. Carriers can apply these insights to improve their operating strategies. Freight brokerages can apply the quantitative approach to advise their carrier clients and optimize the matching of freight with available carrier capacity.
by Paul Jeffrey R. Leopando and Kyle A.C. Rocca.
M. Eng. in Logistics
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DELLA, NOCE MATTEO. "Un modello VAR-GARCH multivariato per il mercato elettrico italiano." Doctoral thesis, Università Cattolica del Sacro Cuore, 2011. http://hdl.handle.net/10280/1108.
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E’ stato estesamente appurato che i mercati dell'elettricità mostrano mean-reversion e elevata volatilità dei prezzi. Questo lavoro utilizza un modello VAR-MGARCH al fine di cogliere queste caratteristiche presenti sul mercato dell'energia elettrica italiana (IPEX) e analizzare le interrelazioni esistenti tra le diverse regioni in cui il mercato è suddiviso. L’analisi è condotta sui prezzi giornalieri dal 1 ° gennaio 2006 al 31 dicembre 2008.
I coefficienti stimati dalle equazioni condizionali indicano che i mercati regionali sono abbastanza integrati e i prezzi regionali dell'energia elettrica possono essere adeguatamente previsti impiegando i prezzi passati di ciascun mercato zonale.
La volatilità e la cross-volatility sono significative per tutti i mercati, indicando la presenza di forti componenti ARCH e GARCH e la sostanziale inefficienza dei mercati. E’ inoltre evidente un’elevata persistenza della volatilità e della cross-volatility in tutti i mercati.
I risultati indicano inoltre che gli shock rilevati, sia nella volatilità, sia nei vari mercati, persistono nel tempo e che in ogni mercato la persistenza è più marcata quando è causata da innovazioni stimate sulle stesso mercato rispetto a shock stimati su altre aree. Questa persistenza descrive la tendenza delle variazioni dei prezzi a raggrupparsi nel tempo.It is commonly known that spot electricity markets show mean-reversion and high price volatility. This work employs a VAR-MGARCH model to capture these features in the Italian electricity market (IPEX) and analyze the interrelation existing among the different regions in which the market is divided. Daily spot prices from 1 January 2006 to 31 December 2008 are employed. The estimated coefficients from the conditional mean equations indicate that the regional markets are quite integrated and regional electricity prices could be usefully forecasted using lagged prices from either the same market or from the other areal markets. Volatility and cross-volatility spill-overs are significant for all markets, indicating the presence of strong ARCH and GARCH effects and market inefficiency. Strong persistence of volatility and cross-volatility are also evident in all local markets. The results also indicate that volatility innovations or shocks in all markets persist over time and that in every market this persistence is more marked for own-innovations or shocks than cross-innovations or shocks. This persistence captures the propensity of price changes of similar magnitude to cluster in time.
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Benedicto, Martínez Pedro. "Study of Interaction between Spot Market and Market for Balancing Services." Thesis, KTH, Elektriska energisystem, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-53447.
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Around the world, there are a number of policies encouraging penetration of wind generation in the electricity industry. The proposed large increase in the penetration of wind generation has raised concerns about the continued security and reliability of the operation of the network. The Market participants who are willing to provide the balancing services offer their services to the Transmission System Operator, TSO. In case of any system imbalances, the offers are listed in a merit order list and the cheapest offer will be selected. This selection is regardless of balancing service provider’s nationality. If congestion happens, some other offers will be used to relieve congested line. This results in different prices for balancing services in different areas. This methodology is based on the corrective actions in the market for balancing services given the dispatch information from the spot market. With the increased penetration of wind generation into the electricity industry, the demand for balancing services is increasing. Under these windy scenarios, it might be more efficient to use preventive actions in the spot market rather than doing corrective actions in the Market for balancing services. This master thesis aims at showing the advantages of this new paradigm of the organization of the electricity market based on preventive actions. With this purpose, an integrated model of the electricity market was built in GAMS software and run for different scenarios and configurations of the grid. Comparisons are made at the end of this document in order to point out the superiority of this new approach over the traditional corrective model.
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Lock, Lillie Marlén. "Future fuel for worldwide tankershipping in spot market." Thesis, KTH, Marina system, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-121509.
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Ship exhausts contain high levels of sulphur oxides, nitrogen oxides, carbon dioxide and particles dueto the heavy fuel oil, HFO, used for combustion and the combustion characteristics of the engine.As a result of upcoming stricter regulations for shipping pollution, as well as growing attentionto greenhouse gas emissions, air pollution and uncertainty of future petroleum oil supply, a shifttowards a cleaner burning fuel is needed.This work explores potential alternative fuels, both conventional and unconventional, and abatementtechnologies, to be used by tankers in the worldwide spot market to comply with upcomingenvironmental regulations in the near and coming future. As a reference the product tanker M/TGotland Marieann is used and recommendations for which fuel that shall be used by the referenceship in 2015 and 2020 are presented.The environmental assessment and evaluation of the fuels are done from a life cycle perspective usingresults from Life Cycle Assessment, LCA, studies.This study illustrates that, of the various alternatives, methanol appears to be the best candidatefor long-term, widespread replacement of petroleum-based fuels within tanker shipping. It does notemit any sulphur oxides nor particles and the nitrogen oxides are shown to be lower than those ofmarine gas oil, MGO. The global warming potential of the natural gas produced methanol is notlower than that of MGO, but when gradually switching to bio-methanol the greenhouse gas emissionsare decreasing and with methanol the vision of a carbon free society can be reached.For 2015 a switch towards methanol is not seen as realistic. Further research and establishment ofregulations and distribution systems are needed, however there are indications that a shift will bepossible sometime between 2015 and 2020. For 2015 a shift towards MGO is suggested as it involveslow investment costs and there is no need for infrastructure changes. As MGO is more expensivethan methanol, a shift is preferable as soon as the market, technology and infrastructure are ready.
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Bia·lkowski, Jędrzej. "International stock markets linkages and arbitrage between futures and spot markets." 2005. http://deposit.ddb.de/cgi-bin/dokserv?idn=975615882.
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Chang, Yu-Han, and 張宇涵. "The Relationship between Futures and Spot Markets." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/27843581543378163158.
Full textAbstract:
碩士世新大學
財務金融學研究所(含碩專班)
93
This thesis uses Granger causality theory and GARCH model which index futures markets and spot markets. In fact, the empirical results are as follow: 1. According to the result of the unit root test, the time firsthand information of the array is unable to refuse null hypothesis with unit root. In another word, materials make attitude array. 2. Following by the empirical result of relation of causality theory shows us “futures and spot of the market of Taiwan are bad all in order to feedback the relation”. Because industrial index, Dow Jones of U.S.A., and Taiwan market stock are differences by sampling different to calculate way probably among them. U.S.A.'s Dow Jones industrial index futures has been already during not containing completely during the sample during one section, and the American hedging instrument is chosen more. The policy is limited less, so shock and reflects to spot market news that may be relatively fast. 3. The model result of GARCH (1, 1) shows, under no consideration of the factor of the transaction cost, the GARCH result exists in two markets.
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Lee, Wen-Yi, and 李玟儀. "The Relationship between Gold Spot and USD Index Markets." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/94399344517591638440.
Full textAbstract:
碩士淡江大學
財務金融學系碩士在職專班
98
This paper examined the relationship between gold spot and USD index using exponential GARCH model. In rational, efficiently markets, the USD index and the gold spot price should be contemporaneously correlated. Nevertheless, several studies found this paradoxical, since the lead–lag relationship between gold spot price and USD index. The empirical results indicated that：(1)The gold spot price and USD index are highly cointegrated.(2)Gold spot price and USD index affect each other.(3)USD index seems to lead Gold spot price with more powerful way.(4)For the volatility spillovers, the gold spot price have stronger volatility spillovers to USD index.
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Shen, Tzu-Chun, and 沈子鈞. "The Relationship between Gold Spot and Gold ETF Markets." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/69519220196564672124.
Full textAbstract:
碩士淡江大學
財務金融學系碩士在職專班
97
This thesis examined the relationship between gold spot and gold ETF index by using exponential GARCH model. Howerer, the gold ETF index and the gold spot price should be contemporaneously correlated. However, numerous studies found this paradoxical finding that the lead–lag relationship exists between gold spot price and gShares index. The empirical results indicated that: (1) Gold spot price and gShares index are highly cointegrated. (2) Gold spot price and gShare index have influences to each other. (3) Gold spot price represents a powerful position and leads the movement of gShares index. (4) For the volatility spillovers, the gold spot price has stronger volatility spillovers than gShare index.
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Cheng, Wan-Hsiu, and 鄭婉秀. "The Relationship between International Spot and Futures Stocks Markets." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/84317139636974622297.
Full textAbstract:
碩士淡江大學
財務金融學系
89
This paper examined the relationship between stock index and stock index futures using exponential GARCH model. In rational, efficiently markets, the stock index futures and the stock index should be contemporaneously correlated. Nevertheless, several studies found this paradoxical, since the lead—lag relationship between stock index and stock index futures. This paper examined five countries including the United States、Japan、Taiwan、France and the United Kingdom. Furthermore, this study also tested on the correlation between five international stock and futures markets. The empirical results indicated that：（1）The five stock indexes and stock index futures are highly cointegrated. （2）Two markets affect each other, but Japan futures market seems to lead the stock market with more powerful way, while France and the UK stock markets tend to lead their futures markets. Both markets in US and Taiwan seem to affect each other with equivalent level. （3）For the volatility spillovers, the US and Taiwan futures markets have stronger volatility spillovers to their stock markets. On the contrary, Japan、France and the UK are presented in the opposite situation. （4）The US stock（futures）market is an international leader whether in volatility spillover or in mean spillover. （5）The volatility spillover in Taiwan stock market is weakest result due to many limitation in Taiwan economy, and its futures market is not mature enough in reflecting all of the financial information.
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Tsai, Pei-Shan, and 蔡佩珊. "Asymmetric effect of International Spot and Futures Stocks Markets." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/57685619981779433453.
Full textAbstract:
碩士淡江大學
財務金融學系
90
This paper examined the Asymmetric effect of International Spot and Futures Stocks Markets using GARCH model. In rational, efficiently markets, the stock index futures and the stock index should be contemporaneously correlated. Nevertheless, several studies found this paradoxical, since the lead—lag relationship between stock index and stock index futures. This paper examined five countries including the United States、Japan、Taiwan、France and the United Kingdom. Furthermore, this study also tested on the correlation between five international stock and futures markets. The empirical results indicated that：（1）The US stock（futures）market is an international leader whether in volatility spillover or in mean spillover.（2）For the volatility spillovers, the US futures markets have stronger volatility spillovers to her stock markets.（3）The volatility spillover in Taiwan stock market is weakest result due to many limitation in Taiwan economy, and its futures market is not mature enough in reflecting all of the financial information.
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Yi, Liaw Shwu, and 廖淑儀. "Target Zone on Spot and Forward Exchange Rate Markets." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/32816762719844990315.
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Białkowski, Je̜drzej [Verfasser]. "International stock markets linkages and arbitrage between futures and spot markets / by Jȩdrzej Białkowski." 2005. http://d-nb.info/975615882/34.
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Chi, Min-chu, and 紀旻初. "Long-Lived Private Information Model- Spot and Future Markets Model." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/39905285406535992685.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
92
We develop a multi-period auction model in which a single informed trader strateg- ically exploiting his long-lived information between spot market and future market. Our model is in the spirit of the essence of Kyle(1985) but differentiates from Kyle by introducing an extract future market. Since many literatures indicate that future market has a great influence on the liquidity and efficiency of spot market, we consider the future market in our model and examine how it may affect the liquidity and the efficiency of spot market. The model shows that the market depth is infinite in the beginning of the trading period and remains infinite there until a sudden decrease emerges when the trading nearly ends. In addition, the monopolistic informed trader indeed conceals his private information in most trading sections until at the very end of the horizon the information then is revealed in a cascade fashion. We further analyze the trading strategies and find that future market provides the informed agent a shielding vehicle to conceal his private information and complicate the content of the private information.