Examining the price relationships of Brent Crude with 78 global commodities, our study shows that spot a certain commodity, New York Harbor No. 2 Heating Oil Spot Price FOB, can serve as an auxiliary forecasting index rise and fall monthly oil price. With innovative view for evaluating relationship prediction based on simple, practical measurement, findings provide helpful tool investors analys...

 Commodity markets: overview, description and structure  Commodity spot price models, their performance and calibration  Forward curve modeling for commodities  Modeling commodity price volatility  Correlations/dependencies in commodity portfolios  Modeling risk of a commodity portfolio  Typical commodity derivatives (quanto, Asian, spread and basket options, volumetric and swing options...

Electricity price predictions have become a major discussion on competitive market under deregulated power system. But, the exclusive characteristics of electricity price such as non-linearity, non-stationary and time-varying volatility structure present several challenges for this task. In this paper, a new forecast strategy based on the iterative neural network is proposed for Day-ahead price...

Spot market provides the ideal mechanism to leverage idle CPU resources and smooth out the computation demands. Unfortunately, few applications can take advantage of spot market because they cannot handle sudden terminations. We describe Spot Cloud MapReduce, the first MapReduce implementation that can fully take advantage of a spot market. Even if a massive number of nodes are terminated regul...

This paper presents a new model for efficient calculation of spot prices and animation and visualization of spot price evolution as the system operating point is changing. The computational method is based on the quadratized power flow approach that cast the power flow problem as a set of quadratic equations. The load model consists of constant power, constant impedance and induction motor load...

Contracts are an important dimension of modern agriculture because they facilitate vertical coordination between producers and downstream processors and handlers. Because contracts are normally not settled in an open-market environment, establishing price(s) for contract sales is a pressing issue. When contract production is marketed contemporaneously with production sold through a spot market,...

After the Great Recession of 2008-2009, many mathematical and econometric models used in economy have received a lot of criticism, since they were not able to predict the emergence of the asset bubble in the U. S. housing market. As a result of this, econometricians have increasingly turned towards seeking explanations to what happened in the psychological element in market traders’ actions. Th...

The constant elasticity of variance (CEV) spot price model is a one-dimensional diffusion model with the instantaneous volatility specified to be a power function of the underlying spot price, σ(S) = aS . The model has been introduced by Cox [7] as one of the early alternatives to the geometric Brownian motion to model asset prices. The CEV process is closely related to Bessel processes and is ...

This paper studies the efficiency of competitive equilibria in environments with a moral hazard problem and unobserved states, both with retrading in ex post spot markets. The interaction between private information problems and the possibility of retrade creates an externality, unless preferences have special, restrictive properties. The externality is internalized by allowing agents to contra...

We construct asset markets of the type studied in Smith et al. (1988), in which price bubbles and crashes are widely observed. In addition to a spot market, there are futures markets in operation, one maturing in each period of the life of the asset. We find that when futures markets are present, bubbles do not occur in the spot markets. The futures markets seem to reduce the speculation and th...