Related papers: Commodity futures and market efficiency
We study the statistics of the efficiency in a class of isothermal cyclic machines with realistic coupling between the internal degrees of freedom. We derive, under fairly general assumptions, the probability distribution function for the…
We study single commodity network flows with suitable robustness and efficiency specs. An original use of a maximum entropy problem for distributions on the paths of the graph turns this problem into a steering problem for Markov chains…
The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this paper we explore the relationship between credit ratings and informational efficiency of a sample of thirty nine corporate bonds of US oil…
In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit…
Establishing a resilient food trade system is an international consensus on safeguarding food security amid growing disruptions. However, a unified resilience framework has yet to be established, leading to the proliferation of diverse…
The industrial drying process consumes approximately 12% of the total energy used in manufacturing, with the potential for a 40% reduction in energy usage through improved process controls and the development of new drying technologies. To…
In this paper we exploit the wavelet analysis approach to investigate oil-food price correlation and its determinants in the domains of time and frequency. Wavelet analysis is able to differentiate high frequency from low frequency…
Fruits and vegetables form a vital component of the global economy; however, their distribution poses complex logistical challenges due to high perishability, supply fluctuations, strict quality and safety standards, and environmental…
Heterogeneous systems are present from powerful supercomputers, to mobile devices, including desktop computers, thanks to their excellent performance and energy consumption. The ubiquity of these architectures in both desktop systems and…
Smart manufacturing can significantly improve efficiency and reduce energy consumption, yet the energy demands of AI models may offset these gains. This study utilizes in-situ sensing-based prediction of geometric quality in smart machining…
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems from the futures holder's timing options to exercise the…
The true power of computational research typically can lay in either what it accomplishes or what it enables others to accomplish. In this work, both avenues are simultaneously embraced across several distinct efforts existing at three…
Grains account for more than 50% of the calories consumed by people worldwide, and military conflicts, pandemics, climate change, and soaring grain prices all have vital impacts on food security. However, the complex price behavior of the…
In its semi-strong form, the Efficient Market Hypothesis (EMH) implies that technical analysis will not reveal any hidden statistical trends via intermarket data analysis. If technical analysis on intermarket data reveals trends which can…
Industrial refrigeration systems have substantial energy needs, but optimizing their operation remains challenging due to the tension between minimizing energy costs and meeting strict cooling requirements. Load shifting--strategic…
This paper analyzes the informational efficiency of oil market during the last three decades, and examines changes in informational efficiency with major geopolitical events, such as terrorist attacks, financial crisis and other important…
The adoption of market-based principles in resource management systems for computational infrastructures such as grids and clusters allows for matching demand and supply for resources in a utility maximizing manner. As such, they offer a…
We present a new model for commodity pricing that enhances accuracy by integrating four distinct risk factors: spot price, stochastic volatility, convenience yield, and stochastic interest rates. While the influence of these four variables…
In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet tools to commodity market data. A major part…
The paper proposes a computationally efficient electricity market simulation tool (MST) suitable for future grid scenario analysis. The market model is based on a unit commitment (UC) problem and takes into account the uptake of emerging…