Related papers: Commodity futures and market efficiency
We derive the statistics of the efficiency under the assumption that thermodynamic fluxes fluctuate with normal law, parametrizing it in terms of time, macroscopic efficiency, and a coupling parameter $\zeta$. It has a peculiar behavior: No…
This study aims to address the challenges of futures price prediction in high-frequency trading (HFT) by proposing a continuous learning factor predictor based on graph neural networks. The model integrates multi-factor pricing theories…
Ensuring food security is a critical global challenge, particularly for low-income countries where food prices impact the access to nutritious food. The volatility of global agricultural commodity (AC) prices exacerbates food insecurity,…
The stochastic efficiency [G. Verley et al., Nat. Commun. 5, 4721 (2014)] was introduced to evaluate the performance of energy-conversion machines in micro-scale. However, such an efficiency generally diverges when no heat is absorbed while…
Currently, the increase in financial returns from economic operations is constrained in view of the lack of a single efficiency criterion, which allows uniquely identify the business operation by their main feature - the possibility of…
We study decentralized markets for goods whose utility perishes in time, with compute as a primary motivation. Recent advances in reproducible and verifiable execution allow jobs to pause, verify, and resume across heterogeneous hardware,…
We study a stochastic control approach to managed futures portfolios. Building on the Schwartz 97 stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity…
We derive the general analytical expressions for the statistical uncertainties of cumulants up to fourth order including an efficiency correction. The analytical expressions have been tested with a toy Monte Carlo model analysis. An…
The automotive industry is under growing pressure to reduce its environmental impact, requiring accurate predictive modeling to support sustainable engineering design. This study examines the factors that determine vehicle fuel consumption…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
Futures market contracts with varying maturities are traded concurrently and the speed at which they process information is of value in understanding the pricing discovery process. Using price discovery measures, including Putnins (2013)…
This article presents a generic framework for modeling the dynamics of forward curves in commodity market as commodity derivatives are typically traded by futures or forwards. We have theoretically demonstrated that commodity prices are…
This paper develops a real-time forecasting framework for the monthly real prices of four key industrial metals -- aluminum, copper, nickel, and zinc -- whose demand is rising due to their widespread use in manufacturing and low-carbon…
According to Thermodynamics, the efficiency of a heat engine is upper bounded by Carnot efficiency. For macroscopic systems, the Carnot efficiency is, however, achieved only for quasi static processes. And, considerable attention has been…
We introduce a mathematical theory called market connectivity that gives concrete ways to both measure the efficiency of markets and find inefficiencies in large markets. The theory leads to new methods for testing the famous efficient…
Wheat is the main agricultural crop of Pakistan and is a staple food requirement of almost every Pakistani household making it the main strategic commodity of the country whose availability and affordability is the government's main…
Stochastic efficiency is evaluated in five case studies: driven Brownian motion, effusion with a thermo-chemical and thermo-velocity gradient, a quantum dot and a model for information to work conversion. The salient features of stochastic…
The participation of renewable, energy storage, and resources with limited fuel inventory in electricity markets has created the need for optimal scheduling and pricing across multiple market intervals for resources with intertemporal…
The ever increasing adoption of mobile devices with limited energy storage capacity, on the one hand, and more awareness of the environmental impact of massive data centres and server pools, on the other hand, have both led to an increased…
Using the fluctuation theorem supplemented with geometric arguments, we derive universal features of the (long-time) efficiency fluctuations for thermal and isothermal machines operating under steady or periodic driving, close or far from…