Related papers: Commodity futures and market efficiency
Forecasting crop yields is important for food security, in particular to predict where crop production is likely to drop. Climate records and remotely-sensed data have become instrumental sources of data for crop yield forecasting systems.…
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The…
Long memory in the sense of slowly decaying autocorrelations is a stylized fact in many time series from economics and finance. The fractionally integrated process is the workhorse model for the analysis of these time series. Nevertheless,…
Quantum cycles in established heat engines can be modeled with various quantum systems as working substances. For example, a heat engine can be modeled with an infinite potential well as the working substance to determine the efficiency and…
In a stochastic heat engine driven by a cyclic non-equilibrium protocol, fluctuations in work and heat give rise to a fluctuating efficiency. Using computer simulations and tools from large deviation theory, we have examined these…
Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets,…
Molecular motors play pivotal roles in organizing the interior of cells. A motor efficient in cargo transport would move along cytoskeletal filaments with a high speed and a minimal error in transport distance (or time) while consuming a…
This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical…
This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, using the Hurst exponent. Our results are…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
In developing countries like India agriculture plays an extremely important role in the lives of the population. In India, around 80\% of the population depend on agriculture or its by-products as the primary means for employment. Given…
We consider multiple-type housing markets (Moulin, 1995), which extend Shapley-Scarf housing markets (Shapley and Scarf, 1974) from one dimension to higher dimensions. In this model, Pareto efficiency is incompatible with individual…
We consider a market model that consists of financial investors and producers of a commodity. Producers optionally store some production for future sale and go short on forward contracts to hedge the uncertainty of the future commodity…
In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for…
Approximately 75% of energy used in petrochemical and refining industries is consumed by furnaces. Operating furnaces at optimal conditions results in huge amounts of savings. In this paper, we model the furnace efficiency optimization as a…
It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. Indeed, due to margining, futures have…
In this paper, we develop a general rough volatility model for commodities that provides an automatic calibration of the initial term structure of the futures prices and an appropriate treatment of the Samuelson effect. After the…
In the context of global trade, cross-border commodity pricing largely determines the competitiveness and market share of businesses. However, existing methodologies often prove inadequate, as they lack the agility and precision required to…
In finance, the weak form of the Efficient Market Hypothesis asserts that historic stock price and volume data cannot inform predictions of future prices. In this paper we show that, to the contrary, future intra-day stock prices could be…
Power and efficiency of heat engines are two conflicting objectives, and a tight efficiency bound is expected to give insights on the fundamental properties of the power-efficiency tradeoff. Here we derive an upper bound on the efficiency…