Related papers: Commodity futures and market efficiency
A dynamic model of collective consumption and saving decisions made by a finite number of agents with constant but different discount rates is developed. Collective utility is a weighted sum of individual utilities with time-varying utility…
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of…
Nanoscale machines are strongly influenced by thermal fluctuations, contrary to their macroscopic counterparts. As a consequence, even the efficiency of such microscopic machines becomes a fluctuating random variable. Using geometric…
In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the underlying processes. We also establish a weak…
We analyze daily prices of 29 commodities and 2449 stocks, each over a period of $\approx 15$ years. We find that the price fluctuations for commodities have a significantly broader multifractal spectrum than for stocks. We also propose…
This paper describes an operational semantics for futures, with the primary target on energy efficiency. The work in progress is built around an insight that different threads can coordinate by running at different "paces," so that the time…
This research presents a comprehensive framework for analyzing liquidity in financial markets, particularly in the context of high-frequency trading. By leveraging advanced machine learning classification techniques, including Logistic…
High Frequency Trading (HFT) represents an ever growing proportion of all financial transactions as most markets have now switched to electronic order book systems. The main goal of the paper is to propose continuous time equations which…
The optimal efficiency of quantum (or classical) heat engines whose heat baths are $n$-particle systems is given by the information geometry and the strong large deviation. We give the optimal work extraction process as a concrete…
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivated by increased public attention borne out of the…
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…
The thermodynamic uncertainty relation originally proven for systems driven into a non-equilibrium steady state (NESS) allows one to infer the total entropy production rate by observing any current in the system. This kind of inference…
With exponential growth in the human population, it is vital to conserve natural resources without compromising on producing enough food to feed everyone. Doing so can improve people's livelihoods, health, and ecosystems for the present and…
Public transportation is a major source of greenhouse gas emissions, highlighting the need to improve bus fuel efficiency. Clustering algorithms assist in analyzing fuel efficiency by grouping data into clusters, but irrelevant features may…
We analyze the effects of energy and commodity prices on commodity output using a three-factor, two-good general equilibrium trade model with three factors: capital, labor, and imported energy. We derive a sufficient condition for each sign…
We present tight bounds and heuristics for personalized, multi-product pricing problems. Under mild conditions we show that the best price in the direction of a positive vector results in profits that are guaranteed to be at least as large…
Energy efficiency of fixed-rate transmissions is studied in the presence of queueing constraints and channel uncertainty. It is assumed that neither the transmitter nor the receiver has channel side information prior to transmission. The…
Guaranteed maximization of financial returns from economic structures is only possible if all of its systems are focused on selecting target operations with maximum efficiency. Is it possible? Any system is created to enhance the value of…
We consider the application of machine learning models for short-term intra-day trading in equities. We envisage a scenario wherein machine learning models are submitted by independent data scientists to predict discretised ten-candle…
International food trade is a growing complement to gaps in domestic food supply and demand, but it is vulnerable to disruptions due to some unforeseen shocks. This paper assembles the international crop trade networks using maize, rice,…