Related papers: Commodity futures and market efficiency
We study the optimal control of storage which is used for arbitrage, i.e. for buying a commodity when it is cheap and selling it when it is expensive. Our particular concern is with the management of energy systems, although the results are…
Optimization models have been broadly used within side the energy industry as useful decision-making systems for scheduling and dispatching electric powered energy resources; this is applied in a system called unit commitment (UC). Unit…
In this work, we investigate how flexible assets within a residential building influence the long-term impact of operation. We use a measured-peak grid tariff (MPGT) that puts a cost on the highest single-hour peak import over the month. We…
We examine a general multi-factor model for commodity spot prices and futures valuation. We extend the multi-factor long-short model in Schwartz and Smith (2000) and Yan (2002) in two important aspects: firstly we allow for both the long…
We analyze the efficiency fluctuations of a coherent quantum heat engine coupled to a unimodal cavity using a standard full-counting statistics procedure. The engine's most likely efficiency obtained by computing the large-deviation…
A simple tight-coupling model of a molecular chemical engine is proposed. The efficiency of the chemical engine and its average velocity can be explicitly calculated. The diffusion constant is evaluated approximately using the fluctuation…
Time and Sales of corn futures traded electronically on the CME Group Globex are studied. Theories of continuous prices turn upside down reality of intra-day trading. Prices and their increments are discrete and obey lattice probability…
This paper provides a review of an emerging field in the food processing sector, referring to efficient and safe food supply chains, from farm to fork, as enabled by Artificial Intelligence (AI). Recent advances in machine and deep learning…
Understanding noisy information engines is a fundamental problem of non-equilibrium physics, particularly in biomolecular systems agitated by thermal and active fluctuations in the cell. By the generalized second law of thermodynamics, the…
The Nelson-Siegel framework is employed to model the term structure of commodity futures prices. Exploiting the information embedded in the level, slope and curvature parameters, we develop novel investment strategies that assume short-term…
Apparently random financial fluctuations often exhibit varying levels of complexity, chaos. Given limited data, predictability of such time series becomes hard to infer. While efficient methods of Lyapunov exponent computation are devised,…
We present a stochastic local volatility model for derivative contracts on commodity futures. The aim of the model is to be able to recover the prices of derivative claims both on futures contracts and on indices on futures strategies.…
Agricultural commodity futures are often settled by delivery. Quality options that allow the futures short to deliver one of several underlying assets are commonly used in such contracts to prevent manipulation. Inclusion of these options…
In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in…
Accurate probabilistic forecasting of intraday electricity prices is critical for market participants to inform trading decisions. Existing studies rely on specific domain features, such as Volume-Weighted Average Price (VWAP) and the last…
The interest in vertical farming arises from its ability to ensure consistent, high-quality, and pest-free vegetable production while supporting synergies with energy systems and urban development. While previous studies have assessed…
In this paper, we consider energy demand prediction in district heating systems. Effective energy demand prediction is essential in combined heat power systems when offering electrical energy in competitive electricity markets. To address…
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of…
This study examines the effects of Trump-era tariffs on financial market efficiency by applying multifractal detrended fluctuation analysis to the return and absolute return time series of six major financial assets: the S\&P 500, SSEC,…
We consider the problem of planning the aggregate energy consumption for a set of thermostatically controlled loads for demand response, accounting price forecast trajectory and thermal comfort constraints. We address this as a…