Related papers: Investigating Wheat Price with a Multi-Agent Model
Social unrest may reflect a variety of factors such as poverty, unemployment, and social injustice. Despite the many possible contributing factors, the timing of violent protests in North Africa and the Middle East in 2011 as well as…
Frost damage is one of the main factors leading to wheat yield reduction. Therefore, the detection of wheat frost accurately and efficiently is beneficial for growers to take corresponding measures in time to reduce economic loss. To detect…
The international trade is one of the classic areas of study in economics. Nowadays, given the availability of data, the tools used for the analysis can be complemented and enriched with new methodologies and techniques that go beyond the…
The sharp devaluation of the ruble in 2014 increased the real returns to Russians from working in a global online labor marketplace, as con- tracts in this market are dollar-denominated. Russians clearly noticed the opportunity, with…
Due to major shifts in European energy supply, a structural change can be observed in Austrian electricity spot price data starting from the second quarter of the year 2021 onward. In this work we study the performance of two different…
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted…
We propose a stylized model of production and exchange in which long-term investors set their production decision over a horizon {\tau} , the "time to produce", and are liquidity constrained, while financial investors trade over a much…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
Energy security and energy trade are the cornerstones of global economic and social development. The structural robustness of the international oil trade network (iOTN) plays an important role in the global economy. We integrate the machine…
We consider a novel use case for the Double Heston model (Christoffersen et al,, 2009), where the two Heston sub-variances have different spot/volatility correlations but the same volatility of volatility and mean reversion speed. This…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in…
Afghanistan is responsible for the majority of the world's supply of poppy crops, which are often used to produce illegal narcotics like heroin. This paper presents an agent-based model that simulates policy scenarios to characterize how…
This paper proposes an agent-based model that combines both spot and balancing electricity markets. From this model, we develop a multi-agent simulation to study the integration of the consumers' flexibility into the system. Our study…
This paper studies the impact of wind generation on market prices and system costs in the UK between 2013 and 2014. The wider effects and implications of wind generation is of direct relevance and importance to policy makers, as well as the…
High and volatile global food prices have led to food riots and played a critical role in triggering the Arab Spring revolutions in recent years. The severe drought in the US in the summer of 2012 led to a new increase in food prices.…
As the global population and the per capita demand for resource intensive diets continues to grow, the corresponding increase in food demand challenges the global food system, enhancing its reliance on trade. Most previous research…
Crop production needs to increase in a sustainable manner to meet the growing global demand for food. To identify crop varieties with high yield potential, plant scientists and breeders evaluate the performance of hundreds of lines in…
Using the United Nations COMTRADE database we apply the reduced Google matrix (REGOMAX) algorithm to analyze the multiproduct world trade in years 2004-2016. Our approach allows to determine the trade balance sensitivity of a group of…
In the first half of 2020, several countries have responded to the challenges posed by the Covid-19 pandemic by restricting their export of medical supplies. Such measures are meant to increase the domestic availability of critical goods,…