Sample records for commodity price volatility

  1. Child mortality, commodity price volatility and the resource curse.

    PubMed

    Makhlouf, Yousef; Kellard, Neil M; Vinogradov, Dmitri

    2017-04-01

    Given many developing economies depend on primary commodities, the fluctuations of commodity prices may imply significant effects for the wellbeing of children. To investigate, this paper examines the relationship between child mortality and commodity price movements as reflected by country-specific commodity terms-of-trade. Employing a panel of 69 low and lower-middle income countries over the period 1970-2010, we show that commodity terms-of-trade volatility increases child mortality in highly commodity-dependent importers suggesting a type of 'scarce' resource curse. Strikingly however, good institutions appear able to mitigate the negative impact of volatility. The paper concludes by highlighting this tripartite relationship between child mortality, volatility and good institutions and posits that an effective approach to improving child wellbeing in low to lower-middle income countries will combine hedging, import diversification and improvement of institutional quality. Copyright © 2017. Published by Elsevier Ltd.

  2. Implications of Climate Volatility for Agricultural Commodity Markets in the Presence of Biofuel Mandates

    NASA Astrophysics Data System (ADS)

    Verma, M.; Diffenbaugh, N. S.; Hertel, T. W.; Beckman, J.

    2011-12-01

    In presence of bio-fuels, link between energy and agricultural commodity markets has become more complex. An increase in ethanol production to minimum 15bn gallons a year - Renewable Fuel Standard (RFS) and current technically permissible maximum 10% blending limit - Blend Wall (BW); make the link even stronger. If oil prices in future do not rise significantly from their current levels, this minimum production requirement would likely be binding. In such a scenario any fluctuation in crop production will have to be absorbed by the non-ethanol usage of the crop and would translate into crop prices adjusting to clear the markets and therefore the commodity prices will be more volatile. At high oil prices it is possible that the BW may become binding, severing the link between oil prices and commodity prices as well, potentially leading to higher price volatility. Hertel and Beckman (2010) find that, with both RFS and BW simultaneously binding, corn price volatility due to supply side shocks (which could arise from extreme climate events) could be more than 50% as large as in the absence of bio-fuel policies. So energy markets are important determinants of agricultural commodity price volatility. This proposal intends to introduce the increased supply side volatility on account of climate change and volatility, in the framework. Global warming on account of increased GHG concentrations is expected to increase the intensity and frequency of hot extremes in US (Diffenbaugh et al. 2008) and therefore affect corn yields. With supply shocks expected to increase, binding RFS and BW will exacerbate the volatility, while if they are non-binding then the price changes could be cushioned. We propose to model the impacts of climate changes and volatility on commodity prices by linking three main components - a. Projections for change in temperature and precipitation using climate model b. A statistical model to predict impacts of change in climate variable on corn yields in US c. Computable General Equilibrium economic model that uses the results of the two above as inputs, to predict commodity prices under alternative energy price scenarios We start with the high resolution projections on temperature and precipitation for US corn-belt for years 2020-2040. A modified version of statistical relationship estimated by Schlenker and Roberts, is used to translate climate variables' change into yield changes for each. Shocks are sampled from this distribution to decipher the corresponding volatility in commodity prices. All else constant, the increased supply side variability should result in increased price volatility; high oil prices however give markets an incentive to produce more than 15bn gallons ethanol a year (non-binding RFS) and part of supply fluctuation in crop production can be borne by ethanol production and impact of climate change on crop prices would be less dramatic than it would have been if the entire adjustment was to come through non-ethanol usage. So impact of climate change clearly depends on energy markets and policy decisions and results should provide insights into impact of climate change on agricultural prices under different energy market scenarios.

  3. 75 FR 4143 - Federal Speculative Position Limits for Referenced Energy Contracts and Associated Regulations

    Federal Register 2010, 2011, 2012, 2013, 2014

    2010-01-26

    ... the price of a commodity. In addition to identifying the affected energy contracts and the position... response to high prices and volatility in the energy markets and concerns regarding excessive speculation... position limits during spot months. From 2007 to mid 2008, commodity prices generally, and energy prices in...

  4. Multifractal analysis of the Korean agricultural market

    NASA Astrophysics Data System (ADS)

    Kim, Hongseok; Oh, Gabjin; Kim, Seunghwan

    2011-11-01

    We have studied the long-term memory effects of the Korean agricultural market using the detrended fluctuation analysis (DFA) method. In general, the return time series of various financial data, including stock indices, foreign exchange rates, and commodity prices, are uncorrelated in time, while the volatility time series are strongly correlated. However, we found that the return time series of Korean agricultural commodity prices are anti-correlated in time, while the volatility time series are correlated. The n-point correlations of time series were also examined, and it was found that a multifractal structure exists in Korean agricultural market prices.

  5. Effects of exchange rate volatility on export volume and prices of forest products

    Treesearch

    Sijia Zhang; Joseph Buongiorno

    2010-01-01

    The relative value of currencies varies considerably over time. These fluctuations bring uncertainty to international traders. As a result, the volatility in exchange rate movements may influence the volume and the price of traded commodities. The volatility of exchange rates was measured by the variance of residuals in a GARCH(1,1) model of the exchange rate. We...

  6. Food security in an era of economic volatility.

    PubMed

    Naylor, Rosamond L; Falcon, Walter P

    2010-01-01

    This article analyzes international commodity price movements, assesses food policies in response to price fluctuations, and explores the food security implications of price volatility on low-income groups. It focuses specifically on measurements, causes, and consequences of recent food price trends, variability around those trends, and price spikes. Combining these three components of price dynamics shows that the variation in real prices post-2000 was substantially greater than that in the 1980s and 1990s, and was approximately equal to the extreme volatility in commodity prices that was experienced in the 1970s. Macro policy, exchange rates, and petroleum prices were important determinants of price variability over 2005–2010, highlighting the new linkages between the agriculture-energy and agriculture-finance markets that affect the world food economy today. These linkages contributed in large part to misguided expectations and uncertainty that drove prices to their peak in 2008. The article also argues that there is a long-lasting effect of price spikes on food policy around the world, often resulting in self-sufficiency policies that create even more volatility in international markets. The efforts by governments to stabilize prices frequently contribute to even greater food insecurity among poor households, most of which are in rural areas and survive on the margin of net consumption and net production. Events of 2008—and more recently in 2010—underscore the impact of price variability for food security and the need for refocused policy approaches to prevent and mitigate price spikes.

  7. Managing commodity risks in highway contracts : quantifying premiums, accounting for correlations among risk factors, and designing optimal price-adjustment contracts.

    DOT National Transportation Integrated Search

    2011-09-01

    It is a well-known fact that macro-economic conditions, such as prices of commodities (e.g. oil, : cement and steel) affect the cost of construction projects. In a volatile market environment, highway : agencies often pass such risk to contractors us...

  8. Relationship between financial speculation and food prices or price volatility: applying the principles of evidence-based medicine to current debates in Germany.

    PubMed

    Bozorgmehr, Kayvan; Gabrysch, Sabine; Müller, Olaf; Neuhann, Florian; Jordan, Irmgard; Knipper, Michael; Razum, Oliver

    2013-10-16

    There is an unresolved debate about the potential effects of financial speculation on food prices and price volatility. Germany's largest financial institution and leading global investment bank recently decided to continue investing in agricultural commodities, stating that there is little empirical evidence to support the notion that the growth of agricultural-based financial products has caused price increases or volatility. The statement is supported by a recently published literature review, which concludes that financial speculation does not have an adverse effect on the functioning of the agricultural commodities market. As public health professionals concerned with global food insecurity, we have appraised the methodological quality of the review using a validated and reliable appraisal tool. The appraisal revealed major shortcomings in the methodological quality of the review. These were particularly related to intransparencies in the search strategy and in the selection/presentation of studies and findings; the neglect of the possibility of publication bias; a lack of objective or rigorous criteria for assessing the scientific quality of included studies and for the formulation of conclusions. Based on the results of our appraisal, we conclude that it is not justified to reject the hypothesis that financial speculation might have adverse effects on food prices/price volatility. We hope to initiate reflections about scientific standards beyond the boundaries of disciplines and call for high quality, rigorous systematic reviews on the effects of financial speculation on food prices or price volatility.

  9. Risk Modelling of Agricultural Products

    NASA Astrophysics Data System (ADS)

    Nugrahani, E. H.

    2017-03-01

    In the real world market, agricultural commodity are imposed with fluctuating prices. This means that the price of agricultural products are relatively volatile, which means that agricultural business is a quite risky business for farmers. This paper presents some mathematical models to model such risks in the form of its volatility, based on certain assumptions. The proposed models are time varying volatility model, as well as time varying volatility with mean reversion and with seasonal mean equation models. Implementation on empirical data show that agricultural products are indeed risky.

  10. Modeling agricultural commodity prices and volatility in response to anticipated climate change

    NASA Astrophysics Data System (ADS)

    Lobell, D. B.; Tran, N.; Welch, J.; Roberts, M.; Schlenker, W.

    2012-12-01

    Food prices have shown a positive trend in the past decade, with episodes of rapid increases in 2008 and 2011. These increases pose a threat to food security in many regions of the world, where the poor are generally net consumers of food, and are also thought to increase risks of social and political unrest. The role of global warming in these price reversals have been debated, but little quantitative work has been done. A particular challenge in modeling these effects is that they require understanding links between climate and food supply, as well as between food supply and prices. Here we combine the anticipated effects of climate change on yield levels and volatility with an empirical competitive storage model to examine how expected climate change might affect prices and social welfare in the international food commodity market. We show that price level and volatility do increase over time in response to decreasing yield, and increasing yield variability. Land supply and storage demand both increase, but production and consumption continue to fall leading to a decrease in consumer surplus, and a corresponding though smaller increase in producer surplus.

  11. The inevitable commoditization of electric power markets

    DOE Office of Scientific and Technical Information (OSTI.GOV)

    Mango, B.; Woodley, J.A.C.

    1994-11-01

    As competition grows between electric suppliers it is inevitable that a spot market in electricity will evolve. The impetus is the market demand for greater asset productivity. With prices revealed, a commodity market will follow. With spot and commodity markets will come the power to reallocate risk and make capital investment more productive. Given price volatility, separate markets will develop for near- and long-term hedging instruments.

  12. Speculation on commodities futures markets and destabilization of global food prices: exploring the connections.

    PubMed

    Ghosh, Jayati; Heintz, James; Pollin, Robert

    2012-01-01

    In December 2010, the United Nations Food and Agriculture Organization's Food Price Index surpassed its previous peak of June 2008, and prices remained at this level through September 2011. This pattern is creating justified fears of a renewal or intensification of the global food crisis. This paper reviews arguments and evidence to inform debates on how to regulate commodity futures markets in the face of such price volatility and sustained high prices. We focus on the relationship between market liquidity and price patterns in asset markets in general and in commodities futures markets in particular, as well as the relationship between spot and futures market prices for food. We find strong evidence supporting the need to limit huge increases in trading volume on futures markets through regulations. We find that arguments opposing regulation are not supported. We find no support for the claim that liquidity in futures markets stabilizes prices at "fundamental" values or that spot market prices are free of any significant influence from futures markets. Given these results, the most appropriate position for regulators is precautionary: they should enact and enforce policies capable of effectively dampening excessive speculative trading on the commodities markets for food.

  13. Response of corn markets to climate volatility under alternative energy futures.

    PubMed

    Diffenbaugh, Noah S; Hertel, Thomas W; Scherer, Martin; Verma, Monika

    2012-07-01

    Recent price spikes(1,2) have raised concern that climate change could increase food insecurity by reducing grain yields in the coming decades(3,4). However, commodity price volatility is also influenced by other factors(5,6), which may either exacerbate or buffer the effects of climate change. Here we show that US corn price volatility exhibits higher sensitivity to near-term climate change than to energy policy influences or agriculture-energy market integration, and that the presence of a biofuels mandate enhances the sensitivity to climate change by more than 50%. The climate change impact is driven primarily by intensification of severe hot conditions in the primary corn-growing region of the US, which causes US corn price volatility to increase sharply in response to global warming projected over the next three decades. Closer integration of agriculture and energy markets moderates the effects of climate change, unless the biofuels mandate becomes binding, in which case corn price volatility is instead exacerbated. However, in spite of the substantial impact on US corn price volatility, we find relatively small impact on food prices. Our findings highlight the critical importance of interactions between energy policies, energy-agriculture linkages, and climate change.

  14. Response of corn markets to climate volatility under alternative energy futures

    PubMed Central

    Diffenbaugh, Noah S.; Hertel, Thomas W.; Scherer, Martin; Verma, Monika

    2012-01-01

    Recent price spikes1,2 have raised concern that climate change could increase food insecurity by reducing grain yields in the coming decades3,4. However, commodity price volatility is also influenced by other factors5,6, which may either exacerbate or buffer the effects of climate change. Here we show that US corn price volatility exhibits higher sensitivity to near-term climate change than to energy policy influences or agriculture-energy market integration, and that the presence of a biofuels mandate enhances the sensitivity to climate change by more than 50%. The climate change impact is driven primarily by intensification of severe hot conditions in the primary corn-growing region of the US, which causes US corn price volatility to increase sharply in response to global warming projected over the next three decades. Closer integration of agriculture and energy markets moderates the effects of climate change, unless the biofuels mandate becomes binding, in which case corn price volatility is instead exacerbated. However, in spite of the substantial impact on US corn price volatility, we find relatively small impact on food prices. Our findings highlight the critical importance of interactions between energy policies, energy-agriculture linkages, and climate change. PMID:23243468

  15. Historical trends in U.S. mineral statistics for selected non-ferrous metals

    USGS Publications Warehouse

    Piper, David Z.; Nokleberg, Warren J.

    2002-01-01

    Production figures for selected nonferrous metals-aluminum (including bauxite and alumina), copper, lead, tin, titanium, and zinc-by the United States, as well as other statistics for these commodities, show strong volatility during 20th century. Major shifts were driven by the Great Depression and the two World Wars, but other major temporal changes are also noted that are not directly related to such global crises. For example, the price of tin exhibited a strong maximum in the 1980's, which is unrelated to world production, but rather to failed efforts of the International Tin Council to control price. In the case of copper, U.S. exports have varied throughout the second half of the century, by more than a factor of 5. Such volatility might be explained in part by global economic conditions, at least throughout recent decades. Supporting the interpretation of the importance of foreign pressure on the domestic commodities market is a close correlation between domestic consumption of antimony and its elevated price in the mid 1980's,possibly pushed up mostly by the world dominance in production of this commodity by China. However, only very superficial explanations can be advanced for such relations before we have examined, in concert, information for a much larger suite of commodities.

  16. Regime shift in fertilizer commodities indicates more turbulence ahead for food security.

    PubMed

    Elser, James J; Elser, Timothy J; Carpenter, Stephen R; Brock, William A

    2014-01-01

    Recent human population increase has been enabled by a massive expansion of global agricultural production. A key component of this "Green Revolution" has been application of inorganic fertilizers to produce and maintain high crop yields. However, the long-term sustainability of these practices is unclear given the eutrophying effects of fertilizer runoff as well as the reliance of fertilizer production on finite non-renewable resources such as mined phosphate- and potassium-bearing rocks. Indeed, recent volatility in food and agricultural commodity prices, especially phosphate fertilizer, has raised concerns about emerging constraints on fertilizer production with consequences for its affordability in the developing world. We examined 30 years of monthly prices of fertilizer commodities (phosphate rock, urea, and potassium) for comparison with three food commodities (maize, wheat, and rice) and three non-agricultural commodities (gold, nickel, and petroleum). Here we show that all commodity prices, except gold, had significant change points between 2007-2009, but the fertilizer commodities, and especially phosphate rock, showed multiple symptoms of nonlinear critical transitions. In contrast to fertilizers and to rice, maize and wheat prices did not show significant signs of nonlinear dynamics. From these results we infer a recent emergence of a scarcity price in global fertilizer markets, a result signaling a new high price regime for these essential agricultural inputs. Such a regime will challenge on-going efforts to establish global food security but may also prompt fertilizer use practices and nutrient recovery strategies that reduce eutrophication.

  17. Regime Shift in Fertilizer Commodities Indicates More Turbulence Ahead for Food Security

    PubMed Central

    Elser, James J.; Elser, Timothy J.; Carpenter, Stephen R.; Brock, William A.

    2014-01-01

    Recent human population increase has been enabled by a massive expansion of global agricultural production. A key component of this “Green Revolution” has been application of inorganic fertilizers to produce and maintain high crop yields. However, the long-term sustainability of these practices is unclear given the eutrophying effects of fertilizer runoff as well as the reliance of fertilizer production on finite non-renewable resources such as mined phosphate- and potassium-bearing rocks. Indeed, recent volatility in food and agricultural commodity prices, especially phosphate fertilizer, has raised concerns about emerging constraints on fertilizer production with consequences for its affordability in the developing world. We examined 30 years of monthly prices of fertilizer commodities (phosphate rock, urea, and potassium) for comparison with three food commodities (maize, wheat, and rice) and three non-agricultural commodities (gold, nickel, and petroleum). Here we show that all commodity prices, except gold, had significant change points between 2007–2009, but the fertilizer commodities, and especially phosphate rock, showed multiple symptoms of nonlinear critical transitions. In contrast to fertilizers and to rice, maize and wheat prices did not show significant signs of nonlinear dynamics. From these results we infer a recent emergence of a scarcity price in global fertilizer markets, a result signaling a new high price regime for these essential agricultural inputs. Such a regime will challenge on-going efforts to establish global food security but may also prompt fertilizer use practices and nutrient recovery strategies that reduce eutrophication. PMID:24787624

  18. Preliminary analysis on hybrid Box-Jenkins - GARCH modeling in forecasting gold price

    NASA Astrophysics Data System (ADS)

    Yaziz, Siti Roslindar; Azizan, Noor Azlinna; Ahmad, Maizah Hura; Zakaria, Roslinazairimah; Agrawal, Manju; Boland, John

    2015-02-01

    Gold has been regarded as a valuable precious metal and the most popular commodity as a healthy return investment. Hence, the analysis and prediction of gold price become very significant to investors. This study is a preliminary analysis on gold price and its volatility that focuses on the performance of hybrid Box-Jenkins models together with GARCH in analyzing and forecasting gold price. The Box-Cox formula is used as the data transformation method due to its potential best practice in normalizing data, stabilizing variance and reduces heteroscedasticity using 41-year daily gold price data series starting 2nd January 1973. Our study indicates that the proposed hybrid model ARIMA-GARCH with t-innovation can be a new potential approach in forecasting gold price. This finding proves the strength of GARCH in handling volatility in the gold price as well as overcomes the non-linear limitation in the Box-Jenkins modeling.

  19. Applications of GARCH models to energy commodities

    NASA Astrophysics Data System (ADS)

    Humphreys, H. Brett

    This thesis uses GARCH methods to examine different aspects of the energy markets. The first part of the thesis examines seasonality in the variance. This study modifies the standard univariate GARCH models to test for seasonal components in both the constant and the persistence in natural gas, heating oil and soybeans. These commodities exhibit seasonal price movements and, therefore, may exhibit seasonal variances. In addition, the heating oil model is tested for a structural change in variance during the Gulf War. The results indicate the presence of an annual seasonal component in the persistence for all commodities. Out-of-sample volatility forecasting for natural gas outperforms standard forecasts. The second part of this thesis uses a multivariate GARCH model to examine volatility spillovers within the crude oil forward curve and between the London and New York crude oil futures markets. Using these results the effect of spillovers on dynamic hedging is examined. In addition, this research examines cointegration within the oil markets using investable returns rather than fixed prices. The results indicate the presence of strong volatility spillovers between both markets, weak spillovers from the front of the forward curve to the rest of the curve, and cointegration between the long term oil price on the two markets. The spillover dynamic hedge models lead to a marginal benefit in terms of variance reduction, but a substantial decrease in the variability of the dynamic hedge; thereby decreasing the transactions costs associated with the hedge. The final portion of the thesis uses portfolio theory to demonstrate how the energy mix consumed in the United States could be chosen given a national goal to reduce the risks to the domestic macroeconomy of unanticipated energy price shocks. An efficient portfolio frontier of U.S. energy consumption is constructed using a covariance matrix estimated with GARCH models. The results indicate that while the electric utility industry is operating close to the minimum variance position, a shift towards coal consumption would reduce price volatility for overall U.S. energy consumption. With the inclusion of potential externality costs, the shift remains away from oil but towards natural gas instead of coal.

  20. Market analysis of construction materials with recommendations for the future of the industry : final report, January 14, 2010.

    DOT National Transportation Integrated Search

    2010-01-14

    Due to the volatility of current highway construction commodity prices, owners, contractors, and designers are facing serious challenges in both short-term estimating and long-term planning. Among these challenges is significant uncertainty about the...

  1. Modelling volatility recurrence intervals in the Chinese commodity futures market

    NASA Astrophysics Data System (ADS)

    Zhou, Weijie; Wang, Zhengxin; Guo, Haiming

    2016-09-01

    The law of extreme event occurrence attracts much research. The volatility recurrence intervals of Chinese commodity futures market prices are studied: the results show that the probability distributions of the scaled volatility recurrence intervals have a uniform scaling curve for different thresholds q. So we can deduce the probability distribution of extreme events from normal events. The tail of a scaling curve can be well fitted by a Weibull form, which is significance-tested by KS measures. Both short-term and long-term memories are present in the recurrence intervals with different thresholds q, which denotes that the recurrence intervals can be predicted. In addition, similar to volatility, volatility recurrence intervals also have clustering features. Through Monte Carlo simulation, we artificially synthesise ARMA, GARCH-class sequences similar to the original data, and find out the reason behind the clustering. The larger the parameter d of the FIGARCH model, the stronger the clustering effect is. Finally, we use the Fractionally Integrated Autoregressive Conditional Duration model (FIACD) to analyse the recurrence interval characteristics. The results indicated that the FIACD model may provide a method to analyse volatility recurrence intervals.

  2. Portfolio management under sudden changes in volatility and heterogeneous investment horizons

    NASA Astrophysics Data System (ADS)

    Fernandez, Viviana; Lucey, Brian M.

    2007-03-01

    We analyze the implications for portfolio management of accounting for conditional heteroskedasticity and sudden changes in volatility, based on a sample of weekly data of the Dow Jones Country Titans, the CBT-municipal bond, spot and futures prices of commodities for the period 1992-2005. To that end, we first proceed to utilize the ICSS algorithm to detect long-term volatility shifts, and incorporate that information into PGARCH models fitted to the returns series. At the next stage, we simulate returns series and compute a wavelet-based value at risk, which takes into consideration the investor's time horizon. We repeat the same procedure for artificial data generated from semi-parametric estimates of the distribution functions of returns, which account for fat tails. Our estimation results show that neglecting GARCH effects and volatility shifts may lead to an overestimation of financial risk at different time horizons. In addition, we conclude that investors benefit from holding commodities as their low or even negative correlation with stock and bond indices contribute to portfolio diversification.

  3. Volatility Spillover in Chinese Steel Markets

    NASA Astrophysics Data System (ADS)

    Fang, Wen

    2018-03-01

    This paper examines volatility spillover in Chinese steel markets by comparing spillover effects before and after steel futures market established and finds some interesting change. Volatility spillover method based on multi-GARCH model are proposed. The results show that there is significant proof for spillover effects from B2B electronic market to spot market, and two-way effects between futures and spot market. Market policy planners and practitioners could make decisions according to the master of spillovers. We also find that B2B e-market and futures market can both provide efficient protection against steel price volatility risk, B2B e-market offer a broad-based platform for trading steel commodities over time and space since e-market role in information flow process is dominant.

  4. Statistical regularities of Carbon emission trading market: Evidence from European Union allowances

    NASA Astrophysics Data System (ADS)

    Zheng, Zeyu; Xiao, Rui; Shi, Haibo; Li, Guihong; Zhou, Xiaofeng

    2015-05-01

    As an emerging financial market, the trading value of carbon emission trading market has definitely increased. In recent years, the carbon emission allowances have already become a way of investment. They are bought and sold not only by carbon emitters but also by investors. In this paper, we analyzed the price fluctuations of the European Union allowances (EUA) futures in European Climate Exchange (ECX) market from 2007 to 2011. The symmetric and power-law probability density function of return time series was displayed. We found that there are only short-range correlations in price changes (return), while long-range correlations in the absolute of price changes (volatility). Further, detrended fluctuation analysis (DFA) approach was applied with focus on long-range autocorrelations and Hurst exponent. We observed long-range power-law autocorrelations in the volatility that quantify risk, and found that they decay much more slowly than the autocorrelation of return time series. Our analysis also showed that the significant cross correlations exist between return time series of EUA and many other returns. These cross correlations exist in a wide range of fields, including stock markets, energy concerned commodities futures, and financial futures. The significant cross-correlations between energy concerned futures and EUA indicate the physical relationship between carbon emission and energy production process. Additionally, the cross-correlations between financial futures and EUA indicate that the speculation behavior may become an important factor that can affect the price of EUA. Finally we modeled the long-range volatility time series of EUA with a particular version of the GARCH process, and the result also suggests long-range volatility autocorrelations.

  5. Global Phosphorus Fertilizer Market and National Policies: A Case Study Revisiting the 2008 Price Peak.

    PubMed

    Khabarov, Nikolay; Obersteiner, Michael

    2017-01-01

    The commodity market super-cycle and food price crisis have been associated with rampant food insecurity and the Arab spring. A multitude of factors were identified as culprits for excessive volatility on the commodity markets. However, as it regards fertilizers, a clear attribution of market drivers explaining the emergence of extreme price events is still missing. In this paper, we provide a quantitative assessment of the price spike of the global phosphorus fertilizer market in 2008 focusing on diammonium phosphate (DAP). We find that fertilizer market policies in India, the largest global importer of phosphorus fertilizers and phosphate rock, turned out to be a major contributor to the global price spike. India doubled its import of P-fertilizer in 2008 at a time when prices doubled. The analysis of a wide set of factors pertinent to the 2008 price spike in phosphorus fertilizer market leads us to the discovery of a price spike magnification and triggering mechanisms. We find that the price spike was magnified on the one hand by protective trade measures of fertilizer suppliers leading to a 19% drop in global phosphate fertilizer export. On the other hand, the Indian fertilizer subsidy scheme led to farmers not adjusting their demand for fertilizer. The triggering mechanism appeared to be the Indian production outage of P-fertilizer resulting in the additional import demand for DAP in size of about 20% of annual global supply. The main conclusion is that these three factors have jointly caused the spike, underscoring the need for ex ante improvements in fertilizer market regulation on both national and international levels.

  6. Stochastic modeling of stock price process induced from the conjugate heat equation

    NASA Astrophysics Data System (ADS)

    Paeng, Seong-Hun

    2015-02-01

    Currency can be considered as a ruler for values of commodities. Then the price is the measured value by the ruler. We can suppose that inflation and variation of exchange rate are caused by variation of the scale of the ruler. In geometry, variation of the scale means that the metric is time-dependent. The conjugate heat equation is the modified heat equation which satisfies the heat conservation law for the time-dependent metric space. We propose a new model of stock prices by using the stochastic process whose transition probability is determined by the kernel of the conjugate heat equation. Our model of stock prices shows how the volatility term is affected by inflation and exchange rate. This model modifies the Black-Scholes equation in light of inflation and exchange rate.

  7. Statistical field theory of futures commodity prices

    NASA Astrophysics Data System (ADS)

    Baaquie, Belal E.; Yu, Miao

    2018-02-01

    The statistical theory of commodity prices has been formulated by Baaquie (2013). Further empirical studies of single (Baaquie et al., 2015) and multiple commodity prices (Baaquie et al., 2016) have provided strong evidence in support the primary assumptions of the statistical formulation. In this paper, the model for spot prices (Baaquie, 2013) is extended to model futures commodity prices using a statistical field theory of futures commodity prices. The futures prices are modeled as a two dimensional statistical field and a nonlinear Lagrangian is postulated. Empirical studies provide clear evidence in support of the model, with many nontrivial features of the model finding unexpected support from market data.

  8. 22 CFR 201.63 - Maximum prices for commodities.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... actually incurred in moving the commodities supplied from the point of purchase to a position alongside or... between those points. (g) Commodity price subject to escalation. If a purchase contract contains a price.... prevailing market price—U.S. source. The purchase price for a commodity, the source of which is the United...

  9. Global Phosphorus Fertilizer Market and National Policies: A Case Study Revisiting the 2008 Price Peak

    PubMed Central

    Khabarov, Nikolay; Obersteiner, Michael

    2017-01-01

    The commodity market super-cycle and food price crisis have been associated with rampant food insecurity and the Arab spring. A multitude of factors were identified as culprits for excessive volatility on the commodity markets. However, as it regards fertilizers, a clear attribution of market drivers explaining the emergence of extreme price events is still missing. In this paper, we provide a quantitative assessment of the price spike of the global phosphorus fertilizer market in 2008 focusing on diammonium phosphate (DAP). We find that fertilizer market policies in India, the largest global importer of phosphorus fertilizers and phosphate rock, turned out to be a major contributor to the global price spike. India doubled its import of P-fertilizer in 2008 at a time when prices doubled. The analysis of a wide set of factors pertinent to the 2008 price spike in phosphorus fertilizer market leads us to the discovery of a price spike magnification and triggering mechanisms. We find that the price spike was magnified on the one hand by protective trade measures of fertilizer suppliers leading to a 19% drop in global phosphate fertilizer export. On the other hand, the Indian fertilizer subsidy scheme led to farmers not adjusting their demand for fertilizer. The triggering mechanism appeared to be the Indian production outage of P-fertilizer resulting in the additional import demand for DAP in size of about 20% of annual global supply. The main conclusion is that these three factors have jointly caused the spike, underscoring the need for ex ante improvements in fertilizer market regulation on both national and international levels. PMID:28660192

  10. Systemic trade risk of critical resources.

    PubMed

    Klimek, Peter; Obersteiner, Michael; Thurner, Stefan

    2015-11-01

    In the wake of the 2008 financial crisis, the role of strongly interconnected markets in causing systemic instability has been increasingly acknowledged. Trade networks of commodities are susceptible to cascades of supply shocks that increase systemic trade risks and pose a threat to geopolitical stability. We show that supply risk, scarcity, and price volatility of nonfuel mineral resources are intricately connected with the structure of the worldwide trade networks spanned by these resources. At the global level, we demonstrate that the scarcity of a resource is closely related to the susceptibility of the trade network with respect to cascading shocks. At the regional level, we find that, to some extent, region-specific price volatility and supply risk can be understood by centrality measures that capture systemic trade risk. The resources associated with the highest systemic trade risk indicators are often those that are produced as by-products of major metals. We identify significant strategic shortcomings in the management of systemic trade risk, in particular in the European Union.

  11. Systemic trade risk of critical resources

    PubMed Central

    Klimek, Peter; Obersteiner, Michael; Thurner, Stefan

    2015-01-01

    In the wake of the 2008 financial crisis, the role of strongly interconnected markets in causing systemic instability has been increasingly acknowledged. Trade networks of commodities are susceptible to cascades of supply shocks that increase systemic trade risks and pose a threat to geopolitical stability. We show that supply risk, scarcity, and price volatility of nonfuel mineral resources are intricately connected with the structure of the worldwide trade networks spanned by these resources. At the global level, we demonstrate that the scarcity of a resource is closely related to the susceptibility of the trade network with respect to cascading shocks. At the regional level, we find that, to some extent, region-specific price volatility and supply risk can be understood by centrality measures that capture systemic trade risk. The resources associated with the highest systemic trade risk indicators are often those that are produced as by-products of major metals. We identify significant strategic shortcomings in the management of systemic trade risk, in particular in the European Union. PMID:26702431

  12. 22 CFR 201.64 - Application of the price rules to commodities.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... purchase price of a commodity exceeds the price in comparable export sales or in comparable domestic sales... addition to the price of the commodity at an internal point in the source country, transportation from that point to the port of export in the source country, and to the extent not already included in the price...

  13. Cross-correlations between crude oil and agricultural commodity markets

    NASA Astrophysics Data System (ADS)

    Liu, Li

    2014-02-01

    In this paper, we investigate cross-correlations between crude oil and agricultural commodity markets. Based on a popular statistical test proposed by Podobnik et al. (2009), we find that the linear return cross-correlations are significant at larger lag lengths and the volatility cross-correlations are highly significant at all of the lag lengths under consideration. Using a detrended cross-correlation analysis (DCCA), we find that the return cross-correlations are persistent for corn and soybean and anti-persistent for oat and soybean. The volatility cross-correlations are strongly persistent. Using a nonlinear cross-correlation measure, our results show that cross-correlations are relatively weak but they are significant for smaller time scales. For larger time scales, the cross-correlations are not significant. The reason may be that information transmission from crude oil market to agriculture markets can complete within a certain period of time. Finally, based on multifractal extension of DCCA, we find that the cross-correlations are multifractal and high oil prices partly contribute to food crisis during the period of 2006-mid-2008.

  14. How market structure drives commodity prices

    NASA Astrophysics Data System (ADS)

    Li, Bin; Wong, K. Y. Michael; Chan, Amos H. M.; So, Tsz Yan; Heimonen, Hermanni; Wei, Junyi; Saad, David

    2017-11-01

    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 resource level and a couple of macroscopic parameters that emerge naturally from the analysis, akin to mean-field parameters in statistical mechanics. When resources are scarce prices rise sharply below a turning point that marks the disappearance of excess producers. To compare the model with real empirical data, we study the relationship between commodity prices and stock-to-use ratios in a range of commodities such as agricultural products and metals. By introducing an elasticity parameter to mitigate noise and long-term changes in commodities data, we confirm the trend of rising prices, provide evidence for turning points, and indicate yield points for less essential commodities.

  15. Availability, prices and affordability of UN Commission's lifesaving medicines for reproductive and maternal health in Uganda.

    PubMed

    Kibira, Denis; Kitutu, Freddy Eric; Merrett, Gemma Buckland; Mantel-Teeuwisse, Aukje K

    2017-01-01

    Uganda was one of seven countries in which the United Nations Commission on Life Saving Commodities (UNCoLSC) initiative was implemented starting from 2013. A nationwide survey was conducted in 2015 to determine availability, prices and affordability of essential UNCoLSC maternal and reproductive health (MRH) commodities. The survey at health facilities in Uganda was conducted using an adapted version of the standardized methodology co-developed by World Health Organisation (WHO) and Health Action International (HAI). In this study, six maternal and reproductive health commodities, that were part of the UNCoLSC initiative, were studied in the public, private and mission health sectors. Median price ratios were calculated with Management Sciences for Health International Drug Price Indicator prices as reference. Maternal and reproductive health commodity stocks were reviewed from stock cards for their availability for a period of 6 months preceding the survey. Affordability was measured using wages of the lowest paid government worker. Overall none of the six maternal and reproductive commodities was found in the surveyed health facilities. Public sector had the highest availability (52%), followed by mission sector (36%) and then private sector had the least (30%). Stock outs ranged from 7 to 21 days in public sector; 2 to 23 days in private sector and 3 to 27 days in mission sector. During the survey, maternal health commodities were more available and had less number of stock out days than reproductive health commodities. Median price ratios (MPR) indicated that medicines and commodities were more expensive in Uganda compared to international reference prices. Furthermore, MRH medicines and commodities were more expensive and less affordable in private sector compared to mission sector. Access to MRH commodities is inadequate in Uganda. Maternal health commodities were more available, cheaper and thus more affordable than reproductive health commodities in the current study. Efforts should be undertaken by the Ministry of Health and stakeholders to improve availability, prices and affordability of MRH commodities in Uganda to ensure that sustainable Development Goals are met.

  16. A dataset on tail risk of commodities markets.

    PubMed

    Powell, Robert J; Vo, Duc H; Pham, Thach N; Singh, Abhay K

    2017-12-01

    This article contains the datasets related to the research article "The long and short of commodity tails and their relationship to Asian equity markets"(Powell et al., 2017) [1]. The datasets contain the daily prices (and price movements) of 24 different commodities decomposed from the S&P GSCI index and the daily prices (and price movements) of three share market indices including World, Asia, and South East Asia for the period 2004-2015. Then, the dataset is divided into annual periods, showing the worst 5% of price movements for each year. The datasets are convenient to examine the tail risk of different commodities as measured by Conditional Value at Risk (CVaR) as well as their changes over periods. The datasets can also be used to investigate the association between commodity markets and share markets.

  17. Trends in economic scarcity of U.S. timber commodities

    Treesearch

    K. E. Skog; C. D. Risbrudt

    Prompted by continuing concern that timber-based commodities are becoming increasingly scarce, this paper presents information on changes in real prices (prices deflated by the general producer price index) of timber commodities as potential indicators of economic scarcity. Data updating previous studies are shown for sawlog stumpage, delivered sawlogs, and lumber;...

  18. Statistical physics approaches to financial fluctuations

    NASA Astrophysics Data System (ADS)

    Wang, Fengzhong

    2009-12-01

    Complex systems attract many researchers from various scientific fields. Financial markets are one of these widely studied complex systems. Statistical physics, which was originally developed to study large systems, provides novel ideas and powerful methods to analyze financial markets. The study of financial fluctuations characterizes market behavior, and helps to better understand the underlying market mechanism. Our study focuses on volatility, a fundamental quantity to characterize financial fluctuations. We examine equity data of the entire U.S. stock market during 2001 and 2002. To analyze the volatility time series, we develop a new approach, called return interval analysis, which examines the time intervals between two successive volatilities exceeding a given value threshold. We find that the return interval distribution displays scaling over a wide range of thresholds. This scaling is valid for a range of time windows, from one minute up to one day. Moreover, our results are similar for commodities, interest rates, currencies, and for stocks of different countries. Further analysis shows some systematic deviations from a scaling law, which we can attribute to nonlinear correlations in the volatility time series. We also find a memory effect in return intervals for different time scales, which is related to the long-term correlations in the volatility. To further characterize the mechanism of price movement, we simulate the volatility time series using two different models, fractionally integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) and fractional Brownian motion (fBm), and test these models with the return interval analysis. We find that both models can mimic time memory but only fBm shows scaling in the return interval distribution. In addition, we examine the volatility of daily opening to closing and of closing to opening. We find that each volatility distribution has a power law tail. Using the detrended fluctuation analysis (DFA) method, we show long-term auto-correlations in these volatility time series. We also analyze return, the actual price changes of stocks, and find that the returns over the two sessions are often anti-correlated.

  19. How Market Structure Drives Commodity Prices

    NASA Astrophysics Data System (ADS)

    Li, Bin; Wong, K. Y. Michael; Chan, Amos H. M.; So, Tsz Yan; Heimonen, Hermanni; Saad, David

    To understand how market structure drives commodity price trends with respect to resource availability 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. When resources are scarce prices rise sharply below a turning point marking the disappearance of excess producers. By introducing an elasticity parameter to mitigate noise and long-term changes in commodities data, we confirm the trend of rising prices, provide evidence for turning points, and indicate yield points for less essential commodities. This work is supported by Research Grants Council of Hong Kong (Grant Numbers 604512, 605813, and 16322616) and the Leverhulme Trust RPG-2013-48.

  20. 7 CFR 5.3 - Selection of calendar year price data.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... year price data. In computing the adjusted base price for those commodities for which calendar year price data are used, “* * * the average of the prices received by farmers for such commodity, at such... 7 Agriculture 1 2010-01-01 2010-01-01 false Selection of calendar year price data. 5.3 Section 5.3...

  1. Design the price signal mechanism of suppliers' cost in the commercial procurement process

    NASA Astrophysics Data System (ADS)

    Jinming, Huang; Wenjing, Li; Huazhen, Zhu

    2016-06-01

    In the process of commercial procurement, there exists information asymmetry between purchasers and suppliers in terms of commodity cost. The strike price is what purchasers care about, while the focus of suppliers is only the sales revenue. In order to achieve the relatively lower strike price, purchasers need to design a price signal mechanism, explicating the commodity cost of suppliers. In this article, we have designed a mechanism that purchasers can explicit the commodity cost price based on suppliers' choices by providing a variety of purchase contracts to suppliers.

  2. Does Integration Help Adapt to Climate Change? Case of Increased US Corn Yield Volatility

    NASA Astrophysics Data System (ADS)

    Verma, M.; Diffenbaugh, N. S.; Hertel, T. W.

    2012-12-01

    In absence of of new crop varieties or significant shifts in the geography of corn production, US national corn yields variation could double by the year 2040 as a result of climate change and without adaptation this could lead the variability in US corn prices to quadruple (Diffenbaugh et al. 2012). In addition to climate induced price changes, analysis of recent commodity price spikes suggests that interventionist trade policies are partly to blame. Assuming we cannot much influence the future climate outcome, what policies can we undertake to adapt better? Can we use markets to blunt this edge? Diffenbaugh et al. find that sale of corn- ethanol for use in liquid fuel, when governed by quotas such as US Renewable Fuel Standard (RFS), could make US corn prices even more variable; in contrast the same food-fuel market link (we refer to it as intersectoral link) may well dampen price volatility when the sale of corn to ethanol industry is driven by higher future oil prices. The latter however comes at the cost of exposing corn prices to the greater volatility in oil markets. Similarly intervention in corn trade can make US corn prices less or more volatile by distorting international corn price transmission. A negative US corn yield shock shows that domestic corn supply falls and domestic prices to go up irrespective of whether or not markets are integrated. How much the prices go up depends on how much demand adjusts to accommodate the supply shock. Based on the forgoing analysis, one should expect that demand would adjust more readily when markets are integrated and therefore reduce the resulting price fluctuation. Simulation results confirm this response of corn markets. In terms of relative comparisons however a policy driven intersectoral integration is least effective and prices rise much more. Similarly, a positive world oil price shock makes the US oil imports expensive and with oil being used to produce gasoline blends, it increases the price of gasoline and reduces its demand. In the presence of domestic integration, ethanol production rises to substitute oil in the gasoline blend and thereby increases the corn demand and prices. However if one takes into account increase in corn price due to increased production costs (increase in oil price increases fertilizer prices - a major input into corn production) and reduced corn prices due to reduced fuel demand and therefore reduced ethanol additive demand; the prices can go either way. Our initial simulations show that they do in fact go down with mandate driven integration. This raises some more general questions: Whether integration (intersectoral and international) can be an effective strategy for adapting to climate change? And which of the four adaptation options - RFS or oil price driven domestic integration, full corn tariff liberalization or restricting tariff manipulation by partners - would be more effective in comparison to other adaptation (including no adaptation) scenarios? We implement the alternative adaptation strategies, while sampling from the same corn yield and oil price distributions and compare the resulting corn price variations to the base case where no such adaptation has been undertaken. Our initial results suggest that intersectoral integration is more effective form of adaptation than international one, but only if driven by market forces and not mandates.

  3. Market interdependence among commodity prices based on information transmission on the Internet

    NASA Astrophysics Data System (ADS)

    Ji, Qiang; Guo, Jian-Feng

    2015-05-01

    Human behaviour on the Internet has become a synchro-projection of real society. In this paper, we introduce the public concern derived from query volumes on the Web to empirically analyse the influence of information on commodity markets (e.g., crude oil, heating oil, corn and gold) using multivariate GARCH models based on dynamic conditional correlations. The analysis found that the changes of public concern on the Internet can well depict the changes of market prices, as the former has significant Granger causality effects on market prices. The findings indicate that the information of external shocks to commodity markets could be transmitted quickly, and commodity markets easily absorb the public concern of the information-sensitive traders. Finally, the conditional correlation among commodity prices varies dramatically over time.

  4. Modeling the stock price returns volatility using GARCH(1,1) in some Indonesia stock prices

    NASA Astrophysics Data System (ADS)

    Awalludin, S. A.; Ulfah, S.; Soro, S.

    2018-01-01

    In the financial field, volatility is one of the key variables to make an appropriate decision. Moreover, modeling volatility is needed in derivative pricing, risk management, and portfolio management. For this reason, this study presented a widely used volatility model so-called GARCH(1,1) for estimating the volatility of daily returns of stock prices of Indonesia from July 2007 to September 2015. The returns can be obtained from stock price by differencing log of the price from one day to the next. Parameters of the model were estimated by Maximum Likelihood Estimation. After obtaining the volatility, natural cubic spline was employed to study the behaviour of the volatility over the period. The result shows that GARCH(1,1) indicate evidence of volatility clustering in the returns of some Indonesia stock prices.

  5. Capital dissipation minimization for a class of complex irreversible resource exchange processes

    NASA Astrophysics Data System (ADS)

    Xia, Shaojun; Chen, Lingen

    2017-05-01

    A model of a class of irreversible resource exchange processes (REPes) between a firm and a producer with commodity flow leakage from the producer to a competitive market is established in this paper. The REPes are assumed to obey the linear commodity transfer law (LCTL). Optimal price paths for capital dissipation minimization (CDM) (it can measure economic process irreversibility) are obtained. The averaged optimal control theory is used. The optimal REP strategy is also compared with other strategies, such as constant-firm-price operation and constant-commodity-flow operation, and effects of the amount of commodity transferred and the commodity flow leakage on the optimal REP strategy are also analyzed. The commodity prices of both the producer and the firm for the CDM of the REPes with commodity flow leakage change with the time exponentially.

  6. 76 FR 27665 - Agency Information Collection Activities; Submission for OMB Review; Comment Request; Consumer...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-05-12

    ... INFORMATION: The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by... for OMB Review; Comment Request; Consumer Price Index Commodities and Services Survey ACTION: Notice...) sponsored information collection request (ICR) titled, ``Consumer Price Index Commodities and Services...

  7. Empirical microeconomics action functionals

    NASA Astrophysics Data System (ADS)

    Baaquie, Belal E.; Du, Xin; Tanputraman, Winson

    2015-06-01

    A statistical generalization of microeconomics has been made in Baaquie (2013), where the market price of every traded commodity, at each instant of time, is considered to be an independent random variable. The dynamics of commodity market prices is modeled by an action functional-and the focus of this paper is to empirically determine the action functionals for different commodities. The correlation functions of the model are defined using a Feynman path integral. The model is calibrated using the unequal time correlation of the market commodity prices as well as their cubic and quartic moments using a perturbation expansion. The consistency of the perturbation expansion is verified by a numerical evaluation of the path integral. Nine commodities drawn from the energy, metal and grain sectors are studied and their market behavior is described by the model to an accuracy of over 90% using only six parameters. The paper empirically establishes the existence of the action functional for commodity prices that was postulated to exist in Baaquie (2013).

  8. Agriculture and Energy: Implications for Food Security, Water, and Land Use

    NASA Astrophysics Data System (ADS)

    Tokgoz, S.; Zhang, W.; Msangi, S.; Bhandary, P.

    2011-12-01

    Sustainable production of agricultural commodities and growth of international trade in these goods are challenged as never before by supply-side constraints (such as climate change, water and land scarcity, and environmental degradation) and by demand-side dynamics (volatility in food and energy markets, the strengthening food-energy linkage, population growth, and income growth). On the one hand, the rapidly expanding demand can potentially create new market opportunities for agriculture. On the other hand, there are many threats to a sufficient response by the supply side to meet this growing and changing demand. Agricultural production systems in many countries are neither resource-efficient, nor producing according to their full potential. The stock of natural resources such as land, water, nutrients, energy, and genetic diversity is shrinking relative to demand, and their use must become increasingly efficient in order to reduce environmental impacts and preserve the planet's productive capacity. World energy prices have increased rapidly in recent years. At the same time, agriculture has become more energy-intensive. Higher energy costs have pushed up the cost of producing, transporting and processing agricultural commodities, driving up commodity prices. Higher energy costs have also affected water use and availability through increased costs of water extraction, conveyance and desalinization, higher demand for hydroelectric power, and increased cost of subsidizing water services. In the meantime, the development of biofuels has diverted increasing amounts of agricultural land and water resources to the production of biomass-based renewable energy. This more "intensified" linkage between agriculture and energy comes at a time when there are other pressures on the world's limited resources. The related high food prices, especially those in the developing countries, have led to setbacks in the poverty alleviation effort among the global community with more population under hunger and poverty. In light of these threats and opportunities facing the global food system, the proposed study takes a long-term perspective and addresses the main medium and long- term drivers of agricultural markets using the International Model for Policy Analysis of Agricultural Commodities and Trade developed by the Environment and Production Technology Division of IFPRI to project future production, consumption, and trade of key agricultural commodities. The main objective of the study is to analyze the link between energy and agricultural markets, focusing on the "new" role of agriculture as a supplier of energy for transportation through biofuels, and the subsequent impact on land use and demand for water from the agricultural sector. In this context, this study incorporates various scenarios of future energy demand and energy price impacts on global agricultural markets (food prices and food security), water use implications (irrigation water consumption by agricultural sector), and land use implications (changes in national and global crop area). The scenarios are designed to understand the impact of energy prices on biofuel production, cost of production for agricultural crops, conversion of rainfed area to irrigated area, and necessary levels of crop productivity growth to counter these effects.

  9. 17 CFR 242.612 - Minimum pricing increment.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... 17 Commodity and Securities Exchanges 3 2010-04-01 2010-04-01 false Minimum pricing increment. 242.612 Section 242.612 Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION (CONTINUED...-Regulation of the National Market System § 242.612 Minimum pricing increment. (a) No national securities...

  10. Marijuana and tobacco cigarettes: Estimating their behavioral economic relationship using purchasing tasks.

    PubMed

    Peters, Erica N; Rosenberry, Zachary R; Schauer, Gillian L; O'Grady, Kevin E; Johnson, Patrick S

    2017-06-01

    Although marijuana and tobacco are commonly coused, the nature of their relationship has not been fully elucidated. Behavioral economics has characterized the relationship between concurrently available commodities but has not been applied to marijuana and tobacco couse. U.S. adults ≥18 years who coused marijuana and tobacco cigarettes were recruited via Mechanical Turk, a crowdsourcing service by Amazon. Participants (N = 82) completed online purchasing tasks assessing hypothetical marijuana or tobacco cigarette puff consumption across a range of per-puff prices; 2 single-commodity tasks assessed these when only 1 commodity was available, and 2 cross-commodity tasks assessed these in the presence of a concurrently available fixed-price commodity. Purchasing tasks generated measures of demand elasticity, that is, sensitivity of consumption to prices. In single-commodity tasks, consumption of tobacco cigarette puffs (elasticity of demand: α = 0.0075; 95% confidence interval [0.0066, 0.0085], R² = 0.72) and of marijuana puffs (α = .0044; 95% confidence interval [0.0038, 0.0049], R² = 0.71) declined significantly with increases in price per puff. In cross-commodity tasks when both tobacco cigarette puffs and marijuana puffs were available, demand for 1 commodity was independent of price increases in the other commodity (ps > .05). Results revealed that, in this small sample, marijuana and tobacco cigarettes did not substitute for each other and did not complement each other; instead, they were independent of each other. These preliminary results can inform future studies assessing the economic relationship between tobacco and marijuana in the quickly changing policy climate in the United States. (PsycINFO Database Record (c) 2017 APA, all rights reserved).

  11. Stock price dynamics and option valuations under volatility feedback effect

    NASA Astrophysics Data System (ADS)

    Kanniainen, Juho; Piché, Robert

    2013-02-01

    According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.

  12. Market-oriented ethanol and corn-trade policies can reduce climate-induced US corn price volatility

    NASA Astrophysics Data System (ADS)

    Verma, Monika; Hertel, Thomas; Diffenbaugh, Noah

    2014-05-01

    Agriculture is closely affected by climate. Over the past decade, biofuels have emerged as another important factor shaping the agricultural sector. We ask whether the presence of the US ethanol sector can play a role in moderating increases in US corn price variability, projected to occur in response to near-term global warming. Our findings suggest that the answer to this question depends heavily on the underlying forces shaping the ethanol industry. If mandate-driven, there is little doubt that the presence of the corn-ethanol sector will exacerbate price volatility. However, if market-driven, then the emergence of the corn-ethanol sector can be a double-edged sword for corn price volatility, possibly cushioning the impact of increased climate driven supply volatility, but also inheriting volatility from the newly integrated energy markets via crude oil price fluctuations. We find that empirically the former effect dominates, reducing price volatility by 27%. In contrast, mandates on ethanol production increase future price volatility by 54% in under future climate after 2020. We also consider the potential for liberalized international corn trade to cushion corn price volatility in the US. Our results suggest that allowing corn to move freely internationally serves to reduce the impact of near-term climate change on US corn price volatility by 8%.

  13. Statistical microeconomics and commodity prices: theory and empirical results.

    PubMed

    Baaquie, Belal E

    2016-01-13

    A review is made of the statistical generalization of microeconomics by Baaquie (Baaquie 2013 Phys. A 392, 4400-4416. (doi:10.1016/j.physa.2013.05.008)), where the market price of every traded commodity, at each instant of time, is considered to be an independent random variable. The dynamics of commodity market prices is given by the unequal time correlation function and is modelled by the Feynman path integral based on an action functional. The correlation functions of the model are defined using the path integral. The existence of the action functional for commodity prices that was postulated to exist in Baaquie (Baaquie 2013 Phys. A 392, 4400-4416. (doi:10.1016/j.physa.2013.05.008)) has been empirically ascertained in Baaquie et al. (Baaquie et al. 2015 Phys. A 428, 19-37. (doi:10.1016/j.physa.2015.02.030)). The model's action functionals for different commodities has been empirically determined and calibrated using the unequal time correlation functions of the market commodity prices using a perturbation expansion (Baaquie et al. 2015 Phys. A 428, 19-37. (doi:10.1016/j.physa.2015.02.030)). Nine commodities drawn from the energy, metal and grain sectors are empirically studied and their auto-correlation for up to 300 days is described by the model to an accuracy of R(2)>0.90-using only six parameters. © 2015 The Author(s).

  14. Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices

    NASA Astrophysics Data System (ADS)

    Tseng, Chih-Hsiung; Cheng, Sheng-Tzong; Wang, Yi-Hsien; Peng, Jin-Tang

    2008-05-01

    This investigation integrates a novel hybrid asymmetric volatility approach into an Artificial Neural Networks option-pricing model to upgrade the forecasting ability of the price of derivative securities. The use of the new hybrid asymmetric volatility method can simultaneously decrease the stochastic and nonlinearity of the error term sequence, and capture the asymmetric volatility. Therefore, analytical results of the ANNS option-pricing model reveal that Grey-EGARCH volatility provides greater predictability than other volatility approaches.

  15. Estimating the impact of cannabis production on rural land prices in Humboldt County, CA

    Treesearch

    Benjamin Schwab; Van Butsic

    2017-01-01

    Amenity values, development potential, commodity prices and productive capacity largely determine rural land prices. For rural lands used in timber and agricultural production, capacity and expected future commodity prices play primary roles. For rural lands that are used as second homes or recreational properties, amenities— such as being near lakes or having scenic...

  16. 22 CFR 201.64 - Application of the price rules to commodities.

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    ... export freight), and other necessary costs customary in the trade. (b) Calculation of commodity prices...) and (e), USAID will subtract transportation cost as calculated by reference to the freight rate, for the type and flag of vessel on which the commodity was shipped, prevailing on the date the purchase...

  17. 22 CFR 201.64 - Application of the price rules to commodities.

    Code of Federal Regulations, 2013 CFR

    2013-04-01

    ... export freight), and other necessary costs customary in the trade. (b) Calculation of commodity prices...) and (e), USAID will subtract transportation cost as calculated by reference to the freight rate, for the type and flag of vessel on which the commodity was shipped, prevailing on the date the purchase...

  18. 22 CFR 201.64 - Application of the price rules to commodities.

    Code of Federal Regulations, 2014 CFR

    2014-04-01

    ... export freight), and other necessary costs customary in the trade. (b) Calculation of commodity prices...) and (e), USAID will subtract transportation cost as calculated by reference to the freight rate, for the type and flag of vessel on which the commodity was shipped, prevailing on the date the purchase...

  19. 22 CFR 201.64 - Application of the price rules to commodities.

    Code of Federal Regulations, 2012 CFR

    2012-04-01

    ... export freight), and other necessary costs customary in the trade. (b) Calculation of commodity prices...) and (e), USAID will subtract transportation cost as calculated by reference to the freight rate, for the type and flag of vessel on which the commodity was shipped, prevailing on the date the purchase...

  20. 7 CFR 1412.53 - Counter-cyclical payment provisions.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... the target price of the covered commodity or peanuts, respectively, as determined in accordance with... market price received by producers during the 12-month marketing year for the covered commodity or... the purposes of paragraphs (a) and (g) of this section, the target prices are as follows: (1) For the...

  1. Macroeconomic dataset for generating macroeconomic volatility among selected countries in the Asia Pacific region.

    PubMed

    Chow, Yee Peng; Muhammad, Junaina; Amin Noordin, Bany Ariffin; Cheng, Fan Fah

    2018-02-01

    This data article provides macroeconomic data that can be used to generate macroeconomic volatility. The data cover a sample of seven selected countries in the Asia Pacific region for the period 2004-2014, including both developing and developed countries. This dataset was generated to enhance our understanding of the sources of macroeconomic volatility affecting the countries in this region. Although the Asia Pacific region continues to remain as the most dynamic part of the world's economy, it is not spared from various sources of macroeconomic volatility through the decades. The reported data cover 15 types of macroeconomic data series, representing three broad categories of indicators that can be used to proxy macroeconomic volatility. They are indicators that account for macroeconomic volatility (i.e. volatility as a macroeconomic outcome), domestic sources of macroeconomic volatility and external sources of macroeconomic volatility. In particular, the selected countries are Malaysia, Thailand, Indonesia and Philippines, which are regarded as developing countries, while Singapore, Japan and Australia are developed countries. Despite the differences in level of economic development, these countries were affected by similar sources of macroeconomic volatility such as the Asian Financial Crisis and the Global Financial Crisis. These countries were also affected by other similar external turbulence arising from factors such as the global economic slowdown, geopolitical risks in the Middle East and volatile commodity prices. Nonetheless, there were also sources of macroeconomic volatility which were peculiar to certain countries only. These were generally domestic sources of volatility such as political instability (for Thailand, Indonesia and Philippines), natural disasters and anomalous weather conditions (for Thailand, Indonesia, Philippines, Japan and Australia) and over-dependence on the electronic sector (for Singapore).

  2. 12 CFR 966.8 - Conditions for issuance of consolidated obligations.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... placed with any Bank. (d) If a Bank participates in any CO denominated in a currency other than U.S. Dollars or linked to equity or commodity prices, then the Bank shall meet the following requirements: (1) The relevant foreign exchange, equity price or commodity price risks associated with the CO must be...

  3. 12 CFR 966.8 - Conditions for issuance of consolidated obligations.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... placed with any Bank. (d) If a Bank participates in any CO denominated in a currency other than U.S. Dollars or linked to equity or commodity prices, then the Bank shall meet the following requirements: (1) The relevant foreign exchange, equity price or commodity price risks associated with the CO must be...

  4. A dual theory of price and value in a meso-scale economic model with stochastic profit rate

    NASA Astrophysics Data System (ADS)

    Greenblatt, R. E.

    2014-12-01

    The problem of commodity price determination in a market-based, capitalist economy has a long and contentious history. Neoclassical microeconomic theories are based typically on marginal utility assumptions, while classical macroeconomic theories tend to be value-based. In the current work, I study a simplified meso-scale model of a commodity capitalist economy. The production/exchange model is represented by a network whose nodes are firms, workers, capitalists, and markets, and whose directed edges represent physical or monetary flows. A pair of multivariate linear equations with stochastic input parameters represent physical (supply/demand) and monetary (income/expense) balance. The input parameters yield a non-degenerate profit rate distribution across firms. Labor time and price are found to be eigenvector solutions to the respective balance equations. A simple relation is derived relating the expected value of commodity price to commodity labor content. Results of Monte Carlo simulations are consistent with the stochastic price/labor content relation.

  5. 17 CFR 37.3 - Requirements for underlying commodities.

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    ...) Transfer of ownership of the cash commodity that is easily and readily accomplished at minimal cost; (vi) A pattern of cash market pricing that exhibits continuity and the absence of frequent, sharp price changes...

  6. A black box optimization approach to parameter estimation in a model for long/short term variations dynamics of commodity prices

    NASA Astrophysics Data System (ADS)

    De Santis, Alberto; Dellepiane, Umberto; Lucidi, Stefano

    2012-11-01

    In this paper we investigate the estimation problem for a model of the commodity prices. This model is a stochastic state space dynamical model and the problem unknowns are the state variables and the system parameters. Data are represented by the commodity spot prices, very seldom time series of Futures contracts are available for free. Both the system joint likelihood function (state variables and parameters) and the system marginal likelihood (the state variables are eliminated) function are addressed.

  7. 17 CFR 270.22c-1 - Pricing of redeemable securities for distribution, redemption and repurchase.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... 17 Commodity and Securities Exchanges 3 2010-04-01 2010-04-01 false Pricing of redeemable securities for distribution, redemption and repurchase. 270.22c-1 Section 270.22c-1 Commodity and Securities... 1940 § 270.22c-1 Pricing of redeemable securities for distribution, redemption and repurchase. (a) No...

  8. Budget Constraints Affect Male Rats’ Choices between Differently Priced Commodities

    PubMed Central

    Kalenscher, Tobias

    2015-01-01

    Demand theory can be applied to analyse how a human or animal consumer changes her selection of commodities within a certain budget in response to changes in price of those commodities. This change in consumption assessed over a range of prices is defined as demand elasticity. Previously, income-compensated and income-uncompensated price changes have been investigated using human and animal consumers, as demand theory predicts different elasticities for both conditions. However, in these studies, demand elasticity was only evaluated over the entirety of choices made from a budget. As compensating budgets changes the number of attainable commodities relative to uncompensated conditions, and thus the number of choices, it remained unclear whether budget compensation has a trivial effect on demand elasticity by simply sampling from a different total number of choices or has a direct effect on consumers’ sequential choice structure. If the budget context independently changes choices between commodities over and above price effects, this should become apparent when demand elasticity is assessed over choice sets of any reasonable size that are matched in choice opportunities between budget conditions. To gain more detailed insight in the sequential choice dynamics underlying differences in demand elasticity between budget conditions, we trained N=8 rat consumers to spend a daily budget by making a number of nosepokes to obtain two liquid commodities under different price regimes, in sessions with and without budget compensation. We confirmed that demand elasticity for both commodities differed between compensated and uncompensated budget conditions, also when the number of choices considered was matched, and showed that these elasticity differences emerge early in the sessions. These differences in demand elasticity were driven by a higher choice rate and an increased reselection bias for the preferred commodity in compensated compared to uncompensated budget conditions, suggesting a budget context effect on relative valuation. PMID:26053764

  9. Budget Constraints Affect Male Rats' Choices between Differently Priced Commodities.

    PubMed

    van Wingerden, Marijn; Marx, Christine; Kalenscher, Tobias

    2015-01-01

    Demand theory can be applied to analyse how a human or animal consumer changes her selection of commodities within a certain budget in response to changes in price of those commodities. This change in consumption assessed over a range of prices is defined as demand elasticity. Previously, income-compensated and income-uncompensated price changes have been investigated using human and animal consumers, as demand theory predicts different elasticities for both conditions. However, in these studies, demand elasticity was only evaluated over the entirety of choices made from a budget. As compensating budgets changes the number of attainable commodities relative to uncompensated conditions, and thus the number of choices, it remained unclear whether budget compensation has a trivial effect on demand elasticity by simply sampling from a different total number of choices or has a direct effect on consumers' sequential choice structure. If the budget context independently changes choices between commodities over and above price effects, this should become apparent when demand elasticity is assessed over choice sets of any reasonable size that are matched in choice opportunities between budget conditions. To gain more detailed insight in the sequential choice dynamics underlying differences in demand elasticity between budget conditions, we trained N=8 rat consumers to spend a daily budget by making a number of nosepokes to obtain two liquid commodities under different price regimes, in sessions with and without budget compensation. We confirmed that demand elasticity for both commodities differed between compensated and uncompensated budget conditions, also when the number of choices considered was matched, and showed that these elasticity differences emerge early in the sessions. These differences in demand elasticity were driven by a higher choice rate and an increased reselection bias for the preferred commodity in compensated compared to uncompensated budget conditions, suggesting a budget context effect on relative valuation.

  10. Cr, Cu, Mn, Mo, Ni, and Steel Price Drivers

    USGS Publications Warehouse

    Papp, John F.; Corathers, Lisa A.; Edelstein, Daniel L.; Fenton, Michael D.; Kuck, Peter H.; Magyar, Michael J.

    2007-01-01

    Summary This report contains the 55 slide images from a presentation made by the author at the meeting of the Metal Powder Industries Federation held in Denver, CO, on May 15, 2007. The Metal Powder Industries Federation (MPIF) invited the U.S. Geological Survey (USGS) to speak at their annual meeting about the price drivers for chromium, copper, manganese, molybdenum, nickel, and steel. These metals are of interest to MPIF because the prices of these raw materials used by their industry were at historically high levels. Because the USGS closely monitors, yet neither buys nor sells, metal commodities, it is an unbiased source of metal price information and analysis. The authors used information about these and other metals collected and published by the USGS (U.S. production, trade, stocks, and prices) and about consumption and stocks internationally by country from industry organizations that publish such information, because metal markets are influenced by activities and events over the entire globe. By seeking a common cause for common behavior among the various metal commodities, the authors found that major price drivers on metal commodities were inflation, major international events such as wars and recessions, and major national events such as the dissolution of the Soviet Union in 1991 and economic growth in China, which started with the open door policy in the 1970s but did not have significant market impact until starting in the 1990s. Metal commodity prices also responded to commodity-specific events.

  11. Kinetic market models with single commodity having price fluctuations

    NASA Astrophysics Data System (ADS)

    Chatterjee, A.; Chakrabarti, B. K.

    2006-12-01

    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 trading or exchange of money and commodity proceeds, with local (in time) fluctuations in the price of the commodity. These distributions are studied in markets with agents having uniform and random saving factors. The self-organizing features in money distribution are similar to the cases without any commodity (or with consumable commodities), while the commodity distribution shows an exponential decay. The wealth distribution shows interesting behavior: gamma like distribution for uniform saving propensity and has the same power-law tail, as that of the money distribution, for a market with agents having random saving propensity.

  12. A Study on Market Efficiency of Selected Commodity Derivatives Traded on NCDEX During 2011

    NASA Astrophysics Data System (ADS)

    Sajipriya, N.

    2012-10-01

    The study aims at testing the weak form of Efficient Market Hypothesis in the context of an emerging commodity market - National Commodity Derivatives Exchange (NCDEX), which is considered as the prime commodity derivatives market in India. The study considered daily spot and futures prices of five selected commodities traded on NCDEX over 12 month period (the futures contracts originating and expiring during the period January 2011 to December 2011) The five commodities chosen are Pepper, Crude palm Oil, steel silver and Chana as they account for almost two-thirds of the value of agricultural commodity derivatives traded on NCDEX. The results of Run test indicate that both spot and futures prices are weak form efficient

  13. Pricing foreign equity option with stochastic volatility

    NASA Astrophysics Data System (ADS)

    Sun, Qi; Xu, Weidong

    2015-11-01

    In this paper we propose a general foreign equity option pricing framework that unifies the vast foreign equity option pricing literature and incorporates the stochastic volatility into foreign equity option pricing. Under our framework, the time-changed Lévy processes are used to model the underlying assets price of foreign equity option and the closed form pricing formula is obtained through the use of characteristic function methodology. Numerical tests indicate that stochastic volatility has a dramatic effect on the foreign equity option prices.

  14. Food price volatility

    PubMed Central

    Gilbert, C. L.; Morgan, C. W.

    2010-01-01

    The high food prices experienced over recent years have led to the widespread view that food price volatility has increased. However, volatility has generally been lower over the two most recent decades than previously. Variability over the most recent period has been high but, with the important exception of rice, not out of line with historical experience. There is weak evidence that grains price volatility more generally may be increasing but it is too early to say. PMID:20713400

  15. Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods

    NASA Astrophysics Data System (ADS)

    Lahmiri, Salim

    2017-01-01

    Fertilizers are important to improve agricultural productivity growth. The purpose of this study is to investigate asymmetry, leverage, and persistence of shocks on price volatility of five fertilizers using EGARCH model during stable and unstable time periods, corresponding to before and after 2007 international financial crisis, respectively. Using price data of rock phosphate, triple super phosphate, diammonium phosphate (DAP), urea, and potassium chloride, it is found that fertilizers price volatilities display an apparent asymmetric response to shocks which have much pronounced and permanent effect during unstable period than in during stable period. Such effects should be taken into account whenever volatility modeling of fertilizers is considered, particularly during periods of volatile price.

  16. Stochastic volatility models and Kelvin waves

    NASA Astrophysics Data System (ADS)

    Lipton, Alex; Sepp, Artur

    2008-08-01

    We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.

  17. Metal prices in the United States through 2010

    USGS Publications Warehouse

    ,

    2013-01-01

    This report, which updates and revises the U.S. Geological Survey (USGS) (1999) publication, “Metal Prices in the United States Through 1998,” presents an extended price history for a wide range of metals available in a single document. Such information can be useful for the analysis of mineral commodity issues, as well as for other purposes. The chapter for each mineral commodity includes a graph of annual current and constant dollar prices for 1970 through 2010, where available; a list of significant events that affected prices; a brief discussion of the metal and its history; and one or more tables that list current dollar prices. In some cases, the metal prices presented herein are for some alternative form of an element or, instead of a price, a value, such as the value for an import as appraised by the U.S. Customs Service. Also included are the prices for steel, steel scrap, and iron ore—steel because of its importance to the elements used to alloy with it, and steel scrap and iron ore because of their use in steelmaking. A few minor metals, such as calcium, potassium, sodium, strontium, and thorium, for which price histories were insufficient, were excluded. The annual prices given may be averages for the year, yearend prices, or some other price as appropriate for a particular commodity. Certain trade journals have been the source of much of this price information—American Metal Market, ICIS Chemical Business, Engineering and Mining Journal, Industrial Minerals, Metal Bulletin, Mining Journal, Platts Metals Week, Roskill Information Services Ltd. commodity reports, and Ryan’s Notes. Price information also is available in minerals information publications of the USGS (1880–1925, 1996–present) and the U.S. Bureau of Mines (1926–95), such as Mineral Commodity Summaries, Mineral Facts and Problems, Mineral Industry Surveys, and Minerals Yearbook. In addition to prices themselves, these journals and publications contain information relevant to prices, which has been helpful in the preparation of this publication. Prices in this report have been graphed in 1992 constant dollars to show the effects of inflation as measured by the U.S. Bureau of Labor Statistics Consumer Price Index for All Urban Consumers, a widely used measure of overall inflation in the United States. These prices are not tabulated, but a table of the deflators used is given in an appendix. Constant dollar prices can be used to show how prices that producers receive would have less purchasing power.

  18. 17 CFR 270.22e-2 - Pricing of redemption requests in accordance with Rule 22c-1.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... 17 Commodity and Securities Exchanges 3 2010-04-01 2010-04-01 false Pricing of redemption requests in accordance with Rule 22c-1. 270.22e-2 Section 270.22e-2 Commodity and Securities Exchanges....22e-2 Pricing of redemption requests in accordance with Rule 22c-1. An investment company shall not be...

  19. Food Security Under Shifting Economic, Demographic, and Climatic Conditions (Invited)

    NASA Astrophysics Data System (ADS)

    Naylor, R. L.

    2013-12-01

    Global demand for food, feed, and fuel will continue to rise in a more populous and affluent world. Meeting this demand in the future will become increasingly challenging with global climate change; when production shocks stemming from climate variability are added to the new mean climate state, food markets could become more volatile. This talk will focus on the interacting market effects of demand and supply for major food commodities, with an eye on climate-related supply trends and shocks. Lessons from historical patterns of climate variability (e.g., ENSO and its global teleconnections) will be used to infer potential food security outcomes in the event of abrupt changes in the mean climate state. Domestic food and trade policy responses to crop output and price volatility in key producing and consuming nations, such as export bans and import tariffs, will be discussed as a potentially major destabilizing force, underscoring the important influence of uncertainty in achieving--or failing to achieve--food security.

  20. Option pricing: Stock price, stock velocity and the acceleration Lagrangian

    NASA Astrophysics Data System (ADS)

    Baaquie, Belal E.; Du, Xin; Bhanap, Jitendra

    2014-12-01

    The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes formula, with a fixed volatility, cannot match the market's option price; instead, it has come to be used as a formula for generating the option price, once the so called implied volatility of the option is provided as additional input. The implied volatility not only is an entire surface, depending on the strike price and maturity of the option, but also depends on calendar time, changing from day to day. The point of view adopted in this paper is that the instantaneous rate of return of the security carries part of the information that is provided by implied volatility, and with a few (time-independent) parameters required for a complete pricing formula. An option pricing formula is developed that is based on knowing the value of both the current price and rate of return of the underlying security which in physics is called velocity. Using an acceleration Lagrangian model based on the formalism of quantum mathematics, we derive the pricing formula for European call options. The implied volatility of the market can be generated by our pricing formula. Our option price is applied to foreign exchange rates and equities and the accuracy is compared with Black-Scholes pricing formula and with the market price.

  1. Approximation methods of European option pricing in multiscale stochastic volatility model

    NASA Astrophysics Data System (ADS)

    Ni, Ying; Canhanga, Betuel; Malyarenko, Anatoliy; Silvestrov, Sergei

    2017-01-01

    In the classical Black-Scholes model for financial option pricing, the asset price follows a geometric Brownian motion with constant volatility. Empirical findings such as volatility smile/skew, fat-tailed asset return distributions have suggested that the constant volatility assumption might not be realistic. A general stochastic volatility model, e.g. Heston model, GARCH model and SABR volatility model, in which the variance/volatility itself follows typically a mean-reverting stochastic process, has shown to be superior in terms of capturing the empirical facts. However in order to capture more features of the volatility smile a two-factor, of double Heston type, stochastic volatility model is more useful as shown in Christoffersen, Heston and Jacobs [12]. We consider one modified form of such two-factor volatility models in which the volatility has multiscale mean-reversion rates. Our model contains two mean-reverting volatility processes with a fast and a slow reverting rate respectively. We consider the European option pricing problem under one type of the multiscale stochastic volatility model where the two volatility processes act as independent factors in the asset price process. The novelty in this paper is an approximating analytical solution using asymptotic expansion method which extends the authors earlier research in Canhanga et al. [5, 6]. In addition we propose a numerical approximating solution using Monte-Carlo simulation. For completeness and for comparison we also implement the semi-analytical solution by Chiarella and Ziveyi [11] using method of characteristics, Fourier and bivariate Laplace transforms.

  2. 17 CFR 32.3 - Unlawful commodity option transactions.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... 17 Commodity and Securities Exchanges 1 2010-04-01 2010-04-01 false Unlawful commodity option... REGULATION OF COMMODITY OPTION TRANSACTIONS § 32.3 Unlawful commodity option transactions. (a) On and after... extend credit in lieu thereof) from an option customer as payment of the purchase price in connection...

  3. Nonlinear bivariate dependency of price-volume relationships in agricultural commodity futures markets: A perspective from Multifractal Detrended Cross-Correlation Analysis

    NASA Astrophysics Data System (ADS)

    He, Ling-Yun; Chen, Shu-Peng

    2011-01-01

    Nonlinear dependency between characteristic financial and commodity market quantities (variables) is crucially important, especially between trading volume and market price. Studies on nonlinear dependency between price and volume can provide practical insights into market trading characteristics, as well as the theoretical understanding of market dynamics. Actually, nonlinear dependency and its underlying dynamical mechanisms between price and volume can help researchers and technical analysts in understanding the market dynamics by integrating the market variables, instead of investigating them in the current literature. Therefore, for investigating nonlinear dependency of price-volume relationships in agricultural commodity futures markets in China and the US, we perform a new statistical test to detect cross-correlations and apply a new methodology called Multifractal Detrended Cross-Correlation Analysis (MF-DCCA), which is an efficient algorithm to analyze two spatially or temporally correlated time series. We discuss theoretically the relationship between the bivariate cross-correlation exponent and the generalized Hurst exponents for time series of respective variables. We also perform an empirical study and find that there exists a power-law cross-correlation between them, and that multifractal features are significant in all the analyzed agricultural commodity futures markets.

  4. 7 CFR 1424.8 - Payment amounts.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... determines to be appropriate for the applicable commodity. (ii) For biodiesel made from: (A) Soybeans or soy...) Eligible commodities other than soybeans or soy oil that have a corresponding oil or grease market price... divided by the soy oil price published in the Agricultural Marketing Service's weekly “Soybean Crush...

  5. 7 CFR 1424.8 - Payment amounts.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... determines to be appropriate for the applicable commodity. (ii) For biodiesel made from: (A) Soybeans or soy...) Eligible commodities other than soybeans or soy oil that have a corresponding oil or grease market price... divided by the soy oil price published in the Agricultural Marketing Service's weekly “Soybean Crush...

  6. 17 CFR 37.403 - Additional requirements for cash-settled swaps.

    Code of Federal Regulations, 2014 CFR

    2014-04-01

    ... requirements for cash-settled swaps. (a) For cash-settled swaps, the swap execution facility shall demonstrate that it monitors the pricing of the reference price used to determine cash flows or settlement; (b) For... cash-settled swaps. 37.403 Section 37.403 Commodity and Securities Exchanges COMMODITY FUTURES TRADING...

  7. Essays on oil price volatility and irreversible investment

    NASA Astrophysics Data System (ADS)

    Pastor, Daniel J.

    In chapter 1, we provide an extensive and systematic evaluation of the relative forecasting performance of several models for the volatility of daily spot crude oil prices. Empirical research over the past decades has uncovered significant gains in forecasting performance of Markov Switching GARCH models over GARCH models for the volatility of financial assets and crude oil futures. We find that, for spot oil price returns, non-switching models perform better in the short run, whereas switching models tend to do better at longer horizons. In chapter 2, I investigate the impact of volatility on firms' irreversible investment decisions using real options theory. Cost incurred in oil drilling is considered sunk cost, thus irreversible. I collect detailed data on onshore, development oil well drilling on the North Slope of Alaska from 2003 to 2014. Volatility is modeled by constructing GARCH, EGARCH, and GJR-GARCH forecasts based on monthly real oil prices, and realized volatility from 5-minute intraday returns of oil futures prices. Using a duration model, I show that oil price volatility generally has a negative relationship with the hazard rate of drilling an oil well both when aggregating all the fields, and in individual fields.

  8. The volatility of stock market prices.

    PubMed

    Shiller, R J

    1987-01-02

    If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are considered: changes in dividends, in real interest rates, and in a direct measure of intertemporal marginal rates of substitution. Although there are some ambiguities in interpreting the evidence, dividend changes appear to contribute very little toward justifying the observed historical volatility of stock prices. The other indicators contribute some, but still most of the volatility of stock market prices appears unexplained.

  9. Carbon dioxide removal and the futures market

    NASA Astrophysics Data System (ADS)

    Coffman, D.'Maris; Lockley, Andrew

    2017-01-01

    Futures contracts are exchange-traded financial instruments that enable parties to fix a price in advance, for later performance on a contract. Forward contracts also entail future settlement, but they are traded directly between two parties. Futures and forwards are used in commodities trading, as producers seek financial security when planning production. We discuss the potential use of futures contracts in Carbon Dioxide Removal (CDR) markets; concluding that they have one principal advantage (near-term price security to current polluters), and one principal disadvantage (a combination of high price volatility and high trade volume means contracts issued by the private sector may cause systemic economic risk). Accordingly, we note the potential for the development of futures markets in CDR, but urge caution about the prospects for market failure. In particular, we consider the use of regulated markets: to ensure contracts are more reliable, and that moral hazard is minimised. While regulation offers increased assurances, we identify major insufficiencies with this approach—finding it generally inadequate. In conclusion, we suggest that only governments can realistically support long-term CDR futures markets. We note existing long-term CDR plans by governments, and suggest the use of state-backed futures for supporting these assurances.

  10. 17 CFR 229.1204 - (Item 1204) Oil and gas production, production prices and production costs.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... 17 Commodity and Securities Exchanges 2 2010-04-01 2010-04-01 false (Item 1204) Oil and gas production, production prices and production costs. 229.1204 Section 229.1204 Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION STANDARD INSTRUCTIONS FOR FILING FORMS UNDER SECURITIES ACT OF...

  11. Commodity Tracker: Mobile Application for Food Security Monitoring in Haiti

    NASA Astrophysics Data System (ADS)

    Chiu, M. T.; Huang, X.; Baird, J.; Gourley, J. R.; Morelli, R.; de Lanerolle, T. R.; Haiti Food Security Monitoring Mobile App Team

    2011-12-01

    Megan Chiu, Jason Baird, Xu Huang, Trishan de Lanerolle, Ralph Morelli, Jonathan Gourley Trinity College, Computer Science Department and Environmental Science Program, 300 Summit Street, Hartford, CT 06106 megan.chiu@trincoll.edu, Jason.baird@trincoll.edu, xu.huang@trincoll.edu, trishan.delanerolle@trincoll.edu, ralph.morelli@trincoll.edu, jonathan.gourley@trincoll.edu Price data for Haiti commodities such as rice and potatoes have been traditionally recorded by hand on paper forms for many years. The information is then entered onto computer manually, thus making the process a long and arduous one. With the development of the Haiti Commodity Tracker mobile app, we are able to make this commodity price data recording process more efficient. Officials may use this information for making inferences about the difference in commodity prices and for food distribution during critical time after natural disasters. This information can also be utilized by governments and aid agencies on their food assistance programs. Agronomists record the item prices from several sample sites in a marketplace and compare those results from other markets across the region. Due to limited connectivity in rural areas, data is first saved to the phone's database and then retransmitted to a central server via SMS messaging. The mobile app is currently being field tested by an international NGO providing agricultural aid and support in rural Haiti.

  12. China QIUSHI SEEKING TRUTH no 4, 16 August 1988

    DTIC Science & Technology

    1988-09-26

    excessive rise of commodity prices, and the crux of the price problem lies in the prices food . The current imbal- ance in the market’s supply of and...income of the urban and rural residents has increased and their demand for food consumption has increased extremely rapidly. According to statistics...from 1979 to 1986, of the consumption outlay in the urban and rural residents’ daily life, that for food commodities increased by 200 percent

  13. Three essays on agricultural price volatility and the linkages between agricultural and energy markets

    NASA Astrophysics Data System (ADS)

    Wu, Feng

    This dissertation contains three essays. In the first essay I use a volatility spillover model to find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time-varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices become more energy-driven as the ethanol gasoline consumption ratio increases. Based on this strong volatility link between crude oil and corn prices, a new cross hedging strategy for managing corn price risk using oil futures is examined and its performance studied. Results show that this cross hedging strategy provides only slightly better hedging performance compared to traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. The second essay studies the spillover effect of biofuel policy on participation in the Conservation Reserve Program. Landowners' participation decisions are modeled using a real options framework. A novel aspect of the model is that it captures the structural change in agriculture caused by rising biofuel production. The resulting model is used to simulate the spillover effect under various conditions. In particular, I simulate how increased growth in agricultural returns, persistence of the biofuel production boom, and the volatility surrounding agricultural returns, affect conservation program participation decisions. Policy implications of these results are also discussed. The third essay proposes a methodology to construct a risk-adjusted implied volatility measure that removes the forecasting bias of the model-free implied volatility measure. The risk adjustment is based on a closed-form relationship between the expectation of future volatility and the model-free implied volatility assuming a jump-diffusion model. I use a GMM estimation framework to identify the key model parameters needed to apply the model. An empirical application to corn futures implied volatility is used to illustrate the methodology and demonstrate differences between my approach and the model-free implied volatility using observed corn option prices. I compare the risk-adjusted forecast with the unadjusted forecast as well as other alternatives; and results suggest that the risk-adjusted volatility is unbiased, informationally more efficient, and has superior predictive power over the alternatives considered.

  14. A Path Integral Approach to Option Pricing with Stochastic Volatility: Some Exact Results

    NASA Astrophysics Data System (ADS)

    Baaquie, Belal E.

    1997-12-01

    The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic volatility is reviewed starting from the first principles of finance. The equation of Merton and Garman is then recast using the path integration technique of theoretical physics. The price of the stock option is shown to be the analogue of the Schrödinger wavefunction of quantum mechanics and the exact Hamiltonian and Lagrangian of the system is obtained. The results of Hull and White are generalized to the case when stock price and volatility have non-zero correlation. Some exact results for pricing stock options for the general correlated case are derived.

  15. Development of risk management strategies for state DOTs to effectively deal with volatile prices of transportation construction materials.

    DOT National Transportation Integrated Search

    2014-06-01

    Volatility in price of critical materials used in transportation projects, such as asphalt cement, leads to : considerable uncertainty about project cost. This uncertainty may lead to price speculation and inflated : bid prices submitted by highway c...

  16. A game theory model for stabilizing price of chili: A case study

    NASA Astrophysics Data System (ADS)

    Wardayanti, Ari; Aviv, Afgan Suffan; Sutopo, Wahyudi; Hisjam, Muh.

    2017-11-01

    Chili is one of the important agricultural commodity in Indonesia because of its widely consumption by the Indonesian. Chili becomes one of the commodities that experience price fluctuations and important cause of yearly inflation in Indonesia. The unstable price of chili is affected by the scarcity of the commodity in some months and the difference of the harvest season. This study proposes a model to solve the problem by considering the substitution of fresh chilies with dried chili. We propose the cooperative of chili's farmer as entities that process fresh chili into dry ones. The existence of substitution products is expected to maintain the price stability chili. This research was conducted by taking a case study on chili commodity markets in Surakarta which consists of 19 traditional markets. This study aims to create a price stabilization scheme with product substitution using a game theory model. There are 4 strategies proposed in game theory model to describe the relationship between producers and consumers. In this case, the producers are the farmers and the consumers are the trade market. A mixed strategy of was chosen to determine the optimal value among 4 strategies. From the calculation results obtained optimal value when doing a mixed strategy of IDR 201,188,829,000.

  17. Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models

    DOE Office of Scientific and Technical Information (OSTI.GOV)

    Gulisashvili, Archil, E-mail: guli@math.ohiou.ed; Stein, Elias M., E-mail: stein@math.princeton.ed

    2010-06-15

    We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process and the density of the stock price process in the Stein-Stein and the Heston model. We find explicit formulas for leading terms in asymptotic expansions of these densities and give error estimates. As an application of our results, sharp asymptotic formulas for the implied volatility in the Stein-Stein and the Heston model are obtained.

  18. Factors that Influence the Price of Al, Cd, Co, Cu, Fe, Ni, Pb, Rare Earth Elements, and Zn

    USGS Publications Warehouse

    Papp, John F.; Bray, E. Lee; Edelstein, Daniel L.; Fenton, Michael D.; Guberman, David E.; Hedrick, James B.; Jorgenson, John D.; Kuck, Peter H.; Shedd, Kim B.; Tolcin, Amy C.

    2008-01-01

    This report is based on a presentation delivered at The 12th International Battery Materials Recycling Seminar, March 17-20, 2008, Fort Lauderdale, Fla., about the factors that influence prices for aluminum, cadmium, cobalt, copper, iron, lead, nickel, rare earth elements, and zinc. These are a diverse group of metals that are of interest to the battery recycling industry. Because the U.S. Geological Survey (USGS) closely monitors, yet neither buys nor sells, metal commodities, it is an unbiased source of metal price information and analysis. The authors used information about these and other metals collected and published by the USGS (U.S. production, trade, stocks, and prices and world production) and internationally (consumption and stocks by country) from industry organizations, because metal markets are influenced by activities and events over the entire globe. Long-term prices in this report, represented by unit values, were adjusted to 1998 constant dollars to remove the effects of inflation. A previous USGS study in this subject area was 'Economic Drivers of Mineral Supply' by Lorie A. Wagner, Daniel E. Sullivan, and John L. Sznopek (USGS Open File Report 02-335). By seeking a common cause for common behavior of prices among the various metal commodities, the authors found that major factors that influence prices of metal commodities were international events such as wars and recessions, and national events such as the dissolution of the Soviet Union in 1991 and economic growth in China, which started its open door policy in the 1970s but did not have significant market impact until the 1990s. Metal commodity prices also responded to commodity-specific events such as tariff or usage changes or mine strikes. It is shown that the prices of aluminum, cadmium, copper, iron, lead, nickel, and zinc are at historic highs, that world stocks are at (or near) historic lows, and that China's consumption of these metals had increased substantially, making it the world's leading consumer of these metals.

  19. Hardwood log grading and lumber value

    Treesearch

    Allen W. Bratton

    1948-01-01

    For practically every commodity - beef, wool, grains, hides, lard, milk, eggs, etc. - there are standard grades based on quality. A price based on these standards is a fairly accurate measure of value. A person who deals with one of these commodities can use such price quotations in his business operations; in fact, he must. These quality specifications are essential...

  20. Price adjustment clauses : report.

    DOT National Transportation Integrated Search

    2012-10-01

    Price adjustment mechanisms exist to account for fluctuations in commodity or labor prices and have : been used for highway construction in 47 states. They are useful in stabilizing bid prices in times of : economic uncertainty and preventing default...

  1. Global stocks of selected mineral-based commodities

    USGS Publications Warehouse

    Wilburn, David R.; Bleiwas, Donald I.; Karl, Nick A.

    2016-12-05

    IntroductionThe U.S. Geological Survey, National Minerals Information Center, analyzes mineral and metal supply chains by identifying and describing major components of mineral and material flows from ore extraction, through intermediate forms, to a final product. This report focuses on an important component of the world’s supply chain: the amounts and global distribution of major consumer, producer, and exchange stocks of selected mineral commodities. In this report, the term “stock” is used instead of “inventory” and refers to accumulations of mined ore, intermediate products, and refined mineral-based commodities that are in a form that meets the agreed-upon specifications of a buyer or processor of intermediate products. These may include certain ores such as bauxite, concentrates, smelter products, and refined metals. Materials sometimes referred to as inventory for accounting purposes, such as ore contained in a deposit or in a leach pile, or materials that need to be further processed before they can be shipped to a consumer, are not considered. Stocks may be held (owned) by consumers, governments, investors, producers, and traders. They may serve as (1) a means to achieve economic, social, and strategic goals through government policies; (2) a secure source of supply to meet demand and to mitigate potential shortages in the supply chain; (3) a hedge to mitigate price volatility; and (4) vehicles for speculative investment.The paucity and uneven reliability of data for stocks of ores and concentrates and for material held by producers, consumers, and merchants hinder the accurate estimating of the size and distribution of this portion of the supply chain for certain commodities. This paper reviews the more visible stocks held in commodity exchange warehouses distributed throughout the world.

  2. Adaptation of warrant price with Black Scholes model and historical volatility

    NASA Astrophysics Data System (ADS)

    Aziz, Khairu Azlan Abd; Idris, Mohd Fazril Izhar Mohd; Saian, Rizauddin; Daud, Wan Suhana Wan

    2015-05-01

    This project discusses about pricing warrant in Malaysia. The Black Scholes model with non-dividend approach and linear interpolation technique was applied in pricing the call warrant. Three call warrants that are listed in Bursa Malaysia were selected randomly from UiTM's datastream. The finding claims that the volatility for each call warrants are different to each other. We have used the historical volatility which will describes the price movement by which an underlying share is expected to fluctuate within a period. The Black Scholes model price that was obtained by the model will be compared with the actual market price. Mispricing the call warrants will contribute to under or over valuation price. Other variables like interest rate, time to maturity date, exercise price and underlying stock price are involves in pricing call warrants as well as measuring the moneyness of call warrants.

  3. Stock market speculation: Spontaneous symmetry breaking of economic valuation

    NASA Astrophysics Data System (ADS)

    Sornette, Didier

    2000-09-01

    Firm foundation theory estimates a security's firm fundamental value based on four determinants: expected growth rate, expected dividend payout, the market interest rate and the degree of risk. In contrast, other views of decision-making in the stock market, using alternatives such as human psychology and behavior, bounded rationality, agent-based modeling and evolutionary game theory, expound that speculative and crowd behavior of investors may play a major role in shaping market prices. Here, we propose that the two views refer to two classes of companies connected through a "phase transition". Our theory is based on (1) the identification of the fundamental parity symmetry of prices (p→-p), which results from the relative direction of payment flux compared to commodity flux and (2) the observation that a company's risk-adjusted growth rate discounted by the market interest rate behaves as a control parameter for the observable price. We find a critical value of this control parameter at which a spontaneous symmetry-breaking of prices occurs, leading to a spontaneous valuation in absence of earnings, similarly to the emergence of a spontaneous magnetization in Ising models in absence of a magnetic field. The low growth rate phase is described by the firm foundation theory while the large growth rate phase is the regime of speculation and crowd behavior. In practice, while large "finite-time horizon" effects round off the predicted singularities, our symmetry-breaking speculation theory accounts for the apparent over-pricing and the high volatility of fast growing companies on the stock markets.

  4. A Space Commodities Futures Trading Exchange to Grow the Lunar Economy

    NASA Astrophysics Data System (ADS)

    Cahan, B. B. C.

    2017-10-01

    This paper proposes to establish a Space Commodities Futures Trading Exchange in order to define and trade essential commodities that, when traded on an open exchange, improve availability, quality, price discovery, financeability, and equal access.

  5. Measuring Price Changes: A Study of the Price Indexes. Fourth Edition.

    ERIC Educational Resources Information Center

    Wallace, William H.; Cullison, William E.

    This three-part monograph examines the major price indexes used to measure the intensity of inflation. The first part discusses the recent behavior of prices as measured by the Consumer Price Index (commodities, goods, and services), the Producer Price Index (wholesale prices of crude materials, intermediate materials, supplies, components, and…

  6. 17 CFR 19.01 - Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat...

    Code of Federal Regulations, 2013 CFR

    2013-04-01

    ..., soybean meal or cotton. 19.01 Section 19.01 Commodity and Securities Exchanges COMMODITY FUTURES TRADING... MERCHANTS AND DEALERS IN COTTON § 19.01 Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat, corn, oats, soybeans, soybean oil, soybean meal or cotton. (a) Information...

  7. 17 CFR 19.01 - Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat...

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ..., soybean meal or cotton. 19.01 Section 19.01 Commodity and Securities Exchanges COMMODITY FUTURES TRADING... MERCHANTS AND DEALERS IN COTTON § 19.01 Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat, corn, oats, soybeans, soybean oil, soybean meal or cotton. (a) Information...

  8. 17 CFR 19.01 - Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat...

    Code of Federal Regulations, 2014 CFR

    2014-04-01

    ..., soybean meal or cotton. 19.01 Section 19.01 Commodity and Securities Exchanges COMMODITY FUTURES TRADING... MERCHANTS AND DEALERS IN COTTON § 19.01 Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat, corn, oats, soybeans, soybean oil, soybean meal or cotton. (a) Information...

  9. 17 CFR 19.01 - Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat...

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    ..., soybean meal or cotton. 19.01 Section 19.01 Commodity and Securities Exchanges COMMODITY FUTURES TRADING... MERCHANTS AND DEALERS IN COTTON § 19.01 Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat, corn, oats, soybeans, soybean oil, soybean meal or cotton. (a) Information...

  10. 17 CFR 19.01 - Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat...

    Code of Federal Regulations, 2012 CFR

    2012-04-01

    ..., soybean meal or cotton. 19.01 Section 19.01 Commodity and Securities Exchanges COMMODITY FUTURES TRADING... MERCHANTS AND DEALERS IN COTTON § 19.01 Reports on stocks and fixed price purchases and sales pertaining to futures positions in wheat, corn, oats, soybeans, soybean oil, soybean meal or cotton. (a) Information...

  11. A Descriptive Analysis of Supply Factors and Prices for USDA Foods in the National School Lunch Program

    ERIC Educational Resources Information Center

    Peterson, Cora

    2010-01-01

    Purpose/Objectives: Schools that participate in the National School Lunch Program (NSLP) receive a portion of their annual federal funding as commodity entitlement foods--now called USDA Foods--rather than cash payments. Due to rising food prices in recent years, it has been recommended that schools compare the costs and benefits of commodity and…

  12. Accurate market price formation model with both supply-demand and trend-following for global food prices providing policy recommendations

    PubMed Central

    Lagi, Marco; Bar-Yam, Yavni; Bertrand, Karla Z.; Bar-Yam, Yaneer

    2015-01-01

    Recent increases in basic food prices are severely affecting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the United States, and investor speculation on commodity markets lead to widely differing implications for policy. A lack of clarity about which factors are responsible reinforces policy inaction. Here, for the first time to our knowledge, we construct a dynamic model that quantitatively agrees with food prices. The results show that the dominant causes of price increases are investor speculation and ethanol conversion. Models that just treat supply and demand are not consistent with the actual price dynamics. The two sharp peaks in 2007/2008 and 2010/2011 are specifically due to investor speculation, whereas an underlying upward trend is due to increasing demand from ethanol conversion. The model includes investor trend following as well as shifting between commodities, equities, and bonds to take advantage of increased expected returns. Claims that speculators cannot influence grain prices are shown to be invalid by direct analysis of price-setting practices of granaries. Both causes of price increase, speculative investment and ethanol conversion, are promoted by recent regulatory changes—deregulation of the commodity markets, and policies promoting the conversion of corn to ethanol. Rapid action is needed to reduce the impacts of the price increases on global hunger. PMID:26504216

  13. Accurate market price formation model with both supply-demand and trend-following for global food prices providing policy recommendations.

    PubMed

    Lagi, Marco; Bar-Yam, Yavni; Bertrand, Karla Z; Bar-Yam, Yaneer

    2015-11-10

    Recent increases in basic food prices are severely affecting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the United States, and investor speculation on commodity markets lead to widely differing implications for policy. A lack of clarity about which factors are responsible reinforces policy inaction. Here, for the first time to our knowledge, we construct a dynamic model that quantitatively agrees with food prices. The results show that the dominant causes of price increases are investor speculation and ethanol conversion. Models that just treat supply and demand are not consistent with the actual price dynamics. The two sharp peaks in 2007/2008 and 2010/2011 are specifically due to investor speculation, whereas an underlying upward trend is due to increasing demand from ethanol conversion. The model includes investor trend following as well as shifting between commodities, equities, and bonds to take advantage of increased expected returns. Claims that speculators cannot influence grain prices are shown to be invalid by direct analysis of price-setting practices of granaries. Both causes of price increase, speculative investment and ethanol conversion, are promoted by recent regulatory changes-deregulation of the commodity markets, and policies promoting the conversion of corn to ethanol. Rapid action is needed to reduce the impacts of the price increases on global hunger.

  14. Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

    NASA Astrophysics Data System (ADS)

    Lemmens, D.; Wouters, M.; Tempere, J.; Foulon, S.

    2008-07-01

    We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The flexibility of our approach is demonstrated by extending the realm of closed-form option price formulas to the case where both the volatility and interest rates are stochastic. This flexibility is promising for the treatment of exotic options. Our analytical formulas are tested with numerical Monte Carlo simulations.

  15. Stochastic volatility of the futures prices of emission allowances: A Bayesian approach

    NASA Astrophysics Data System (ADS)

    Kim, Jungmu; Park, Yuen Jung; Ryu, Doojin

    2017-01-01

    Understanding the stochastic nature of the spot volatility of emission allowances is crucial for risk management in emissions markets. In this study, by adopting a stochastic volatility model with or without jumps to represent the dynamics of European Union Allowances (EUA) futures prices, we estimate the daily volatilities and model parameters by using the Markov Chain Monte Carlo method for stochastic volatility (SV), stochastic volatility with return jumps (SVJ) and stochastic volatility with correlated jumps (SVCJ) models. Our empirical results reveal three important features of emissions markets. First, the data presented herein suggest that EUA futures prices exhibit significant stochastic volatility. Second, the leverage effect is noticeable regardless of whether or not jumps are included. Third, the inclusion of jumps has a significant impact on the estimation of the volatility dynamics. Finally, the market becomes very volatile and large jumps occur at the beginning of a new phase. These findings are important for policy makers and regulators.

  16. Multifactor valuation models of energy futures and options on futures

    NASA Astrophysics Data System (ADS)

    Bertus, Mark J.

    The intent of this dissertation is to investigate continuous time pricing models for commodity derivative contracts that consider mean reversion. The motivation for pricing commodity futures and option on futures contracts leads to improved practical risk management techniques in markets where uncertainty is increasing. In the dissertation closed-form solutions to mean reverting one-factor, two-factor, three-factor Brownian motions are developed for futures contracts. These solutions are obtained through risk neutral pricing methods that yield tractable expressions for futures prices, which are linear in the state variables, hence making them attractive for estimation. These functions, however, are expressed in terms of latent variables (i.e. spot prices, convenience yield) which complicate the estimation of the futures pricing equation. To address this complication a discussion on Dynamic factor analysis is given. This procedure documents latent variables using a Kalman filter and illustrations show how this technique may be used for the analysis. In addition, to the futures contracts closed form solutions for two option models are obtained. Solutions to the one- and two-factor models are tailored solutions of the Black-Scholes pricing model. Furthermore, since these contracts are written on the futures contracts, they too are influenced by the same underlying parameters of the state variables used to price the futures contracts. To conclude, the analysis finishes with an investigation of commodity futures options that incorporate random discrete jumps.

  17. Volatilities, Traded Volumes, and Price Increments in Derivative Securities

    NASA Astrophysics Data System (ADS)

    Kim, Kyungsik; Lim, Gyuchang; Kim, Soo Yong; Scalas, Enrico

    2007-03-01

    We apply the detrended fluctuation analysis (DFA) to the statistics of the Korean treasury bond (KTB) futures from which the logarithmic increments, volatilities, and traded volumes are estimated over a specific time lag. For our case, the logarithmic increment of futures prices has no long-memory property, while the volatility and the traded volume exhibit the existence of long-memory property. To analyze and calculate whether the volatility clustering is due to the inherent higher-order correlation not detected by applying directly the DFA to logarithmic increments of the KTB futures, it is of importance to shuffle the original tick data of futures prices and to generate the geometric Brownian random walk with the same mean and standard deviation. It is really shown from comparing the three tick data that the higher-order correlation inherent in logarithmic increments makes the volatility clustering. Particularly, the result of the DFA on volatilities and traded volumes may be supported the hypothesis of price changes.

  18. Volatilities, traded volumes, and the hypothesis of price increments in derivative securities

    NASA Astrophysics Data System (ADS)

    Lim, Gyuchang; Kim, SooYong; Scalas, Enrico; Kim, Kyungsik

    2007-08-01

    A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) futures from which the logarithmic increments, volatilities, and traded volumes are estimated over a specific time lag. In this study, the logarithmic increment of futures prices has no long-memory property, while the volatility and the traded volume exhibit the existence of the long-memory property. To analyze and calculate whether the volatility clustering is due to a inherent higher-order correlation not detected by with the direct application of the DFA to logarithmic increments of KTB futures, it is of importance to shuffle the original tick data of future prices and to generate a geometric Brownian random walk with the same mean and standard deviation. It was found from a comparison of the three tick data that the higher-order correlation inherent in logarithmic increments leads to volatility clustering. Particularly, the result of the DFA on volatilities and traded volumes can be supported by the hypothesis of price changes.

  19. Another Look at the Volatility of Stock Prices

    ERIC Educational Resources Information Center

    Maruszewski, Richard F., Jr.

    2007-01-01

    Investors are interested in the volatility of a stock for various reasons. One investor may desire to purchase a low volatility stock for peace of mind. Another may be interested in a high volatility stock in order to have the opportunity to buy low and sell high as the price of the stock oscillates. This author had the fortunate timing of reading…

  20. The impact of wind power on electricity prices

    DOE Office of Scientific and Technical Information (OSTI.GOV)

    Brancucci Martinez-Anido, Carlo; Brinkman, Greg; Hodge, Bri-Mathias

    This paper investigates the impact of wind power on electricity prices using a production cost model of the Independent System Operator - New England power system. Different scenarios in terms of wind penetration, wind forecasts, and wind curtailment are modeled in order to analyze the impact of wind power on electricity prices for different wind penetration levels and for different levels of wind power visibility and controllability. The analysis concludes that electricity price volatility increases even as electricity prices decrease with increasing wind penetration levels. The impact of wind power on price volatility is larger in the shorter term (5-minmore » compared to hour-to-hour). The results presented show that over-forecasting wind power increases electricity prices while under-forecasting wind power reduces them. The modeling results also show that controlling wind power by allowing curtailment increases electricity prices, and for higher wind penetrations it also reduces their volatility.« less

  1. Pricing commodity outpatient procedures assessing the impact.

    PubMed

    Cleverley, William O

    2015-10-01

    Hospitals should carefully consider all relevant factors before choosing to lower prices and payments for certain outpatient commodity services in an effort to remain competitive in their market. Key steps to take in the evaluation process include: Determining current profitability. Assessing profitability by payer class. Understanding overall cost positions. Assessing the relative payment terms of current commercial contracts. Determining the net revenue effect of proposed changes.

  2. A DG approach to the numerical solution of the Stein-Stein stochastic volatility option pricing model

    NASA Astrophysics Data System (ADS)

    Hozman, J.; Tichý, T.

    2017-12-01

    Stochastic volatility models enable to capture the real world features of the options better than the classical Black-Scholes treatment. Here we focus on pricing of European-style options under the Stein-Stein stochastic volatility model when the option value depends on the time, on the price of the underlying asset and on the volatility as a function of a mean reverting Orstein-Uhlenbeck process. A standard mathematical approach to this model leads to the non-stationary second-order degenerate partial differential equation of two spatial variables completed by the system of boundary and terminal conditions. In order to improve the numerical valuation process for a such pricing equation, we propose a numerical technique based on the discontinuous Galerkin method and the Crank-Nicolson scheme. Finally, reference numerical experiments on real market data illustrate comprehensive empirical findings on options with stochastic volatility.

  3. Carbon Dioxide Removal and the futures market

    NASA Astrophysics Data System (ADS)

    Lockley, A.; Coffman, D.

    2016-12-01

    Futures contracts are exchange-traded financial instruments that enable parties to fix a price in advance, for performance on a contract at some later date. Forward contracts also entail future settlement, but they are traded over-the-counter between two independent parties. Both futures and forward contracts are commonly used in commodities trading, as producers seek financial security when planning production. We discuss the use of potential use of exchange-traded futures contracts in Carbon Dioxide Removal (CDR) markets. We conclude that they have one principal advantage (in that they give near-term price security to current polluters), and one principal disadvantage (in that a combination of high price volatility and high trade volume means contracts issued by the private sector may cause systemic economic risk). Accordingly, we note the potential for the development of futures markets in CDR, but urge great caution in the use of this approach. In particular, we consider the use of regulated markets: to ensure contracts are more reliable, and that moral hazard is minimised. Whilst regulation offers generally increased assurances, we identify major insufficiencies with this approach - finding it generally inadequate. In conclusion, we suggest that only governments can realistically support long-term CDR futures markets. We note existing long-term CDR plans by governments, and suggest the use of state-backed futures for supporting these assurances.

  4. 77 FR 77038 - Agency Information Collection Activities: Notice of Intent to Renew Collection, Futures Volume...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2012-12-31

    ... COMMODITY FUTURES TRADING COMMISSION Agency Information Collection Activities: Notice of Intent to Renew Collection, Futures Volume, Open Interest, Price, Deliveries and Exchange of Futures for Physicals AGENCY: Commodity Futures Trading Commission. ACTION: Notice. SUMMARY: The Commodity Futures Trading...

  5. Trade in medicines and the public's health: a time series analysis of import disruptions during the 2015 India-Nepal border blockade.

    PubMed

    Sharma, Abhishek; Mishra, Shiva Raj; Kaplan, Warren A

    2017-08-22

    Nepal was struck by devastating earthquakes in April-May 2015, followed by the India-Nepal border blockade later that year. We used the United Nations Commodity Trade Statistics (UN Comtrade) database to analyse exports of various health commodities from India to Nepal from January 2011-September 2016. We used time-series regressions of trading volume vs. unit price to ask how well Nepal's trading history with India prior to the earthquake and blockade was able to predict unit prices of health commodities imported into Nepal during and after the earthquake and the blockade. Regression residuals were used to quantify the extent to which the blockade impacted the price of healthcare commodities crossing into Nepal. During the blockade period (September 2015-early February 2016), the volume of all retail medicines traded across the India-Nepal border was reduced by 46.5% compared to same months in 2014-2015. For medical dressings, large volumes were exported from India to Nepal during and shortly after the earthquakes (May-June 2015), but decreased soon thereafter. During the earthquake, the difference between observed and predicted values of unit price (residuals) for all commodities show no statistical outliers. However, during the border blockade, Nepal paid USD 22.3 million more for retail medicines than one would have predicted based on its prior trading history with India, enough to provide healthcare to nearly half of Kathmandu's citizens for 1 year. The India-Nepal blockade was a geopolitical natural experiment demonstrating how a land-locked country is vulnerable to the vagaries of its primary trading partner. Although short-lived, the blockade had an immediate impact on traded medicine volumes and prices, and provided a large opportunity cost with implications for public health.

  6. Pricing European option with transaction costs under the fractional long memory stochastic volatility model

    NASA Astrophysics Data System (ADS)

    Wang, Xiao-Tian; Wu, Min; Zhou, Ze-Min; Jing, Wei-Shu

    2012-02-01

    This paper deals with the problem of discrete time option pricing using the fractional long memory stochastic volatility model with transaction costs. Through the 'anchoring and adjustment' argument in a discrete time setting, a European call option pricing formula is obtained.

  7. Estimation and prediction under local volatility jump-diffusion model

    NASA Astrophysics Data System (ADS)

    Kim, Namhyoung; Lee, Younhee

    2018-02-01

    Volatility is an important factor in operating a company and managing risk. In the portfolio optimization and risk hedging using the option, the value of the option is evaluated using the volatility model. Various attempts have been made to predict option value. Recent studies have shown that stochastic volatility models and jump-diffusion models reflect stock price movements accurately. However, these models have practical limitations. Combining them with the local volatility model, which is widely used among practitioners, may lead to better performance. In this study, we propose a more effective and efficient method of estimating option prices by combining the local volatility model with the jump-diffusion model and apply it using both artificial and actual market data to evaluate its performance. The calibration process for estimating the jump parameters and local volatility surfaces is divided into three stages. We apply the local volatility model, stochastic volatility model, and local volatility jump-diffusion model estimated by the proposed method to KOSPI 200 index option pricing. The proposed method displays good estimation and prediction performance.

  8. An investigation of implied volatility during financial crisis: Evidence from Australian index options

    NASA Astrophysics Data System (ADS)

    Abdullah, Mimi Hafizah; Harun, Hanani Farhah

    2014-10-01

    Volatility implied by an option pricing model is seen as the market participants' assessment of volatility. Past studies documented that implied volatility based on an option pricing model is found to outperform the historical volatility in forecasting future realised volatility. Thus, this study examines the implied volatility smiles and term structures in the Australian S&P/ASX 200 index options from the year 2001 to 2010, which covers the global financial crisis in the mid-2007 until the end of 2008. The results show that the implied volatility rises significantly during the crisis period, which is three time the rate before crisis.

  9. Assessing Unit-Price Related Remifentanil Choice in Rhesus Monkeys

    ERIC Educational Resources Information Center

    Galuska, Chad M.; Winger, Gail; Woods, James H.; Hursh, Steven R.

    2006-01-01

    Given a commodity available at different prices, a unit-price account of choice predicts preference for the cheaper alternative. This experiment determined if rhesus monkeys preferred remifentanil (an ultra-short-acting [mu]-opioid agonist) delivered at a lower unit price over a higher-priced remifentanil alternative (Phases 1 and 3). Choice…

  10. 17 CFR 242.201 - Price test.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... 17 Commodity and Securities Exchanges 3 2010-04-01 2010-04-01 false Price test. 242.201 Section...-Regulation of Short Sales § 242.201 Price test. Link to an amendment published at 75 FR 11323, Mar. 10, 2010. (a) No short sale price test, including any short sale price test of any self-regulatory organization...

  11. On the importance of commodity and energy price shocks for the macroeconomy

    NASA Astrophysics Data System (ADS)

    Edelstein, Paul S.

    Although higher commodity prices are commonly thought to presage higher rates of inflation, the existing literature suggests that the predictive power of commodity prices for inflation has waned since the 1980s. In the first chapter, I show that this result can be overturned using state-of-the-art forecast combination methods. Moreover, commodity prices are shown to contain predictive information not contained in the leading principal components of a broad set of macroeconomic and financial variables. These improved inflation forecasts are of little value, however, for predicting actual Fed policy decisions. The remaining two chapters study the effect of energy price shocks on U.S. consumer and business expenditures. In the second chapter, I show that there is no statistical support for the presence of asymmetries in the response of real consumption to energy price increases and decreases. This finding has important implications for empirical and theoretical models of the transmission of energy price shocks. I then quantify the direct effect on real consumption of (1) unanticipated changes in discretionary income, (2) shifts in precautionary savings, and (3) changes in the operating cost of energy-using durables. Finally, I trace the declining importance of energy price shocks relative to the 1970s to changes in the composition of U.S. automobile production and the declining overall importance of the U.S. automobile sector. An alternative source of asymmetry is the response of nonresidential fixed investment to energy price shocks. In the third chapter, I show that the apparent asymmetry in the estimated responses of business fixed investment in equipment and structures is largely an artifact (1) of the aggregation of mining-related expenditures by the oil, natural gas, and coal mining industry and all other expenditures, and (2) of ignoring an exogenous shift in investment caused by the 1986 Tax Reform Act. Once symmetry is imposed and miningrelated expenditures are excluded, the estimated response of business fixed investment in equipment and structures tends to be small and mostly statistically insignificant. Historical decompositions show that energy price shocks have played a minor role in driving fluctuations in nonresidential fixed investment other than investment in mining.

  12. Food Price Volatility and Decadal Climate Variability

    NASA Astrophysics Data System (ADS)

    Brown, M. E.

    2013-12-01

    The agriculture system is under pressure to increase production every year as global population expands and more people move from a diet mostly made up of grains, to one with more meat, dairy and processed foods. Weather shocks and large changes in international commodity prices in the last decade have increased pressure on local food prices. This paper will review several studies that link climate variability as measured with satellite remote sensing to food price dynamics in 36 developing countries where local monthly food price data is available. The focus of the research is to understand how weather and climate, as measured by variations in the growing season using satellite remote sensing, has affected agricultural production, food prices and access to food in agricultural societies. Economies are vulnerable to extreme weather at multiple levels. Subsistence small holders who hold livestock and consume much of the food they produce are vulnerable to food production variability. The broader society, however, is also vulnerable to extreme weather because of the secondary effects on market functioning, resource availability, and large-scale impacts on employment in trading, trucking and wage labor that are caused by weather-related shocks. Food price variability captures many of these broad impacts and can be used to diagnose weather-related vulnerability across multiple sectors. The paper will trace these connections using market-level data and analysis. The context of the analysis is the humanitarian aid community, using the guidance of the USAID Famine Early Warning Systems Network and the United Nation's World Food Program in their response to food security crises. These organizations have worked over the past three decades to provide baseline information on food production through satellite remote sensing data and agricultural yield models, as well as assessments of food access through a food price database. Econometric models and spatial analysis are used to describe the connection between shocks and food prices, and to demonstrate the importance of these metrics in overall outcomes in food-insecure communities.

  13. Does the OVX matter for volatility forecasting? Evidence from the crude oil market

    NASA Astrophysics Data System (ADS)

    Lv, Wendai

    2018-02-01

    In this paper, I investigate that whether the OVX and its truncated parts with a certain threshold can significantly help in forecasting the oil futures price volatility basing on the Heterogeneous Autoregressive model of Realized Volatility (HAR-RV). In-sample estimation results show that the OVX has a significantly positive impact on futures volatility. The impact of large OVX on future volatility has slightly powerful compared to the small ones. Moreover, the HARQ-RV model outperforms the HAR-RV in predicting the oil futures volatility. More importantly, the decomposed OVX have more powerful in forecasting the oil futures price volatility compared to the OVX itself.

  14. Stochastic processes in the social sciences: Markets, prices and wealth distributions

    NASA Astrophysics Data System (ADS)

    Romero, Natalia E.

    The present work uses statistical mechanics tools to investigate the dynamics of markets, prices, trades and wealth distribution. We studied the evolution of market dynamics in different stages of historical development by analyzing commodity prices from two distinct periods ancient Babylon, and medieval and early modern England. We find that the first-digit distributions of both Babylon and England commodity prices follow Benfords law, indicating that the data represent empirical observations typically arising from a free market. Further, we find that the normalized prices of both Babylon and England agricultural commodities are characterized by stretched exponential distributions, and exhibit persistent correlations of a power law type over long periods of up to several centuries, in contrast to contemporary markets. Our findings suggest that similar market interactions may underlie the dynamics of ancient agricultural commodity prices, and that these interactions may remain stable across centuries. To further investigate the dynamics of markets we present the analogy between transfers of money between individuals and the transfer of energy through particle collisions by means of the kinetic theory of gases. We introduce a theoretical framework of how the micro rules of trading lead to the emergence of income and wealth distribution. Particularly, we study the effects of different types of distribution of savings/investments among individuals in a society and different welfare/subsidies redistribution policies. Results show that while considering savings propensities the models approach empirical distributions of wealth quite well the effect of redistribution better captures specific features of the distributions which earlier models failed to do; moreover the models still preserve the exponential decay observed in empirical income distributions reported by tax data and surveys.

  15. 7 CFR 5.3 - Selection of calendar year price data.

    Code of Federal Regulations, 2014 CFR

    2014-01-01

    ... payments as provided by section 301(a)(1)(B). For Maryland Tobacco, type 32, the price data for each... 7 Agriculture 1 2014-01-01 2014-01-01 false Selection of calendar year price data. 5.3 Section 5.3... year price data. In computing the adjusted base price for those commodities for which calendar year...

  16. 75 FR 41365 - Dairy Product Price Support Program and Dairy Indemnity Payment Program

    Federal Register 2010, 2011, 2012, 2013, 2014

    2010-07-16

    ...;Prices of new books are listed in the first FEDERAL REGISTER issue of each #0;week. #0; #0; #0; #0;#0... 0560-AH88 Dairy Product Price Support Program and Dairy Indemnity Payment Program AGENCY: Commodity... regulations for the Dairy Product Price Support Program (DPPSP), which has replaced the Price Support Program...

  17. Assessing the stock market volatility for different sectors in Malaysia by using standard deviation and EWMA methods

    NASA Astrophysics Data System (ADS)

    Saad, Shakila; Ahmad, Noryati; Jaffar, Maheran Mohd

    2017-11-01

    Nowadays, the study on volatility concept especially in stock market has gained so much attention from a group of people engaged in financial and economic sectors. The applications of volatility concept in financial economics can be seen in valuation of option pricing, estimation of financial derivatives, hedging the investment risk and etc. There are various ways to measure the volatility value. However for this study, two methods are used; the simple standard deviation and Exponentially Weighted Moving Average (EWMA). The focus of this study is to measure the volatility on three different sectors of business in Malaysia, called primary, secondary and tertiary by using both methods. The daily and annual volatilities of different business sector based on stock prices for the period of 1 January 2014 to December 2014 have been calculated in this study. Result shows that different patterns of the closing stock prices and return give different volatility values when calculating using simple method and EWMA method.

  18. Universal Behavior of Extreme Price Movements in Stock Markets

    PubMed Central

    Fuentes, Miguel A.; Gerig, Austin; Vicente, Javier

    2009-01-01

    Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large collection of data from three different stock markets, we present evidence that a modification to the random model—adding a slow, but significant, fluctuation to the standard deviation of the process—accurately explains the probability of different-sized price changes, including the relative high frequency of extreme movements. Furthermore, we show that this process is similar across stocks so that their price fluctuations can be characterized by a single curve. Because the behavior of price fluctuations is rooted in the characteristics of volatility, we expect our results to bring increased interest to stochastic volatility models, and especially to those that can produce the properties of volatility reported here. PMID:20041178

  19. The Pricing of European Options Under the Constant Elasticity of Variance with Stochastic Volatility

    NASA Astrophysics Data System (ADS)

    Bock, Bounghun; Choi, Sun-Yong; Kim, Jeong-Hoon

    This paper considers a hybrid risky asset price model given by a constant elasticity of variance multiplied by a stochastic volatility factor. A multiscale analysis leads to an asymptotic pricing formula for both European vanilla option and a Barrier option near the zero elasticity of variance. The accuracy of the approximation is provided in a rigorous manner. A numerical experiment for implied volatilities shows that the hybrid model improves some of the well-known models in view of fitting the data for different maturities.

  20. Multifractals in Western Major STOCK Markets Historical Volatilities in Times of Financial Crisis

    NASA Astrophysics Data System (ADS)

    Lahmiri, Salim

    In this paper, the generalized Hurst exponent is used to investigate multifractal properties of historical volatility (CHV) in stock market price and return series before, during and after 2008 financial crisis. Empirical results from NASDAQ, S&P500, TSE, CAC40, DAX, and FTSE stock market data show that there is strong evidence of multifractal patterns in HV of both price and return series. In addition, financial crisis deeply affected the behavior and degree of multifractality in volatility of Western financial markets at price and return levels.

  1. The substitutability of cigarettes and food: A behavioral economic comparison in normal weight and overweight or obese smokers.

    PubMed

    Murphy, Cara M; Owens, Max M; Sweet, Lawrence H; MacKillop, James

    2016-12-01

    Obesity and cigarette smoking contribute to a multitude of preventable deaths in the United States and eating and smoking behavior may influence each other. The field of behavioral economics integrates principles from psychology and economics and permits systematic examination of how commodities interrelate with one another. Using this framework, the current study evaluated the effects of rising food and cigarette prices on consumption to investigate their substitutability and their relationship to BMI and associated variables. Behavioral economics categorizes commodities as substitutable when the consumption of one increases as a function of a price increase in the other. Smokers (N = 86) completed a 2-part hypothetical task in which money was allocated to purchase cigarettes and fast-food-style reinforcers (e.g., hamburgers, ice cream) at various prices. Results indicated that food and cigarettes were not substitutes for one another (cross-price elasticity coefficients < .20). Food purchases were independent of cigarette price, whereas cigarette purchases decreased as food price rose. Cross-price elasticity coefficients were significantly associated with confidence in one's ability to control weight without smoking (rs = -.23 and .29), but not BMI (rs = .04 and .04) or postcessation weight concerns (rs = -.05 and .12). Perceived ability to manage weight without cigarettes may influence who substitutes food for cigarettes when quitting. In addition, given observed decreases in purchases of both commodities as food prices increased, these findings imply that greater taxation of fast-food-style reinforcers could potentially reduce consumption of these foods and also cigarettes among smokers. (PsycINFO Database Record (c) 2017 APA, all rights reserved).

  2. The Substitutability of Cigarettes and Food: A Behavioral Economic Comparison in Normal Weight and Overweight or Obese Smokers

    PubMed Central

    Murphy, Cara M.; Owens, Max M.; Sweet, Lawrence H.; MacKillop, James

    2017-01-01

    Obesity and cigarette smoking contribute to a multitude of preventable deaths in the US and eating and smoking behavior may influence each other. The field of behavioral economics integrates principles from psychology and economics and permits systematic examination of how commodities interrelate with one another. Using this framework, the current study evaluated the effects of rising food and cigarette prices on consumption to investigate their substitutability and their relationship to BMI and associated variables. Behavioral economics categorizes commodities as substitutable when the consumption of one increases as a function of a price increase in the other. Smokers (N = 86) completed a two-part hypothetical task in which money was allocated to purchase cigarettes and fast food-style reinforcers (e.g., hamburgers, ice cream) at various prices. Results indicated that food and cigarettes were not substitutes for one another (cross-price elasticity coefficients > .20). Food purchases were independent of cigarette price, whereas cigarette purchases decreased as food price rose. Cross-price elasticity coefficients were significantly associated with confidence in one’s ability to control weight without smoking (rs = −.23 and .29), but not BMI (rs = .04 and .04) or post-cessation weight concerns (rs = −.05 and .12). Perceived ability to manage weight without cigarettes may influence who substitutes food for cigarettes when quitting. In addition, given observed decreases in purchases of both commodities as food prices increased, these findings imply that greater taxation of fast food-style reinforcers could potentially reduce consumption of these foods and also cigarettes among smokers. PMID:27736143

  3. Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black-Scholes model with transaction costs

    NASA Astrophysics Data System (ADS)

    Wang, Xiao-Tian

    2011-05-01

    This paper deals with the problem of discrete time option pricing using the fractional Black-Scholes model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price of an option under transaction costs is obtained. In addition, the relation between scaling and implied volatility smiles is discussed.

  4. Speculative behavior and asset price dynamics.

    PubMed

    Westerhoff, Frank

    2003-07-01

    This paper deals with speculative trading. Guided by empirical observations, a nonlinear deterministic asset pricing model is developed in which traders repeatedly choose between technical and fundamental analysis to determine their orders. The interaction between the trading rules produces complex dynamics. The model endogenously replicates the stylized facts of excess volatility, high trading volumes, shifts in the level of asset prices, and volatility clustering.

  5. 7 CFR 1221.16 - Net market price.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE SORGHUM PROMOTION, RESEARCH, AND INFORMATION ORDER Sorghum Promotion, Research, and Information Order Definitions § 1221.16 Net market price... 7 Agriculture 10 2010-01-01 2010-01-01 false Net market price. 1221.16 Section 1221.16 Agriculture...

  6. 7 CFR 1220.115 - Net market price.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... AGREEMENTS AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE SOYBEAN PROMOTION, RESEARCH, AND CONSUMER INFORMATION Soybean Promotion and Research Order Definitions § 1220.115 Net market price. The term... 7 Agriculture 10 2010-01-01 2010-01-01 false Net market price. 1220.115 Section 1220.115...

  7. Modeling spot markets for electricity and pricing electricity derivatives

    NASA Astrophysics Data System (ADS)

    Ning, Yumei

    Spot prices for electricity have been very volatile with dramatic price spikes occurring in restructured market. The task of forecasting electricity prices and managing price risk presents a new challenge for market players. The objectives of this dissertation are: (1) to develop a stochastic model of price behavior and predict price spikes; (2) to examine the effect of weather forecasts on forecasted prices; (3) to price electricity options and value generation capacity. The volatile behavior of prices can be represented by a stochastic regime-switching model. In the model, the means of the high-price and low-price regimes and the probabilities of switching from one regime to the other are specified as functions of daily peak load. The probability of switching to the high-price regime is positively related to load, but is still not high enough at the highest loads to predict price spikes accurately. An application of this model shows how the structure of the Pennsylvania-New Jersey-Maryland market changed when market-based offers were allowed, resulting in higher price spikes. An ARIMA model including temperature, seasonal, and weekly effects is estimated to forecast daily peak load. Forecasts of load under different assumptions about weather patterns are used to predict changes of price behavior given the regime-switching model of prices. Results show that the range of temperature forecasts from a normal summer to an extremely warm summer cause relatively small increases in temperature (+1.5%) and load (+3.0%). In contrast, the increases in prices are large (+20%). The conclusion is that the seasonal outlook forecasts provided by NOAA are potentially valuable for predicting prices in electricity markets. The traditional option models, based on Geometric Brownian Motion are not appropriate for electricity prices. An option model using the regime-switching framework is developed to value a European call option. The model includes volatility risk and allows changes in prices and volatility to be correlated. The results show that the value of a power plant is much higher using the financial option model than using traditional discounted cash flow.

  8. The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China

    NASA Astrophysics Data System (ADS)

    Su, Zhi; Shu, Tengjia; Yin, Libo

    2018-05-01

    Inspired by Herskovic et al. (2016), we investigate the pricing effect of the firm-level common idiosyncratic volatility (CIV) in China's A-Share market. Return tests indicate that lower CIV risk loadings bring higher returns significantly, while the pricing function of market volatility (MV) is inconsistent. Strategy that goes long the highest CIV-beta quintile and short the lowest CIV-beta quintile brings an annualized average return of 5%-7%. Our findings supplement Herskovic et al. (2016) by confirming a significantly negative relationship between CIV and stock returns in a developing market.

  9. How Volatilities Nonlocal in Time Affect the Price Dynamics in Complex Financial Systems

    PubMed Central

    Tan, Lei; Zheng, Bo; Chen, Jun-Jie; Jiang, Xiong-Fei

    2015-01-01

    What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time. PMID:25723154

  10. 49 CFR 195.424 - Pipe movement.

    Code of Federal Regulations, 2012 CFR

    2012-10-01

    ... operating pressure. (b) No operator may move any pipeline containing highly volatile liquids where materials... pressure of the commodity. (c) No operator may move any pipeline containing highly volatile liquids where... ADMINISTRATION, DEPARTMENT OF TRANSPORTATION (CONTINUED) PIPELINE SAFETY TRANSPORTATION OF HAZARDOUS LIQUIDS BY...

  11. 49 CFR 195.424 - Pipe movement.

    Code of Federal Regulations, 2011 CFR

    2011-10-01

    ... operating pressure. (b) No operator may move any pipeline containing highly volatile liquids where materials... pressure of the commodity. (c) No operator may move any pipeline containing highly volatile liquids where... ADMINISTRATION, DEPARTMENT OF TRANSPORTATION (CONTINUED) PIPELINE SAFETY TRANSPORTATION OF HAZARDOUS LIQUIDS BY...

  12. 49 CFR 195.424 - Pipe movement.

    Code of Federal Regulations, 2013 CFR

    2013-10-01

    ... operating pressure. (b) No operator may move any pipeline containing highly volatile liquids where materials... pressure of the commodity. (c) No operator may move any pipeline containing highly volatile liquids where... ADMINISTRATION, DEPARTMENT OF TRANSPORTATION (CONTINUED) PIPELINE SAFETY TRANSPORTATION OF HAZARDOUS LIQUIDS BY...

  13. 49 CFR 195.424 - Pipe movement.

    Code of Federal Regulations, 2014 CFR

    2014-10-01

    ... operating pressure. (b) No operator may move any pipeline containing highly volatile liquids where materials... pressure of the commodity. (c) No operator may move any pipeline containing highly volatile liquids where... ADMINISTRATION, DEPARTMENT OF TRANSPORTATION (CONTINUED) PIPELINE SAFETY TRANSPORTATION OF HAZARDOUS LIQUIDS BY...

  14. 76 FR 53533 - Notification of New Pricing Methodology

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-08-26

    ... gold coins to mitigate the effect that fluctuating gold commodity costs has on the pricing of these..., use of machinery, overhead expenses, marketing, and shipping). This pricing methodology will allow the... SUPPLEMENTARY INFORMATION section, will go into effect on date of publication. FOR FURTHER INFORMATION CONTACT...

  15. Mitigation potential and global health impacts from emissions pricing of food commodities

    NASA Astrophysics Data System (ADS)

    Springmann, Marco; Mason-D'Croz, Daniel; Robinson, Sherman; Wiebe, Keith; Godfray, H. Charles J.; Rayner, Mike; Scarborough, Peter

    2017-01-01

    The projected rise in food-related greenhouse gas emissions could seriously impede efforts to limit global warming to acceptable levels. Despite that, food production and consumption have long been excluded from climate policies, in part due to concerns about the potential impact on food security. Using a coupled agriculture and health modelling framework, we show that the global climate change mitigation potential of emissions pricing of food commodities could be substantial, and that levying greenhouse gas taxes on food commodities could, if appropriately designed, be a health-promoting climate policy in high-income countries, as well as in most low- and middle-income countries. Sparing food groups known to be beneficial for health from taxation, selectively compensating for income losses associated with tax-related price increases, and using a portion of tax revenues for health promotion are potential policy options that could help avert most of the negative health impacts experienced by vulnerable groups, whilst still promoting changes towards diets which are more environmentally sustainable.

  16. Model risk for European-style stock index options.

    PubMed

    Gençay, Ramazan; Gibson, Rajna

    2007-01-01

    In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as the Black-Scholes (BS) model with constant volatility. In this paper, we study the stochastic volatility (SV) and stochastic volatility random jump (SVJ) models as parametric benchmarks against feedforward neural network (FNN) models, a class of neural network models. Our choice for FNN models is due to their well-studied universal approximation properties of an unknown function and its partial derivatives. Since the partial derivatives of an option pricing formula are risk pricing tools, an accurate estimation of the unknown option pricing function is essential for pricing and hedging. Our findings indicate that FNN models offer themselves as robust option pricing tools, over their sophisticated parametric counterparts in predictive settings. There are two routes to explain the superiority of FNN models over the parametric models in forecast settings. These are nonnormality of return distributions and adaptive learning.

  17. Activities for Students: Predicting Future Gas Prices Using the Standards for Mathematical Practice

    ERIC Educational Resources Information Center

    Bismarck, Stephen F.; Zelkowski, Jeremy; Gleason, Jim

    2014-01-01

    Like many commodities, the price of gasoline continues to rise, and these price changes are readily observed in gas stations' signage. Moreover, algebraic methods are well suited to model price change and answer the student's question. Over the course of one ninety-minute block or two forty-five-minute classes, students build functions…

  18. Multiple commodities in statistical microeconomics: Model and market

    NASA Astrophysics Data System (ADS)

    Baaquie, Belal E.; Yu, Miao; Du, Xin

    2016-11-01

    A statistical generalization of microeconomics has been made in Baaquie (2013). In Baaquie et al. (2015), the market behavior of single commodities was analyzed and it was shown that market data provides strong support for the statistical microeconomic description of commodity prices. The case of multiple commodities is studied and a parsimonious generalization of the single commodity model is made for the multiple commodities case. Market data shows that the generalization can accurately model the simultaneous correlation functions of up to four commodities. To accurately model five or more commodities, further terms have to be included in the model. This study shows that the statistical microeconomics approach is a comprehensive and complete formulation of microeconomics, and which is independent to the mainstream formulation of microeconomics.

  19. Empirical investigation of a field theory formula and Black's formula for the price of an interest-rate caplet

    NASA Astrophysics Data System (ADS)

    Baaquie, Belal E.; Liang, Cui

    2007-01-01

    The industry standard for pricing an interest-rate caplet is Black's formula. Another distinct price of the same caplet can be derived using a quantum field theory model of the forward interest rates. An empirical study is carried out to compare the two caplet pricing formulae. Historical volatility and correlation of forward interest rates are used to generate the field theory caplet price; another approach is to fit a parametric formula for the effective volatility using market caplet price. The study shows that the field theory model generates the price of a caplet and cap fairly accurately. Black's formula for a caplet is compared with field theory pricing formula. It is seen that the field theory formula for caplet price has many advantages over Black's formula.

  20. Fluctuation behaviors of financial return volatility duration

    NASA Astrophysics Data System (ADS)

    Niu, Hongli; Wang, Jun; Lu, Yunfan

    2016-04-01

    It is of significantly crucial to understand the return volatility of financial markets because it helps to quantify the investment risk, optimize the portfolio, and provide a key input of option pricing models. The characteristics of isolated high volatility events above certain threshold in price fluctuations and the distributions of return intervals between these events arouse great interest in financial research. In the present work, we introduce a new concept of daily return volatility duration, which is defined as the shortest passage time when the future volatility intensity is above or below the current volatility intensity (without predefining a threshold). The statistical properties of the daily return volatility durations for seven representative stock indices from the world financial markets are investigated. Some useful and interesting empirical results of these volatility duration series about the probability distributions, memory effects and multifractal properties are obtained. These results also show that the proposed stock volatility series analysis is a meaningful and beneficial trial.

  1. From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes

    NASA Astrophysics Data System (ADS)

    Henkel, Christof

    2017-03-01

    We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/excited two state system discussed in the context of quantum mechanics to agent socio-economic behavior and provide microfoundations. After we link the endogenous agent behavior to price dynamics we establish the circumstances under which the dynamics converge to an Itô-diffusion price processes in the large market limit.

  2. Factors Affecting the Relationship between Crude Oil and Natural Gas Prices (released in AEO2010)

    EIA Publications

    2010-01-01

    Over the 1995-2005 period, crude oil prices and U.S. natural gas prices tended to move together, which supported the conclusion that the markets for the two commodities were connected. Figure 26 illustrates the fairly stable ratio over that period between the price of low-sulfur light crude oil at Cushing, Oklahoma, and the price of natural gas at the Henry Hub on an energy-equivalent basis.

  3. Local Staple Food Price Indices in the Age of Biofuels

    NASA Technical Reports Server (NTRS)

    Brown, Molly E.

    2012-01-01

    In many poor, food insecure regions, agriculture is a primary source of income and farmers are reliant both on their own production and on purchasing food in the market to feed their families. Large local food price increases over a short time period can be indicative of a deteriorating food security situation and may be the consequence of weather-related food production declines, Dr can simply be the result of price transmission from the international commodity market. Food price indices developed by the United Nations Food and Agriculture Organization (FAO) are used to monitor food price trends at a global level, but largely reflect supply and demand conditions in export markets far from the places where the chronically food insecure live. A much better understanding of how local staple food prices in isolated regions such as West Africa that grow most of the food they eat to better understand the impact of global commodity market transformations on sensitive communities at the margin. This information will also enable improved strategies for these farmers who are extraordinarily sensitive to climate change impacts on agricultural growing conditions.

  4. Oil shocks in New Keynesian models: Positive and normative implications

    NASA Astrophysics Data System (ADS)

    Chang, Jian

    Chapter 1 investigates optimal monetary policy response towards oil shocks in a New Keynesian model. We find that optimal policy, in general, becomes contractionary in response to an adverse oil shock. However, the optimal policy rule and the inflation-output trade-off depend on the specific structure of the model. The benchmark economy consists of a flexible-price energy sector and a sticky-price manufacturing sector where energy is used as an intermediate input. We show that optimal policy is to stabilize the sticky (core) price level. We then show that after incorporating a less oil-dependent sticky-price service sector, the model exhibits a trade-off in stabilizing prices and output gaps in the different sticky-price sectors. It predicts that central bank should not try to stabilize the core price level, and the economy will experience higher inflation and rising output gaps, even if central banks respond optimally. Chapter 2 addresses the observed volatility and persistence of real exchange rates and the terms of trade. It contributes to the literature with a quantitative study on the U.S. and Canada. A two-country New Keynesian model consisting of traded, non-traded, and oil production sectors is proposed to examine the time series properties of the real exchange rate, the terms of trade and the real oil price. We find that after incorporating several realistic features (namely oil price shocks, sector specific labor, non-traded goods, asymmetric pricing decisions of exporters and asymmetric consumer preferences over tradables), the benchmark model broadly matches the volatilities of the relative prices and some business cycle correlations. The model matches the data more closely after adding real demand shocks, suggesting their importance in explaining the relative price movements between the US and Canada. Chapter 3 explores several sources and transmission channels of international relative price movements. In particular, we elaborate on the role of imperfect labor mobility, pricing decisions of exporting firms, oil price shocks and asymmetric consumer preferences over tradables. Our results suggest that: Incorporating both producer currency pricing and local currency pricing assumptions produces more reasonable relative price movements. A model with imperfect labor mobility generates larger relative price volatility. Oil price shocks only contribute to terms of trade variability when oil is modeled as part of the traded basket. And asymmetric consumer preferences contribute to the volatility of the real exchange rate.

  5. Detection of algorithmic trading

    NASA Astrophysics Data System (ADS)

    Bogoev, Dimitar; Karam, Arzé

    2017-10-01

    We develop a new approach to reflect the behavior of algorithmic traders. Specifically, we provide an analytical and tractable way to infer patterns of quote volatility and price momentum consistent with different types of strategies employed by algorithmic traders, and we propose two ratios to quantify these patterns. Quote volatility ratio is based on the rate of oscillation of the best ask and best bid quotes over an extremely short period of time; whereas price momentum ratio is based on identifying patterns of rapid upward or downward movement in prices. The two ratios are evaluated across several asset classes. We further run a two-stage Artificial Neural Network experiment on the quote volatility ratio; the first stage is used to detect the quote volatility patterns resulting from algorithmic activity, while the second is used to validate the quality of signal detection provided by our measure.

  6. JPRS Report China

    DTIC Science & Technology

    1988-07-06

    particular, we cannot arbitrarily raise prices and thus increase the burden on consumers . Rather, we must rely on enterprises them- selves to tap...state, there is the possibility that due to the price differences in the means of produc- tion consumed by enterprises producing the same kind of... rationalize the prices of major commodities and production materials; improve all kinds of support measures; link prices on the domestic market with those on

  7. An inverse problem of determining the implied volatility in option pricing

    NASA Astrophysics Data System (ADS)

    Deng, Zui-Cha; Yu, Jian-Ning; Yang, Liu

    2008-04-01

    In the Black-Scholes world there is the important quantity of volatility which cannot be observed directly but has a major impact on the option value. In practice, traders usually work with what is known as implied volatility which is implied by option prices observed in the market. In this paper, we use an optimal control framework to discuss an inverse problem of determining the implied volatility when the average option premium, namely the average value of option premium corresponding with a fixed strike price and all possible maturities from the current time to a chosen future time, is known. The issue is converted into a terminal control problem by Green function method. The existence and uniqueness of the minimum of the control functional are addressed by the optimal control method, and the necessary condition which must be satisfied by the minimum is also given. The results obtained in the paper may be useful for those who engage in risk management or volatility trading.

  8. Volatility of bitumen prices and implications for the industry

    USGS Publications Warehouse

    Attanasi, E.D.

    2008-01-01

    Sustained crude oil price increases have led to increased investment in and production of Canadian bitumen to supplement North American oil supplies. For new projects, the evaluation of profitability is based on a prediction of the future price path of bitumen and ultimately light/medium crude oil. This article examines the relationship between the bitumen and light crude oil prices in the context of a simple error-correction economic-adjustment model. The analysis shows bitumen prices to be significantly more volatile than light crude prices. Also, the dominant effect of an oil price shock on bitumen prices is immediate and is amplified, both in absolute terms and percentage price changes. It is argued that the bitumen industry response to such market risks will likely be a realignment toward vertical integration via new downstream construction, mergers, or on a de facto basis by the establishment of alliances. ?? 2008 International Association for Mathematical Geology.

  9. Numerical methods on European option second order asymptotic expansions for multiscale stochastic volatility

    NASA Astrophysics Data System (ADS)

    Canhanga, Betuel; Ni, Ying; Rančić, Milica; Malyarenko, Anatoliy; Silvestrov, Sergei

    2017-01-01

    After Black-Scholes proposed a model for pricing European Options in 1973, Cox, Ross and Rubinstein in 1979, and Heston in 1993, showed that the constant volatility assumption made by Black-Scholes was one of the main reasons for the model to be unable to capture some market details. Instead of constant volatilities, they introduced stochastic volatilities to the asset dynamic modeling. In 2009, Christoffersen empirically showed "why multifactor stochastic volatility models work so well". Four years later, Chiarella and Ziveyi solved the model proposed by Christoffersen. They considered an underlying asset whose price is governed by two factor stochastic volatilities of mean reversion type. Applying Fourier transforms, Laplace transforms and the method of characteristics they presented a semi-analytical formula to compute an approximate price for American options. The huge calculation involved in the Chiarella and Ziveyi approach motivated the authors of this paper in 2014 to investigate another methodology to compute European Option prices on a Christoffersen type model. Using the first and second order asymptotic expansion method we presented a closed form solution for European option, and provided experimental and numerical studies on investigating the accuracy of the approximation formulae given by the first order asymptotic expansion. In the present paper we will perform experimental and numerical studies for the second order asymptotic expansion and compare the obtained results with results presented by Chiarella and Ziveyi.

  10. An inverse finance problem for estimation of the volatility

    NASA Astrophysics Data System (ADS)

    Neisy, A.; Salmani, K.

    2013-01-01

    Black-Scholes model, as a base model for pricing in derivatives markets has some deficiencies, such as ignoring market jumps, and considering market volatility as a constant factor. In this article, we introduce a pricing model for European-Options under jump-diffusion underlying asset. Then, using some appropriate numerical methods we try to solve this model with integral term, and terms including derivative. Finally, considering volatility as an unknown parameter, we try to estimate it by using our proposed model. For the purpose of estimating volatility, in this article, we utilize inverse problem, in which inverse problem model is first defined, and then volatility is estimated using minimization function with Tikhonov regularization.

  11. 7 CFR 5.6 - Revision of the parity price of a commodity.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... continuing changes in demand and supply conditions which are reflected in market prices. Accordingly, only in... Administrative Law Judges or such other employee of the Department as the Secretary may designate for the purpose...

  12. Spatial taxation effects on regional coal economic activities

    DOE Office of Scientific and Technical Information (OSTI.GOV)

    Yang, C.W.; Labys, W.C.

    1982-01-01

    Taxation effects on resource production, consumption and prices are seldom evaluated especially in the field of spatial commodity modeling. The most commonly employed linear programming model has fixed-point estimated demands and capacity constraints; hence it makes taxation effects difficult to be modeled. The second type of resource allocation model, the interregional input-output models does not include a direct and explicit price mechanism. Therefore, it is not suitable for analyzing taxation effects. The third type or spatial commodity model has been econometric in nature. While such an approach has a good deal of flexibility in modeling political and non-economic variables, itmore » treats taxation (or tariff) effects loosely using only dummy variables, and, in many cases, must sacrifice the consistency criterion important for spatial commodity modeling. This leaves model builders only one legitimate choice for analyzing taxation effects: the quadratic programming model which explicitly allows the interplay of regional demand and supply relations via a continuous spatial price constructed by the authors related to the regional demand for and supply of coal from Appalachian markets.« less

  13. 17 CFR 37.3 - Requirements for underlying commodities.

    Code of Federal Regulations, 2012 CFR

    2012-04-01

    ... to minimize the threat of market abuses such as price manipulation and distortions, congestion, and... highly unlikely to be susceptible to the threat of manipulation; or (iii) No cash market; (2) Commodities... which the Commission has determined, based on the market characteristics and surveillance history, and...

  14. Market structure in U.S. southern pine roundwood

    Treesearch

    Matthew F. Bingham; Jeffrey P. Prestemon; Douglas J. MacNair; Robert C. Abt

    2003-01-01

    Time series of commodity prices from multiple locations can behave as if responding to forces of spatial arbitrage. cvcn while such prices may instead be responding similarly to common factors aside from spatial arbitrage. Hence, while the Law of One Price may hold as a statistical concept, its acceptance is not sufficient to conclude market integration. We tested...

  15. Correlation between agricultural markets in dynamic perspective-Evidence from China and the US futures markets

    NASA Astrophysics Data System (ADS)

    Jia, Rui-Lin; Wang, Dong-Hua; Tu, Jing-Qing; Li, Sai-Ping

    2016-12-01

    Emerging as the earliest futures markets, agricultural futures markets play an important role in risk aversion and price discovery. With the integration of global economy, the linkage between domestic and international futures markets becomes closer than ever. By using the thermal optimal path (TOP) method, this paper selects soybean, corn and wheat as the representatives to study the dynamic lead-lag relationship between the Chinese and American markets in both returns and volatility. The results indicate that: (1) For the futures return, different kinds of agricultural futures lead-lag relationship between China and the US varied before 2014 both in direction and order in different time periods. However, China leads the US for all the three kinds we study after 2014. (2) Agricultural commodities subject to less import restrictions and government regulations in China such as soybean are more susceptible to the fluctuations from the international markets. On the other hand, lower foreign trade openness and more government regulation species such as wheat are less affected by fluctuations from outside. (3) The volatility transmission from the US to China wheat futures market takes longer time than soybean, which suggests that China's soybean futures market is more closely linked to the international agricultural futures market than wheat.

  16. Finite Volume Method for Pricing European Call Option with Regime-switching Volatility

    NASA Astrophysics Data System (ADS)

    Lista Tauryawati, Mey; Imron, Chairul; Putri, Endah RM

    2018-03-01

    In this paper, we present a finite volume method for pricing European call option using Black-Scholes equation with regime-switching volatility. In the first step, we formulate the Black-Scholes equations with regime-switching volatility. we use a finite volume method based on fitted finite volume with spatial discretization and an implicit time stepping technique for the case. We show that the regime-switching scheme can revert to the non-switching Black Scholes equation, both in theoretical evidence and numerical simulations.

  17. The mean time-limited crash rate of stock price

    NASA Astrophysics Data System (ADS)

    Li, Yun-Xian; Li, Jiang-Cheng; Yang, Ai-Jun; Tang, Nian-Sheng

    2017-05-01

    In this article we investigate the occurrence of stock market crash in an economy cycle. Bayesian approach, Heston model and statistical-physical method are considered. Specifically, Heston model and an effective potential are employed to address the dynamic changes of stock price. Bayesian approach has been utilized to estimate the Heston model's unknown parameters. Statistical physical method is used to investigate the occurrence of stock market crash by calculating the mean time-limited crash rate. The real financial data from the Shanghai Composite Index is analyzed with the proposed methods. The mean time-limited crash rate of stock price is used to describe the occurrence of stock market crash in an economy cycle. The monotonous and nonmonotonous behaviors are observed in the behavior of the mean time-limited crash rate versus volatility of stock for various cross correlation coefficient between volatility and price. Also a minimum occurrence of stock market crash matching an optimal volatility is discovered.

  18. Stochastic modeling of economic injury levels with respect to yearly trends in price commodity.

    PubMed

    Damos, Petros

    2014-05-01

    The economic injury level (EIL) concept integrates economics and biology and uses chemical applications in crop protection only when economic loss by pests is anticipated. The EIL is defined by five primary variables: the cost of management tactic per production unit, the price of commodity, the injury units per pest, the damage per unit injury, and the proportionate reduction of injury averted by the application of a tactic. The above variables are related according to the formula EIL = C/VIDK. The observable dynamic alteration of the EIL due to its different parameters is a major characteristic of its concept. In this study, the yearly effect of the economic variables is assessed, and in particular the influence of the parameter commodity value on the shape of the EIL function. In addition, to predict the effects of the economic variables on the EIL level, yearly commodity values were incorporated in the EIL formula and the generated outcomes were further modelled with stochastic linear autoregressive models having different orders. According to the AR(1) model, forecasts for the five-year period of 2010-2015 ranged from 2.33 to 2.41 specimens per sampling unit. These values represent a threshold that is in reasonable limits to justify future control actions. Management actions as related to productivity and price commodity significantly affect costs of crop production and thus define the adoption of IPM and sustainable crop production systems at local and international levels. This is an open access paper. We use the Creative Commons Attribution 3.0 license that permits unrestricted use, provided that the paper is properly attributed.

  19. FUNGIBILITY AND CONSUMER CHOICE: EVIDENCE FROM COMMODITY PRICE SHOCKS.

    PubMed

    Hastings, Justine S; Shapiro, Jesse M

    2013-11-01

    We formulate a test of the fungibility of money based on parallel shifts in the prices of different quality grades of a commodity. We embed the test in a discrete-choice model of product quality choice and estimate the model using panel microdata on gasoline purchases. We find that when gasoline prices rise consumers substitute to lower octane gasoline, to an extent that cannot be explained by income effects. Across a wide range of specifications, we consistently reject the null hypothesis that households treat "gas money" as fungible with other income. We compare the empirical fit of three psychological models of decision-making. A simple model of category budgeting fits the data well, with models of loss aversion and salience both capturing important features of the time series.

  20. FUNGIBILITY AND CONSUMER CHOICE: EVIDENCE FROM COMMODITY PRICE SHOCKS*

    PubMed Central

    Hastings, Justine S.; Shapiro, Jesse M.

    2015-01-01

    We formulate a test of the fungibility of money based on parallel shifts in the prices of different quality grades of a commodity. We embed the test in a discrete-choice model of product quality choice and estimate the model using panel microdata on gasoline purchases. We find that when gasoline prices rise consumers substitute to lower octane gasoline, to an extent that cannot be explained by income effects. Across a wide range of specifications, we consistently reject the null hypothesis that households treat “gas money” as fungible with other income. We compare the empirical fit of three psychological models of decision-making. A simple model of category budgeting fits the data well, with models of loss aversion and salience both capturing important features of the time series. PMID:26937053

  1. 17 CFR 230.501 - Definitions and terms used in Regulation D.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... 17 Commodity and Securities Exchanges 2 2010-04-01 2010-04-01 false Definitions and terms used in Regulation D. 230.501 Section 230.501 Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION... price attributable to cash received in a foreign currency shall be translated into United States...

  2. 7 CFR 17.5 - Contracts between commodity suppliers and importers.

    Code of Federal Regulations, 2013 CFR

    2013-01-01

    ... substantial increase in freight costs to the participant; (B) For small quantities offered at additional... purposes of this section, “lowest landed cost” means the combination of commodity price and ocean freight... the quantity which must be shipped on privately owned U.S.-flag commercial vessels, as determined by...

  3. 7 CFR 17.5 - Contracts between commodity suppliers and importers.

    Code of Federal Regulations, 2012 CFR

    2012-01-01

    ... substantial increase in freight costs to the participant; (B) For small quantities offered at additional... purposes of this section, “lowest landed cost” means the combination of commodity price and ocean freight... the quantity which must be shipped on privately owned U.S.-flag commercial vessels, as determined by...

  4. 7 CFR 17.5 - Contracts between commodity suppliers and importers.

    Code of Federal Regulations, 2014 CFR

    2014-01-01

    ... substantial increase in freight costs to the participant; (B) For small quantities offered at additional... purposes of this section, “lowest landed cost” means the combination of commodity price and ocean freight... the quantity which must be shipped on privately owned U.S.-flag commercial vessels, as determined by...

  5. 7 CFR 17.5 - Contracts between commodity suppliers and importers.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... substantial increase in freight costs to the participant; (B) For small quantities offered at additional... purposes of this section, “lowest landed cost” means the combination of commodity price and ocean freight... the quantity which must be shipped on privately owned U.S.-flag commercial vessels, as determined by...

  6. Crude oil prices: Speculation versus fundamentals

    NASA Astrophysics Data System (ADS)

    Kolodziej, Marek Krzysztof

    Beginning in 2004, the price of crude oil fluctuates rapidly over a wide range. Large and rapid price increases have recessionary consequences and dampen long-term infrastructural investment. I investigate whether price changes are driven by market fundamentals or speculation. With regard to market fundamentals, I revisit econometric evidence for the importance of demand shocks, as proxied by dry maritime cargo rates, on oil prices. When I eliminate transportation costs from both sides of the equation, disaggregate OPEC and non-OPEC production, and allow for more than one cointegrating relation, I find that previous specifications are inconsistent with arguments that demand shocks play an important role. Instead, results confirm the importance of OPEC supply shocks. I investigate two channels by which speculation may affect oil prices; the direct effect of trader behavior and changes in oil from a commodity to a financial asset. With regard to trader behavior, I find evidence that trader positions are required to explain the spread between spot and futures prices of crude oil on the New York Mercantile Exchange. The inclusion of trader positions clarifies the process of equilibrium error correction, such that there is bidirectional causality between prices and trader positions. This creates the possibility of speculative bubbles. With regard to oil as a commodity and/or financial asset, I use a Kalman Filter model to estimate the time-varying partial correlation between returns to investments in equity and oil markets. This correlation changes from negative to positive at the onset of the 2008 financial crisis. The low interest rates used to rescue the economy depress convenience yields, which reduces the benefits of holding oil as a commodity. Instead, oil becomes a financial asset (on net) as the oil market changed from contango to backwardation. Contradicting simple political narratives, my research suggests that both market fundamentals and speculation drive large oil prices. Chinese oil demand is not responsible for large increases in oil prices; nor are they caused by behavioral idiosyncrasies by oil traders. Finally, oil will be treated largely as a financial asset so long as interest rates are held near their all-time lows.

  7. On the source of stochastic volatility: Evidence from CAC40 index options during the subprime crisis

    NASA Astrophysics Data System (ADS)

    Slim, Skander

    2016-12-01

    This paper investigates the performance of time-changed Lévy processes with distinct sources of return volatility variation for modeling cross-sectional option prices on the CAC40 index during the subprime crisis. Specifically, we propose a multi-factor stochastic volatility model: one factor captures the diffusion component dynamics and two factors capture positive and negative jump variations. In-sample and out-of-sample tests show that our full-fledged model significantly outperforms nested lower-dimensional specifications. We find that all three sources of return volatility variation, with different persistence, are needed to properly account for market pricing dynamics across moneyness, maturity and volatility level. Besides, the model estimation reveals negative risk premium for both diffusive volatility and downward jump intensity whereas a positive risk premium is found to be attributed to upward jump intensity.

  8. 7 CFR 245.8 - Nondiscrimination practices for children eligible to receive free and reduced price meals and...

    Code of Federal Regulations, 2012 CFR

    2012-01-01

    ..., School Breakfast Program or Special Milk Program or of commodity only schools shall take all actions that... PROGRAMS DETERMINING ELIGIBILITY FOR FREE AND REDUCED PRICE MEALS AND FREE MILK IN SCHOOLS § 245.8 Nondiscrimination practices for children eligible to receive free and reduced price meals and free milk. School Food...

  9. 7 CFR 245.8 - Nondiscrimination practices for children eligible to receive free and reduced price meals and...

    Code of Federal Regulations, 2013 CFR

    2013-01-01

    ..., School Breakfast Program or Special Milk Program or of commodity only schools shall take all actions that... PROGRAMS DETERMINING ELIGIBILITY FOR FREE AND REDUCED PRICE MEALS AND FREE MILK IN SCHOOLS § 245.8 Nondiscrimination practices for children eligible to receive free and reduced price meals and free milk. School Food...

  10. 7 CFR 245.8 - Nondiscrimination practices for children eligible to receive free and reduced price meals and...

    Code of Federal Regulations, 2014 CFR

    2014-01-01

    ..., School Breakfast Program or Special Milk Program or of commodity only schools shall take all actions that... PROGRAMS DETERMINING ELIGIBILITY FOR FREE AND REDUCED PRICE MEALS AND FREE MILK IN SCHOOLS § 245.8 Nondiscrimination practices for children eligible to receive free and reduced price meals and free milk. School Food...

  11. Essays on the effects of oil price shocks on the U.S. stock returns

    NASA Astrophysics Data System (ADS)

    Alsalman, Zeina N.

    This research investigates the effect of changes in oil prices and oil price volatility on the U.S. stock returns. The first essay tests whether the sign and the size of oil price shocks matter for the U.S. stock returns. The results suggest a linear model provides a good approximation to the response of real stock returns to real oil price innovations. However, this is not the case when the model is specified in terms of the nominal price of crude oil. Using a modified structural VAR to accommodate GARCH-in-Mean errors, the second essay studies the direct effects of oil price uncertainty on the U.S. stock returns at the aggregate and sectoral levels. We also simulate the response of U.S. stock returns to positive and negative oil price shocks, to examine whether the responses to positive and negative shocks are symmetric. Estimation results suggest that there is no statistically significant effect of oil price volatility on the U.S. stock returns. Moreover, the impulse responses indicate that oil price increases and decreases have symmetric effects on the U.S. stock returns. Using high frequency data, the third essay addresses the issue of uncertainty in oil prices and its effect on U.S. stock returns, taking into account the day of the week effect. The results suggest that the-day-of-the-week effect is present in both the mean and volatility equations. The results also show that the U.S. stock market is sensitive to oil price variations not only at the aggregate level but also across some industries, such as chemicals, entertainment, and retail, where uncertainty in oil prices proves to have positive and statistically significant effect.

  12. Greed, fear and stock market dynamics

    NASA Astrophysics Data System (ADS)

    Westerhoff, Frank H.

    2004-11-01

    We present a behavioral stock market model in which traders are driven by greed and fear. In general, the agents optimistically believe in rising markets and thus buy stocks. But if stock prices change too abruptly, they panic and sell stocks. Our model mimics some stylized facts of stock market dynamics: (1) stock prices increase over time, (2) stock markets sometimes crash, (3) stock prices show little pair correlation between successive daily changes, and (4) periods of low volatility alternate with periods of high volatility. A strong feature of the model is that stock prices completely evolve according to a deterministic low-dimensional nonlinear law of motion.

  13. Jump spillover between oil prices and exchange rates

    NASA Astrophysics Data System (ADS)

    Li, Xiao-Ping; Zhou, Chun-Yang; Wu, Chong-Feng

    2017-11-01

    In this paper, we investigate the jump spillover effects between oil prices and exchange rates. To identify the latent historical jumps for exchange rates and oil prices, we use a Bayesian MCMC approach to estimate the stochastic volatility model with correlated jumps in both returns and volatilities for each. We examine the simultaneous jump intensities and the conditional jump spillover probabilities between oil prices and exchange rates, finding strong evidence of jump spillover effects. Further analysis shows that the jump spillovers are mainly due to exogenous events such as financial crises and geopolitical events. Thus, the findings have important implications for financial risk management.

  14. Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model

    PubMed Central

    Zheng, Wendong; Zeng, Pingping

    2016-01-01

    ABSTRACT Most of the empirical studies on stochastic volatility dynamics favour the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model (SVM) is reported to be able to capture the volatility skew evolution better than the Heston model. In this article, we make a thorough investigation on the analytic tractability of the 3/2 SVM by proposing a closed-form formula for the partial transform of the triple joint transition density which stand for the log asset price, the quadratic variation (continuous realized variance) and the instantaneous variance, respectively. Two distinct formulations are provided for deriving the main result. The closed-form partial transform enables us to deduce a variety of marginal partial transforms and characteristic functions and plays a crucial role in pricing discretely sampled variance derivatives and exotic options that depend on both the asset price and quadratic variation. Various applications and numerical examples on pricing moment swaps and timer options with discrete monitoring feature are given to demonstrate the versatility of the partial transform under the 3/2 model. PMID:28706460

  15. A discontinuous Galerkin method for numerical pricing of European options under Heston stochastic volatility

    NASA Astrophysics Data System (ADS)

    Hozman, J.; Tichý, T.

    2016-12-01

    The paper is based on the results from our recent research on multidimensional option pricing problems. We focus on European option valuation when the price movement of the underlying asset is driven by a stochastic volatility following a square root process proposed by Heston. The stochastic approach incorporates a new additional spatial variable into this model and makes it very robust, i.e. it provides a framework to price a variety of options that is closer to reality. The main topic is to present the numerical scheme arising from the concept of discontinuous Galerkin methods and applicable to the Heston option pricing model. The numerical results are presented on artificial benchmarks as well as on reference market data.

  16. Drivers of U.S. mineral demand

    USGS Publications Warehouse

    Sznopek, John L.

    2006-01-01

    Introduction: The word 'demand' has different meanings for different people. To some, it means their 'wants and needs,' to others it is what they consume. Yet, when considering economics, demand refers to the specific amounts of goods or services that individuals will purchase at various prices. Demand is measured over a given time period. It is determined by a number of factors including income, tastes, and the price of complementary and substitute goods. In this paper, the term consumption is used fairly synonymously with the term demand. Most mineral commodities, like iron ore, copper, zinc, and gravel, are intermediate goods, which means that they are used in the production of other goods, called final goods. Demand for intermediate goods is called derived demand because such demand is derived from the demand for final goods. When demand increases for a commodity, generally the price rises. With everything else held constant, this increases the profits for those who provide this commodity. Normally, this would increase profits of existing producers and attract new producers to the market. When demand for a commodity decreases, generally the price falls. Normally, this would cause profits to fall and, as a consequence, the least efficient firms may be forced from the industry. Demand changes for specific materials as final goods or production techniques are reengineered while maintaining or improving product performance, for example, the use of aluminum in the place of copper in long distance electrical transmission lines or plastic replacing steel in automobile bumpers. Substitution contributes to efficient material usage by utilizing cheaper or technically superior materials. In this way, it may also alleviate materials scarcity. If a material becomes relatively scarce (and thus more expensive), a more abundant (and less expensive) material generally replaces it (Wagner and others, 2003, p. 91).

  17. Integrating forest ecosystem services into the farming landscape: A stochastic economic assessment.

    PubMed

    Monge, Juan J; Parker, Warren J; Richardson, James W

    2016-06-01

    The objective of this study was to assess how payments for ecosystem services could assist plantation forestry's integration into pastoral dairy farming in order to improve environmental outcomes and increase business resilience to both price uncertainty and production limits imposed by environmental policies. Stochastic Dominance (SD) criteria and portfolio analysis, accounting for farmers' risk aversion levels, were used to rank different land-use alternatives and landscapes with different levels of plantation forestry integration. The study was focused on a modal 200-ha dairy farm in the Lake Rotorua Catchment of the Central North Island region of New Zealand, where national environmental policies are being implemented to improve water quality and reduce greenhouse gas emissions. Nitrogen and carbon payments would help farmers improve early cash flows for forestry, provide financial leverage to undertake afforestation projects and contribute to improved environmental outcomes for the catchment. The SD criteria demonstrated that although dairy farming generates the highest returns, plantation forestry with nitrogen and carbon payments would be a preferred alternative for landowners with relatively low risk aversion levels who consider return volatility and environmental limits within their land-use change criteria. Using the confidence premium concept, environmental payments to encourage plantation forestry into the landscape were shown to be lower when the majority of landowners are risk averse. The certainty equivalence approach helped to identify the optimal dairy-forestry portfolio arrangements for landowners of different levels of risk aversion, intensities of dairy farming (status quo and intensified) and nitrogen prices. At low nitrogen prices, risk neutral farmers would choose to afforest less than half of the farm and operate at the maximum nitrogen allowance, because dairy farming at both intensities provides the highest return among the different land uses available. However, at relatively low risk aversion levels, farmers would operate at levels below the maximum nitrogen allowance by including plantation forestry to a greater extent, compared to risk neutral farmers, due to its more certain returns. At a high nitrogen price of $400/kg, plantation forestry would completely subsume dairying, across risk aversion and intensity levels. These results confirm that plantation forestry as well as being an environmentally sound land-use alternative, also reduces uncertainty for landowners that are exposed to volatile international markets for dairy commodities. Copyright © 2016 Elsevier Ltd. All rights reserved.

  18. Optimal Operation and Value Evaluation of Pumped Storage Power Plants Considering Spot Market Trading and Uncertainty of Bilateral Demand

    NASA Astrophysics Data System (ADS)

    Takahashi, Kenta; Hara, Ryoichi; Kita, Hiroyuki; Hasegawa, Jun

    In recent years, as the deregulation in electric power industry has advanced in many countries, a spot market trading of electricity has been done. Generation companies are allowed to purchase the electricity through the electric power market and supply electric power for their bilateral customers. Under this circumstance, it is important for the generation companies to procure the required electricity with cheaper cost to increase their profit. The market price is volatile since it is determined by bidding between buyer and seller. The pumped storage power plant, one of the storage facilities is promising against such volatile market price since it can produce a profit by purchasing electricity with lower-price and selling it with higher-price. This paper discusses the optimal operation of the pumped storage power plants considering bidding strategy to an uncertain spot market. The volatilities in market price and demand are represented by the Vasicek model in our estimation. This paper also discusses the allocation of operational reserve to the pumped storage power plant.

  19. 7 CFR 1220.115 - Net market price.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... AGREEMENTS AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE SOYBEAN PROMOTION, RESEARCH, AND CONSUMER INFORMATION Soybean Promotion and Research Order Definitions § 1220.115 Net market price. The term... other value received by a producer for soybeans after adjustments for any premium or discount based on...

  20. Economics and Maximum Entropy Production

    NASA Astrophysics Data System (ADS)

    Lorenz, R. D.

    2003-04-01

    Price differentials, sales volume and profit can be seen as analogues of temperature difference, heat flow and work or entropy production in the climate system. One aspect in which economic systems exhibit more clarity than the climate is that the empirical and/or statistical mechanical tendency for systems to seek a maximum in production is very evident in economics, in that the profit motive is very clear. Noting the common link between 1/f noise, power laws and Self-Organized Criticality with Maximum Entropy Production, the power law fluctuations in security and commodity prices is not inconsistent with the analogy. There is an additional thermodynamic analogy, in that scarcity is valued. A commodity concentrated among a few traders is valued highly by the many who do not have it. The market therefore encourages via prices the spreading of those goods among a wider group, just as heat tends to diffuse, increasing entropy. I explore some empirical price-volume relationships of metals and meteorites in this context.

  1. 17 CFR 242.105 - Short selling in connection with a public offering.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... period: (1) Beginning five business days before the pricing of the offered securities and ending with... 17 Commodity and Securities Exchanges 3 2010-04-01 2010-04-01 false Short selling in connection with a public offering. 242.105 Section 242.105 Commodity and Securities Exchanges SECURITIES AND...

  2. DOE Office of Scientific and Technical Information (OSTI.GOV)

    Davidson, C.; Newes, E.; Schwab, A.

    This report is for biofuels stakeholders interested the U.S. aviation fuel market. Jet fuel production represents about 10% of U.S. petroleum refinery production. Exxon Mobil, Chevron, and BP top producers, and Texas, Louisiana, and California are top producing states. Distribution of fuel primarily involves transport from the Gulf Coast to other regions. Fuel is transported via pipeline (60%), barges on inland waterways (30%), tanker truck (5%), and rail (5%). Airport fuel supply chain organization and fuel sourcing may involve oil companies, airlines, airline consortia, airport owners and operators, and airport service companies. Most fuel is used for domestic, commercial, civilianmore » flights. Energy efficiency has substantially improved due to aircraft fleet upgrades and advanced flight logistic improvements. Jet fuel prices generally track prices of crude oil and other refined petroleum products, whose prices are more volatile than crude oil price. The single largest expense for airlines is jet fuel, so its prices and persistent price volatility impact industry finances. Airlines use various strategies to manage aviation fuel price uncertainty. The aviation industry has established goals to mitigate its greenhouse gas emissions, and initial estimates of biojet life cycle greenhouse gas emissions exist. Biojet fuels from Fischer-Tropsch and hydroprocessed esters and fatty acids processes have ASTM standards. The commercial aviation industry and the U.S. Department of Defense have used aviation biofuels. Additional research is needed to assess the environmental, economic, and financial potential of biojet to reduce greenhouse gas emissions and mitigate long-term upward price trends, fuel price volatility, or both.« less

  3. Modelling of cayenne production in Central Java using ARIMA-GARCH

    NASA Astrophysics Data System (ADS)

    Tarno; Sudarno; Ispriyanti, Dwi; Suparti

    2018-05-01

    Some regencies/cities in Central Java Province are known as producers of horticultural crops in Indonesia, for example, Brebes which is the largest area of shallot producer in Central Java, while the others, such as Cilacap and Wonosobo are the areas of cayenne commodities production. Currently, cayenne is a strategic commodity and it has broad impact to Indonesian economic development. Modelling the cayenne production is necessary to predict about the commodity to meet the need for society. The needs fulfillment of society will affect stability of the concerned commodity price. Based on the reality, the decreasing of cayenne production will cause the increasing of society’s basic needs price, and finally it will affect the inflation level at that area. This research focused on autoregressive integrated moving average (ARIMA) modelling by considering the effect of autoregressive conditional heteroscedasticity (ARCH) to study about cayenne production in Central Java. The result of empirical study of ARIMA-GARCH modelling for cayenne production in Central Java from January 2003 to November 2015 is ARIMA([1,3],0,0)-GARCH(1,0) as the best model.

  4. 76 FR 23849 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-04-28

    ... Change To Permit the Listing of Series With $0.50 and $1 Strike Price Increments on Certain Options Used... price is between $75 and $150 for option series used to calculate volatility indexes. The text of the... option series used to calculate volatility indexes. The proposal is based on a recently approved rule...

  5. Improving agricultural commodity supply-chain to promote economic activities in rural area

    NASA Astrophysics Data System (ADS)

    Padjung, R.

    2018-05-01

    Long supply chain of agricultural commodities has become concern to governments particularly in large countries such as Indonesia as it causes high price disparity between farm-gate and retailer. Policies to overcome such problem are usually by shortening the chain, by which farmers sell the products directly to retailers. Using an action research in AEDEF (Aceh Economic Development Financing Facilities) Program, conducted in the province of Nangro Aceh Darussalam (NAD) Indonesia, the paper shows that shortening the commodity supply chain is not the best solution to such problem, as it causes loss of jobs in the villages. High price disparity between farm-gate and retailer is not necessary brought about by long supply-chain but by the efficiency of the chain instead. Efficiency of the chain can be improved by creating enabling business environment such that every actors and players work in a fair manner. This can be achieved by transparency in price and quality grade. With development achieved in Information and Communication Technology (ICT), having a good and reliable flow of such information is not difficult. In addition to information flow, the availability and quality of infrastructure to support flow of goods from farm-gate to end-user is of reasonably important.

  6. 7 CFR 1580.102 - Definitions.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... of the United States. Marketing year means the marketing season or year as defined by National... Administrator. National average price means the average price paid to producers for an agricultural commodity in a marketing year as determined by the Administrator. Net farm income means net farm profit or loss...

  7. Option pricing for stochastic volatility model with infinite activity Lévy jumps

    NASA Astrophysics Data System (ADS)

    Gong, Xiaoli; Zhuang, Xintian

    2016-08-01

    The purpose of this paper is to apply the stochastic volatility model driven by infinite activity Lévy processes to option pricing which displays infinite activity jumps behaviors and time varying volatility that is consistent with the phenomenon observed in underlying asset dynamics. We specially pay attention to three typical Lévy processes that replace the compound Poisson jumps in Bates model, aiming to capture the leptokurtic feature in asset returns and volatility clustering effect in returns variance. By utilizing the analytical characteristic function and fast Fourier transform technique, the closed form formula of option pricing can be derived. The intelligent global optimization search algorithm called Differential Evolution is introduced into the above highly dimensional models for parameters calibration so as to improve the calibration quality of fitted option models. Finally, we perform empirical researches using both time series data and options data on financial markets to illustrate the effectiveness and superiority of the proposed method.

  8. Valuing natural gas power generation assets in the new competitive marketplace

    NASA Astrophysics Data System (ADS)

    Hsu, Michael Chun-Wei

    1999-10-01

    The profitability of natural gas fired power plants depends critically on the spread between electricity and natural gas prices. The price levels of these two energy commodities are the key uncertain variables in determining the operating margin and therefore the value of a power plant. The owner of a generation unit has the decision of dispatching the plant only when profit margins are positive. This operating flexibility is a real option with real value. In this dissertation I introduce the spark spread call options and illustrate how such paper contracts replicate the uncertain payoff space facing power asset owners and, therefore, how the financial options framework can be applied in estimating the value of natural gas generation plants. The intrinsic value of gas power plants is approximated as the sum of a series of spark spread call options with succeeding maturity dates. The Black-Scholes spread option pricing model, with volatility and correlation term structure adjustments, is utilized to price the spark spread options. Sensitivity analysis is also performed on the BS spread option formulation to compare different asset types. In addition I explore the potential of using compound and compound-exchange option concepts to evaluate, respectively, the benefits of delaying investment in new generation and in repowering existing antiquated units. The compound option designates an option on top of another option. In this case the series of spark spread call options is the 'underlying' option while the option to delay new investments is the 'overlying.' The compound-exchange option characterizes the opportunity to 'exchange' the old power plant, with its series of spark spread call options, for a set of new spark spread call options that comes with the new generation unit. The strike price of the compound-exchange option is the repowering capital investment and typically includes the purchase of new steam generators and combustion turbines, as well as other facility upgrades. The pricing results using the proposed repowering option approach is compared to the sale prices from recent power plant auctions. Sensitivity of the repowering option model is also examined and the critical parameters al parameters identified.

  9. Nuclear Power’s Role in Generating Electricity

    DTIC Science & Technology

    2008-05-01

    and Without EPAct Incentives 9 2-1. Historical Volatility in Fuel Prices 20 2-2. Carbon Dioxide Emissions of Base-Load Technologies for Generating...options using that fuel would operate at their maximum capacity factor.CBO 20 NUCLEAR POWER’S ROLE IN GENERATING ELECTRICITY CBOFigure 2-1. Historical ... Volatility in Fuel Prices (Percentage change) Source: Congressional Budget Office based on data from the Energy Information Administration (EIA

  10. The non-random walk of stock prices: the long-term correlation between signs and sizes

    NASA Astrophysics Data System (ADS)

    La Spada, G.; Farmer, J. D.; Lillo, F.

    2008-08-01

    We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-contemporaneous correlation between the signs and sizes of individual returns. We conjecture that this is related to the long-memory of transaction signs and the need to enforce market efficiency.

  11. 77 FR 54355 - Amendments to Commodity Pool Operator and Commodity Trading Advisor Regulations Resulting From...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2012-09-05

    ... forex transaction, offset), exercised, expired (including, in the case of a retail forex transaction... activity (including retail forex and swap transactions) expected to be engaged in by the offered pool. (h...) Any costs or fees included in the spread between bid and asked prices for retail forex or, if known...

  12. 16 CFR 502.100 - “Cents-off” representations.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... of the “cents-off” representation imprinted on the commodity package or label. (3) Each “cents-off” representation imprinted on the package or label is limited to a phrase which reflects that the price marked by..., designated as the “regular price”, clearly and conspicuously on the package or label of the commodity or on a...

  13. 17 CFR 240.10b-17 - Untimely announcements of record dates.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... distribution and if that security is a right or a warrant, the subscription price, (e) In any other property... 17 Commodity and Securities Exchanges 3 2010-04-01 2010-04-01 false Untimely announcements of record dates. 240.10b-17 Section 240.10b-17 Commodity and Securities Exchanges SECURITIES AND EXCHANGE...

  14. 75 FR 60411 - Request for Comment on Options for a Proposed Exemptive Order Relating to the Trading and...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2010-09-30

    ... in the precious metals markets. \\28\\ See http://www.sec.gov/Archives/edgar/data/1459862... efficient exposure to commodity market price movements.\\4\\ These Precious Metal Commodity-Based ETFs have... conditions to the exemption orders) and that novel products may be introduced without undue delay for market...

  15. The Impact of Changing Affluence on Diet and Demand Patterns for Agricultural Commodities. World Bank Staff Working Papers Number 785.

    ERIC Educational Resources Information Center

    Chaudhri, Rajiv; Timmer, C. Peter

    Demand for agricultural commodities, particularly for basic food-stuffs, depends on a household's income, competitive prices, and a set of unique household characteristics which include tastes, location, education, family composition, and farm status. This monograph reviews disaggregated evidence at the national level on the relative contribution…

  16. 7 CFR 1421.10 - Loan repayment rates.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... determined by the Secretary) that is calculated based on average market prices for the loan commodity during... and announce repayment rates under paragraphs (a)(2) and (a)(3) of this section based upon market prices at appropriate U.S. markets as determined by CCC and these repayment rates may be adjusted to...

  17. 7 CFR 1421.10 - Loan repayment rates.

    Code of Federal Regulations, 2014 CFR

    2014-01-01

    ... determined by the Secretary) that is calculated based on average market prices for the loan commodity during... and announce repayment rates under paragraphs (a)(2) and (a)(3) of this section based upon market prices at appropriate U.S. markets as determined by CCC and these repayment rates may be adjusted to...

  18. 7 CFR 1421.10 - Loan repayment rates.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... determined by the Secretary) that is calculated based on average market prices for the loan commodity during... and announce repayment rates under paragraphs (a)(2) and (a)(3) of this section based upon market prices at appropriate U.S. markets as determined by CCC and these repayment rates may be adjusted to...

  19. 22 CFR 201.60 - Purpose and applicability of this subpart.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... APPLICABLE TO COMMODITY TRANSACTIONS FINANCED BY USAID Price Provisions § 201.60 Purpose and applicability of... at the time of procurement adjusted for differences in the cost of transportation to destination... price prevailing in the United States at the time of purchase, adjusted for differences in the cost of...

  20. 17 CFR 34.2 - Definitions.

    Code of Federal Regulations, 2012 CFR

    2012-04-01

    ... decomposed into an option payout or payouts, is measured by the absolute net value of the put option premia with strike prices less than or equal to the reference price plus the absolute net value of the call... which a commodity-dependent payment becomes non-zero, or, in the case where two potential reference...

  1. 17 CFR 34.2 - Definitions.

    Code of Federal Regulations, 2013 CFR

    2013-04-01

    ... decomposed into an option payout or payouts, is measured by the absolute net value of the put option premia with strike prices less than or equal to the reference price plus the absolute net value of the call... which a commodity-dependent payment becomes non-zero, or, in the case where two potential reference...

  2. 17 CFR 34.2 - Definitions.

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    ... decomposed into an option payout or payouts, is measured by the absolute net value of the put option premia with strike prices less than or equal to the reference price plus the absolute net value of the call... which a commodity-dependent payment becomes non-zero, or, in the case where two potential reference...

  3. 17 CFR 34.2 - Definitions.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... decomposed into an option payout or payouts, is measured by the absolute net value of the put option premia with strike prices less than or equal to the reference price plus the absolute net value of the call... which a commodity-dependent payment becomes non-zero, or, in the case where two potential reference...

  4. 17 CFR 34.2 - Definitions.

    Code of Federal Regulations, 2014 CFR

    2014-04-01

    ... decomposed into an option payout or payouts, is measured by the absolute net value of the put option premia with strike prices less than or equal to the reference price plus the absolute net value of the call... which a commodity-dependent payment becomes non-zero, or, in the case where two potential reference...

  5. Option price and market instability

    NASA Astrophysics Data System (ADS)

    Baaquie, Belal E.; Yu, Miao

    2017-04-01

    An option pricing formula, for which the price of an option depends on both the value of the underlying security as well as the velocity of the security, has been proposed in Baaquie and Yang (2014). The FX (foreign exchange) options price was empirically studied in Baaquie et al., (2014), and it was found that the model in general provides an excellent fit for all strike prices with a fixed model parameters-unlike the Black-Scholes option price Hull and White (1987) that requires the empirically determined implied volatility surface to fit the option data. The option price proposed in Baaquie and Cao Yang (2014) did not fit the data during the crisis of 2007-2008. We make a hypothesis that the failure of the option price to fit data is an indication of the market's large deviation from its near equilibrium behavior due to the market's instability. Furthermore, our indicator of market's instability is shown to be more accurate than the option's observed volatility. The market prices of the FX option for various currencies are studied in the light of our hypothesis.

  6. Multifractal analysis of implied volatility in index options

    NASA Astrophysics Data System (ADS)

    Oh, GabJin

    2014-06-01

    In this paper, we analyze the statistical and the non-linear properties of the log-variations in implied volatility for the CAC40, DAX and S& P500 daily index options. The price of an index option is generally represented by its implied volatility surface, including its smile and skew properties. We utilize a Lévy process model as the underlying asset to deepen our understanding of the intrinsic property of the implied volatility in the index options and estimate the implied volatility surface. We find that the options pricing models with the exponential Lévy model can reproduce the smile or sneer features of the implied volatility that are observed in real options markets. We study the variation in the implied volatility for at-the-money index call and put options, and we find that the distribution function follows a power-law distribution with an exponent of 3.5 ≤ γ ≤ 4.5. Especially, the variation in the implied volatility exhibits multifractal spectral characteristics, and the global financial crisis has influenced the complexity of the option markets.

  7. Essays on Mathematical Optimization for Residential Demand Response in the Energy Sector

    NASA Astrophysics Data System (ADS)

    Palaparambil Dinesh, Lakshmi

    In the electric utility industry, it could be challenging to adjust supply to match demand due to large generator ramp up times, high generation costs and insufficient in-house generation capacity. Demand response (DR) is a technique for adjusting the demand for electric power instead of the supply. Direct Load Control (DLC) is one of the ways to implement DR. DLC program participants sign up for power interruption contracts and are given financial incentives for curtailing electricity usage during peak demand time periods. This dissertation studies a DLC program for residential air conditioners using mathematical optimization models. First, we develop a model that determines what contract parameters to use in designing contracts between the provider and residential customers, when to turn which power unit on or off and how much power to cut during peak demand hours. The model uses information on customer preferences for choice of contract parameters such as DLC financial incentives and energy usage curtailment. In numerical experiments, the proposed model leads to projected cost savings of the order of 20%, compared to a current benchmark model used in practice. We also quantify the impact of factors leading to cost savings and study characteristics of customers picked by different contracts. Second, we study a DLC program in a macro economic environment using a Computable General Equilibrium (CGE) model. A CGE model is used to study the impact of external factors such as policy and technology changes on different economic sectors. Here we differentiate customers based on their preference for DLC programs by using different values for price elasticity of demand for electricity commodity. Consequently, DLC program customers could substitute demand for electricity commodity with other commodities such as transportation sector. Price elasticity of demand is calculated using a novel methodology that incorporates customer preferences for DLC contracts from the first model. The calculation of elasticity based on our methodology is useful since the prices of commodities are not only determined by aggregate demand and supply but also by customers' relative preferences for commodities. In addition to this we quantify the indirect substitution and rebound effects on sectoral activity levels, incomes and prices based on customer differences, when DLC is implemented.

  8. A mini-review on econophysics: Comparative study of Chinese and western financial markets

    NASA Astrophysics Data System (ADS)

    Zheng, Bo; Jiang, Xiong-Fei; Ni, Peng-Yun

    2014-07-01

    We present a review of our recent research in econophysics, and focus on the comparative study of Chinese and western financial markets. By virtue of concepts and methods in statistical physics, we investigate the time correlations and spatial structure of financial markets based on empirical high-frequency data. We discover that the Chinese stock market shares common basic properties with the western stock markets, such as the fat-tail probability distribution of price returns, the long-range auto-correlation of volatilities, and the persistence probability of volatilities, while it exhibits very different higher-order time correlations of price returns and volatilities, spatial correlations of individual stock prices, and large-fluctuation dynamic behaviors. Furthermore, multi-agent-based models are developed to simulate the microscopic interaction and dynamic evolution of the stock markets.

  9. Relationship of mother and child food purchases as a function of price: a pilot study.

    PubMed

    Epstein, Leonard H; Dearing, Kelly K; Handley, Elizabeth A; Roemmich, James N; Paluch, Rocco A

    2006-07-01

    To our knowledge, there are no data on parental influences on child purchasing behavior of healthy or unhealthy foods. Mothers and children in ten families were given 5.00 US dollars to purchase portions of preferred fruits/vegetables and high energy-dense snack foods for each of ten trials of price manipulations. For five of the trials the price of the fruit/vegetable increased in price from 0.50 US dollars to 2.50 US dollars (in 0.50 US dollar increments), while the price of the energy-dense snack food remained constant at 1.00 US dollar. For the remaining five trials, the commodity that previously rose in price remained constant at 1.00 US dollars and the other commodity varied from 0.50 US dollars to 2.50 US dollars. Same-price elasticity was shown for both the child and parent purchases, and parent purchases were significantly related to child purchases of both healthy (regression estimate = 0.46, p < 0.001) and unhealthy (regression estimate = 0.12, p = 0.036) foods. Children's purchases of unhealthy snack food items were positively related to family socioeconomic status, and negatively related to child age. These results indicate that parental food choice and purchasing behaviors may play a role in the development of children's purchasing of both healthy and unhealthy foods.

  10. Evaluating the impact of climate policies on regional food availability and accessibility using an Integrated Assessment Model

    NASA Astrophysics Data System (ADS)

    Gilmore, E.; Cui, Y. R.; Waldhoff, S.

    2015-12-01

    Beyond 2015, eradicating hunger will remain a critical part of the global development agenda through the Sustainable Development Goals (SDG). Efforts to limit climate change through both mitigation of greenhouse gas emissions and land use policies may interact with food availability and accessibility in complex and unanticipated ways. Here, we develop projections of regional food accessibility to 2050 under the alternative futures outlined by the Shared Socioeconomic Pathways (SSPs) and under different climate policy targets and structures. We use the Global Change Assessment Model (GCAM), an integrated assessment model (IAM), for our projections. We calculate food access as the weighted average of consumption of five staples and the portion of income spend on those commodities and extend the GCAM calculated universal global producer price to regional consumer prices drawing on historical relationships of these prices. Along the SSPs, food access depends largely on expectations of increases in population and economic status. Under a more optimistic scenario, the pressures on food access from increasing demand and rising prices can be counterbalanced by faster economic development. Stringent climate policies that increase commodity prices, however, may hinder vulnerable regions, namely Sub-Saharan Africa, from achieving greater food accessibility.

  11. Fractional Ornstein-Uhlenbeck for index prices of FTSE Bursa Malaysia KLCI

    NASA Astrophysics Data System (ADS)

    Chen, Kho Chia; Bahar, Arifah; Ting, Chee-Ming

    2014-07-01

    This paper studies the Ornstein-Uhlenbeck model that incorporates long memory stochastic volatility which is known as fractional Ornstein-Uhlenbeck model. The determination of the existence of long range dependence of the index prices of FTSE Bursa Malaysia KLCI is measured by the Hurst exponent. The empirical distribution of unobserved volatility is estimated using the particle filtering method. The performance between fractional Ornstein -Uhlenbeck and standard Ornstein -Uhlenbeck process had been compared. The mean square errors of the fractional Ornstein-Uhlenbeck model indicated that the model describes index prices better than the standard Ornstein-Uhlenbeck process.

  12. Underlying dynamics of typical fluctuations of an emerging market price index: The Heston model from minutes to months

    NASA Astrophysics Data System (ADS)

    Vicente, Renato; de Toledo, Charles M.; Leite, Vitor B. P.; Caticha, Nestor

    2006-02-01

    We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20 min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics.

  13. Scaling and volatility of breakouts and breakdowns in stock price dynamics.

    PubMed

    Liu, Lu; Wei, Jianrong; Huang, Jiping

    2013-01-01

    Because the movement of stock prices is not only ubiquitous in financial markets but also crucial for investors, extensive studies have been done to understand the law behind it. In particular, since the financial crisis in 2008, researchers have a more interest in investigating large market volatilities in order to grasp changing market trends. In this work, we analyze the breakouts and breakdowns of both the Standard & Poor's 500 Index in the US stock market and the Shanghai Composite Index in the Chinese stock market. The breakout usually represents an ongoing upward trend in technical analysis while the breakdown represents an ongoing downward trend. Based on the renormalization method, we introduce two parameters to quantize breakouts and breakdowns, respectively. We discover scaling behavior, characterized by power-law distributions for both the breakouts and breakdowns in the two financial markets with different power-law exponents, which reflect different market volatilities. In detail, the market volatility for breakdowns is usually larger than that for breakouts. Moreover, as an emerging market, the Chinese stock market has larger market volatilities for both the breakouts and breakdowns than the US stock market (a mature market). Further, the short-term volatilities show similar features for both the US stock market and the Chinese stock market. However, the medium-term volatilities in the US stock market are almost symmetrical for the breakouts and breakdowns, whereas those in the Chinese stock market appear to be asymmetrical for the breakouts and breakdowns. The methodology presented here provides a way to understand scaling and hence volatilities of breakouts and breakdowns in stock price dynamics. Our findings not only reveal the features of market volatilities but also make a comparison between mature and emerging financial markets.

  14. Scaling and Volatility of Breakouts and Breakdowns in Stock Price Dynamics

    PubMed Central

    Liu, Lu; Wei, Jianrong; Huang, Jiping

    2013-01-01

    Background Because the movement of stock prices is not only ubiquitous in financial markets but also crucial for investors, extensive studies have been done to understand the law behind it. In particular, since the financial crisis in 2008, researchers have a more interest in investigating large market volatilities in order to grasp changing market trends. Methodology/Principal Findings In this work, we analyze the breakouts and breakdowns of both the Standard & Poor’s 500 Index in the US stock market and the Shanghai Composite Index in the Chinese stock market. The breakout usually represents an ongoing upward trend in technical analysis while the breakdown represents an ongoing downward trend. Based on the renormalization method, we introduce two parameters to quantize breakouts and breakdowns, respectively. We discover scaling behavior, characterized by power-law distributions for both the breakouts and breakdowns in the two financial markets with different power-law exponents, which reflect different market volatilities. In detail, the market volatility for breakdowns is usually larger than that for breakouts. Moreover, as an emerging market, the Chinese stock market has larger market volatilities for both the breakouts and breakdowns than the US stock market (a mature market). Further, the short-term volatilities show similar features for both the US stock market and the Chinese stock market. However, the medium-term volatilities in the US stock market are almost symmetrical for the breakouts and breakdowns, whereas those in the Chinese stock market appear to be asymmetrical for the breakouts and breakdowns. Conclusions/Signicance The methodology presented here provides a way to understand scaling and hence volatilities of breakouts and breakdowns in stock price dynamics. Our findings not only reveal the features of market volatilities but also make a comparison between mature and emerging financial markets. PMID:24376577

  15. Theory of Financial Risk and Derivative Pricing

    NASA Astrophysics Data System (ADS)

    Bouchaud, Jean-Philippe; Potters, Marc

    2009-01-01

    Foreword; Preface; 1. Probability theory: basic notions; 2. Maximum and addition of random variables; 3. Continuous time limit, Ito calculus and path integrals; 4. Analysis of empirical data; 5. Financial products and financial markets; 6. Statistics of real prices: basic results; 7. Non-linear correlations and volatility fluctuations; 8. Skewness and price-volatility correlations; 9. Cross-correlations; 10. Risk measures; 11. Extreme correlations and variety; 12. Optimal portfolios; 13. Futures and options: fundamental concepts; 14. Options: hedging and residual risk; 15. Options: the role of drift and correlations; 16. Options: the Black and Scholes model; 17. Options: some more specific problems; 18. Options: minimum variance Monte-Carlo; 19. The yield curve; 20. Simple mechanisms for anomalous price statistics; Index of most important symbols; Index.

  16. Theory of Financial Risk and Derivative Pricing - 2nd Edition

    NASA Astrophysics Data System (ADS)

    Bouchaud, Jean-Philippe; Potters, Marc

    2003-12-01

    Foreword; Preface; 1. Probability theory: basic notions; 2. Maximum and addition of random variables; 3. Continuous time limit, Ito calculus and path integrals; 4. Analysis of empirical data; 5. Financial products and financial markets; 6. Statistics of real prices: basic results; 7. Non-linear correlations and volatility fluctuations; 8. Skewness and price-volatility correlations; 9. Cross-correlations; 10. Risk measures; 11. Extreme correlations and variety; 12. Optimal portfolios; 13. Futures and options: fundamental concepts; 14. Options: hedging and residual risk; 15. Options: the role of drift and correlations; 16. Options: the Black and Scholes model; 17. Options: some more specific problems; 18. Options: minimum variance Monte-Carlo; 19. The yield curve; 20. Simple mechanisms for anomalous price statistics; Index of most important symbols; Index.

  17. 76 FR 20742 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-04-13

    ... price movements between 9:30 a.m. and 4 p.m. Eastern Standard Time (``EST''). Volatility Guard is... March 11, 2011, the Commission approved Rule 4753(c) (the ``Volatility Guard''), a volatility-based... six month pilot applied to the NASDAQ 100 Index securities.\\3\\ The Volatility Guard automatically...

  18. 17 CFR 16.01 - Trading volume, open contracts, prices, and critical dates.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... 17 Commodity and Securities Exchanges 1 2010-04-01 2010-04-01 false Trading volume, open contracts... TRADING COMMISSION REPORTS BY REPORTING MARKETS § 16.01 Trading volume, open contracts, prices, and critical dates. (a) Trading volume and open contracts. Each reporting market shall record for each business...

  19. 17 CFR 16.01 - Trading volume, open contracts, prices, and critical dates.

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    ... 17 Commodity and Securities Exchanges 1 2011-04-01 2011-04-01 false Trading volume, open contracts... TRADING COMMISSION REPORTS BY REPORTING MARKETS § 16.01 Trading volume, open contracts, prices, and critical dates. (a) Trading volume and open contracts. Each reporting market shall record for each business...

  20. 12 CFR 932.5 - Market risk capital requirement.

    Code of Federal Regulations, 2013 CFR

    2013-01-01

    ... 932.5 Banks and Banking FEDERAL HOUSING FINANCE BOARD FEDERAL HOME LOAN BANK RISK MANAGEMENT AND..., commodity prices, and equity prices that could occur during periods of market stress, where the market value... options, to a comparable degree of stress for such factors as will be required for an internal market risk...

  1. 12 CFR 932.5 - Market risk capital requirement.

    Code of Federal Regulations, 2012 CFR

    2012-01-01

    ... 932.5 Banks and Banking FEDERAL HOUSING FINANCE BOARD FEDERAL HOME LOAN BANK RISK MANAGEMENT AND..., commodity prices, and equity prices that could occur during periods of market stress, where the market value... options, to a comparable degree of stress for such factors as will be required for an internal market risk...

  2. 12 CFR 932.5 - Market risk capital requirement.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... 932.5 Banks and Banking FEDERAL HOUSING FINANCE BOARD FEDERAL HOME LOAN BANK RISK MANAGEMENT AND..., commodity prices, and equity prices that could occur during periods of market stress, where the market value... options, to a comparable degree of stress for such factors as will be required for an internal market risk...

  3. 12 CFR 932.5 - Market risk capital requirement.

    Code of Federal Regulations, 2014 CFR

    2014-01-01

    ... 932.5 Banks and Banking FEDERAL HOUSING FINANCE BOARD FEDERAL HOME LOAN BANK RISK MANAGEMENT AND..., commodity prices, and equity prices that could occur during periods of market stress, where the market value... options, to a comparable degree of stress for such factors as will be required for an internal market risk...

  4. 7 CFR 1484.35 - Must Cooperators follow specific contracting procedures?

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... HELP DEVELOP FOREIGN MARKETS FOR AGRICULTURAL COMMODITIES Program Operations § 1484.35 Must Cooperators...; (5) Perform some form of price or cost analysis, such as a comparison of price quotations to market... the decision-making process. [64 FR 52630, Sept. 30, 1999. Redesignated and amended at 65 FR 9995, Feb...

  5. 17 CFR Appendix B to Part 36 - Guidance on, and Acceptable Practices in, Compliance With Core Principles

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    ... have clear procedures and guidelines for decision-making regarding emergency intervention in the market... COMMODITY FUTURES TRADING COMMISSION EXEMPT MARKETS Pt. 36, App. B Appendix B to Part 36—Guidance on, and... trading in significant price discovery contracts to prevent market manipulation, price distortion, and...

  6. Framework for improved confidence in modeled nitrous oxide estimates for biofuel regulatory standards

    USDA-ARS?s Scientific Manuscript database

    There is a large variation in local commodity prices across the United States, with farmers receiving less for their soybeans produced on their farm, and paying more for meal to feed their livestock, thereby reducing their profitability. This price differential is due to a number of factors includin...

  7. 7 CFR 1580.203 - Determination of eligibility and certification by the Administrator.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... average price for the agricultural commodity for the marketing year under review is less than 80 percent of the average of the national average prices for the 5 marketing years preceding the most recent marketing year, and (2) Increases in imports of articles like or directly competitive with the agricultural...

  8. 7 CFR 1494.601 - Acceptance of offers by CCC.

    Code of Federal Regulations, 2013 CFR

    2013-01-01

    ... 7 Agriculture 10 2013-01-01 2013-01-01 false Acceptance of offers by CCC. 1494.601 Section 1494....601 Acceptance of offers by CCC. (a) Establishment of acceptable sales prices and CCC bonuses. For each Invitation, CCC will establish sales prices for the eligible commodity and CCC bonus amounts which...

  9. 7 CFR 1494.601 - Acceptance of offers by CCC.

    Code of Federal Regulations, 2014 CFR

    2014-01-01

    ... 7 Agriculture 10 2014-01-01 2014-01-01 false Acceptance of offers by CCC. 1494.601 Section 1494....601 Acceptance of offers by CCC. (a) Establishment of acceptable sales prices and CCC bonuses. For each Invitation, CCC will establish sales prices for the eligible commodity and CCC bonus amounts which...

  10. 7 CFR 1494.601 - Acceptance of offers by CCC.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... 7 Agriculture 10 2011-01-01 2011-01-01 false Acceptance of offers by CCC. 1494.601 Section 1494... Program Operations § 1494.601 Acceptance of offers by CCC. (a) Establishment of acceptable sales prices and CCC bonuses. For each Invitation, CCC will establish sales prices for the eligible commodity and...

  11. 7 CFR 1494.601 - Acceptance of offers by CCC.

    Code of Federal Regulations, 2012 CFR

    2012-01-01

    ... 7 Agriculture 10 2012-01-01 2012-01-01 false Acceptance of offers by CCC. 1494.601 Section 1494....601 Acceptance of offers by CCC. (a) Establishment of acceptable sales prices and CCC bonuses. For each Invitation, CCC will establish sales prices for the eligible commodity and CCC bonus amounts which...

  12. 7 CFR 1494.601 - Acceptance of offers by CCC.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... 7 Agriculture 10 2010-01-01 2010-01-01 false Acceptance of offers by CCC. 1494.601 Section 1494... Program Operations § 1494.601 Acceptance of offers by CCC. (a) Establishment of acceptable sales prices and CCC bonuses. For each Invitation, CCC will establish sales prices for the eligible commodity and...

  13. Pricing foreign equity option under stochastic volatility tempered stable Lévy processes

    NASA Astrophysics Data System (ADS)

    Gong, Xiaoli; Zhuang, Xintian

    2017-10-01

    Considering that financial assets returns exhibit leptokurtosis, asymmetry properties as well as clustering and heteroskedasticity effect, this paper substitutes the logarithm normal jumps in Heston stochastic volatility model by the classical tempered stable (CTS) distribution and normal tempered stable (NTS) distribution to construct stochastic volatility tempered stable Lévy processes (TSSV) model. The TSSV model framework permits infinite activity jump behaviors of return dynamics and time varying volatility consistently observed in financial markets through subordinating tempered stable process to stochastic volatility process, capturing leptokurtosis, fat tailedness and asymmetry features of returns. By employing the analytical characteristic function and fast Fourier transform (FFT) technique, the formula for probability density function (PDF) of TSSV returns is derived, making the analytical formula for foreign equity option (FEO) pricing available. High frequency financial returns data are employed to verify the effectiveness of proposed models in reflecting the stylized facts of financial markets. Numerical analysis is performed to investigate the relationship between the corresponding parameters and the implied volatility of foreign equity option.

  14. path integral approach to closed form pricing formulas in the Heston framework.

    NASA Astrophysics Data System (ADS)

    Lemmens, Damiaan; Wouters, Michiel; Tempere, Jacques; Foulon, Sven

    2008-03-01

    We present a path integral approach for finding closed form formulas for option prices in the framework of the Heston model. The first model for determining option prices was the Black-Scholes model, which assumed that the logreturn followed a Wiener process with a given drift and constant volatility. To provide a realistic description of the market, the Black-Scholes results must be extended to include stochastic volatility. This is achieved by the Heston model, which assumes that the volatility follows a mean reverting square root process. Current applications of the Heston model are hampered by the unavailability of fast numerical methods, due to a lack of closed-form formulae. Therefore the search for closed form solutions is an essential step before the qualitatively better stochastic volatility models will be used in practice. To attain this goal we outline a simplified path integral approach yielding straightforward results for vanilla Heston options with correlation. Extensions to barrier options and other path-dependent option are discussed, and the new derivation is compared to existing results obtained from alternative path-integral approaches (Dragulescu, Kleinert).

  15. Leadership Strategies for Maintaining Profitability in a Volatile Crude Oil Market

    NASA Astrophysics Data System (ADS)

    Braimoh, Lucky Anderson

    Volatile crude oil prices significantly affect the profitability of crude oil firms. The purpose of this single case study was to explore strategies some crude oil and gas business leaders used to remain profitable during periods of crude oil price volatility. The target population comprised 8 crude oil and gas business leaders located in Calgary, Canada, whose company remained profitable despite crude oil price volatility. The transformational leadership theory formed the conceptual framework for the study. Data were collected through the use of semistructured face-to-face interviews, company reports, and field notes. Data analysis involved a modified Van Kamm method, which included descriptive coding, a sequential review of the interview transcripts, and member checking. Based on methodological triangulation and thematic analysis, 5 themes emerged from the study, including communication and engagement; motivation and empowerment; measurement, monitoring, and control; self-awareness and humility; and efficiency and optimization. The implications for social change include the potential for crude oil and gas companies in Calgary, Canada to manage production costs, ensure earnings and profitability, and thus improve the socioeconomic well-being of Calgary indigenes through improved employment opportunities.

  16. Trends in procurement costs for HIV commodities: a 7-year retrospective analysis of global fund data across 125 countries.

    PubMed

    Wafula, Francis; Agweyu, Ambrose; Macintyre, Kate

    2014-04-01

    Nearly 40% of Global Fund money goes toward procurement. However, no analyses have been published to show how costs vary across regions and time, despite the availability of procurement data collected through the Global Fund's price and quality reporting system. We analyzed data for the 3 most widely procured commodities for the prevention, diagnosis, and treatment of HIV. These were male condoms, HIV rapid tests, and the antiretroviral (ARV) combination of lamivudine/nevirapine/zidovudine. The compared costs, first across time (2005-2012), then across regions, and finally, between individual procurement reported through the price and quality reporting and pooled procurement reported through the Global Fund's voluntary pooled procurement system. All costs were adjusted for inflation and reported in US dollars. There were 2337 entries from 578 grants in 125 countries. The procurement cost for the ARV dropped substantially over the period, whereas those for condoms and HIV tests remained relatively stable. None of the commodity prices increased. Regional variations were pronounced for HIV tests, but minimal for condoms and the ARV. The unit cost for the 3-table ARV combination, for instance, varied between US$0.15 and US$0.23 in South Asia and the Eastern Europe/Central Asia regions, respectively, compared with a range of $0.23 (South Asia)-$1.50 (Eastern Europe/Central Asia) for a single diagnostic test. Pooled procurement lowered costs for condoms but not the other commodities. We showed how global procurement costs vary by region and time. Such analyses should be done more often to identify and correct market insufficiencies.

  17. The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab.

    PubMed

    Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael

    2012-08-01

    As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how "stylized facts", namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets.

  18. Analytical pricing formulas for hybrid variance swaps with regime-switching

    NASA Astrophysics Data System (ADS)

    Roslan, Teh Raihana Nazirah; Cao, Jiling; Zhang, Wenjun

    2017-11-01

    The problem of pricing discretely-sampled variance swaps under stochastic volatility, stochastic interest rate and regime-switching is being considered in this paper. An extension of the Heston stochastic volatility model structure is done by adding the Cox-Ingersoll-Ross (CIR) stochastic interest rate model. In addition, the parameters of the model are permitted to have transitions following a Markov chain process which is continuous and discoverable. This hybrid model can be used to illustrate certain macroeconomic conditions, for example the changing phases of business stages. The outcome of our regime-switching hybrid model is presented in terms of analytical pricing formulas for variance swaps.

  19. Correlation and volatility in an Indian stock market: A random matrix approach

    NASA Astrophysics Data System (ADS)

    Kulkarni, Varsha; Deo, Nivedita

    2007-11-01

    We examine the volatility of an Indian stock market in terms of correlation of stocks and quantify the volatility using the random matrix approach. First we discuss trends observed in the pattern of stock prices in the Bombay Stock Exchange for the three-year period 2000 2002. Random matrix analysis is then applied to study the relationship between the coupling of stocks and volatility. The study uses daily returns of 70 stocks for successive time windows of length 85 days for the year 2001. We compare the properties of matrix C of correlations between price fluctuations in time regimes characterized by different volatilities. Our analyses reveal that (i) the largest (deviating) eigenvalue of C correlates highly with the volatility of the index, (ii) there is a shift in the distribution of the components of the eigenvector corresponding to the largest eigenvalue across regimes of different volatilities, (iii) the inverse participation ratio for this eigenvector anti-correlates significantly with the market fluctuations and finally, (iv) this eigenvector of C can be used to set up a Correlation Index, CI whose temporal evolution is significantly correlated with the volatility of the overall market index.

  20. 76 FR 74099 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-11-30

    ... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

  1. 78 FR 21985 - Self-Regulatory Organizations; C2 Options Exchange, Incorporated; Notice of Filing of Amendment...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-04-12

    ... prices of a large number of individual securities suddenly declining by significant amounts in a very short time period before suddenly reversing to prices consistent with their pre-decline levels.\\8\\ This severe price volatility led to a large number of trades being executed at temporarily depressed prices...

  2. 76 FR 74093 - Self-Regulatory Organizations; EDGX Exchange, Inc.; Notice of Filing and Immediate Effectiveness...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-11-30

    .... Like options, the price of rights and warrants are affected by the price of the underlying stock as well as other factors, particularly the volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights...

  3. 76 FR 74082 - Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing and Immediate Effectiveness of...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-11-30

    ... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

  4. 76 FR 74080 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-11-30

    ... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

  5. 76 FR 74109 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-11-30

    ... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

  6. 78 FR 21663 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-04-11

    ... price improving orders, and then are eligible to access non-price improving liquidity on the NASDAQ book.... For Type 2 Retail Orders that execute against non-price improving orders on the NASDAQ book, NASDAQ... investment intentions, they promote price discovery and dampen volatility. Accordingly, their presence in the...

  7. Rebound from steep drop in demand amid simmering global trade issues : markets for paper, paperboard and woodpulp, 2009-2010

    Treesearch

    Peter J. Ince; Eduard L. Akim; Bernard Lombard; Tomas Parik

    2010-01-01

    Paper and paperboard consumption declined sharply in 2009 by 9% in Europe and 10% in the United States relative to 2008; just a fraction of that decline was recovered by early 2010. Pulp and paper commodity prices fell in 2009, dropping well below 2008 price levels, but prices began to stabilize by mid-year, and in some cases fully recovered by early 2010. A wave of...

  8. Paper, paperboard and woodpulp markets, 2010-2011

    Treesearch

    Peter Ince; Eduard Akim; Bernard Lombard; Tomas Parik; Anastasia Tolmatsova

    2011-01-01

    Paper and paperboard output rebounded along with overall industrial production in both Europe and the United States, but has not yet fully recovered to the peak levels of 2007-2008. Generally more robust market conditions prevailed from 2010 to early 2011, with higher consumption and prices for most pulp, paper and paperboard commodities. Prices reached a plateau by...

  9. Modelling world gold prices and USD foreign exchange relationship using multivariate GARCH model

    NASA Astrophysics Data System (ADS)

    Ping, Pung Yean; Ahmad, Maizah Hura Binti

    2014-12-01

    World gold price is a popular investment commodity. The series have often been modeled using univariate models. The objective of this paper is to show that there is a co-movement between gold price and USD foreign exchange rate. Using the effect of the USD foreign exchange rate on the gold price, a model that can be used to forecast future gold prices is developed. For this purpose, the current paper proposes a multivariate GARCH (Bivariate GARCH) model. Using daily prices of both series from 01.01.2000 to 05.05.2014, a causal relation between the two series understudied are found and a bivariate GARCH model is produced.

  10. Food commodity pipeline management in transitional settings: challenges and lessons learned from the first USAID food development program in South Sudan

    PubMed Central

    Tappis, Hannah; Doocy, Shannon; Amoako, Stephen

    2013-01-01

    ABSTRACT Despite decades of support for international food assistance programs by the U.S. Agency for International Development (USAID) Office of Food for Peace, relatively little is known about the commodity pipeline and management issues these programs face in post-conflict and politically volatile settings. Based on an audit of the program's commodity tracking system and interviews with 13 key program staff, this case study documents the experiences of organizations implementing the first USAID-funded non-emergency (development) food assistance program approved for Sudan and South Sudan. Key challenges and lessons learned in this experience about food commodity procurement, transport, and management may help improve the design and implementation of future development food assistance programs in a variety of complex, food-insecure settings around the world. Specifically, expanding shipping routes in complex political situations may facilitate reliable and timely commodity delivery. In addition, greater flexibility to procure commodities locally, rather than shipping U.S.-procured commodities, may avoid unnecessary shipping delays and reduce costs. PMID:25276532

  11. Carbon-dioxide emissions trading and hierarchical structure in worldwide finance and commodities markets.

    PubMed

    Zheng, Zeyu; Yamasaki, Kazuko; Tenenbaum, Joel N; Stanley, H Eugene

    2013-01-01

    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 extracting interactions between financial entities. Here, we propose a modified MST network whose metric distance is defined in terms of cross-correlation coefficient absolute values, enabling the connections between anticorrelated entities to manifest properly. We investigate 69 daily time series, comprising three types of financial assets: 28 stock market indicators, 21 currency futures, and 20 commodity futures. We show that though the resulting MST network evolves over time, the financial assets of similar type tend to have connections which are stable over time. In addition, we find a characteristic time lag between the volatility time series of the stock market indicators and those of the EU CO(2) emission allowance (EUA) and crude oil futures (WTI). This time lag is given by the peak of the cross-correlation function of the volatility time series EUA (or WTI) with that of the stock market indicators, and is markedly different (>20 days) from 0, showing that the volatility of stock market indicators today can predict the volatility of EU emissions allowances and of crude oil in the near future.

  12. Carbon-dioxide emissions trading and hierarchical structure in worldwide finance and commodities markets

    NASA Astrophysics Data System (ADS)

    Zheng, Zeyu; Yamasaki, Kazuko; Tenenbaum, Joel N.; Stanley, H. Eugene

    2013-01-01

    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 extracting interactions between financial entities. Here, we propose a modified MST network whose metric distance is defined in terms of cross-correlation coefficient absolute values, enabling the connections between anticorrelated entities to manifest properly. We investigate 69 daily time series, comprising three types of financial assets: 28 stock market indicators, 21 currency futures, and 20 commodity futures. We show that though the resulting MST network evolves over time, the financial assets of similar type tend to have connections which are stable over time. In addition, we find a characteristic time lag between the volatility time series of the stock market indicators and those of the EU CO2 emission allowance (EUA) and crude oil futures (WTI). This time lag is given by the peak of the cross-correlation function of the volatility time series EUA (or WTI) with that of the stock market indicators, and is markedly different (>20 days) from 0, showing that the volatility of stock market indicators today can predict the volatility of EU emissions allowances and of crude oil in the near future.

  13. Coal Markets

    EIA Publications

    2017-01-01

    Summarizes spot coal prices by coal commodity regions (i.e., Central Appalachia (CAP), Northern Appalachia (NAP), Illinois Basin (ILB), Power River Basin (PRB), and Uinta Basin (UIB)) in the United States.

  14. Exploration

    USGS Publications Warehouse

    Wilburn, D.R.

    2002-01-01

    Exploration budgets fell for a fourth successive year in 2001. These decreases reflected low mineral commodity prices, mineral-market investment reluctance, company failures and a continued trend of company mergers and takeovers.

  15. 76 FR 74084 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-11-30

    ... price of rights and warrants are affected by the price of the underlying stock as well as other factors, particularly the volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying...

  16. The role of communication and imitation in limit order markets

    NASA Astrophysics Data System (ADS)

    Tedeschi, G.; Iori, G.; Gallegati, M.

    2009-10-01

    In this paper we develop an order driver market model with heterogeneous traders that imitate each other on different network structures. We assess how imitations among otherway noise traders, can give rise to well known stylized facts such as fat tails and volatility clustering. We examine the impact of communication and imitation on the statistical properties of prices and order flows when changing the networks' structure, and show that the imitation of a given, fixed agent, called “guru", can generate clustering of volatility in the model. We also find a positive correlation between volatility and bid-ask spread, and between fat-tailed fluctuations in asset prices and gap sizes in the order book. in here

  17. The impact of a financial transaction tax on stylized facts of price returns—Evidence from the lab

    PubMed Central

    Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael

    2012-01-01

    As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how “stylized facts”, namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets. PMID:23565012

  18. Effect of market factors on the short-time pricing of stock-exchange metals

    NASA Astrophysics Data System (ADS)

    Bogdanov, S. V.; Shevelev, I. M.; Chernyi, S. A.

    2016-12-01

    The open trade on the world market is estimated using information of one-day exchange prices of nonferrous and precious metals, oil, reduced crude, and gasoline and the main world stock indices in the time period from January 1, 2009 to December 31, 2015. It is found that the short-term changes in the prices of nonferrous metals are determined by the prices on the metal market. The changes in the prices of energy carriers and the stock trade on the stock market weakly influence the pricing of nonferrous and precious metals. The prices of metals depend on the situation during trade on commodity exchanges, and the stock market indirectly influences the exchange prices of metals through changes in the share prices of the companies that produce copper, aluminum, and zinc.

  19. Leverage effect and its causality in the Korea composite stock price index

    NASA Astrophysics Data System (ADS)

    Lee, Chang-Yong

    2012-02-01

    In this paper, we investigate the leverage effect and its causality in the time series of the Korea Composite Stock Price Index from November of 1997 to September of 2010. The leverage effect, which can be quantitatively expressed as a negative correlation between past return and future volatility, is measured by using the cross-correlation coefficient of different time lags between the two time series of the return and the volatility. We find that past return and future volatility are negatively correlated and that the cross correlation is moderate and decays over 60 trading days. We also carry out a partial correlation analysis in order to confirm that the negative correlation between past return and future volatility is neither an artifact nor influenced by the traded volume. To determine the causality of the leverage effect within the decay time, we additionally estimate the cross correlation between past volatility and future return. With the estimate, we perform a statistical hypothesis test to demonstrate that the causal relation is in favor of the return influencing the volatility rather than the other way around.

  20. Implied adjusted volatility functions: Empirical evidence from Australian index option market

    NASA Astrophysics Data System (ADS)

    Harun, Hanani Farhah; Hafizah, Mimi

    2015-02-01

    This study aims to investigate the implied adjusted volatility functions using the different Leland option pricing models and to assess whether the use of the specified implied adjusted volatility function can lead to an improvement in option valuation accuracy. The implied adjusted volatility is investigated in the context of Standard and Poor/Australian Stock Exchange (S&P/ASX) 200 index options over the course of 2001-2010, which covers the global financial crisis in the mid-2007 until the end of 2008. Both in- and out-of-sample resulted in approximately similar pricing error along the different Leland models. Results indicate that symmetric and asymmetric models of both moneyness ratio and logarithmic transformation of moneyness provide the overall best result in both during and post-crisis periods. We find that in the different period of interval (pre-, during and post-crisis) is subject to a different implied adjusted volatility function which best explains the index options. Hence, it is tremendously important to identify the intervals beforehand in investigating the implied adjusted volatility function.

  1. Beneficial impacts of an international grain reserve on global food security

    NASA Astrophysics Data System (ADS)

    Otto, C.; Schewe, J.; Puma, M. J.; Frieler, K.

    2017-12-01

    Highly volatile food prices on global markets challenge food security. Only in the last decade, two pronounced food price spikes severely affected vulnerable populations worldwide by increasing malnutrition and hunger. This has stirred up the debate upon the usefulness of an international grain reserve. Whereas advocates argue that it could damp damaging price extremes, opponents question its effectiveness and are concerned about associated market distortions and costs. However, to our knowledge, a comprehensive quantitative assessment is still missing. For this purpose, we introduce an agent-based dynamic multi-regional model that consistently accounts for intra-annual strategic as well as commercial storage holding. For the case of wheat, we first show that the model is able to reproduce historical world market prices (see Fig. 1(a)) and regional ending stocks (stocks see Fig.1(b) for global ending stocks) from 1980 to the present. Having a bi-annual timestep, the model enables us to single out the main drivers of past short-term price volatility: regional, mainly weather induced, production variations followed by trade policies as the second most important driver. The latter include, both, long-term stockholding management decisions as well as short-term regional political responses to scarcity situations such as export restrictions and restocking attempts. We then quantitatively model a strategic wheat reserve managed by an international body such as the UN. We discuss a management scheme for the reserve that aims at stabilizing prices within a price band by buying at low and selling at high prices (cf. Fig. 1). Importantly, in order to minimize market distortions, this scheme is not designed to damp out price volatility completely, but to merely avoid damaging price extremes. Thus, it preserves the incentive for producers to invest in agricultural development and it can only complement and not replace local efforts to increase the food system's resilience. Eventually, we compare the necessary size of such a reserve to present national reserves and discuss the related costs.

  2. A study on chaos in crude oil markets before and after 2008 international financial crisis

    NASA Astrophysics Data System (ADS)

    Lahmiri, Salim

    2017-01-01

    The purpose of this study is to investigate existence of chaos in crude oil markets (Brent and WTI) before and after recent 2008 international financial crisis. Largest Lyapunov exponent is estimated for prices, returns, and volatilities. The empirical results show strong evidence that chaos does not exist in prices and returns in both crude oil markets before and after international crisis. However, we find strong evidence of chaotic dynamics in both Brent and WTI volatilities after international financial crisis.

  3. Dynamics of a durable commodity market involving trade at disequilibrium

    NASA Astrophysics Data System (ADS)

    Panchuk, A.; Puu, T.

    2018-05-01

    The present work considers a simple model of a durable commodity market involving two agents who trade stocks of two different types. Stock commodities, in contrast to flow commodities, remain on the market from period to period and, consequently, there is neither unique demand function nor unique supply function exists. We also set up exact conditions for trade at disequilibrium, the issue being usually neglected, though a fact of reality. The induced iterative system has infinite number of fixed points and path dependent dynamics. We show that a typical orbit is either attracted to one of the fixed points or eventually sticks at a no-trade point. For the latter the stock distribution always remains the same while the price displays periodic or chaotic oscillations.

  4. Estimation of stochastic volatility with long memory for index prices of FTSE Bursa Malaysia KLCI

    DOE Office of Scientific and Technical Information (OSTI.GOV)

    Chen, Kho Chia; Kane, Ibrahim Lawal; Rahman, Haliza Abd

    In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a long memory process. This paper considers the structural break of data in order to determine true long memory time series data. Unlike usual short memory models for log volatility, the fractional Ornstein-Uhlenbeck process is neither a Markovian process nor can it be easily transformed into a Markovian process. This makes the likelihood evaluation and parametermore » estimation for the long memory stochastic volatility (LMSV) model challenging tasks. The drift and volatility parameters of the fractional Ornstein-Unlenbeck model are estimated separately using the least square estimator (lse) and quadratic generalized variations (qgv) method respectively. Finally, the empirical distribution of unobserved volatility is estimated using the particle filtering with sequential important sampling-resampling (SIR) method. The mean square error (MSE) between the estimated and empirical volatility indicates that the performance of the model towards the index prices of FTSE Bursa Malaysia KLCI is fairly well.« less

  5. Estimation of stochastic volatility with long memory for index prices of FTSE Bursa Malaysia KLCI

    NASA Astrophysics Data System (ADS)

    Chen, Kho Chia; Bahar, Arifah; Kane, Ibrahim Lawal; Ting, Chee-Ming; Rahman, Haliza Abd

    2015-02-01

    In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a long memory process. This paper considers the structural break of data in order to determine true long memory time series data. Unlike usual short memory models for log volatility, the fractional Ornstein-Uhlenbeck process is neither a Markovian process nor can it be easily transformed into a Markovian process. This makes the likelihood evaluation and parameter estimation for the long memory stochastic volatility (LMSV) model challenging tasks. The drift and volatility parameters of the fractional Ornstein-Unlenbeck model are estimated separately using the least square estimator (lse) and quadratic generalized variations (qgv) method respectively. Finally, the empirical distribution of unobserved volatility is estimated using the particle filtering with sequential important sampling-resampling (SIR) method. The mean square error (MSE) between the estimated and empirical volatility indicates that the performance of the model towards the index prices of FTSE Bursa Malaysia KLCI is fairly well.

  6. [Research progress on standards of commodity classes of Chinese materia medica and discussion on several key problems].

    PubMed

    Yang, Guang; Zeng, Yan; Guo, Lan-Ping; Huang, Lu-Qi; Jin, Yan; Zheng, Yu-Guang; Wang, Yong-Yan

    2014-05-01

    Standards of commodity classes of Chinese materia medica is an important way to solve the "Lemons Problem" of traditional Chinese medicine market. Standards of commodity classes are also helpful to rebuild market mechanisms for "high price for good quality". The previous edition of commodity classes standards of Chinese materia medica was made 30 years ago. It is no longer adapted to the market demand. This article researched progress on standards of commodity classes of Chinese materia medica. It considered that biological activity is a better choice than chemical constituents for standards of commodity classes of Chinese materia medica. It is also considered that the key point to set standards of commodity classes is finding the influencing factors between "good quality" and "bad quality". The article also discussed the range of commodity classes of Chinese materia medica, and how to coordinate standards of pharmacopoeia and commodity classes. According to different demands, diversiform standards can be used in commodity classes of Chinese materia medica, but efficacy is considered the most important index of commodity standard. Decoction pieces can be included in standards of commodity classes of Chinese materia medica. The authors also formulated the standards of commodity classes of Notoginseng Radix as an example, and hope this study can make a positive and promotion effect on traditional Chinese medicine market related research.

  7. Analysis of the transmission characteristics of China's carbon market transaction price volatility from the perspective of a complex network.

    PubMed

    Jia, Jingjing; Li, Huajiao; Zhou, Jinsheng; Jiang, Meihui; Dong, Di

    2018-03-01

    Research on the price fluctuation transmission of the carbon trading pilot market is of great significance for the establishment of China's unified carbon market and its development in the future. In this paper, the carbon market transaction prices of Beijing, Shanghai, Tianjin, Shenzhen, and Guangdong were selected from December 29, 2013 to March 26, 2016, as sample data. Based on the view of the complex network theory, we construct a price fluctuation transmission network model of five pilot carbon markets in China, with the purposes of analyzing the topological features of this network, including point intensity, weighted clustering coefficient, betweenness centrality, and community structure, and elucidating the characteristics and transmission mechanism of price fluctuation in China's five pilot cities. The results of point intensity and weighted clustering coefficient show that the carbon prices in the five markets remained unchanged and transmitted smoothly in general, and price fragmentation is serious; however, at some point, the price fluctuates with mass phenomena. The result of betweenness centrality reflects that a small number of price fluctuations can control the whole market carbon price transmission and price fluctuation evolves in an alternate manner. The study provides direction for the scientific management of the carbon price. Policy makers should take a positive role in promoting market activity, preventing the risks that may arise from mass trade and scientifically forecasting the volatility of trading prices, which will provide experience for the establishment of a unified carbon market in China.

  8. A Financial Market Model Incorporating Herd Behaviour.

    PubMed

    Wray, Christopher M; Bishop, Steven R

    2016-01-01

    Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents' accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents' accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option.

  9. Option pricing, stochastic volatility, singular dynamics and constrained path integrals

    NASA Astrophysics Data System (ADS)

    Contreras, Mauricio; Hojman, Sergio A.

    2014-01-01

    Stochastic volatility models have been widely studied and used in the financial world. The Heston model (Heston, 1993) [7] is one of the best known models to deal with this issue. These stochastic volatility models are characterized by the fact that they explicitly depend on a correlation parameter ρ which relates the two Brownian motions that drive the stochastic dynamics associated to the volatility and the underlying asset. Solutions to the Heston model in the context of option pricing, using a path integral approach, are found in Lemmens et al. (2008) [21] while in Baaquie (2007,1997) [12,13] propagators for different stochastic volatility models are constructed. In all previous cases, the propagator is not defined for extreme cases ρ=±1. It is therefore necessary to obtain a solution for these extreme cases and also to understand the origin of the divergence of the propagator. In this paper we study in detail a general class of stochastic volatility models for extreme values ρ=±1 and show that in these two cases, the associated classical dynamics corresponds to a system with second class constraints, which must be dealt with using Dirac’s method for constrained systems (Dirac, 1958,1967) [22,23] in order to properly obtain the propagator in the form of a Euclidean Hamiltonian path integral (Henneaux and Teitelboim, 1992) [25]. After integrating over momenta, one gets an Euclidean Lagrangian path integral without constraints, which in the case of the Heston model corresponds to a path integral of a repulsive radial harmonic oscillator. In all the cases studied, the price of the underlying asset is completely determined by one of the second class constraints in terms of volatility and plays no active role in the path integral.

  10. Are stock prices too volatile to be justified by the dividend discount model?

    NASA Astrophysics Data System (ADS)

    Akdeniz, Levent; Salih, Aslıhan Altay; Ok, Süleyman Tuluğ

    2007-03-01

    This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555-574] and of Shiller [Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 (1981) 421-436.]. The conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock [Asset prices in a production economy, in: J.J. McCall (Ed.), The Economics of Information and Uncertainty, University of Chicago Press, Chicago (for N.B.E.R.), 1982]. Results show that the conditional variance bounds hold, hence, our hypothesis of the validity of the dividend discount model cannot be rejected. Moreover, in our setting, markets are efficient and stock prices are neither affected by herd psychology nor by the outcome of noise trading by naive investors; thus, we are able to control for market efficiency. Consequently, we show that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.

  11. Landuse Carbon Implications of a Drawdown of Ethanol Production and an Increase in Well-Managed Pastures

    NASA Astrophysics Data System (ADS)

    Hellwinckel, C. M.; Phillips, J.

    2011-12-01

    Over the past 10 years, commodity grain prices have doubled, and world commodity prices have reached their highest levels in over 30 years. The rise in prices culminated in the food price spikes of 2008 and 2011, where food riots erupted in 40 countries. Although studies have pointed to a number of factors leading to the increased food prices, the ethanol industry, whether deservingly or not, is seen as the major factor behind the price spikes. Several recent studies have contributed to the poor public opinion of ethanol by concluding that ethanol is neither a net energy source nor a net reducer of carbon emissions. The impact of these research reports combined with recent spikes in commodity prices has led to fierce political efforts to reduce or eliminate subsidies for ethanol. Opponents of ethanol subsidization won a significant battle with Congress recently voting to eliminate federal blender's tax credits and ethanol import tariffs. If another sharp spike in commodity prices occurs in the near future, some have speculated that ethanol production mandates could be scaled back or eliminated. In the span of less than three years the expected role of ethanol in the agricultural sector has gone from one of rapid growth and longevity, to one of which the societal benefits are being strongly questioned. In light of the rapidly changing expectations regarding the future of ethanol, we believe it is an appropriate time to evaluate the landuse and carbon implications of a scaling down of ethanol production and investigating permanent managed pasture as an alternative land use that could provide carbon benefits. Various USDA programs to promote conservation of, or conversion to, permanent pasture or grassland exist primarily based on the value of decreasing the potential for soil erosion as well as improving water quality. Although grazing systems have long been associated with land degradation in the arid and semi-arid west, new management approaches utilizing some form of rotational grazing are believed to reverse degradation and potentially lead to soil and pasture improvement if well managed, with implications for soil carbon storage. As the debate over societal subsidization of ethanol continues, the scientific communities should prepare for a potential drawdown of ethanol, and be aware of the potential land use impacts. An integrated biogeophysical socioeconomic model is used to evaluate three levels of potential reductions in ethanol production along with the possibility of conversion of non-profitable cropland to pasture management. The integrated model (POLYSYS) is driven by data on economics, terrestrial carbon dynamics, remotely-sensed land cover, and energy consumption. Preliminary results indicate that up to 10 million hectares of cropland could convert to pastureland, reducing agricultural land use emissions by nearly 10 teragrams carbon equivalent (TgCeq), a 36% decline in agricultural land use carbon equivalent emissions.

  12. 76 FR 38243 - Self-Regulatory Organizations; BATS Exchange, Inc.; BATS Y-Exchange, Inc.; NASDAQ OMX BX, Inc...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-06-29

    ... Changes Relating To Expanding the Pilot Rule for Trading Pauses Due to Extraordinary Market Volatility to... levels. This severe price volatility led to a large number of trades being executed at temporarily... intended to address extraordinary market volatility in NMS stocks. See Securities Exchange Act Release No...

  13. Will Commodity Properties Affect Seller's Creditworthy: Evidence in C2C E-commerce Market in China

    NASA Astrophysics Data System (ADS)

    Peng, Hui; Ling, Min

    This paper finds out that the credit rating level shows significant difference among different sub-commodity markets in E-commerce, which provides room for sellers to get higher credit rating by entering businesses with higher average credit level before fraud. In order to study the influence of commodity properties on credit rating, this paper analyzes how commodity properties affect average crediting rating through the degree of information asymmetry, returns and costs of fraud, credibility perception and fraud tolerance. Empirical study shows that Delivery, average trading volume, average price and complaint possibility have decisive impacts on credit performance; brand market share, the degree of standardization and the degree of imitation also have a relatively less significant effect on credit rating. Finally, this paper suggests that important commodity properties should be introduced to modify reputation system, for preventing credit rating arbitrage behavior where sellers move into low-rating commodity after being assigned high credit rating.

  14. Price competition and equilibrium analysis in multiple hybrid channel supply chain

    NASA Astrophysics Data System (ADS)

    Kuang, Guihua; Wang, Aihu; Sha, Jin

    2017-06-01

    The amazing boom of Internet and logistics industry prompts more and more enterprises to sell commodity through multiple channels. Such market conditions make the participants of multiple hybrid channel supply chain compete each other in traditional and direct channel at the same time. This paper builds a two-echelon supply chain model with a single manufacturer and a single retailer who both can choose different channel or channel combination for their own sales, then, discusses the price competition and calculates the equilibrium price under different sales channel selection combinations. Our analysis shows that no matter the manufacturer and retailer choose same or different channel price to compete, the equilibrium price does not necessarily exist the equilibrium price in the multiple hybrid channel supply chain and wholesale price change is not always able to coordinate supply chain completely. We also present the sufficient and necessary conditions for the existence of equilibrium price and coordination wholesale price.

  15. Experimental Studies of Bargaining as Analogues of Civil Disputes,

    DTIC Science & Technology

    1983-11-01

    reported; thus it is worthy of further attention. Bilateral Monopoly Games The Bilateral Monopoly game is a simulation of an economic market with two...a Hoyer and Seller in a wholesale market must agree on prices tor three commodities: -33- iron, sulphur, and coal. The commodities have differing...Conflict of Interest on I)ispute Resolution," Journal of Personality and Social Psychology, Vol. 42, pp. b65-672. Homans, G.C., (1961) Social Beharior

  16. 13 CFR 126.613 - How does a price evaluation preference affect the bid of a qualified HUBZone SBC in full and open...

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... evaluation preference is not applied to change an offer and benefit a non-HUBZone SBC. Example 3: In a full... be awarded that is not greater than 25% of the total volume being procured for each commodity in a... than 25%, but not greater than 40%, of the total volume being procured for each commodity in a single...

  17. Computation and analysis for a constrained entropy optimization problem in finance

    NASA Astrophysics Data System (ADS)

    He, Changhong; Coleman, Thomas F.; Li, Yuying

    2008-12-01

    In [T. Coleman, C. He, Y. Li, Calibrating volatility function bounds for an uncertain volatility model, Journal of Computational Finance (2006) (submitted for publication)], an entropy minimization formulation has been proposed to calibrate an uncertain volatility option pricing model (UVM) from market bid and ask prices. To avoid potential infeasibility due to numerical error, a quadratic penalty function approach is applied. In this paper, we show that the solution to the quadratic penalty problem can be obtained by minimizing an objective function which can be evaluated via solving a Hamilton-Jacobian-Bellman (HJB) equation. We prove that the implicit finite difference solution of this HJB equation converges to its viscosity solution. In addition, we provide computational examples illustrating accuracy of calibration.

  18. 10 CFR 626.4 - General acquisition strategy.

    Code of Federal Regulations, 2012 CFR

    2012-01-01

    ... the potential for negative impacts from market participation, DOE shall review the following factors...) Futures market price differentials for crude oil and related commodities; and (9) Any other factor the...

  19. Investor structure and the price-volume relationship in a continuous double auction market: An agent-based modeling perspective

    NASA Astrophysics Data System (ADS)

    Zhang, Wei; Bi, Zhengzheng; Shen, Dehua

    2017-02-01

    This paper investigates the impact of investor structure on the price-volume relationship by simulating a continuous double auction market. Connected with the underlying mechanisms of the price-volume relationship, i.e., the Mixture of Distribution Hypothesis (MDH) and the Sequential Information Arrival Hypothesis (SIAH), the simulation results show that: (1) there exists a strong lead-lag relationship between the return volatility and trading volume when the number of informed investors is close to the number of uninformed investors in the market; (2) as more and more informed investors entering the market, the lead-lag relationship becomes weaker and weaker, while the contemporaneous relationship between the return volatility and trading volume becomes more prominent; (3) when the informed investors are in absolute majority, the market can achieve the new equilibrium immediately. Therefore, we can conclude that the investor structure is a key factor in affecting the price-volume relationship.

  20. Fish Is Food - The FAO’s Fish Price Index

    PubMed Central

    Tveterås, Sigbjørn; Asche, Frank; Bellemare, Marc F.; Smith, Martin D.; Guttormsen, Atle G.; Lem, Audun; Lien, Kristin; Vannuccini, Stefania

    2012-01-01

    World food prices hit an all-time high in February 2011 and are still almost two and a half times those of 2000. Although three billion people worldwide use seafood as a key source of animal protein, the Food and Agriculture Organization (FAO) of the United Nations–which compiles prices for other major food categories–has not tracked seafood prices. We fill this gap by developing an index of global seafood prices that can help to understand food crises and may assist in averting them. The fish price index (FPI) relies on trade statistics because seafood is heavily traded internationally, exposing non-traded seafood to price competition from imports and exports. Easily updated trade data can thus proxy for domestic seafood prices that are difficult to observe in many regions and costly to update with global coverage. Calculations of the extent of price competition in different countries support the plausibility of reliance on trade data. Overall, the FPI shows less volatility and fewer price spikes than other food price indices including oils, cereals, and dairy. The FPI generally reflects seafood scarcity, but it can also be separated into indices by production technology, fish species, or region. Splitting FPI into capture fisheries and aquaculture suggests increased scarcity of capture fishery resources in recent years, but also growth in aquaculture that is keeping pace with demand. Regionally, seafood price volatility varies, and some prices are negatively correlated. These patterns hint that regional supply shocks are consequential for seafood prices in spite of the high degree of seafood tradability. PMID:22590598

  1. Fish is food--the FAO's fish price index.

    PubMed

    Tveterås, Sigbjørn; Asche, Frank; Bellemare, Marc F; Smith, Martin D; Guttormsen, Atle G; Lem, Audun; Lien, Kristin; Vannuccini, Stefania

    2012-01-01

    World food prices hit an all-time high in February 2011 and are still almost two and a half times those of 2000. Although three billion people worldwide use seafood as a key source of animal protein, the Food and Agriculture Organization (FAO) of the United Nations-which compiles prices for other major food categories-has not tracked seafood prices. We fill this gap by developing an index of global seafood prices that can help to understand food crises and may assist in averting them. The fish price index (FPI) relies on trade statistics because seafood is heavily traded internationally, exposing non-traded seafood to price competition from imports and exports. Easily updated trade data can thus proxy for domestic seafood prices that are difficult to observe in many regions and costly to update with global coverage. Calculations of the extent of price competition in different countries support the plausibility of reliance on trade data. Overall, the FPI shows less volatility and fewer price spikes than other food price indices including oils, cereals, and dairy. The FPI generally reflects seafood scarcity, but it can also be separated into indices by production technology, fish species, or region. Splitting FPI into capture fisheries and aquaculture suggests increased scarcity of capture fishery resources in recent years, but also growth in aquaculture that is keeping pace with demand. Regionally, seafood price volatility varies, and some prices are negatively correlated. These patterns hint that regional supply shocks are consequential for seafood prices in spite of the high degree of seafood tradability.

  2. Agribusiness Industry Study Final Report

    DTIC Science & Technology

    2005-01-01

    increase in commodity prices. The 1996 Farm Act significantly changed agricultural policy by doing away with target prices and most production...Young, C. Edwin., “Overview of U.S. Agricultural Policy ,” Economic Research Service, U.S. Department of Agriculture, in a presentation to the...73 Young, C. Edwin., “Overview of U.S. Agricultural Policy ,” Economic Research Service, U.S. Department of Agriculture, in a

  3. The commodity terms of trade, unit roots, and nonlinear alternatives: a smooth transition approach

    Treesearch

    Barry K. Goodwin; Matthew T. Holt; Jeffrey P. Prestemon

    2008-01-01

    Market price dynamics for North American oriented strand board markets are examined.  Specifically, the role of transactions costs are examined vis-a-vis the law of one price. Weekly data for the January 3rd, 1995 through April 14th, 2006 period are used in the analysis. Nonlinearities induced by unobservable transactions costs are modelled by estimating smooth...

  4. JPRS Report, China

    DTIC Science & Technology

    1987-09-14

    prices are also affected by many other factors, for example, by the value of commodities, by supply and demand, by taxation, by foreign exchange rates and... exchange rates may directly or indirectly cause product value to fluctuate up or down. Thus, only by adjusting prices in a timely manner can we ensure...changes in materialized and live labor, improvements in production technology, changes in natural-resource supply and fluctuations in foreign

  5. Impacts of renewable fuel regulation and production on agriculture, energy, and welfare

    NASA Astrophysics Data System (ADS)

    McPhail, Lihong Lu

    The purpose of this dissertation is to study the impact of U.S. federal renewable fuel regulations on energy and agriculture commodity markets and welfare. We consider two federal ethanol policies: the Renewable Fuel Standard (RFS) contained in the Energy Security and Independence Act of 2007 and tax credits to ethanol blenders contained in the Food, Conservation, and Energy Act of 2008. My first essay estimates the distribution of short-run impacts of changing federal ethanol policies on U.S. energy prices, agricultural commodity prices, and welfare through a stochastic partial equilibrium model of U.S. corn, ethanol, and gasoline markets. My second essay focuses on studying the price behavior of the renewable fuel credit (RFC) market, which is the mechanism developed by the Environmental Protection Agency (EPA) to meet the RFS. RFCs are a tradable, bankable, and borrowable accounting mechanism to ensure that all obligated parties use a mandated level of renewable fuel. I first develop a conceptual framework to understand how the market works and then apply stochastic dynamic programming to simulate prices for RFCs, examine the sensitivity of prices to relevant shocks, and estimate RFC option premiums. My third essay assesses the impact of policy led U.S. ethanol on the markets of global crude oil and U.S. gasoline using a structural Vector Auto Regression model of global crude oil, U.S. gasoline and ethanol markets.

  6. Feynman perturbation expansion for the price of coupon bond options and swaptions in quantum finance. I. Theory

    NASA Astrophysics Data System (ADS)

    Baaquie, Belal E.

    2007-01-01

    European options on coupon bonds are studied in a quantum field theory model of forward interest rates. Swaptions are briefly reviewed. An approximation scheme for the coupon bond option price is developed based on the fact that the volatility of the forward interest rates is a small quantity. The field theory for the forward interest rates is Gaussian, but when the payoff function for the coupon bond option is included it makes the field theory nonlocal and nonlinear. A perturbation expansion using Feynman diagrams gives a closed form approximation for the price of coupon bond option. A special case of the approximate bond option is shown to yield the industry standard one-factor HJM formula with exponential volatility.

  7. Feynman perturbation expansion for the price of coupon bond options and swaptions in quantum finance. I. Theory.

    PubMed

    Baaquie, Belal E

    2007-01-01

    European options on coupon bonds are studied in a quantum field theory model of forward interest rates. Swaptions are briefly reviewed. An approximation scheme for the coupon bond option price is developed based on the fact that the volatility of the forward interest rates is a small quantity. The field theory for the forward interest rates is Gaussian, but when the payoff function for the coupon bond option is included it makes the field theory nonlocal and nonlinear. A perturbation expansion using Feynman diagrams gives a closed form approximation for the price of coupon bond option. A special case of the approximate bond option is shown to yield the industry standard one-factor HJM formula with exponential volatility.

  8. D-brane solutions under market panic

    NASA Astrophysics Data System (ADS)

    Pincak, Richard

    The relativistic quantum mechanic approach is used to develop stock market dynamics. The relativistic is conceptional here as the meaning of big external volatility or volatility shock on a financial market. We used a differential geometry approach with the parallel transport of prices to obtain a direct shift of the stock price movement. The prices are represented here as electrons with different spin orientation. Up and down orientations of the spin particle are likened here to an increase or a decrease of stock prices. The parallel transport of stock prices is enriched by Riemann curvature, which describes some arbitrage opportunities in the market. To solve the stock-price dynamics, we used the Dirac equation for bispinors on the spherical brane-world. We found out that when a spherical brane is abbreviated to the disk on the equator, we converge to the ideal behavior of financial market where Black-Scholes as well as semi-classical equations are sufficient. Full spherical brane-world scenarios can describe non-equilibrium market behavior where all arbitrage opportunities as well as transaction costs are taken into account. Real application of the model to the option pricing was done. The model developed in this paper brings quantitative different results of option pricing dynamics in the case of nonzero Riemann curvature.

  9. Climbing the walls

    DOE Office of Scientific and Technical Information (OSTI.GOV)

    Duey, R.

    1997-07-01

    {open_quotes}Integrated solutions{close_quotes} has become such a buzzword in the business world that it`s beginning to lose its semantic impact. But when the business is oil and gas and the integrated solutions revolve around information technology, the impact is very great indeed. A recent Cambridge Energy Research Associates study called the use of information technology within the petroleum industry a {open_quotes}quiet revolution.{close_quotes} The technology has been {open_quotes}a powerful, enabling factor in the survival and rebirth{close_quotes} of the industry since the price collapse of 1986, the report states, adding, {open_quotes}It will be even more important to the industry`s future, shaping business strategymore » and competitive advantage-- and company structure.{close_quotes} Like many other industries, oil and gas companies are moving away from hierarchical structures, relying on asset teams and other interdisciplinary approaches to maximize profits in an era of downsizing, volatile prices and stiff competition. {open_quotes}I think in the past the energy industry had a commodity mindset,{close_quotes} says Robert Shaw, senior vice president and head of the worldwide sector for Oracle Energy. {open_quotes}The industry was fairly controlled, stable and regulated, and there was a feeling that there wasn`t much to do except find oil, own reserves, refine as much as they can, run the pipe full, dispose of as much as they can and hopefully make a lot of money{close_quotes}.« less

  10. The Working of Circuit Breakers Within Percolation Models for Financial Markets

    NASA Astrophysics Data System (ADS)

    Ehrenstein, Gudrun; Westerhoff, Frank

    We use a modified Cont-Bouchaud model to explore the effectiveness of trading breaks. The modifications include that the trading activity of the market participants depends positively on historical volatility and that the orders of the agents are conditioned on the observed mispricing. Trading breaks, also called circuit breakers, interrupt the trading process when prices are about to exceed a pre-specified limit. We find that trading breaks are a useful instrument to stabilize financial markets. In particular, trading breaks may reduce price volatility and deviations from fundamentals.

  11. More Colleges Lock in Energy Rates to Avoid Volatile Markets

    ERIC Educational Resources Information Center

    Carlson, Scott

    2009-01-01

    In July, when energy prices were sky-high and some pundits were predicting a continued rise, Charles Riordan, facilities director at Loyola College of Maryland, and his colleagues locked in a chunk of their electricity prices--about a quarter of the college's consumption--to cover the next two years. Now that energy prices have fallen, the…

  12. 76 FR 74088 - Self-Regulatory Organizations; Chicago Stock Exchange, Incorporated; Notice of Filing Proposed...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-11-30

    ... rights and warrants are affected by the price of the underlying stock as well as other factors, particularly the volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying...

  13. 76 FR 74101 - Self-Regulatory Organizations; EDGA Exchange, Inc.; Notice of Filing and Immediate Effectiveness...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-11-30

    ... rights and warrants are affected by the price of the underlying stock as well as other factors, particularly the volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying...

  14. Time series ARIMA models for daily price of palm oil

    NASA Astrophysics Data System (ADS)

    Ariff, Noratiqah Mohd; Zamhawari, Nor Hashimah; Bakar, Mohd Aftar Abu

    2015-02-01

    Palm oil is deemed as one of the most important commodity that forms the economic backbone of Malaysia. Modeling and forecasting the daily price of palm oil is of great interest for Malaysia's economic growth. In this study, time series ARIMA models are used to fit the daily price of palm oil. The Akaike Infromation Criterion (AIC), Akaike Infromation Criterion with a correction for finite sample sizes (AICc) and Bayesian Information Criterion (BIC) are used to compare between different ARIMA models being considered. It is found that ARIMA(1,2,1) model is suitable for daily price of crude palm oil in Malaysia for the year 2010 to 2012.

  15. Influence of market factors on the pricing of exchange traded metals in the medium term

    NASA Astrophysics Data System (ADS)

    Bogdanov, S. V.; Shevelev, I. M.; Chernyi, S. A.

    2017-06-01

    On the basis of comparison of the influence of the stock exchange factors on the pricing of nonferrous metals for medium term with similar results for short term, it has been established that the main attention should be paid to the changes in the pricing environment on the metal market as a function of the prices of exchange traded metals. The situation on the market of energy carriers (hydrocarbons) and the European, American, and Asian stock exchanges can be based on parity and even significantly influence the variation of the metal prices. In the medium term, constructive development of metal trade should be reasonably promoted by changing the elasticity of supply with regard to prices for exchange traded metals and by applying the stock exchange factors that positively influence the pricing on commodity and stock markets.

  16. 75 FR 41258 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of a Proposed Rule...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2010-07-15

    ... movements in the price at which a security is traded can indicate aberrant volatility, which is harmful to investors. On August 19, 2008, the Commission approved new Rule 4753(c), which established a volatility... 4753(c), a volatility-based pause in trading in individual NASDAQ-listed securities traded on NASDAQ...

  17. 78 FR 60981 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Order Approving a...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-10-02

    ... not available or the spot (cash) \\6\\ value for a volatility index option is not available. \\5\\ CBOE... Notice, supra note 3, at 49563. \\6\\ In the Notice, CBOE stated that the spot (cash) value of a volatility... (security) futures prices) is not available; or (3) whether the spot (cash) value for a volatility index is...

  18. Economic aspects of virtual water trade

    NASA Astrophysics Data System (ADS)

    Oki, Taikan; Yano, Shinjiro; Hanasaki, Naota

    2017-04-01

    Although water is rarely traded over long distances by itself, the total weight of the water consumed to produce traded commodities exceeds the weight of any other commodity traded in the world. This concept is known as virtual water trade. Although space-/time-/commodity-based quantification has been conducted extensively, the underlying causes of this peculiar feature have thus far received little exploration. Here, we use estimates of water consumption from a global hydrological model and statistical data related to food trade to elucidate three facts that explain the fundamental nature of virtual water trade with respect to alleviating water scarcity. First, we quantitatively illustrate the unique position of water among commodities based on its unit price and quantity of sales. Water has an extremely low unit price, and a tremendous volume of water is consumed per person each day. Second, we show that rich but water-scarce countries tend to reduce local water consumption by importing virtual water. Third, we demonstrate that nations characterized by net virtual water exports have higher water resources and income per capita and that no countries fall below a certain threshold with respect to both GDP and water resources. These points suggest that the virtual water trade is explained by economic characteristics of water and that sustainable development depends on promoting the co-development of poverty alleviation and water resource development.

  19. How water is different from energy and food?

    NASA Astrophysics Data System (ADS)

    Hanasaki, N.; Oki, T.; Yano, S.

    2017-12-01

    Although water is rarely traded over long distances by itself, the total weight of the water consumed to produce traded commodities exceeds the weight of any other commodity traded in the world. This concept is known as virtual water trade. Although space-/time-/commodity-based quantification has been conducted extensively, the underlying causes of this peculiar feature have thus far received little exploration. Here, we use estimates of water consumption from a global hydrological model and statistical data related to food trade to elucidate three facts that explain the fundamental nature of virtual water trade with respect to alleviating water scarcity. First, we quantitatively illustrate the unique position of water among commodities based on its unit price and quantity of sales. Water has an extremely low unit price, and a tremendous volume of water is consumed per person each day. Second, we show that rich but water-scarce countries tend to reduce local water consumption by importing virtual water. Third, we demonstrate that nations characterized by net virtual water exports have higher water resources and income per capita and that no countries fall below a certain threshold with respect to both GDP and water resources. These points suggest that the virtual water trade is explained by economic characteristics of water and that sustainable development depends on promoting the co-development of poverty alleviation and water resource development.

  20. Stabilizing effect of volatility in financial markets

    NASA Astrophysics Data System (ADS)

    Valenti, Davide; Fazio, Giorgio; Spagnolo, Bernardo

    2018-06-01

    In financial markets, greater volatility is usually considered to be synonymous with greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To investigate this surprising feature, here we propose using the mean first hitting time, i.e., the average time a stock return takes to undergo for the first time a large negative (crashes) or positive variation (rallies), as an indicator of price stability, and relate this to a standard measure of volatility. In an empirical analysis of daily returns for 1071 stocks traded in the New York Stock Exchange, we find that this measure of stability displays nonmonotonic behavior, with a maximum, as a function of volatility. Also, we show that the statistical properties of the empirical data can be reproduced by a nonlinear Heston model. This analysis implies that, contrary to conventional wisdom, not only high, but also low volatility values can be associated with higher instability in financial markets. This proposed measure of stability can be extremely useful in risk control.

  1. Fearless versus fearful speculative financial bubbles

    NASA Astrophysics Data System (ADS)

    Andersen, J. V.; Sornette, D.

    2004-06-01

    Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies nine time series that have been previously considered as bubbles ending in crashes. The model predicts the existence of two anomalous behaviors occurring simultaneously: (i) super-exponential price growth and (ii) volatility growth, that we refer to as the “fearful singular bubble” regime. Out of the nine time series, we find that five pass our tests and can be characterized as “fearful singular bubbles”. The four other cases are the information technology Nasdaq bubble and three bubbles of the Hang Seng index ending in crashes in 1987, 1994 and 1997. According to our analysis, these four bubbles have developed with essentially no significant increase of their volatility. This paper thus proposes that speculative bubbles ending in crashes form two groups hitherto unrecognized, namely those accompanied by increasing volatility (reflecting increasing risk perception) and those without change of volatility (reflecting an absence of risk perception).

  2. Prevent Unfair Manipulation of Prices Act of 2009

    THOMAS, 111th Congress

    Rep. Stupak, Bart [D-MI-1

    2009-05-14

    House - 06/22/2010 Referred to the Subcommittee on General Farm Commodities and Risk Management. (All Actions) Tracker: This bill has the status IntroducedHere are the steps for Status of Legislation:

  3. 17 CFR 35.2 - Exemption.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... manipulation of the market price of any commodity in interstate commerce or for future delivery on or subject to the rules of any contract market), provided the following terms and conditions are met: (a) The...

  4. Business Risk Mitigation and Price Stabilization Act of 2011

    THOMAS, 112th Congress

    Rep. Grimm, Michael G. [R-NY-13

    2011-04-15

    House - 05/11/2011 Referred to the Subcommittee on General Farm Commodities and Risk Management. (All Actions) Tracker: This bill has the status IntroducedHere are the steps for Status of Legislation:

  5. United States benefits of improved worldwide wheat crop information from a LANDSAT system

    NASA Technical Reports Server (NTRS)

    Heiss, K. P.; Sand, F.; Seidel, A.; Warner, D.; Sheflin, N.; Bhattacharyya, R.; Andrews, J.

    1975-01-01

    The value of worldwide information improvements on wheat crops, promised by LANDSAT, is measured in the context of world wheat markets. These benefits are based on current LANDSAT technical goals and assume that information is made available to all (United States and other countries) at the same time. A detailed empirical sample demonstration of the effect of improved information is given; the history of wheat commodity prices for 1971-72 is reconstructed and the price changes from improved vs. historical information are compared. The improved crop forecasting from a LANDSAT system assumed include wheat crop estimates of 90 percent accuracy for each major wheat producing region. Accurate, objective worldwide wheat crop information using space systems may have a very stabilizing influence on world commodity markets, in part making possible the establishment of long-term, stable trade relationships.

  6. Evidence of infinite and finite jump processes in commodity futures prices: Crude oil and natural gas

    NASA Astrophysics Data System (ADS)

    Cao, Wenbin; Guernsey, Scott B.; Linn, Scott C.

    2018-07-01

    We examine the frequency and character of price jumps in front month oil and natural gas futures prices. Prices are sampled every five seconds over the period 2006-2014. Our test results indicate that jumps in crude oil and natural gas futures prices can be decomposed into an infinite activity jump diffusion process and a less frequent but larger jump process. We also find that we cannot reject the hypothesis that Brownian motion is also present in both return series. The results are based on a battery of tests that are "model free". We further find that jumps account for respectively 36 and 41 percent of the realized variances of the crude oil and the natural gas returns.

  7. Information pricing based on trusted system

    NASA Astrophysics Data System (ADS)

    Liu, Zehua; Zhang, Nan; Han, Hongfeng

    2018-05-01

    Personal information has become a valuable commodity in today's society. So our goal aims to develop a price point and a pricing system to be realistic. First of all, we improve the existing BLP system to prevent cascading incidents, design a 7-layer model. Through the cost of encryption in each layer, we develop PI price points. Besides, we use association rules mining algorithms in data mining algorithms to calculate the importance of information in order to optimize informational hierarchies of different attribute types when located within a multi-level trusted system. Finally, we use normal distribution model to predict encryption level distribution for users in different classes and then calculate information prices through a linear programming model with the help of encryption level distribution above.

  8. Crude oil price dynamics: A study on effects of market expectation and strategic supply on price movements

    NASA Astrophysics Data System (ADS)

    Jin, Xin

    Recent years have seen dramatic fluctuations in crude oil prices. This dissertation attempts to better understand price behavior. The first chapter studies the behavior of crude oil spot and futures prices. Oil prices, particularly spot and short-term futures prices, appear to have switched from I(0) to I(1) in early 2000s. To better understand this apparent change in persistence, a factor model of oil prices is proposed, where the prices are decomposed into long-term and short-term components. The change in the persistence behavior can be explained by changes in the relative volatility of the underlying components. Fitting the model to weekly data on WTI prices, the volatility of the persistent shocks increased substantially relative to other shocks. In addition, the risk premiums in futures prices have changed their signs and become more volatile. The estimated net marginal convenience yield using the model also shows changes in its behavior. These observations suggest that a dramatic fundamental change occurred in the period from 2002 to 2004 in the dynamics of the crude oil market. The second chapter explores the short-run price-inventory dynamics in the presence of different shocks. Classical competitive storage model states that inventory decision considers both current and future market condition, and thus interacts with spot and expected future spot prices. We study competitive storage holding in an equilibrium framework, focusing on the dynamic response of price and inventory to different shocks. We show that news shock generates response profile different from traditional contemporaneous shocks in price and inventory. The model is applied to world crude oil market, where the market expectation is estimated to experience a sharp change in early 2000s, together with a persisting constrained supply relative to demand. The expectation change has limited effect on crude oil spot price though. The world oil market structure has been studied extensively but no consensus has been reached on OPEC strategic behavior. In the third chapter, we are interested in the effects of supply-side market power on oil price dynamics in face of different demand shocks, and model the oil market as composed of a strategic dominant firm and several competitive fringe producers. In each period, the dominant firm makes decision while taking fringe's response into consideration. We consider two alternative pricing strategies for the dominant firm. Our results show that this dynamic strategic model improves the potential of dominant firm-competitive fringe model in fitting and explaining real world data. A regime switch after a permanent demand increase generates a time path for price that looks like the price movements in the recent years.

  9. Imported Oil and U.S. National Security

    DTIC Science & Technology

    2009-01-01

    reducing some subsidies and devaluing the currency so as to restore fiscal balance. Chavez has provided campaign financing for presidential candidates in...arbitrage, the markets’ influence on Figure 2.6 Price Per Barrel of West Texas Intermediate in Current and Year 2000 Dollars SOURCES: IMF (undated...security whose price is dependent on or derived from one or more underlying assets, such as stocks, bonds, commodities, or currencies . Its value is

  10. Support vector machine for day ahead electricity price forecasting

    NASA Astrophysics Data System (ADS)

    Razak, Intan Azmira binti Wan Abdul; Abidin, Izham bin Zainal; Siah, Yap Keem; Rahman, Titik Khawa binti Abdul; Lada, M. Y.; Ramani, Anis Niza binti; Nasir, M. N. M.; Ahmad, Arfah binti

    2015-05-01

    Electricity price forecasting has become an important part of power system operation and planning. In a pool- based electric energy market, producers submit selling bids consisting in energy blocks and their corresponding minimum selling prices to the market operator. Meanwhile, consumers submit buying bids consisting in energy blocks and their corresponding maximum buying prices to the market operator. Hence, both producers and consumers use day ahead price forecasts to derive their respective bidding strategies to the electricity market yet reduce the cost of electricity. However, forecasting electricity prices is a complex task because price series is a non-stationary and highly volatile series. Many factors cause for price spikes such as volatility in load and fuel price as well as power import to and export from outside the market through long term contract. This paper introduces an approach of machine learning algorithm for day ahead electricity price forecasting with Least Square Support Vector Machine (LS-SVM). Previous day data of Hourly Ontario Electricity Price (HOEP), generation's price and demand from Ontario power market are used as the inputs for training data. The simulation is held using LSSVMlab in Matlab with the training and testing data of 2004. SVM that widely used for classification and regression has great generalization ability with structured risk minimization principle rather than empirical risk minimization. Moreover, same parameter settings in trained SVM give same results that absolutely reduce simulation process compared to other techniques such as neural network and time series. The mean absolute percentage error (MAPE) for the proposed model shows that SVM performs well compared to neural network.

  11. Probabilities of Possible Future Prices (Short-Term Energy Outlook Supplement April 2010)

    EIA Publications

    2010-01-01

    The Energy Information Administration introduced a monthly analysis of energy price volatility and forecast uncertainty in the October 2009 Short-Term Energy Outlook (STEO). Included in the analysis were charts portraying confidence intervals around the New York Mercantile Exchange (NYMEX) futures prices of West Texas Intermediate (equivalent to light sweet crude oil) and Henry Hub natural gas contracts.

  12. Determination of sample size for higher volatile data using new framework of Box-Jenkins model with GARCH: A case study on gold price

    NASA Astrophysics Data System (ADS)

    Roslindar Yaziz, Siti; Zakaria, Roslinazairimah; Hura Ahmad, Maizah

    2017-09-01

    The model of Box-Jenkins - GARCH has been shown to be a promising tool for forecasting higher volatile time series. In this study, the framework of determining the optimal sample size using Box-Jenkins model with GARCH is proposed for practical application in analysing and forecasting higher volatile data. The proposed framework is employed to daily world gold price series from year 1971 to 2013. The data is divided into 12 different sample sizes (from 30 to 10200). Each sample is tested using different combination of the hybrid Box-Jenkins - GARCH model. Our study shows that the optimal sample size to forecast gold price using the framework of the hybrid model is 1250 data of 5-year sample. Hence, the empirical results of model selection criteria and 1-step-ahead forecasting evaluations suggest that the latest 12.25% (5-year data) of 10200 data is sufficient enough to be employed in the model of Box-Jenkins - GARCH with similar forecasting performance as by using 41-year data.

  13. Quantifiable impact on poverty in Trinidad And Tobago of the Uruguay Round Agreement On Agriculture.

    PubMed

    Pemberton, Carlisle; Ramnarine, Deokie

    2006-09-01

    The agreement on agriculture and the World Trade Organization were major outcomes of the 1986-1994 Uruguay Round (UR) negotiations within the General Agreement on Tariffs and Trade (GATT). The measures under the UR were predicted to increase poverty in developing countries, a serious cause for concern since poverty alleviation is a major goal of developing countries. Thus this paper simulated the impact on poverty of the UR for a net food importing country, Trinidad and Tobago. The objectives of the study were to determine the changes in poverty levels in Trinidad and Tobago that we expected would result from changes in the price levels of food commodities after the removal of trade protection following the UR, and to examine recent trends in poverty in Trinidad and Tobago and the prices of major agricultural exports from the United States, its principal trading partner. A regression model (poverty model) was used to determine the relationship between poverty levels and the prices of sensitive imported food commodities (SIFCs) and other key economic variables. Impact models were used to project changes in world market prices of the SIFCs due to the UR, and these price changes were used to predict changes in poverty in Trinidad and Tobago. The results showed a positive elasticity between poverty and the prices of SIFCs. The study also predicted that the average projected increase in price levels of the SIFCs of less than 9% by the year 2000 would cause an increase in poverty in Trinidad and Tobago of less than 4%. There has been, in fact, a small decline in poverty in Trinidad and Tobago since 1996. The prices of major agricultural exports from the United States have also been falling since 1995. Thus, so far the UR has had no perceptible effects in increasing the prices of food exports from the United States. Also, so far the UR has had no perceptible effect on the poverty level in Trinidad and Tobago.

  14. Price dynamics in political prediction markets

    PubMed Central

    Majumder, Saikat Ray; Diermeier, Daniel; Rietz, Thomas A.; Amaral, Luís A. Nunes

    2009-01-01

    Prediction markets, in which contract prices are used to forecast future events, are increasingly applied to various domains ranging from political contests to scientific breakthroughs. However, the dynamics of such markets are not well understood. Here, we study the return dynamics of the oldest, most data-rich prediction markets, the Iowa Electronic Presidential Election “winner-takes-all” markets. As with other financial markets, we find uncorrelated returns, power-law decaying volatility correlations, and, usually, power-law decaying distributions of returns. However, unlike other financial markets, we find conditional diverging volatilities as the contract settlement date approaches. We propose a dynamic binary option model that captures all features of the empirical data and can potentially provide a tool with which one may extract true information events from a price time series. PMID:19155442

  15. No-arbitrage, leverage and completeness in a fractional volatility model

    NASA Astrophysics Data System (ADS)

    Vilela Mendes, R.; Oliveira, M. J.; Rodrigues, A. M.

    2015-02-01

    When the volatility process is driven by fractional noise one obtains a model which is consistent with the empirical market data. Depending on whether the stochasticity generators of log-price and volatility are independent or are the same, two versions of the model are obtained with different leverage behaviors. Here, the no-arbitrage and completeness properties of the models are rigorously studied.

  16. Some statistical investigations on the nature and dynamics of electricity prices

    NASA Astrophysics Data System (ADS)

    Bottazzi, G.; Sapio, S.; Secchi, A.

    2005-09-01

    This work analyzes the log-returns of daily electricity prices from the NordPool day-ahead market. We study both the unconditional growth rates distribution and the distribution of residual shocks obtained with a non-parametric filtering procedure based on the Cholesky factor algorithm. We show that, even if the Subbotin family of distributions is able to describe the empirical observations in both cases, the Subbotin fit obtained for the unconditional growth rates and for the residual shocks reveal significant differences. Indeed, the sequence of log-returns can be described as the outcome of an aggregation of Laplace-distributed shocks with time-dependent volatility. We find that the standard deviation of shocks scales as a power law of the initial price level, with scaling exponent around -1. Moreover, the analysis of the empirical density of shocks, conditional on the price level, shows a strong relationship of the Subbotin fit with the latter. We conclude that the unconditional growth rates distribution is the superposition of shocks distributions characterized by decreasing volatility and fat-tailedness with respect to the price level.

  17. A hybrid modeling approach for option pricing

    NASA Astrophysics Data System (ADS)

    Hajizadeh, Ehsan; Seifi, Abbas

    2011-11-01

    The complexity of option pricing has led many researchers to develop sophisticated models for such purposes. The commonly used Black-Scholes model suffers from a number of limitations. One of these limitations is the assumption that the underlying probability distribution is lognormal and this is so controversial. We propose a couple of hybrid models to reduce these limitations and enhance the ability of option pricing. The key input to option pricing model is volatility. In this paper, we use three popular GARCH type model for estimating volatility. Then, we develop two non-parametric models based on neural networks and neuro-fuzzy networks to price call options for S&P 500 index. We compare the results with those of Black-Scholes model and show that both neural network and neuro-fuzzy network models outperform Black-Scholes model. Furthermore, comparing the neural network and neuro-fuzzy approaches, we observe that for at-the-money options, neural network model performs better and for both in-the-money and an out-of-the money option, neuro-fuzzy model provides better results.

  18. 17 CFR 4.13 - Exemption from registration as a commodity pool operator.

    Code of Federal Regulations, 2013 CFR

    2013-04-01

    ...) The aggregate initial margin, premiums, and required minimum security deposit for retail forex... contract), by the strike price per unit, for each such retail forex transaction, by calculating the value...

  19. 17 CFR 4.13 - Exemption from registration as a commodity pool operator.

    Code of Federal Regulations, 2014 CFR

    2014-04-01

    ...) The aggregate initial margin, premiums, and required minimum security deposit for retail forex... contract), by the strike price per unit, for each such retail forex transaction, by calculating the value...

  20. 7 CFR 29.9405 - Issuance of marketing area opening date and selling schedules by the Secretary.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... COMMODITY STANDARDS AND STANDARD CONTAINER REGULATIONS TOBACCO INSPECTION Policy Statement and Regulations Governing Availability of Tobacco Inspection and Price Support Services to Flue-Cured Tobacco on Designated...

  1. Reducing the Cost of System Administration of a Disk Storage System Built from Commodity Components

    DTIC Science & Technology

    2000-05-01

    quickly by using checkpointing and roll-forward logs. Microsoft Tiger is a video server built from commodity PCs which they call “cubs” [ BBD +96, BFD97...20 cents per megabyte using street prices of components. 3.2.2 Redundancy In designing the TD prototype, we have taken care to ensure it does not have... Td /GridPix/, 1999. [ATP99] Satoshi Asami, Nisha Talagala, and David Patterson. Designing a self-maintaining storage system. In Proceedings of the

  2. Case for Deploying Complex Systems Utilizing Commodity Components

    NASA Technical Reports Server (NTRS)

    Bryant, Barry S.; Pitts, R. Lee; Ritter, George

    2003-01-01

    This viewgraph representation presents a study of the transition of computer networks and software engineering at the Huntsville Operations Support Center (HOSC) from a client/server UNIX based system to a client/server system based on commodity priced and open system components. Topics covered include: an overview of HOSC ground support systems, an analysis for changes to the existing ground support system, an analysis of options considered for the transition to a new system, and a consideration of goals for a new system.

  3. Historical statistics for mineral and material commodities in the United States

    USGS Publications Warehouse

    Kelly, Thomas; Matos, Grecia; with Buckingham, David; DiFrancesco, Carl; Porter, Kenneth; Berry, Cyrus; Crane, Melissa; Goonan, Thomas; Sznopek, John

    2005-01-01

    The U.S. Geological Survey (USGS) provides information to the public and to policy-makers concerning the current use and flow of minerals and materials in the United States economy. The USGS collects, analyzes, and disseminates minerals information on most nonfuel mineral commodities.This USGS digital database is an online compilation of historical U.S. statistics on mineral and material commodities. The database contains information on approximately 90 mineral commodities, including production, imports, exports, and stocks; reported and apparent consumption; and unit value (the real and nominal price in U.S. dollars of a metric ton of apparent consumption). For many of the commodities, data are reported as far back as 1900. Each commodity file includes a document that describes the units of measure, defines terms, and lists USGS contacts for additional information End-use tables complement these statistics by supplying, for most of these commodities, information about the distribution of apparent consumption.This publication draws on more than 125 years of minerals information experience. At the request of the 47th Congress of the United States (1882; 22 Stat. 329), the U.S. Government began the collection and public distribution of these types of data. The Federal agencies responsible for the collection of the data have changed through time. For the years 1882-1924, the USGS collected and published these data; the U.S. Bureau of Mines (USBM) performed these tasks from 1925-95; and in 1996, the responsibilities once again passed to the USGS (following the closure of the USBM) (Mlynarski, 1998).The USGS collects data on a monthly, quarterly, semiannual, and annual basis from more than 18,000 minerals-related producer and consumer establishments that cooperate with the USGS. These companies voluntarily complete about 40,000 canvass forms that survey production, consumption, recycling, stocks, shipments, and other essential information. Data are also gathered from site visits, memberships on domestic and international minerals-related committees, and coordination with other government organizations and trade associations.The USGS makes this information available through published products, including monthly, quarterly, and annual Mineral Industry Surveys, the annual Minerals Yearbook (MYB), the annual Mineral Commodity Summaries (MCS), and special mineral commodity studies, including the history of metal prices and materials flow studies. 

  4. Feynman perturbation expansion for the price of coupon bond options and swaptions in quantum finance. II. Empirical

    NASA Astrophysics Data System (ADS)

    Baaquie, Belal E.; Liang, Cui

    2007-01-01

    The quantum finance pricing formulas for coupon bond options and swaptions derived by Baaquie [Phys. Rev. E 75, 016703 (2006)] are reviewed. We empirically study the swaption market and propose an efficient computational procedure for analyzing the data. Empirical results of the swaption price, volatility, and swaption correlation are compared with the predictions of quantum finance. The quantum finance model generates the market swaption price to over 90% accuracy.

  5. Feynman perturbation expansion for the price of coupon bond options and swaptions in quantum finance. II. Empirical.

    PubMed

    Baaquie, Belal E; Liang, Cui

    2007-01-01

    The quantum finance pricing formulas for coupon bond options and swaptions derived by Baaquie [Phys. Rev. E 75, 016703 (2006)] are reviewed. We empirically study the swaption market and propose an efficient computational procedure for analyzing the data. Empirical results of the swaption price, volatility, and swaption correlation are compared with the predictions of quantum finance. The quantum finance model generates the market swaption price to over 90% accuracy.

  6. Forecasting volatility of SSEC in Chinese stock market using multifractal analysis

    NASA Astrophysics Data System (ADS)

    Wei, Yu; Wang, Peng

    2008-03-01

    In this paper, taking about 7 years’ high-frequency data of the Shanghai Stock Exchange Composite Index (SSEC) as an example, we propose a daily volatility measure based on the multifractal spectrum of the high-frequency price variability within a trading day. An ARFIMA model is used to depict the dynamics of this multifractal volatility (MFV) measures. The one-day ahead volatility forecasting performances of the MFV model and some other existing volatility models, such as the realized volatility model, stochastic volatility model and GARCH, are evaluated by the superior prediction ability (SPA) test. The empirical results show that under several loss functions, the MFV model obtains the best forecasting accuracy.

  7. Uncertainty, irreversibility, and investment in second-generation biofuels

    NASA Astrophysics Data System (ADS)

    McCarty, Tanner Joseph

    The present study formalizes and quantifies the importance of uncertainty for investment in a corn-stover based cellulosic biofuel plant. Using a real options model we recover prices of gasoline that would trigger entry into the market and calculate the portion of that entry trigger price required to cover cost and the portion that corresponds to risk premium. We then discuss the effect of managerial flexibility on the entry risk premium and the prices of gasoline that would trigger mothballing, reactivation, and exit. Results show that the risk premium required by plants to enter the second-generation biofuel market is likely to be substantial. The analysis also reveals that a break-even approach (which ignores the portion of entry price composed of risk premium), and the traditional Marshallian approach (which ignores the portion of entry price composed of both the risk premium and the drift rate), would significantly underestimate the gasoline entry trigger price and the magnitude of that underestimation increases as both volatility and mean of gasoline prices increase. Results also uncover a great deal of hysteresis (i.e. a range of gasoline prices for which there is neither entry nor exit in the market) in entry/exit behavior by plants. Hysteresis increases as gasoline prices become more volatile. Hysteresis suggests that, at the industry level, positive (negative) demand shocks will have a significant impact on prices (production) and a limited impact on production (prices). In combination all of these results suggest that policies supporting second generation biofuels may have fallen short of their targets because of their failure to alleviate uncertainty.

  8. Econometrics as evidence? Examining the 'causal' connections between financial speculation and commodities prices.

    PubMed

    Williams, James W; Cook, Nikolai M

    2016-10-01

    One of the lasting legacies of the financial crisis of 2008, and the legislative energies that followed from it, is the growing reliance on econometrics as part of the rulemaking process. Financial regulators are increasingly expected to rationalize proposed rules using available econometric techniques, and the courts have vacated several key rules emanating from Dodd-Frank on the grounds of alleged deficiencies in this evidentiary effort. The turn toward such econometric tools is seen as a significant constraint on and challenge to regulators as they endeavor to engage with such essential policy questions as the impact of financial speculation on food security. Yet, outside of the specialized practitioner community, very little is known about these techniques. This article examines one such econometric test, Granger causality, and its role in a pivotal Dodd-Frank rulemaking. Through an examination of the test for Granger causality and its attempts to distill the causal connections between financial speculation and commodities prices, the article argues that econometrics is a blunt but useful tool, limited in its ability to provide decisive insights into commodities markets and yet yielding useful returns for those who are able to wield it.

  9. Analysis of Realized Volatility in Two Trading Sessionsof the Japanese Stock Market

    NASA Astrophysics Data System (ADS)

    Takaishi, T.; Chen, T. T.; Zheng, Z.

    We analyze realized volatilities constructedusing high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon sessions. After calculating the realized volatilities at various sampling frequencies we evaluate the bias from the microstructure noise as a function of sampling frequency. Taking account of the bias to realized volatility we examine returns standardized by realized volatilities and confirm that price returns on the Tokyo Stock Exchange are described approximately by Gaussian time series with time-varying volatility, i.e. consistent with a mixture of distributions hypothesis.

  10. Conceptual Model of Supply Chain Structure Mapping - A Case of Subsidized LPG Commodity in Yogyakarta

    NASA Astrophysics Data System (ADS)

    Sulistio, Joko; Thoif, Afifuddin; Fitri Alindira, Aulia

    2016-01-01

    — In 2007, the government launched a conversion program of kerosene to LPG by issuing a Presidential Regulation No. 104/2007 on Supply, Distribution and Pricing LPG 3 Kg. Article 2 on the regulation says that setting the supply, distribution, and pricing of LPG 3 Kg include planning an annual sales volume of enterprises, the reference price and the retail price and conditions of export and import of LPG 3 Kg in order to reduce subsidies Kerosene especially to divert the use of kerosene according to government policy. In principle, the purpose of this policy is to reduce energy subsidies on commodities, especially Kerosene. Although the government claimed the conversion program is success, there are few problems arising from conversion program. In 2014, many scarcity and high price of LPG 3 Kg were reported. In this case, Pertamina was given full authority to manage all supply chain and distribution. Because the root of the problem of scarcity that occurred in the supply chain system has not been explained, the proposed solutions will also be partial and not comprehensive. Thus, this research will build a structural map of the causes of supply chain system LPG 3 Kg, as well as providing a comprehensive picture of system dynamics of LPG 3 Kg supply chain system which applied in Indonesia. And the result is expected as in form of Causal Loop Diagram of supply chain system.

  11. PERVAPORATION MEMBRANE SYSTEMS FOR VOLATILE FERMENTATION PRODUCT RECOVERY AND DEHYDRATION

    EPA Science Inventory

    The economics of fermentative production of fuels and commodity chemicals can be a strong function of the efficiency with which the fermentation products are removed from the biological media. Due to growth inhibition by some fermentation products, including ethanol, concentrati...

  12. Cross-correlations between RMB exchange rate and international commodity markets

    NASA Astrophysics Data System (ADS)

    Lu, Xinsheng; Li, Jianfeng; Zhou, Ying; Qian, Yubo

    2017-11-01

    This paper employs multifractal detrended analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA) to study cross-correlation behaviors between China's RMB exchange rate market and four international commodity markets, using a comprehensive set of data covering the period from 22 July 2005 to 15 March 2016. Our empirical results from MF-DFA indicate that the RMB exchange rate is the most inefficient among the 4 selected markets. The results from quantitative analysis have testified the existence of cross-correlations and the result from MF-DCCA have further confirmed a strong multifractal behavior between RMB exchange rate and international commodity markets. We also demonstrate that the recent financial crisis has significant impact on the cross-correlated behavior. Through the rolling window analysis, we find that the RMB exchange rates and international commodity prices are anti-persistent cross-correlated. The main sources of multifractality in the cross-correlations are long-range correlations between RMB exchange rate and the aggregate commodity, energy and metals index.

  13. A Financial Market Model Incorporating Herd Behaviour

    PubMed Central

    2016-01-01

    Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents’ accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents’ accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option. PMID:27007236

  14. Basic Economic Principles

    NASA Technical Reports Server (NTRS)

    Tideman, T. N.

    1972-01-01

    An economic approach to design efficient transportation systems involves maximizing an objective function that reflects both goals and costs. A demand curve can be derived by finding the quantities of a good that solve the maximization problem as one varies the price of that commodity, holding income and the prices of all other goods constant. A supply curve is derived by applying the idea of profit maximization of firms. The production function determines the relationship between input and output.

  15. Modeling and complexity of stochastic interacting Lévy type financial price dynamics

    NASA Astrophysics Data System (ADS)

    Wang, Yiduan; Zheng, Shenzhou; Zhang, Wei; Wang, Jun; Wang, Guochao

    2018-06-01

    In attempt to reproduce and investigate nonlinear dynamics of security markets, a novel nonlinear random interacting price dynamics, which is considered as a Lévy type process, is developed and investigated by the combination of lattice oriented percolation and Potts dynamics, which concerns with the instinctive random fluctuation and the fluctuation caused by the spread of the investors' trading attitudes, respectively. To better understand the fluctuation complexity properties of the proposed model, the complexity analyses of random logarithmic price return and corresponding volatility series are preformed, including power-law distribution, Lempel-Ziv complexity and fractional sample entropy. In order to verify the rationality of the proposed model, the corresponding studies of actual security market datasets are also implemented for comparison. The empirical results reveal that this financial price model can reproduce some important complexity features of actual security markets to some extent. The complexity of returns decreases with the increase of parameters γ1 and β respectively, furthermore, the volatility series exhibit lower complexity than the return series

  16. Population growth, interest rate, and housing tax in the transitional China

    NASA Astrophysics Data System (ADS)

    He, Ling-Yun; Wen, Xing-Chun

    2017-03-01

    This paper combines and develops the models in Lastrapes (2002) and Mankiw and Weil (1989), which enables us to analyze the effects of interest rate and population growth shocks on housing price in one integrated framework. Based on this model, we carry out policy simulations to examine whether the housing (stock or flow) tax reduces the housing price fluctuations caused by interest rate or population growth shocks. Simulation results imply that the choice of housing tax tools depends on the kind of shock that housing market faces. In the situation where the housing price volatility is caused by the population growth shock, the flow tax can reduce the volatility of housing price while the stock tax makes no difference to it. If the shock is resulting from the interest rate, the policy maker should not impose any kind of the housing taxes. Furthermore, the effect of one kind of the housing tax can be strengthened by that of the other type of housing tax.

  17. Testing option pricing with the Edgeworth expansion

    NASA Astrophysics Data System (ADS)

    Balieiro Filho, Ruy Gabriel; Rosenfeld, Rogerio

    2004-12-01

    There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments.

  18. Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (2/3)

    DOE Office of Scientific and Technical Information (OSTI.GOV)

    Coffee, Brian

    Intro to Foreign Exchange: Volatility Markets & Trading. Applications of physics and finance; Market Trading and Risk Management of Vanilla FX Options; Measures of Market Risk; Implied Volatility; FX Risk Reversals; FX Strangles; Valuation and Risk Calculations; Risk Management; Market Trading Strategies.

  19. Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (2/3)

    ScienceCinema

    Coffee, Brian

    2018-05-14

    Intro to Foreign Exchange: Volatility Markets & Trading. Applications of physics and finance; Market Trading and Risk Management of Vanilla FX Options; Measures of Market Risk; Implied Volatility; FX Risk Reversals; FX Strangles; Valuation and Risk Calculations; Risk Management; Market Trading Strategies.

  20. Quantum-like Viewpoint on the Complexity and Randomness of the Financial Market

    NASA Astrophysics Data System (ADS)

    Choustova, Olga

    In economics and financial theory, analysts use random walk and more general martingale techniques to model behavior of asset prices, in particular share prices on stock markets, currency exchange rates and commodity prices. This practice has its basis in the presumption that investors act rationally and without bias, and that at any moment they estimate the value of an asset based on future expectations. Under these conditions, all existing information affects the price, which changes only when new information comes out. By definition, new information appears randomly and influences the asset price randomly. Corresponding continuous time models are based on stochastic processes (this approach was initiated in the thesis of [4]), see, e.g., the books of [33] and [37] for historical and mathematical details.

  1. Comparison of Online Agricultural Information Services.

    ERIC Educational Resources Information Center

    Reneau, Fred; Patterson, Richard

    1984-01-01

    Outlines major online agricultural information services--agricultural databases, databases with agricultural services, educational databases in agriculture--noting services provided, access to the database, and costs. Benefits of online agricultural database sources (availability of agricultural marketing, weather, commodity prices, management…

  2. 7 CFR 5.4 - Commodities for which parity prices shall be calculated.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... the provisions of subsections (g) and (h) of section 359 of the Agricultural Adjustment Act of 1938 as..., Ladino clover, lespedeza, orchard grass, red clover, timothy, and hairy vetch. sugar crops Sugar beets...

  3. 7 CFR 5.4 - Commodities for which parity prices shall be calculated.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... the provisions of subsections (g) and (h) of section 359 of the Agricultural Adjustment Act of 1938 as..., Ladino clover, lespedeza, orchard grass, red clover, timothy, and hairy vetch. sugar crops Sugar beets...

  4. Variable step random walks, self-similar distributions, and pricing of options (Invited Paper)

    NASA Astrophysics Data System (ADS)

    Gunaratne, Gemunu H.; McCauley, Joseph L.

    2005-05-01

    A new theory for pricing of options is presented. It is based on the assumption that successive movements depend on the value of the return. The solution to the Fokker-Planck equation is shown to be an asymmetric exponential distribution, similar to those observed in intra-day currency markets. The "volatility smile", used by traders to correct the Black-Scholes pricing is shown to be a heuristic mechanism to implement options pricing formulae derived from our theory.

  5. Confidence and the stock market: an agent-based approach.

    PubMed

    Bertella, Mario A; Pires, Felipe R; Feng, Ling; Stanley, Harry Eugene

    2014-01-01

    Using a behavioral finance approach we study the impact of behavioral bias. We construct an artificial market consisting of fundamentalists and chartists to model the decision-making process of various agents. The agents differ in their strategies for evaluating stock prices, and exhibit differing memory lengths and confidence levels. When we increase the heterogeneity of the strategies used by the agents, in particular the memory lengths, we observe excess volatility and kurtosis, in agreement with real market fluctuations--indicating that agents in real-world financial markets exhibit widely differing memory lengths. We incorporate the behavioral traits of adaptive confidence and observe a positive correlation between average confidence and return rate, indicating that market sentiment is an important driver in price fluctuations. The introduction of market confidence increases price volatility, reflecting the negative effect of irrationality in market behavior.

  6. Confidence and the Stock Market: An Agent-Based Approach

    PubMed Central

    Bertella, Mario A.; Pires, Felipe R.; Feng, Ling; Stanley, Harry Eugene

    2014-01-01

    Using a behavioral finance approach we study the impact of behavioral bias. We construct an artificial market consisting of fundamentalists and chartists to model the decision-making process of various agents. The agents differ in their strategies for evaluating stock prices, and exhibit differing memory lengths and confidence levels. When we increase the heterogeneity of the strategies used by the agents, in particular the memory lengths, we observe excess volatility and kurtosis, in agreement with real market fluctuations—indicating that agents in real-world financial markets exhibit widely differing memory lengths. We incorporate the behavioral traits of adaptive confidence and observe a positive correlation between average confidence and return rate, indicating that market sentiment is an important driver in price fluctuations. The introduction of market confidence increases price volatility, reflecting the negative effect of irrationality in market behavior. PMID:24421888

  7. Crop Monitoring as a Tool for Modelling the Genesis of Millet Prices in Senegal

    NASA Astrophysics Data System (ADS)

    Jacques, D.; Marinho, E.; Defourny, P.; Waldner, F.; d'Andrimont, R.

    2015-12-01

    Food security in Sahelian countries strongly relies on the ability of markets to transfer staplesfrom surplus to deficit areas. Market failures, leading to the inefficient geographical allocation of food,are expected to emerge from high transportation costs and information asymmetries that are commonin moderately developed countries. As a result, important price differentials are observed betweenproducing and consuming areas which damages both poor producers and food insecure consumers. Itis then vital for policy makers to understand how the prices of agricultural commodities are formed byaccounting for the existing market imperfections in addition to local demand and supply considerations. To address this issue, we have gathered an unique and diversified set of data for Senegal andintegrated it in a spatially explicit model that simulates the functioning of agricultural markets, that isfully consistent with the economic theory. Our departure point is a local demand and supply modelaround each market having its catchment areas determined by the road network. We estimate the localsupply of agricultural commodities from satellite imagery while the demand is assumed to be a functionof the population living in the area. From this point on, profitable transactions between areas with lowprices to areas with high prices are simulated for different levels of per kilometer transportation costand information flows (derived from call details records i.e. mobile phone data). The simulated prices are then comparedwith the actual millet prices. Despite the parsimony of the model that estimates only two parameters, i.e. the per kilometertransportation cost and the information asymmetry resulting from low levels of mobile phone activitybetween markets, it impressively explains more than 80% of the price differentials observed in the 40markets included in the analysis. In one hand these results can be used in the assessment of the socialwelfare impacts of the further development of both road and mobile phone networks in the country. Onthe other hand, the model could be further developed as a precious tool for the prediction of futurestaple prices in the country.

  8. Mechanisms of Nitrogen Oxide Formation During Ensiling

    EPA Science Inventory

    Silage (ensiled feed), as a dairy’s greatest operational cost, is its most critical feed commodity. The continued use of silage is essential to a highly productive and economically viable industry. Our previous work has shown that silages are a major source of volatile organic co...

  9. Natural Gas in the Rocky Mountains: Developing Infrastructure

    EIA Publications

    2007-01-01

    This Supplement to the Energy Information Administration's Short-Term Energy Outlook analyzes current natural gas production, pipeline and storage infrastructure in the Rocky Mountains, as well as prospective pipeline projects in these states. The influence of these factors on regional prices and price volatility is examined.

  10. 76 FR 20417 - Self-Regulatory Organizations; EDGX Exchange, Inc.; Notice of Filing and Immediate Effectiveness...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-04-12

    ... market volatility, if adopted, applies. The text of the proposed rule change is attached as Exhibit 5 and...''), and specified Exchange Traded Products (``ETP'') that experience rapid price movement (collectively... limit up/limit down mechanism to address extraordinary market volatility, if adopted, applies...

  11. On decoupling of volatility smile and term structure in inverse option pricing

    NASA Astrophysics Data System (ADS)

    Egger, Herbert; Hein, Torsten; Hofmann, Bernd

    2006-08-01

    Correct pricing of options and other financial derivatives is of great importance to financial markets and one of the key subjects of mathematical finance. Usually, parameters specifying the underlying stochastic model are not directly observable, but have to be determined indirectly from observable quantities. The identification of local volatility surfaces from market data of European vanilla options is one very important example of this type. As with many other parameter identification problems, the reconstruction of local volatility surfaces is ill-posed, and reasonable results can only be achieved via regularization methods. Moreover, due to the sparsity of data, the local volatility is not uniquely determined, but depends strongly on the kind of regularization norm used and a good a priori guess for the parameter. By assuming a multiplicative structure for the local volatility, which is motivated by the specific data situation, the inverse problem can be decomposed into two separate sub-problems. This removes part of the non-uniqueness and allows us to establish convergence and convergence rates under weak assumptions. Additionally, a numerical solution of the two sub-problems is much cheaper than that of the overall identification problem. The theoretical results are illustrated by numerical tests.

  12. Three Essays Examining Household Energy Demand and Behavior

    NASA Astrophysics Data System (ADS)

    Murray, Anthony G.

    This dissertation consists of three essays examining household energy decisions and behavior. The first essay examines the adoption of energy efficient Energy Star home appliances by U.S. households. Program effectiveness requires that consumers be aware of the labeling scheme and also change their purchase decisions based on label information. The first essay examines the factors associated with consumer awareness of the Energy Star label of recently purchased major appliances and the factors associated with the choice of Energy Star labeled appliances. The findings suggest that eliminating identified gaps in Energy Star appliance adoption would result in house electricity cost savings of $164 million per year and associated carbon emission reductions of about 1.1 million metric tons per year. The second essay evaluates household energy security and the effectiveness of the Low-Income Home Energy Assistance Program (LIHEAP), the single largest energy assistance program available to poor households within the United States. Energy security is conceptually akin to the well-known concept of food security. Rasch models and household responses to energy security questions in the 2005 Residential Energy Consumption Survey are used to generate an energy insecurity index that is consistent with those found in the food insecurity literature. Participating in LIHEAP is found to significantly reduce household energy insecurity score in the index. Further, simulations show that the elimination of the energy assistance safety net currently available to households increases the number of energy insecure house- holds by over 16 percent. The third essay develops a five equation demand system to estimate household own-price, cross-price and income elasticities between electricity, natural gas, food at home, food away from home, and non-durable commodity groups. Household cross-price elasticities between energy and food commodities are of particular importance. Energy price shocks reduce food expenditures for low-income households, as indicated by negative cross-price elasticity estimates for food and energy commodities. Additionally, low-income households reduce energy expenditures more than other households, further indicating "heat or eat" behavior. Results from all three essays provide policy makers with helpful information to shape future federal energy programs.

  13. Real Time Business Analytics for Buying or Selling Transaction on Commodity Warehouse Receipt System

    NASA Astrophysics Data System (ADS)

    Djatna, Taufik; Teniwut, Wellem A.; Hairiyah, Nina; Marimin

    2017-10-01

    The requirement for smooth information such as buying and selling is essential for commodity warehouse receipt system such as dried seaweed and their stakeholders to transact for an operational transaction. Transactions of buying or selling a commodity warehouse receipt system are a risky process due to the fluctuations in dynamic commodity prices. An integrated system to determine the condition of the real time was needed to make a decision-making transaction by the owner or prospective buyer. The primary motivation of this study is to propose computational methods to trace market tendency for either buying or selling processes. The empirical results reveal that feature selection gain ratio and k-NN outperforms other forecasting models, implying that the proposed approach is a promising alternative to the stock market tendency of warehouse receipt document exploration with accurate level rate is 95.03%.

  14. Palm oil price forecasting model: An autoregressive distributed lag (ARDL) approach

    NASA Astrophysics Data System (ADS)

    Hamid, Mohd Fahmi Abdul; Shabri, Ani

    2017-05-01

    Palm oil price fluctuated without any clear trend or cyclical pattern in the last few decades. The instability of food commodities price causes it to change rapidly over time. This paper attempts to develop Autoregressive Distributed Lag (ARDL) model in modeling and forecasting the price of palm oil. In order to use ARDL as a forecasting model, this paper modifies the data structure where we only consider lagged explanatory variables to explain the variation in palm oil price. We then compare the performance of this ARDL model with a benchmark model namely ARIMA in term of their comparative forecasting accuracy. This paper also utilize ARDL bound testing approach to co-integration in examining the short run and long run relationship between palm oil price and its determinant; production, stock, and price of soybean as the substitute of palm oil and price of crude oil. The comparative forecasting accuracy suggests that ARDL model has a better forecasting accuracy compared to ARIMA.

  15. Understanding Price Formation in Electricity Markets

    NASA Astrophysics Data System (ADS)

    Kadoya, Toshihisa; Sasaki, Tetsuo; Yokoyama, Akihiko; Ihara, Satoru

    The electricity price will influence the future growth and mix of generation capacity that will in turn influence the future electricity price, and therefore, it is important to understand how electricity price is formed as well as its short-term and long-term impacts on the economy. This paper describes evaluation of PJM day-ahead market bidding data and comparison of various electricity markets in terms of the market clearing price and volatility. The objective is to find critical factors and mechanisms determining the movements of electricity price. It was found that speculation by a small number of bidders can cause price spikes, that a Nash equilibrium may exist during a delayed response of the electricity price to a decline of the fuel price, and that the hydro generation with storage capability effectively stabilizes the electricity price.

  16. Stock price prediction using geometric Brownian motion

    NASA Astrophysics Data System (ADS)

    Farida Agustini, W.; Restu Affianti, Ika; Putri, Endah RM

    2018-03-01

    Geometric Brownian motion is a mathematical model for predicting the future price of stock. The phase that done before stock price prediction is determine stock expected price formulation and determine the confidence level of 95%. On stock price prediction using geometric Brownian Motion model, the algorithm starts from calculating the value of return, followed by estimating value of volatility and drift, obtain the stock price forecast, calculating the forecast MAPE, calculating the stock expected price and calculating the confidence level of 95%. Based on the research, the output analysis shows that geometric Brownian motion model is the prediction technique with high rate of accuracy. It is proven with forecast MAPE value ≤ 20%.

  17. JPRS Report, Soviet Union Kommunist No 13, September 1987.

    DTIC Science & Technology

    1987-12-10

    fast and decisive forward movement, with the risk of all sorts of disadvantages and defeats" (vol 24, p 138). Under such most difficult circumstances...local. On each individual occasion and at different times they applied to commodities produced by individual sectors: wholesale prices in industry ...of self-support and self-financing. The level of wholesale prices in industry was raised after 1955 by a factor of 2.7 in coal mining, 3.8 in

  18. Estimation of stochastic volatility by using Ornstein-Uhlenbeck type models

    NASA Astrophysics Data System (ADS)

    Mariani, Maria C.; Bhuiyan, Md Al Masum; Tweneboah, Osei K.

    2018-02-01

    In this study, we develop a technique for estimating the stochastic volatility (SV) of a financial time series by using Ornstein-Uhlenbeck type models. Using the daily closing prices from developed and emergent stock markets, we conclude that the incorporation of stochastic volatility into the time varying parameter estimation significantly improves the forecasting performance via Maximum Likelihood Estimation. Furthermore, our estimation algorithm is feasible with large data sets and have good convergence properties.

  19. Predictability and Market Efficiency in Agricultural Futures Markets: a Perspective from Price-Volume Correlation Based on Wavelet Coherency Analysis

    NASA Astrophysics Data System (ADS)

    He, Ling-Yun; Wen, Xing-Chun

    2015-12-01

    In this paper, we use a time-frequency domain technique, namely, wavelet squared coherency, to examine the associations between the trading volumes of three agricultural futures and three different forms of these futures' daily closing prices, i.e. prices, returns and volatilities, over the past several years. These agricultural futures markets are selected from China as a typical case of the emerging countries, and from the US as a representative of the developed economies. We investigate correlations and lead-lag relationships between the trading volumes and the prices to detect the predictability and efficiency of these futures markets. The results suggest that the information contained in the trading volumes of the three agricultural futures markets in China can be applied to predict the prices or returns, while that in US has extremely weak predictive power for prices or returns. We also conduct the wavelet analysis on the relationships between the volumes and returns or volatilities to examine the existence of the two "stylized facts" proposed by Karpoff [J. M. Karpoff, The relation between price changes and trading volume: A survey, J. Financ. Quant. Anal.22(1) (1987) 109-126]. Different markets in the two countries perform differently in reproducing the two stylized facts. As the wavelet tools can decode nonlinear regularities and hidden patterns behind price-volume relationship in time-frequency space, different from the conventional econometric framework, this paper offers a new perspective into the market predictability and efficiency.

  20. Are Gasoline Prices a Factor in Residential Relocation Decisions? Preliminary Findings from the American Housing Survey, 1996–2008

    PubMed Central

    Chi, Guangqing; Boydstun, Jamie

    2018-01-01

    Residential relocation choice is affected by numerous factors, but gasoline prices as a potential factor have not been investigated. This study examines gasoline price changes and residential relocation choice using 1996–2008 American Housing Survey data. We found higher gasoline prices are associated with a higher percentage of movers choosing locations closer to workplaces. The findings have implications for addressing the impacts of volatile gasoline prices on land use planning and policies; resilient “smart cities or communities” are one possible solution. PMID:29658959

  1. Impact of uncertainty in expected return estimation on stock price volatility

    NASA Astrophysics Data System (ADS)

    Kostanjcar, Zvonko; Jeren, Branko; Juretic, Zeljan

    2012-11-01

    We investigate the origin of volatility in financial markets by defining an analytical model for time evolution of stock share prices. The defined model is similar to the GARCH class of models, but can additionally exhibit bimodal behaviour in the supply-demand structure of the market. Moreover, it differs from existing Ising-type models. It turns out that the constructed model is a solution of a thermodynamic limit of a Gibbs probability measure when the number of traders and the number of stock shares approaches infinity. The energy functional of the Gibbs probability measure is derived from the Nash equilibrium of the underlying game.

  2. Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations

    NASA Astrophysics Data System (ADS)

    Rypdal, Martin; Sirnes, Espen; Løvsletten, Ola; Rypdal, Kristoffer

    2013-08-01

    Maximum likelihood estimation techniques for multifractal processes are applied to high-frequency data in order to quantify intermittency in the fluctuations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency parameter λ characterising the degree of volatility clustering. We can therefore study the time evolution of volatility clustering and test the statistical significance of this variability. By analysing data from the Oslo Stock Exchange, and comparing the results with the investment grade spread, we find that the estimates of λ are lower at times of high market uncertainty.

  3. Airships for transporting highly volatile commodities

    NASA Technical Reports Server (NTRS)

    Sonstegaard, M.

    1975-01-01

    Large airships may prove feasible as carriers of commodities that move as gases or cryogenic liquids; buoyant gaseous cargo could be ballasted with liquid cargo. Airships are compact in shape, operate in a rarified medium, and hence can be fast and perhaps economic carriers of costly cryogenic tanks. The high-pressure gas pipeline has excessive surface area when carrying hydrogen and excessive fluid density when carrying natural gas, while the cryogenic ocean tanker runs in a dense medium and makes gravity waves. But the airship, despite its fluid dynamic advantages, faces problems of safety, weather, and altitude control.

  4. Economics of carbon dioxide capture and utilization-a supply and demand perspective.

    PubMed

    Naims, Henriette

    2016-11-01

    Lately, the technical research on carbon dioxide capture and utilization (CCU) has achieved important breakthroughs. While single CO 2 -based innovations are entering the markets, the possible economic effects of a large-scale CO 2 utilization still remain unclear to policy makers and the public. Hence, this paper reviews the literature on CCU and provides insights on the motivations and potential of making use of recovered CO 2 emissions as a commodity in the industrial production of materials and fuels. By analyzing data on current global CO 2 supply from industrial sources, best practice benchmark capture costs and the demand potential of CO 2 utilization and storage scenarios with comparative statics, conclusions can be drawn on the role of different CO 2 sources. For near-term scenarios the demand for the commodity CO 2 can be covered from industrial processes, that emit CO 2 at a high purity and low benchmark capture cost of approximately 33 €/t. In the long-term, with synthetic fuel production and large-scale CO 2 utilization, CO 2 is likely to be available from a variety of processes at benchmark costs of approx. 65 €/t. Even if fossil-fired power generation is phased out, the CO 2 emissions of current industrial processes would suffice for ambitious CCU demand scenarios. At current economic conditions, the business case for CO 2 utilization is technology specific and depends on whether efficiency gains or substitution of volatile priced raw materials can be achieved. Overall, it is argued that CCU should be advanced complementary to mitigation technologies and can unfold its potential in creating local circular economy solutions.

  5. Chemical and sensory differences between high price and low price extra virgin olive oils.

    PubMed

    Fiorini, Dennis; Boarelli, Maria Chiara; Conti, Paolo; Alfei, Barbara; Caprioli, Giovanni; Ricciutelli, Massimo; Sagratini, Gianni; Fedeli, Donatella; Gabbianelli, Rosita; Pacetti, Deborah

    2018-03-01

    The aim of the study was to identify new potential chemical markers of extra virgin olive oil (EVOO) quality by using a multicomponent analysis approach. Sixty-six EVOOs were purchased from the Italian market and classified according to their price as low price EVOOs (LEVOOs) and high price EVOOs (HEVOOs) costing 3.60-5.90euro/L and 7.49-29.80euro/L respectively. Sensory and chemical parameters strictly related to olive oil quality have been investigated, like volatile substances, polar phenolic substances, antioxidant activity, fatty acid composition, and α-tocopherol. Significant differences in terms of chemical composition and sensory features have been highlighted between the two EVOOs classes investigated, proving a generally lower level of quality of LEVOOs, clearly showed also by means of principal component analysis. Among the most interesting outcomes, R ratio (free tyrosol and hydroxytyrosol over total free and bound forms), measuring the extent of secoiridoids hydrolysis, resulted to be significantly higher in LEVOOs than in HEVOOs. Other key differences were found in the volatile substances composition, in the stearic acid percentage and in p-coumaric acid content. Copyright © 2017 Elsevier Ltd. All rights reserved.

  6. Monetary Shocks in Models with Inattentive Producers.

    PubMed

    Alvarez, Fernando E; Lippi, Francesco; Paciello, Luigi

    2016-04-01

    We study models where prices respond slowly to shocks because firms are rationally inattentive. Producers must pay a cost to observe the determinants of the current profit maximizing price, and hence observe them infrequently. To generate large real effects of monetary shocks in such a model the time between observations must be long and/or highly volatile. Previous work on rational inattentiveness has allowed for observation intervals that are either constant-but-long ( e.g . Caballero, 1989 or Reis, 2006) or volatile-but-short ( e.g . Reis's, 2006 example where observation costs are negligible), but not both. In these models, the real effects of monetary policy are small for realistic values of the duration between observations. We show that non-negligible observation costs produce both of these effects: intervals between observations are infrequent and volatile. This generates large real effects of monetary policy for realistic values of the average time between observations.

  7. Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory

    NASA Astrophysics Data System (ADS)

    Wei, Yu; Chen, Wang; Lin, Yu

    2013-05-01

    Recent studies in the econophysics literature reveal that price variability has fractal and multifractal characteristics not only in developed financial markets, but also in emerging markets. Taking high-frequency intraday quotes of the Shanghai Stock Exchange Component (SSEC) Index as example, this paper proposes a new method to measure daily Value-at-Risk (VaR) by combining the newly introduced multifractal volatility (MFV) model and the extreme value theory (EVT) method. Two VaR backtesting techniques are then employed to compare the performance of the model with that of a group of linear and nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) models. The empirical results show the multifractal nature of price volatility in Chinese stock market. VaR measures based on the multifractal volatility model and EVT method outperform many GARCH-type models at high-risk levels.

  8. Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula

    NASA Astrophysics Data System (ADS)

    Yu, Wenhua; Yang, Kun; Wei, Yu; Lei, Likun

    2018-01-01

    Volatilities of crude oil price have important impacts on the steady and sustainable development of world real economy. Thus it is of great academic and practical significance to model and measure the volatility and risk of crude oil markets accurately. This paper aims to measure the Value-at-Risk (VaR) and Expected Shortfall (ES) of a portfolio consists of four crude oil assets by using GARCH-type models, extreme value theory (EVT) and vine copulas. The backtesting results show that the combination of GARCH-type-EVT models and vine copula methods can produce accurate risk measures of the oil portfolio. Mixed R-vine copula is more flexible and superior to other vine copulas. Different GARCH-type models, which can depict the long-memory and/or leverage effect of oil price volatilities, however offer similar marginal distributions of the oil returns.

  9. Multiscale volatility duration characteristics on financial multi-continuum percolation dynamics

    NASA Astrophysics Data System (ADS)

    Wang, Min; Wang, Jun

    A random stock price model based on the multi-continuum percolation system is developed to investigate the nonlinear dynamics of stock price volatility duration, in an attempt to explain various statistical facts found in financial data, and have a deeper understanding of mechanisms in the financial market. The continuum percolation system is usually referred to be a random coverage process or a Boolean model, it is a member of a class of statistical physics systems. In this paper, the multi-continuum percolation (with different values of radius) is employed to model and reproduce the dispersal of information among the investors. To testify the rationality of the proposed model, the nonlinear analyses of return volatility duration series are preformed by multifractal detrending moving average analysis and Zipf analysis. The comparison empirical results indicate the similar nonlinear behaviors for the proposed model and the actual Chinese stock market.

  10. Monetary Shocks in Models with Inattentive Producers

    PubMed Central

    Alvarez, Fernando E.; Lippi, Francesco; Paciello, Luigi

    2016-01-01

    We study models where prices respond slowly to shocks because firms are rationally inattentive. Producers must pay a cost to observe the determinants of the current profit maximizing price, and hence observe them infrequently. To generate large real effects of monetary shocks in such a model the time between observations must be long and/or highly volatile. Previous work on rational inattentiveness has allowed for observation intervals that are either constant-but-long (e.g. Caballero, 1989 or Reis, 2006) or volatile-but-short (e.g. Reis's, 2006 example where observation costs are negligible), but not both. In these models, the real effects of monetary policy are small for realistic values of the duration between observations. We show that non-negligible observation costs produce both of these effects: intervals between observations are infrequent and volatile. This generates large real effects of monetary policy for realistic values of the average time between observations. PMID:27516627

  11. Are Price Limits Effective? An Examination of an Artificial Stock Market.

    PubMed

    Zhang, Xiaotao; Ping, Jing; Zhu, Tao; Li, Yuelei; Xiong, Xiong

    2016-01-01

    We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China's stock market. Then, we designed a series of simulations with and without price limits policy. The results of these simulations demonstrate that both upper and lower price limits can cause a volatility spillover effect and a trading interference effect. The process of price discovery will be delayed if upper price limits are imposed on a stock market; however, this phenomenon does not occur when lower price limits are imposed.

  12. Future Fuel Scenarios and Their Potential Impact to Aviation

    NASA Technical Reports Server (NTRS)

    Hendricks, Robert C.; Lowery, Nathan; Daggett, David L.; Anast, Peter

    2007-01-01

    In recent years fuel prices have been growing at a rapid pace. Current conservative projections predict that this is only a function of the natural volatility of oil prices, similar to the oil price spikes experienced in the 1970s. However, there is growing concern among analysts that the current price increases may not only be permanent, but that prices may continue to increase into the future before settling down at a much higher level than today. At high enough fuel prices, the aircraft industry would become very sensitive to fuel price. In this paper, the likelihood of fuel price increase is considered in three different price increase scenarios: "low," "medium," and "high." The impact of these scenarios on the aviation industry and alternatives are also addressed.

  13. Exploring the WTI crude oil price bubble process using the Markov regime switching model

    NASA Astrophysics Data System (ADS)

    Zhang, Yue-Jun; Wang, Jing

    2015-03-01

    The sharp volatility of West Texas Intermediate (WTI) crude oil price in the past decade triggers us to investigate the price bubbles and their evolving process. Empirical results indicate that the fundamental price of WTI crude oil appears relatively more stable than that of the market-trading price, which verifies the existence of oil price bubbles during the sample period. Besides, by allowing the WTI crude oil price bubble process to switch between two states (regimes) according to a first-order Markov chain, we are able to statistically discriminate upheaval from stable states in the crude oil price bubble process; and in most of time, the stable state dominates the WTI crude oil price bubbles while the upheaval state usually proves short-lived and accompanies unexpected market events.

  14. Are Price Limits Effective? An Examination of an Artificial Stock Market

    PubMed Central

    Zhu, Tao; Li, Yuelei; Xiong, Xiong

    2016-01-01

    We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China’s stock market. Then, we designed a series of simulations with and without price limits policy. The results of these simulations demonstrate that both upper and lower price limits can cause a volatility spillover effect and a trading interference effect. The process of price discovery will be delayed if upper price limits are imposed on a stock market; however, this phenomenon does not occur when lower price limits are imposed. PMID:27513330

  15. Future Fuel Scenarios and Their Potential Impact to Aviation

    NASA Technical Reports Server (NTRS)

    Hendricks, Robert C.; Daggett, David L.; Anast, Peter; Lowery, Nathan

    2011-01-01

    In recent years fuel prices have been growing at a rapid pace. Current conservative projections predict that this is only a function of the natural volatility of oil prices, similar to the oil price spikes experienced in the 1970s. However, there is growing concern among analysts that the current price increases may not only be permanent, but that prices may continue to increase into the future before settling down at a much higher level than today. At high enough fuel prices, the aircraft industry would become very sensitive to fuel price. In this paper, the likelihood of fuel price increase is considered in three different price increase scenarios: "low," "medium," and "high." The impact of these scenarios on the aviation industry and alternatives are also addressed.

  16. Politics has strong say in who benefits from oil

    DOE Office of Scientific and Technical Information (OSTI.GOV)

    Tippee, B.; Beck, R.J.

    1995-04-03

    Oil`s many values are more visible now than ever. Price information streams from financial and physical commodity markets around the world. A sophisticated array of analytical tools turns price data into nearly real-time indications of what a particular crude or petroleum product is worth to a particular type of trader in a particular market. Value, though, means something beyond price. Economic values ultimately must benefit someone. In a market that gushes price data, it`s much easier to measure oil values than it is to determine who benefits from them. The paper discusses new value gauges, where values flow, the trendmore » toward lower government take upstream, the decade-long trend in the decline of state takes, suppressing prices, political dimensions, the squeeze OPEC feels, taxing products, claim on values, and values in perspective.« less

  17. 7 CFR 1207.342 - Assessments.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE POTATO RESEARCH AND PROMOTION PLAN Potato Research and Promotion Plan Expenses and Assessments § 1207.342 Assessments. (a) The funds to... the immediate past ten calendar years United States average price received for potatoes by growers as...

  18. 7 CFR 5.2 - Marketing season average price data.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... Nonbasic Commodities Tung nuts; honey, wholesale extracted. Wool and Mohair Wool and mohair. Other Nonbasic... market Artichokes, asparagus, snap beans, broccoli, cabbage, cantaloupe, carrots, cauliflower, celery..., spinach, tomatoes, and watermelons. vegetables for processing Asparagus, lima beans, snap beans, beets...

  19. 7 CFR 5.2 - Marketing season average price data.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... Nonbasic Commodities Tung nuts; honey, wholesale extracted. Wool and Mohair Wool and mohair. Other Nonbasic... market Artichokes, asparagus, snap beans, broccoli, cabbage, cantaloupe, carrots, cauliflower, celery..., spinach, tomatoes, and watermelons. vegetables for processing Asparagus, lima beans, snap beans, beets...

  20. 7 CFR 1216.60 - Reports.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE PEANUT PROMOTION, RESEARCH, AND INFORMATION ORDER Peanut Promotion, Research, and Information Order Reports, Books, and Records § 1216.60... following: (1) Number of pounds of peanuts produced or handled; (2) Price paid to producers (entry in value...

  1. 7 CFR 1207.342 - Assessments.

    Code of Federal Regulations, 2012 CFR

    2012-01-01

    ... AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE POTATO RESEARCH AND PROMOTION PLAN Potato Research and Promotion Plan Expenses and Assessments § 1207.342 Assessments. (a) The funds to... the immediate past ten calendar years United States average price received for potatoes by growers as...

  2. 7 CFR 1207.342 - Assessments.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE POTATO RESEARCH AND PROMOTION PLAN Potato Research and Promotion Plan Expenses and Assessments § 1207.342 Assessments. (a) The funds to... the immediate past ten calendar years United States average price received for potatoes by growers as...

  3. 7 CFR 1207.342 - Assessments.

    Code of Federal Regulations, 2014 CFR

    2014-01-01

    ... AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE POTATO RESEARCH AND PROMOTION PLAN Potato Research and Promotion Plan Expenses and Assessments § 1207.342 Assessments. (a) The funds to... the immediate past ten calendar years United States average price received for potatoes by growers as...

  4. 7 CFR 1207.342 - Assessments.

    Code of Federal Regulations, 2013 CFR

    2013-01-01

    ... AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE POTATO RESEARCH AND PROMOTION PLAN Potato Research and Promotion Plan Expenses and Assessments § 1207.342 Assessments. (a) The funds to... the immediate past ten calendar years United States average price received for potatoes by growers as...

  5. 78 FR 10649 - Self-Regulatory Organizations; BATS Y-Exchange, Inc.; Notice of Filing and Immediate...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-02-14

    ... Rule Change To Extend Pilot Program Related To Trading Pauses Due to Extraordinary Market Volatility... Volatility.'' The text of the proposed rule change is available at the Exchange's Web site at http://www... specified Exchange Traded Products that experience rapid price movement.\\5\\ More recently, the Exchange...

  6. 77 FR 56247 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Suspension of and...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2012-09-12

    ... subdivision thereof.'' \\4\\ CBOE Volatility Index[supreg] (``VIX'') measures market expectations of near term... and sell option volatility. VIX option prices reflect the market's expectation of the VIX level at... TPHs with a qualifying affiliate to pay lower fees for large customer VIX options transactions.\\11\\ The...

  7. 78 FR 19031 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-03-28

    ... Amendment to the National Market System Plan to Address Extraordinary Market Volatility, File No. 4-631... Market System Plan To Address Extraordinary Market Volatility). \\7\\ See Securities Exchange Act Release... requirements of the Plan are coupled with Trading Pauses to accommodate more fundamental price moves (as...

  8. Portfolio Optimization with Stochastic Dividends and Stochastic Volatility

    ERIC Educational Resources Information Center

    Varga, Katherine Yvonne

    2015-01-01

    We consider an optimal investment-consumption portfolio optimization model in which an investor receives stochastic dividends. As a first problem, we allow the drift of stock price to be a bounded function. Next, we consider a stochastic volatility model. In each problem, we use the dynamic programming method to derive the Hamilton-Jacobi-Bellman…

  9. Essays in the Application of Linear and Non-linear Bayesian VAR Models to the Macroeconomic Impacts of Energy Price Shocks

    NASA Astrophysics Data System (ADS)

    Nguyen, Bao H.

    This thesis is a collection of five self contained empirical macroeconomic papers on the asymmetric effects of energy price shocks on various economies. Chapter 1 formally determines the number of regime changes in the US natural gas market by employing a MS-VAR model. Estimated using Bayesian methods, three regimes are identified for the period 1980 - 2016, namely, before the Decontrol Act, after the Decontrol Act and the Recession. The results show that the natural gas market tends to be much more sensitive to market fundamental shocks occurring in a Recession regime than in the other regimes. Augmenting the model by incorporating the price of crude oil, the results reveal that the impacts of oil price shocks on natural gas prices are relatively small. Chapter 2 provides new empirical evidence on the asymmetric reactions of the U.S. natural gas market and the U.S. economy to its market fundamental shocks in different phases of the business cycle. To this end, we employ a ST-VAR model to capture the asymmetric responses depending on economic conditions. Our results indicate that in contrast to the prediction made by a linear VAR model, the STVAR model provides a plausible explanation to the behavior of the U.S. natural gas market, which asymmetrically reacts in bad times and good times. Chapter 3 examines the relationship between China's economic growth and global oil market fluctuations between 1992Q1 and 2015Q3. We find that: (1) the time varying parameter VAR with stochastic volatility provides a better fit as compared to it's constant counterparts; (2) the impacts of intertemporal global oil price shocks on China's output are often small and temporary in nature; (3) oil supply and specific oil demand shocks generally produce negative movements in China's GDP growth whilst oil demand shocks tend to have positive effects; (4) domestic output shocks have no significant impact on price or quantity movements within the global oil market. Chapter 4 examines the effects of world energy price shocks on China's macroeconomy. We propose a new index of primary commodity energy prices which accurately reflects both the structure of China's energy expenditure shares, as well as intertemporal fluctuations in international energy prices. The index is then in employed a sufficiently rich set of time varying BVARs, identified by a new set of agnostic sign restrictions. Uniformly sized positive energy price shocks are shown to consistently generate economic stagflation over the past two decades. Chapter 5 compares the macroeconomic effects of global oil and iron ore price shocks on the Australian economy. The main results suggest that, over the period 1990Q1 to 2014Q4, the oil shock has a relative larger impact than that of the iron ore shock on output and inflation while the iron ore shock is the dominant source of interest and exchange rate movements. The effects crucially depend on the underlying sources of oil or iron ore price shifts.

  10. Electroantennographic Bioassay as a Screening Tool for Host Plant Volatiles

    PubMed Central

    Beck, John J.; Light, Douglas M.; Gee, Wai S.

    2012-01-01

    Plant volatiles play an important role in plant-insect interactions. Herbivorous insects use plant volatiles, known as kairomones, to locate their host plant.1,2 When a host plant is an important agronomic commodity feeding damage by insect pests can inflict serious economic losses to growers. Accordingly, kairomones can be used as attractants to lure or confuse these insects and, thus, offer an environmentally friendly alternative to pesticides for insect control.3 Unfortunately, plants can emit a vast number volatiles with varying compositions and ratios of emissions dependent upon the phenology of the commodity or the time of day. This makes identification of biologically active components or blends of volatile components an arduous process. To help identify the bioactive components of host plant volatile emissions we employ the laboratory-based screening bioassay electroantennography (EAG). EAG is an effective tool to evaluate and record electrophysiologically the olfactory responses of an insect via their antennal receptors. The EAG screening process can help reduce the number of volatiles tested to identify promising bioactive components. However, EAG bioassays only provide information about activation of receptors. It does not provide information about the type of insect behavior the compound elicits; which could be as an attractant, repellent or other type of behavioral response. Volatiles eliciting a significant response by EAG, relative to an appropriate positive control, are typically taken on to further testing of behavioral responses of the insect pest. The experimental design presented will detail the methodology employed to screen almond-based host plant volatiles4,5 by measurement of the electrophysiological antennal responses of an adult insect pest navel orangeworm (Amyelois transitella) to single components and simple blends of components via EAG bioassay. The method utilizes two excised antennae placed across a "fork" electrode holder. The protocol demonstrated here presents a rapid, high-throughput standardized method for screening volatiles. Each volatile is at a set, constant amount as to standardize the stimulus level and thus allow antennal responses to be indicative of the relative chemoreceptivity. The negative control helps eliminate the electrophysiological response to both residual solvent and mechanical force of the puff. The positive control (in this instance acetophenone) is a single compound that has elicited a consistent response from male and female navel orangeworm (NOW) moth. An additional semiochemical standard that provides consistent response and is used for bioassay studies with the male NOW moth is (Z,Z)-11,13-hexdecadienal, an aldehyde component from the female-produced sex pheromone.6-8 PMID:22588282

  11. Potash

    USGS Publications Warehouse

    Jasinski, S.M.

    2010-01-01

    In 2009, the world potash market deteriorated as world demand, trade and sales fell dramatically. After potash prices reached record high levels in 2008, many consumers and dealers delayed purchases until the price dropped. Potash prices did not recede as quickly as other fertilizer commodities, which led to further increases in potash stocks. In 2009, high stocks and lower demand contributed to a drop in world production of more than 30 percent from 2008. Nearly all major producers reported lower production in 2009, as many mines were idle in the first half of the year and world production was at 50 percent of capacity. Consumption of both fertilizers and industrial uses dropped significantly in 2009.

  12. 1-Butyl-3-Methyl Imidazolium-based Ionic Liquids Explored as Potential Solvents for Lipid Processing

    USDA-ARS?s Scientific Manuscript database

    Due to global environmental concerns, there is increasing interest in replacing the volatile solvents currently used to process commodity plant lipids. Room-temperature molten salts are one type of media receiving great attention as a possible replacement of the typical organic solvent. Molten sal...

  13. PERVAPORATION AND VAPOR PERMEATION MEMBRANE SYSTEMS FOR VOLATILE FERMENTATION PRODUCT RECOVERY AND DEHYDRATION

    EPA Science Inventory

    Historically, fermentation processes have been harnessed to produce commodity chemicals and fuels, such as ethanol. However, many of these chemicals are currently produced using oil as the initial feedstock due to the ready availability and low cost of oil. The future prospect of...

  14. Small Town Renewal Manual.

    ERIC Educational Resources Information Center

    Kenyon, Peter

    Over the last 2 decades, the loss of population and businesses in many small, inland, and remote Australian rural communities has intensified, largely because of the stress and uncertainty of volatile world commodity markets. This manual presents a range of survival and revival strategies that some communities have used to build resilient…

  15. Arbitrage and Volatility in Chinese Stock's Markets

    NASA Astrophysics Data System (ADS)

    Lu, Shu Quan; Ito, Takao; Zhang, Jianbo

    From the point of view of no-arbitrage pricing, what matters is how much volatility the stock has, for volatility measures the amount of profit that can be made from shorting stocks and purchasing options. With the short-sales constraints or in the absence of options, however, high volatility is likely to mean arbitrage from stock market. As emerging stock markets for China, investors are increasingly concerned about volatilities of Chinese two stock markets. We estimate volatility's models for Chinese stock markets' indexes using Markov chain Monte Carlo (MCMC) method and GARCH. We find that estimated values of volatility parameters are very high for all data frequencies. It suggests that stock returns are extremely volatile even at long term intervals in Chinese markets. Furthermore, this result could be considered that there seems to be arbitrage opportunities in Chinese stock markets.

  16. Alcohol: no ordinary commodity--a summary of the second edition.

    PubMed

    2010-05-01

    This article summarizes the contents of Alcohol: No Ordinary Commodity (2nd edn). The first part of the book describes why alcohol is not an ordinary commodity, and reviews epidemiological data that establish alcohol as a major contributor to the global burden of disease, disability and death in high-, middle- and low-income countries. This section also documents how international beer and spirits production has been consolidated recently by a small number of global corporations that are expanding their operations in Eastern Europe, Asia, Africa and Latin America. In the second part of the book, the scientific evidence for strategies and interventions that can prevent or minimize alcohol-related harm is reviewed critically in seven key areas: pricing and taxation, regulating the physical availability of alcohol, modifying the drinking context, drink-driving countermeasures, restrictions on marketing, education and persuasion strategies, and treatment and early intervention services. Finally, the book addresses the policy-making process at the local, national and international levels and provides ratings of the effectiveness of strategies and interventions from a public health perspective. Overall, the strongest, most cost-effective strategies include taxation that increases prices, restrictions on the physical availability of alcohol, drink-driving countermeasures, brief interventions with at risk drinkers and treatment of drinkers with alcohol dependence.

  17. Military and Private Sector Commodity Outlets: A Retail Price Comparison

    DTIC Science & Technology

    1985-02-01

    II where it is noted that some PXs carry only the glass bowl Sunbeam Mixmaser, at $69.95, while off-base outlets such as K-Mart carry the steel bowl...by comparing Table Bl with Tables B2 through B6. 11. The only difference between the two models is that the higher priced model included a glass ...Arrow Charcoal Briquets, 10 lb. Bag 9. Atra Shaving Cartridges, Pack of 10 10. Westinghouse Softlite Lightbulbs , 60 W, pack of 4 11. Kiwi Black Shoe

  18. DOE Office of Scientific and Technical Information (OSTI.GOV)

    Goodsell, J.N.

    Mexico's new president faces an economic crisis of high inflation, corruption, and overextended borrowing to finance an ambitious development program based on anticipated oil revenues. The decline of world oil prices in 1981 and the depressed prices of other export commodities led to extensive borrowing from foreign banks, which saw Mexico's oil riches as a good risk. Despite its overpopulation and related socio-economic problems, Mexico's oil resources will be the foundation of economic development even though the government must move first to restore public confidence and diversify the economy. (DCK)

  19. Applications of statistical physics to technology price evolution

    NASA Astrophysics Data System (ADS)

    McNerney, James

    Understanding how changing technology affects the prices of goods is a problem with both rich phenomenology and important policy consequences. Using methods from statistical physics, I model technology-driven price evolution. First, I examine a model for the price evolution of individual technologies. The price of a good often follows a power law equation when plotted against its cumulative production. This observation turns out to have significant consequences for technology policy aimed at mitigating climate change, where technologies are needed that achieve low carbon emissions at low cost. However, no theory adequately explains why technology prices follow power laws. To understand this behavior, I simplify an existing model that treats technologies as machines composed of interacting components. I find that the power law exponent of the price trajectory is inversely related to the number of interactions per component. I extend the model to allow for more realistic component interactions and make a testable prediction. Next, I conduct a case-study on the cost evolution of coal-fired electricity. I derive the cost in terms of various physical and economic components. The results suggest that commodities and technologies fall into distinct classes of price models, with commodities following martingales, and technologies following exponentials in time or power laws in cumulative production. I then examine the network of money flows between industries. This work is a precursor to studying the simultaneous evolution of multiple technologies. Economies resemble large machines, with different industries acting as interacting components with specialized functions. To begin studying the structure of these machines, I examine 20 economies with an emphasis on finding common features to serve as targets for statistical physics models. I find they share the same money flow and industry size distributions. I apply methods from statistical physics to show that industries cluster the same way according to industry type. Finally, I use these industry money flows to model the price evolution of many goods simultaneously, where network effects become important. I derive a prediction for which goods tend to improve most rapidly. The fastest-improving goods are those with the highest mean path lengths in the money flow network.

  20. Sociological Factors Affecting Agricultural Price Risk Management in Australia

    ERIC Educational Resources Information Center

    Jackson, Elizabeth; Quaddus, Mohammed; Islam, Nazrul; Stanton, John

    2009-01-01

    The highly volatile auction system in Australia accounts for 85 percent of ex-farm wool sales, with the remainder sold by forward contract, futures, and other hedging methods. In this article, against the background of an extensive literature on price risk strategies, we investigate the behavioral factors associated with producers' adoption of…

  1. Understanding the milk-to-feed price ratio as a proxy for dairy farm profitability.

    PubMed

    Wolf, C A

    2010-10-01

    This research examines the definition, historical pattern, and utility of the milk-to-feed price ratio (MF) as a measure of dairy farm profitability. The MF was generally an acceptable proxy of profitability in an annual sense from 1985 to 2006. The MF was steady at an average of 2.8 from 1985 to 2006 even as average annual milk price in nominal terms increased from $12 to $14/hundredweight. An alternative proxy for profitability is income over feed costs, which is measured in dollars per hundredweight. Comparison with an actual profit measure, rate of return on assets, is used to examine the appropriateness of the proxies. The volatility from 2007 to 2009 resulted in MF being a poor measure of profitability over that period. The implication is that MF is not the preferred measure of profitability when a significant change in the pattern of one or both price series occurs. Income over feed cost is a better measure of profitability in periods of volatility. Copyright © 2010 American Dairy Science Association. Published by Elsevier Inc. All rights reserved.

  2. Does EU's energy dependence on Russia increase price volatility for consumers?

    NASA Astrophysics Data System (ADS)

    Yekeler, Zeynep

    Europe's dependence on natural gas imports from Russia has raised questions about energy risk and the vulnerability of the European countries, especially after the supply cuts in 2006, 2008, 2009, and 2012. The implementation of the Third Energy Package to finally unify European energy markets by linking the states located on the periphery to the well connected gas hubs in Northern Europe has been slow due to a lack of political will across Europe. This has enabled Russian Gazprom to retain its position as a major player in European markets and hinder any European effort to diversify the energy portfolio of the region. Using residential natural gas and electricity price data from 2000 through 2014, this paper analyzes the impact of EU's import reliance on natural gas from Russia and the supply disruptions on the volatility of natural gas and electricity prices through a fixed effects regression model. Results indicate that while the size of Russian natural gas imports does not significantly affect natural gas and electricity price volatility in EU countries, security supply measures such as natural gas stocks matter, especially for Southeast European countries that consistently pay more according to the results. The paper concludes by discussing the importance of formulating policies that not only aim to reduce overall EU dependence but minimize Southeastern Europe's vulnerabilities. Policy suggestions include increasing cross-border interconnectors and storage capacity as well as increasing LNG import capacity by building regasification terminals in periphery countries like Greece, Bulgaria, Romania and Slovenia.

  3. Yield and Economic Responses of Peanut to Crop Rotation Sequence

    USDA-ARS?s Scientific Manuscript database

    National Peanut Research Laboratory, Dawson, GA 39842. Proper crop rotation is essential to maintaining high peanut yield and quality. However, the economic considerations of maintaining or altering crop rotation sequences must incorporate the commodity prices, production costs, and yield responses...

  4. Economics and Migration: NAFTA’s Impact on Mexico

    DTIC Science & Technology

    2011-10-28

    immigrants to the U.S. 1 No nation was ever ruined by trade, even seemingly the most disadvantageous . -Benjamin...NAFTA forced rural farmers to cultivate marginal land due to lost income caused by falling commodity prices, leading to extensive deforestation in

  5. 7 CFR 1220.310 - Assessments.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE SOYBEAN PROMOTION, RESEARCH, AND... market price per bushel assessment on soybeans marketed shall be paid by the producer of the soybeans in... the soybeans marketed, each such producer is obligated to pay that portion of the assessments which is...

  6. 7 CFR 1220.310 - Assessments.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE SOYBEAN PROMOTION, RESEARCH, AND... market price per bushel assessment on soybeans marketed shall be paid by the producer of the soybeans in... the soybeans marketed, each such producer is obligated to pay that portion of the assessments which is...

  7. 7 CFR 6.41 - Definitions.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... the Secretary of Agriculture IMPORT QUOTAS AND FEES Price-Undercutting of Domestic Cheese by Quota Cheeses § 6.41 Definitions. (a) Complainant means the person who has filed with the Investigating..., Livestock and Poultry Division, Commodity Programs, Foreign Agricultural Service. (e) Quota cheese means the...

  8. U.S National cropland soil moisture monitoring using SMAP

    USDA-ARS?s Scientific Manuscript database

    Crop condition information is critical for public and private sector decision making that concerns agricultural policy, food production, food security, and food commodity prices. Crop conditions change quickly due to various growing condition events, such as temperature extremes, soil moisture defic...

  9. Statistical regularities in the return intervals of volatility

    NASA Astrophysics Data System (ADS)

    Wang, F.; Weber, P.; Yamasaki, K.; Havlin, S.; Stanley, H. E.

    2007-01-01

    We discuss recent results concerning statistical regularities in the return intervals of volatility in financial markets. In particular, we show how the analysis of volatility return intervals, defined as the time between two volatilities larger than a given threshold, can help to get a better understanding of the behavior of financial time series. We find scaling in the distribution of return intervals for thresholds ranging over a factor of 25, from 0.6 to 15 standard deviations, and also for various time windows from one minute up to 390 min (an entire trading day). Moreover, these results are universal for different stocks, commodities, interest rates as well as currencies. We also analyze the memory in the return intervals which relates to the memory in the volatility and find two scaling regimes, ℓ<ℓ* with α1=0.64±0.02 and ℓ> ℓ* with α2=0.92±0.04; these exponent values are similar to results of Liu et al. for the volatility. As an application, we use the scaling and memory properties of the return intervals to suggest a possibly useful method for estimating risk.

  10. Temporal Structure of Volatility Fluctuations

    NASA Astrophysics Data System (ADS)

    Wang, Fengzhong; Yamasaki, Kazuko; Stanley, H. Eugene; Havlin, Shlomo

    Volatility fluctuations are of great importance for the study of financial markets, and the temporal structure is an essential feature of fluctuations. To explore the temporal structure, we employ a new approach based on the return interval, which is defined as the time interval between two successive volatility values that are above a given threshold. We find that the distribution of the return intervals follows a scaling law over a wide range of thresholds, and over a broad range of sampling intervals. Moreover, this scaling law is universal for stocks of different countries, for commodities, for interest rates, and for currencies. However, further and more detailed analysis of the return intervals shows some systematic deviations from the scaling law. We also demonstrate a significant memory effect in the return intervals time organization. We find that the distribution of return intervals is strongly related to the correlations in the volatility.

  11. Essays on parametric and nonparametric modeling and estimation with applications to energy economics

    NASA Astrophysics Data System (ADS)

    Gao, Weiyu

    My dissertation research is composed of two parts: a theoretical part on semiparametric efficient estimation and an applied part in energy economics under different dynamic settings. The essays are related in terms of their applications as well as the way in which models are constructed and estimated. In the first essay, efficient estimation of the partially linear model is studied. We work out the efficient score functions and efficiency bounds under four stochastic restrictions---independence, conditional symmetry, conditional zero mean, and partially conditional zero mean. A feasible efficient estimation method for the linear part of the model is developed based on the efficient score. A battery of specification test that allows for choosing between the alternative assumptions is provided. A Monte Carlo simulation is also conducted. The second essay presents a dynamic optimization model for a stylized oilfield resembling the largest developed light oil field in Saudi Arabia, Ghawar. We use data from different sources to estimate the oil production cost function and the revenue function. We pay particular attention to the dynamic aspect of the oil production by employing petroleum-engineering software to simulate the interaction between control variables and reservoir state variables. Optimal solutions are studied under different scenarios to account for the possible changes in the exogenous variables and the uncertainty about the forecasts. The third essay examines the effect of oil price volatility on the level of innovation displayed by the U.S. economy. A measure of innovation is calculated by decomposing an output-based Malmquist index. We also construct a nonparametric measure for oil price volatility. Technical change and oil price volatility are then placed in a VAR system with oil price and a variable indicative of monetary policy. The system is estimated and analyzed for significant relationships. We find that oil price volatility displays a significant negative effect on innovation. A key point of this analysis lies in the fact that we impose no functional forms for technologies and the methods employed keep technical assumptions to a minimum.

  12. 77 FR 45394 - Self-Regulatory Organizations; EDGX Exchange, Inc.; Notice of Filing and Immediate Effectiveness...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2012-07-31

    ... date on which a limit up/limit down mechanism to address extraordinary market volatility, if adopted... rule was too narrow. In particular, commenters noted that securities that experienced volatility on May..., unanticipated price movements in NMS stocks. The Exchange believes that the Pilot is working well, that it has...

  13. 76 FR 23632 - Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing and Immediate Effectiveness of...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-04-27

    ..., CBOE calculates the CBOE Gold ETF Volatility Index (``GVZ''), which is based on the VIX methodology applied to options on the SPDR Gold Trust (``GLD''). The current filing would permit $0.50 strike price... other exchange-traded fund (``ETF'') options. See Rule 903, Commentary .05 Volatility indexes are...

  14. Applying Modern Portfolio Theory and the Capital Asset Pricing Model to DoD’s Information Technology Investments

    DTIC Science & Technology

    2009-03-01

    axis was really historical volatility of the return on a particular stock (capital gains of losses as well as dividends). Markowitz’s theory is an...market, the risk involved in a particular stock is determined by the historical volatility of the return. “But investments like IT projects or new...product development don’t typically have ‘ historical volatility .’ They do, however, share another characteristic of risk that is more fundamental than

  15. Who wins? Study of long-run trader survival in an artificial stock market

    NASA Astrophysics Data System (ADS)

    Cincotti, Silvano; M. Focardi, Sergio; Marchesi, Michele; Raberto, Marco

    2003-06-01

    We introduce a multi-asset artificial financial market with finite amount of cash and number of stocks. The background trading is characterized by a random trading strategy constrained by the finiteness of resources and by market volatility. Stock price processes exhibit volatility clustering, fat-tailed distribution of returns and reversion to the mean. Three active trading strategies have been introduced and studied in two different market conditions: steady market and growing market with asset inflation. We show that the profitability of each strategy depends both on the periodicity of portfolio reallocation and on the market condition. The best performing strategy is the one that exploits the mean reversion characteristic of asset price processes.

  16. Calibration of Lévy Processes with American Options

    NASA Astrophysics Data System (ADS)

    Achdou, Yves

    We study options on financial assets whose discounted prices are exponential of Lévy processes. The price of an American vanilla option as a function of the maturity and the strike satisfies a linear complementarity problem involving a non-local partial integro-differential operator. It leads to a variational inequality in a suitable weighted Sobolev space. Calibrating the Lévy process may be done by solving an inverse least square problem where the state variable satisfies the previously mentioned variational inequality. We first assume that the volatility is positive: after carefully studying the direct problem, we propose necessary optimality conditions for the least square inverse problem. We also consider the direct problem when the volatility is zero.

  17. Potential Arbitrage Revenue of Energy Storage Systems in PJM

    DOE Office of Scientific and Technical Information (OSTI.GOV)

    Salles, Mauricio; Huang, Junling; Aziz, Michael

    The volatility of electricity prices is attracting interest in the opportunity of providing net revenue by energy arbitrage. We analyzed the potential revenue of a generic Energy Storage System (ESS) in 7395 different locations within the electricity markets of Pennsylvania-New Jersey-Maryland interconnection (PJM), the largest U.S. regional transmission organization, using hourly locational marginal prices over the seven-year period 2008–2014. Assuming a price-taking ESS with perfect foresight in the real-time market, we optimized the charge-discharge profile to determine the maximum potential revenue for a 1 MW system as a function of energy/power ratio, or rated discharge duration, from 1 to 14more » h, including a limited analysis of sensitivity to round-trip efficiency. We determined minimum potential revenue with a similar analysis of the day-ahead market. We presented the distribution over the set of nodes and years of price, price volatility, and maximum potential arbitrage revenue. From these results, we determined the break even overnight installed cost of an ESS below which arbitrage would be profitable, its dependence on rated discharge duration, its distribution over grid nodes, and its variation over the years. We showed that dispatch into real-time markets based on day-ahead market settlement prices is a simple, feasible method that raises the lower bound on the achievable arbitrage revenue.« less

  18. Phosphate rock costs, prices and resources interaction.

    PubMed

    Mew, M C

    2016-01-15

    This article gives the author's views and opinions as someone who has spent his working life analyzing the international phosphate sector as an independent consultant. His career spanned two price hike events in the mid-1970's and in 2008, both of which sparked considerable popular and academic interest concerning adequacy of phosphate rock resources, the impact of rising mining costs and the ability of mankind to feed future populations. An analysis of phosphate rock production costs derived from two major industry studies performed in 1983 and 2013 shows that in nominal terms, global average cash production costs increased by 27% to $38 per tonne fob mine in the 30 year period. In real terms, the global average cost of production has fallen. Despite the lack of upward pressure from increasing costs, phosphate rock market prices have shown two major spikes in the 30 years to 2013, with periods of less volatility in between. These price spike events can be seen to be related to the escalating investment cost required by new mine capacity, and as such can be expected to be repeated in future. As such, phosphate rock price volatility is likely to have more impact on food prices than rising phosphate rock production costs. However, as mining costs rise, recycling of P will also become increasingly driven by economics rather than legislation. Copyright © 2015 Elsevier B.V. All rights reserved.

  19. Potential Arbitrage Revenue of Energy Storage Systems in PJM

    DOE PAGES

    Salles, Mauricio; Huang, Junling; Aziz, Michael; ...

    2017-07-27

    The volatility of electricity prices is attracting interest in the opportunity of providing net revenue by energy arbitrage. We analyzed the potential revenue of a generic Energy Storage System (ESS) in 7395 different locations within the electricity markets of Pennsylvania-New Jersey-Maryland interconnection (PJM), the largest U.S. regional transmission organization, using hourly locational marginal prices over the seven-year period 2008–2014. Assuming a price-taking ESS with perfect foresight in the real-time market, we optimized the charge-discharge profile to determine the maximum potential revenue for a 1 MW system as a function of energy/power ratio, or rated discharge duration, from 1 to 14more » h, including a limited analysis of sensitivity to round-trip efficiency. We determined minimum potential revenue with a similar analysis of the day-ahead market. We presented the distribution over the set of nodes and years of price, price volatility, and maximum potential arbitrage revenue. From these results, we determined the break even overnight installed cost of an ESS below which arbitrage would be profitable, its dependence on rated discharge duration, its distribution over grid nodes, and its variation over the years. We showed that dispatch into real-time markets based on day-ahead market settlement prices is a simple, feasible method that raises the lower bound on the achievable arbitrage revenue.« less

  20. Impact of Stock Market Structure on Intertrade Time and Price Dynamics

    NASA Astrophysics Data System (ADS)

    Yuen, Ainslie; Ivanov, Plamen Ch.

    2005-08-01

    The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market structure on stock prices may be obscured by exogenous factors such as demand and supply, we hypothesize that modulation of the flow of transactions due to market operations may carry a stronger imprint of the internal market mechanism. We analyse times between consecutive transactions (ITT) for NYSE and NASDAQ stocks, and we relate the dynamical properties of the ITT with those of the corresponding price fluctuations. We find a robust scale-invariant temporal organisation in the ITT of stocks which is independent of individual company characteristics and industry sector, but which depends on market structure. We find that stocks registered on the NASDAQ exhibit stronger correlations in their transaction timing within a trading day, compared with NYSE stocks. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing within a trading day, after the move, suggesting influences of market structure. Surprisingly, we also observe that stronger power-law correlations in the ITT are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of ITT and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ, we demonstrate that the higher correlations we find in ITT for NASDAQ stocks are matched by higher correlations in absolute price returns and by higher volatility, suggesting that market structure may affect price behaviour through information contained in transaction timing.

  1. Yield and Economic Responses of Peanut to Crop Rotation Sequence

    USDA-ARS?s Scientific Manuscript database

    Proper crop rotation is essential to maintaining high peanut yield and quality. However, the economic considerations of maintaining or altering crop rotation sequences must incorporate the commodity prices, production costs, and yield responses of all crops in, or potentially in, the crop rotation ...

  2. 7 CFR 29.9407 - Records and reports.

    Code of Federal Regulations, 2011 CFR

    2011-01-01

    ... 7 Agriculture 2 2011-01-01 2011-01-01 false Records and reports. 29.9407 Section 29.9407..., Inspections, Marketing Practices), DEPARTMENT OF AGRICULTURE COMMODITY STANDARDS AND STANDARD CONTAINER... and Price Support Services to Flue-Cured Tobacco on Designated Markets § 29.9407 Records and reports...

  3. 7 CFR 29.9407 - Records and reports.

    Code of Federal Regulations, 2013 CFR

    2013-01-01

    ... 7 Agriculture 2 2013-01-01 2013-01-01 false Records and reports. 29.9407 Section 29.9407..., Inspections, Marketing Practices), DEPARTMENT OF AGRICULTURE COMMODITY STANDARDS AND STANDARD CONTAINER... and Price Support Services to Flue-Cured Tobacco on Designated Markets § 29.9407 Records and reports...

  4. 17 CFR 1.3 - Definitions.

    Code of Federal Regulations, 2014 CFR

    2014-04-01

    ... that directly or indirectly controls such individual, partnership, corporation or association; or (viii) A business affiliate that, directly or indirectly is controlled by or is under common control with... equivalent of fixed-price sales of the cash products and by-products of such commodity by the same person...

  5. 7 CFR 5.4 - Commodities for which parity prices shall be calculated.

    Code of Federal Regulations, 2013 CFR

    2013-01-01

    ... market Artichokes, asparagus, snap beans, broccoli, cabbage, cantaloups, carrots, cauliflower, celery..., spinach, tomatoes, and watermelons. vegetables for processing Asparagus, lima beans, snap beans, beets...; tobacco, Types 61 and 62; barley; beans, dry edible; cottonseed; peas, dry field; flaxseed; hay, all baled...

  6. 7 CFR 5.4 - Commodities for which parity prices shall be calculated.

    Code of Federal Regulations, 2014 CFR

    2014-01-01

    ... market Artichokes, asparagus, snap beans, broccoli, cabbage, cantaloups, carrots, cauliflower, celery..., spinach, tomatoes, and watermelons. vegetables for processing Asparagus, lima beans, snap beans, beets...; tobacco, Types 61 and 62; barley; beans, dry edible; cottonseed; peas, dry field; flaxseed; hay, all baled...

  7. 7 CFR 5.4 - Commodities for which parity prices shall be calculated.

    Code of Federal Regulations, 2012 CFR

    2012-01-01

    ... market Artichokes, asparagus, snap beans, broccoli, cabbage, cantaloups, carrots, cauliflower, celery..., spinach, tomatoes, and watermelons. vegetables for processing Asparagus, lima beans, snap beans, beets...; tobacco, Types 61 and 62; barley; beans, dry edible; cottonseed; peas, dry field; flaxseed; hay, all baled...

  8. From floor sweepings to fish flesh: Phytase superdosing in the US catfish industry

    USDA-ARS?s Scientific Manuscript database

    Market competition, rising commodity prices, and a push towards sustainability are dictating higher inclusion rates of plant-based feedstuffs in aquaculture feeds worldwide. Such shifts bring with them many challenges, including recognizing and quantifying losses in digestibility and performance du...

  9. Addictive Economies: Extractive Industries and Vulnerable Localities in a Changing World Economy.

    ERIC Educational Resources Information Center

    Freudenburg, William R.

    1992-01-01

    Examines development of rural communities and regions that depend on extractive industries (involving removal of raw materials from nature). Discusses "addictive activities" in such communities characterized by rising operation costs and declining commodities' prices. Discusses community and regional characteristics contributing to…

  10. A statistical analysis of product prices in online markets

    NASA Astrophysics Data System (ADS)

    Mizuno, T.; Watanabe, T.

    2010-08-01

    We empirically investigate fluctuations in product prices in online markets by using a tick-by-tick price data collected from a Japanese price comparison site, and find some similarities and differences between product and asset prices. The average price of a product across e-retailers behaves almost like a random walk, although the probability of price increase/decrease is higher conditional on the multiple events of price increase/decrease. This is quite similar to the property reported by previous studies about asset prices. However, we fail to find a long memory property in the volatility of product price changes. Also, we find that the price change distribution for product prices is close to an exponential distribution, rather than a power law distribution. These two findings are in a sharp contrast with the previous results regarding asset prices. We propose an interpretation that these differences may stem from the absence of speculative activities in product markets; namely, e-retailers seldom repeat buy and sell of a product, unlike traders in asset markets.

  11. Small Town Renewal: Overview and Case Studies.

    ERIC Educational Resources Information Center

    Kenyon, Peter, Ed.; Black, Alan, Ed.

    Many small, inland, and remote Australian rural communities continue to lose population and businesses, a trend that has intensified over the last 2 decades. Mean age continues to rise, while the 15-24 age group contracts dramatically. Such declining demographics are caused by the stress and uncertainty of volatile world commodity markets, as well…

  12. "Photographing money" task pricing

    NASA Astrophysics Data System (ADS)

    Jia, Zhongxiang

    2018-05-01

    "Photographing money" [1]is a self-service model under the mobile Internet. The task pricing is reasonable, related to the success of the commodity inspection. First of all, we analyzed the position of the mission and the membership, and introduced the factor of membership density, considering the influence of the number of members around the mission on the pricing. Multivariate regression of task location and membership density using MATLAB to establish the mathematical model of task pricing. At the same time, we can see from the life experience that membership reputation and the intensity of the task will also affect the pricing, and the data of the task success point is more reliable. Therefore, the successful point of the task is selected, and its reputation, task density, membership density and Multiple regression of task positions, according to which a nhew task pricing program. Finally, an objective evaluation is given of the advantages and disadvantages of the established model and solution method, and the improved method is pointed out.

  13. The role of storage dynamics in annual wheat prices

    NASA Astrophysics Data System (ADS)

    Schewe, Jacob; Otto, Christian; Frieler, Katja

    2017-05-01

    Identifying the drivers of global crop price fluctuations is essential for estimating the risks of unexpected weather-induced production shortfalls and for designing optimal response measures. Here we show that with a consistent representation of storage dynamics, a simple supply-demand model can explain most of the observed variations in wheat prices over the last 40 yr solely based on time series of annual production and long term demand trends. Even the most recent price peaks in 2007/08 and 2010/11 can be explained by additionally accounting for documented changes in countries’ trade policies and storage strategies, without the need for external drivers such as oil prices or speculation across different commodity or stock markets. This underlines the critical sensitivity of global prices to fluctuations in production. The consistent inclusion of storage into a dynamic supply-demand model closes an important gap when it comes to exploring potential responses to future crop yield variability under climate and land-use change.

  14. Stochastic arbitrage return and its implication for option pricing

    NASA Astrophysics Data System (ADS)

    Fedotov, Sergei; Panayides, Stephanos

    2005-01-01

    The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random processes. We restrict ourselves to finding pricing bands for options rather than exact prices. The resulting pricing bands are shown to be independent of the detailed statistical characteristics of the arbitrage return. We find that the volatility “smile” can also be explained in terms of random arbitrage opportunities.

  15. Smart Computer-Assisted Markets

    NASA Astrophysics Data System (ADS)

    McCabe, Kevin A.; Rassenti, Stephen J.; Smith, Vernon L.

    1991-10-01

    The deregulation movement has motivated the experimental study of auction markets designed for interdependent network industries such as natural gas pipelines or electric power systems. Decentralized agents submit bids to buy commodity and offers to sell transportation and commodity to a computerized dispatch center. Computer algorithms determine prices and allocations that maximize the gains from exchange in the system relative to the submitted bids and offers. The problem is important, because traditionally the scale and coordination economies in such industries were thought to require regulation. Laboratory experiments are used to study feasibility, limitations, incentives, and performance of proposed market designs for deregulation, providing motivation for new theory.

  16. Binomial tree method for pricing a regime-switching volatility stock loans

    NASA Astrophysics Data System (ADS)

    Putri, Endah R. M.; Zamani, Muhammad S.; Utomo, Daryono B.

    2018-03-01

    Binomial model with regime switching may represents the price of stock loan which follows the stochastic process. Stock loan is one of alternative that appeal investors to get the liquidity without selling the stock. The stock loan mechanism resembles that of American call option when someone can exercise any time during the contract period. From the resembles both of mechanism, determination price of stock loan can be interpreted from the model of American call option. The simulation result shows the behavior of the price of stock loan under a regime-switching with respect to various interest rate and maturity.

  17. European option pricing under the Student's t noise with jumps

    NASA Astrophysics Data System (ADS)

    Wang, Xiao-Tian; Li, Zhe; Zhuang, Le

    2017-03-01

    In this paper we present a new approach to price European options under the Student's t noise with jumps. Through the conditional delta hedging strategy and the minimal mean-square-error hedging, a closed-form solution of the European option value is obtained under the incomplete information case. In particular, we propose a Value-at-Risk-type procedure to estimate the volatility parameter σ such that the pricing error is in accord with the risk preferences of investors. In addition, the numerical results of us show that options are not priced in some cases in an incomplete information market.

  18. The role of internal reference prices in consumers' willingness to pay judgments: Thaler's Beer Pricing Task revisited.

    PubMed

    Ranyard, R; Charlton, J P; Williamson, J

    2001-02-01

    Alternative reference prices, either displayed in the environment (external) or recalled from memory (internal) are known to influence consumer judgments and decisions. In one line of previous research, internal reference prices have been defined in terms of general price expectations. However, Thaler (Marketing Science 4 (1985) 199; Journal of Behavioral Decision Making 12 (1999) 183) defined them as fair prices expected from specific types of seller. Using a Beer Pricing Task, he found that seller context had a substantial effect on willingness to pay, and concluded that this was due to specific internal reference prices evoked by specific contexts. In a think aloud study using the same task (N = 48), we found only a marginal effect of seller context. In a second study using the Beer Pricing Task and seven analogous ones (N = 144), general internal reference prices were estimated by asking people what they normally paid for various commodities. Both general internal reference prices and seller context influenced willingness to pay, although the effect of the latter was again rather small. We conclude that general internal reference prices have a greater impact in these scenarios than specific ones, because of the lower cognitive load involved in their storage and retrieval.

  19. The European style arithmetic Asian option pricing with stochastic interest rate based on Black Scholes model

    NASA Astrophysics Data System (ADS)

    Winarti, Yuyun Guna; Noviyanti, Lienda; Setyanto, Gatot R.

    2017-03-01

    The stock investment is a high risk investment. Therefore, there are derivative securities to reduce these risks. One of them is Asian option. The most fundamental of option is option pricing. Many factors that determine the option price are underlying asset price, strike price, maturity date, volatility, risk free interest rate and dividends. Various option pricing usually assume that risk free interest rate is constant. While in reality, this factor is stochastic process. The arithmetic Asian option is free from distribution, then, its pricing is done using the modified Black-Scholes model. In this research, the modification use the Curran approximation. This research focuses on the arithmetic Asian option pricing without dividends. The data used is the stock daily closing data of Telkom from January 1 2016 to June 30 2016. Finnaly, those option price can be used as an option trading strategy.

  20. 17 CFR 4.34 - General disclosures required.

    Code of Federal Regulations, 2013 CFR

    2013-04-01

    ... the commodity trading advisor may engage in retail forex transactions pursuant to the offered trading... pursuant to such program (including retail forex and swap transactions, if any). (h) Trading program. A... difference between bid and asked prices on retail forex or swap transactions, the trading advisor must...

  1. 17 CFR 4.34 - General disclosures required.

    Code of Federal Regulations, 2014 CFR

    2014-04-01

    ... the commodity trading advisor may engage in retail forex transactions pursuant to the offered trading... pursuant to such program (including retail forex and swap transactions, if any). (h) Trading program. A... difference between bid and asked prices on retail forex or swap transactions, the trading advisor must...

  2. 22 CFR 201.66 - Side payments.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... 22 Foreign Relations 1 2010-04-01 2010-04-01 false Side payments. 201.66 Section 201.66 Foreign Relations AGENCY FOR INTERNATIONAL DEVELOPMENT RULES AND PROCEDURES APPLICABLE TO COMMODITY TRANSACTIONS FINANCED BY USAID Price Provisions § 201.66 Side payments. Any payment which an importer makes to a...

  3. 22 CFR 201.66 - Side payments.

    Code of Federal Regulations, 2013 CFR

    2013-04-01

    ... 22 Foreign Relations 1 2013-04-01 2013-04-01 false Side payments. 201.66 Section 201.66 Foreign Relations AGENCY FOR INTERNATIONAL DEVELOPMENT RULES AND PROCEDURES APPLICABLE TO COMMODITY TRANSACTIONS FINANCED BY USAID Price Provisions § 201.66 Side payments. Any payment which an importer makes to a...

  4. 22 CFR 201.66 - Side payments.

    Code of Federal Regulations, 2014 CFR

    2014-04-01

    ... 22 Foreign Relations 1 2014-04-01 2014-04-01 false Side payments. 201.66 Section 201.66 Foreign Relations AGENCY FOR INTERNATIONAL DEVELOPMENT RULES AND PROCEDURES APPLICABLE TO COMMODITY TRANSACTIONS FINANCED BY USAID Price Provisions § 201.66 Side payments. Any payment which an importer makes to a...

  5. 22 CFR 201.66 - Side payments.

    Code of Federal Regulations, 2011 CFR

    2011-04-01

    ... 22 Foreign Relations 1 2011-04-01 2011-04-01 false Side payments. 201.66 Section 201.66 Foreign Relations AGENCY FOR INTERNATIONAL DEVELOPMENT RULES AND PROCEDURES APPLICABLE TO COMMODITY TRANSACTIONS FINANCED BY USAID Price Provisions § 201.66 Side payments. Any payment which an importer makes to a...

  6. 22 CFR 201.66 - Side payments.

    Code of Federal Regulations, 2012 CFR

    2012-04-01

    ... 22 Foreign Relations 1 2012-04-01 2012-04-01 false Side payments. 201.66 Section 201.66 Foreign Relations AGENCY FOR INTERNATIONAL DEVELOPMENT RULES AND PROCEDURES APPLICABLE TO COMMODITY TRANSACTIONS FINANCED BY USAID Price Provisions § 201.66 Side payments. Any payment which an importer makes to a...

  7. World Trade Organization: Seattle Ministerial: Outcomes and Lessons Learned,

    DTIC Science & Technology

    2000-02-08

    Agricultural Policy . The Common Agricultural Policy is intended to preserve farm incomes and rural economies by supporting high domestic prices for a wide...variety of agricultural commodities and products. EU member states have taken a very strong position on maintaining the Common Agricultural Policy , which

  8. The Giffen Effect: A Note on Economic Purposes.

    ERIC Educational Resources Information Center

    Williams, William D.

    1990-01-01

    Describes the Giffen effect: demand for a commodity increases as price increases. Explains how applying control theory eliminates the paradox that the Giffen effect presents to classic economics supply and demand theory. Notes the differences in how conventional demand theory and control theory treat consumer behavior. (CH)

  9. Air Force Commodity Councils: A Template for Future Implementation Comparing Successful and Failed Approaches

    DTIC Science & Technology

    2007-12-01

    Northwest QantasLink 67 References Mankiw , N. Gregory, Essentials of Economics , Chapter 13 Weinstein, David E; Yafeh...Purchasing, Transaction Cost Analysis, Transaction Cost Economics , Air Force, Supply Chain Management, Procurement, Transformation 16. PRICE CODE 17...SOURCING .............................................................................7 C. TRANSACTION COST ECONOMICS

  10. 7 CFR 1412.76 - Payments.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... with the highest and lowest yields, using National Agricultural Statistics Service data to the extent..., after the end of the applicable marketing year for the covered commodity or peanuts. (a) CCC will make... national average market price received by producers during the 12-month marketing year for the covered...

  11. 75 FR 76139 - Real-Time Public Reporting of Swap Transaction Data

    Federal Register 2010, 2011, 2012, 2013, 2014

    2010-12-07

    ... Transaction Data; Proposed Rule #0;#0;Federal Register / Vol. 75 , No. 234 / Tuesday, December 7, 2010...-Time Public Reporting of Swap Transaction Data AGENCY: Commodity Futures Trading Commission. ACTION...-time public reporting of swap transaction and pricing data for all swap transactions. Additionally, the...

  12. 76 FR 50516 - Self-Regulatory Organizations; Chicago Board Options Exchange, Incorporated; Notice of Filing and...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2011-08-15

    ... Volatility, was approved by the Commission on June 10, 2010 on a pilot basis. The pilot is currently set to... extraordinary market volatility, if adopted, applies to the Circuit Breaker Stocks.\\5\\ The rule was developed in... individual stocks that experience rapid price movement.\\6\\ As the duration of the pilot expires on the...

  13. 77 FR 40398 - Self-Regulatory Organizations; Fixed Income Clearing Corporation; Order Approving Proposed Rule...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2012-07-09

    ... prices of financial products that have maturity dates in the future as part of the volatility model in... Volatility Model in Its Clearing Fund Formula July 2, 2012. I. Introduction On May 15, 2012, the Fixed Income... simulation model currently used to calculate the VaR Charge in GSD's Clearing Fund formula is driven by...

  14. The effect of virtual bidding on forward premiums in the New York wholesale energy market

    NASA Astrophysics Data System (ADS)

    Knudsen, Andrew D.

    In many parts of the United States, the power industry has been deregulated and replaced with regional wholesale energy markets, where utilities purchase electricity from generators at competitive market rates for subsequent distribution to customers. Numerous studies have shown that in each of these markets, the price of energy purchased in the Day Ahead (futures) market exceeds the price in the Real Time (spot) market on average. The existence of this "forward premium" is evidence of market inefficiency and may indicate participants' aversion to risk in the Real Time market or the exercise of market power by generators. To address this inefficiency, the New York Independent System Operator introduced a virtual bidding system within its wholesale market, which permitted participants to engage in purely financial transactions and hedge their exposure to risk. The new policy was expected to promote price convergence by allowing bidders to arbitrage expected differences between Day Ahead and Real Time prices. This study examines whether the presence of virtual bidding was associated with a change in the mean value and magnitude of forward premiums in the NYISO energy market. The study applies a GARCH model to hourly pricing data from 2001 to 2009, controlling for temperature and economic activity. The results indicate that prior to 2005, virtual bidding was associated with significantly lower and less volatile forward premiums in New York's five most congested zones but with increased premiums in the remaining less congested zones. However, when the entire period from 2001 to 2009 is examined, the results suggest that prices have become significantly more divergent in the presence of virtual bidding. Closer examination of the data reveals a dramatic increase in forward premium volatility across all zones beginning in 2005 that is not accounted for by temperature or economic activity and may have biased the results. This study attempts to account for this unexplained shift in price behavior by limiting the analysis to off-peak hours and by substituting an adjusted measure of forward premium, but neither approach yields results consistent with the pre-2005 effects. Further study is needed to identify the potential causes of the sudden increase in forward premium volatility and isolate the effect of virtual bidding on NYISO price convergence.

  15. Crop plants versus energy plants--on the international food crisis.

    PubMed

    Schmitz, P M; Kavallari, A

    2009-06-15

    The recent price explosion of important agricultural commodities has lead to an international food crisis. The price rise is attributed to fundamental factors, such as the rising demand for dairy and meat products in China and the development of the bioenergy branch as well as on short-term factors such as the behaviour of speculators. Mobilising the worldwide supply can held to overcome the demand driven shortage of food this can be achieved through a proper design of the agricultural policy both in developed and developing countries.

  16. A Proposed Legislative Bill to Economically Index the Small Purchase Thresholds Within the Federal Government Procurement System

    DTIC Science & Technology

    1990-12-01

    to others. IF, For example, avocados are two dollars each, a consumer may choose to have cucumber, at twenty-Five cents each, in his salad instead...in 1986, after the revision of the home ownership aspect of the CPI in 1983. The CPI is a Familiar index and despite its overly general market basket...loans by the government to enable producers to continue to produce items whose market price is less than the production price. In other words, commodity

  17. Fractals and Forecasting in Earthquakes and Finance

    NASA Astrophysics Data System (ADS)

    Rundle, J. B.; Holliday, J. R.; Turcotte, D. L.

    2011-12-01

    It is now recognized that Benoit Mandelbrot's fractals play a critical role in describing a vast range of physical and social phenomena. Here we focus on two systems, earthquakes and finance. Since 1942, earthquakes have been characterized by the Gutenberg-Richter magnitude-frequency relation, which in more recent times is often written as a moment-frequency power law. A similar relation can be shown to hold for financial markets. Moreover, a recent New York Times article, titled "A Richter Scale for the Markets" [1] summarized the emerging viewpoint that stock market crashes can be described with similar ideas as large and great earthquakes. The idea that stock market crashes can be related in any way to earthquake phenomena has its roots in Mandelbrot's 1963 work on speculative prices in commodities markets such as cotton [2]. He pointed out that Gaussian statistics did not account for the excessive number of booms and busts that characterize such markets. Here we show that both earthquakes and financial crashes can both be described by a common Landau-Ginzburg-type free energy model, involving the presence of a classical limit of stability, or spinodal. These metastable systems are characterized by fractal statistics near the spinodal. For earthquakes, the independent ("order") parameter is the slip deficit along a fault, whereas for the financial markets, it is financial leverage in place. For financial markets, asset values play the role of a free energy. In both systems, a common set of techniques can be used to compute the probabilities of future earthquakes or crashes. In the case of financial models, the probabilities are closely related to implied volatility, an important component of Black-Scholes models for stock valuations. [2] B. Mandelbrot, The variation of certain speculative prices, J. Business, 36, 294 (1963)

  18. An evaluation of federal order reform.

    PubMed

    Bailey, K; Tozer, P

    2001-04-01

    The Federal Agricultural Improvement and Reform Act of 1996 required the Secretary of Agriculture to reform federal milk marketing orders. The Secretary carried out this task and issued a final rule on March 31, 1999, that was eventually approved by dairy farmers in a national referendum. However, a temporary restraining order (TRO) was issued on September 28, 1999, that halted the reform process. The TRO was effectively overturned and the reform process restarted when President Bill Clinton signed the Consolidated Appropriations Act of 2000 on November 29, 1999. The final rule as amended consolidates the number of orders, develops a multiple component pricing system that determines new formulas for class prices, and provides a new system for pricing fluid milk based on county-level price differentials. The impact of these changes is to provide more transparency in pricing and improved market signals to farmers. But the new system is also much more vulnerable to changes in dairy commodity prices. The objective of this report is to provide a comprehensive overview of federal order reform and to analyze the impact of recent changes in class price formulas.

  19. Costs of food waste along the value chain: evidence from South Africa.

    PubMed

    Nahman, Anton; de Lange, Willem

    2013-11-01

    In a previous paper (Nahman et al., 2012), the authors estimated the costs of household food waste in South Africa, based on the market value of the wasted food (edible portion only), as well as the costs of disposal to landfill. In this paper, we extend the analysis by assessing the costs of edible food waste throughout the entire food value chain, from agricultural production through to consumption at the household level. First, food waste at each stage of the value chain was quantified in physical units (tonnes) for various food commodity groups. Then, weighted average representative prices (per tonne) were estimated for each commodity group at each stage of the value chain. Finally, prices were multiplied by quantities, and the resulting values were aggregated across the value chain for all commodity groups. In this way, the total cost of food waste across the food value chain in South Africa was estimated at R61.5 billion per annum (approximately US$7.7 billion); equivalent to 2.1% of South Africa's annual gross domestic product. The bulk of this cost arises from the processing and distribution stages of the fruit and vegetable value chain, as well as the agricultural production and distribution stages of the meat value chain. These results therefore provide an indication of where interventions aimed at reducing food waste should be targeted. Copyright © 2013 Elsevier Ltd. All rights reserved.

  20. Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data

    PubMed Central

    2015-01-01

    The recent availability of high frequency data has permitted more efficient ways of computing volatility. However, estimation of volatility from asset price observations is challenging because observed high frequency data are generally affected by noise-microstructure effects. We address this issue by using the Fourier estimator of instantaneous volatility introduced in Malliavin and Mancino 2002. We prove a central limit theorem for this estimator with optimal rate and asymptotic variance. An extensive simulation study shows the accuracy of the spot volatility estimates obtained using the Fourier estimator and its robustness even in the presence of different microstructure noise specifications. An empirical analysis on high frequency data (U.S. S&P500 and FIB 30 indices) illustrates how the Fourier spot volatility estimates can be successfully used to study intraday variations of volatility and to predict intraday Value at Risk. PMID:26421617

  1. Dynamics of land-use change and conservation in the Prairie Pothole Region of the United States: environmental and economic implications with linkages to rural community well-being

    USGS Publications Warehouse

    Gascoigne, William; Hoag, Dana; Johnson, Rex; Koontz, Lynne

    2013-01-01

    Rural America has changed dramatically over the last century, from having over half the population living in rural settings to only 20 percent residing in a rural area today, and outmigration of younger populations from rural communities remains a constant issue for local governing officials. A declining tax base and concurrent rising costs for maintenance and repair of aging infrastructure add further challenges to policy decisions. Reduced enrollment has caused school closures or mergers. Farm consolidation and technical advances reduced the demand for local labor. On the positive side, however, record-high commodity prices have amplified farm income to new heights. The increased revenues can lead to farmers spending additional money within the local region, while at the same time increased transportation of products has impacted local infrastructure such as roads and bridges. Such dynamics present challenges for municipal leaders charged with promoting economic development and balanced spending, while at the same time maintaining the way of life and rural character that are so important to area residents. The Prairie Pothole Region (PPR) of the United States covers much of the Northern Great Plains, including parts of North and South Dakota, Minnesota, Iowa, and a small part of Montana, and extends across a broad swath of Alberta and Saskatchewan. The region is defined largely by its rural character but has experienced extensive land conversion over the last century, with agricultural areas replacing native prairie habitat. Additional pressures arise from oil and gas development, global markets for agricultural production, and increased demands for biofuel feedstocks. Record-high commodity prices increase pressure on the native prairie as farmers look for new cropland acres. The volatility of commodity prices has raised fears over the intensity of land conversion to row-crop agriculture, the economic health and resiliency of rural communities, and ultimately, population dynamics and outmigration of younger generations. Land-use pressures are increased by the exponential growth of oil and gas production in the region, where some 8,200 wells are now in production within the Williston Basin of North Dakota, accompanied by increased population pressures on housing and municipal services. The U.S. Department of Agriculture’s Conservation Reserve Program (CRP)--a cropland retirement program with close to 4.8 million acres enrolled in the PPR--faces uncertainty in upcoming legislative actions, with a large majority of property enrollments scheduled to expire by 2017. The CRP historically has provided improved habitat conditions, reductions of soil damage through erosion and loss of nutrients, and sequestration of millions of tons of atmospheric carbon. In turn, wildlife-related recreation levels have increased in many parts of the PPR, with money spent in local communities. Contemporary resource-management and rural-development planning increasingly emphasize the need for diversification and integration of resource-extractive industries with nonmarket-based recreational and amenity values that tie into quality of life. Ultimately, each community is unique in its environmental, social, economic, and fiscal endowments. One rural-development policy may work better in one community than another. In addition, rural-development issues such as migration, job growth, and taxes are diverse in themselves. The goal of this report is to qualitatively and quantitatively discuss the economic impacts of land-use decisions in rural areas, particularly in the PPR.

  2. Is the stock market efficient?

    PubMed

    Malkiel, B G

    1989-03-10

    A stock market is said to be efficient if it accurately reflects all relevant information in determining security prices. Critics have asserted that share prices are far too volatile to be explained by changes in objective economic events-the October 1987 crash being a case in point. Although the evidence is not unambiguous, reports of the death of the efficient market hypothesis appear premature.

  3. Co-movement measure of information transmission on international equity markets

    NASA Astrophysics Data System (ADS)

    Al Rahahleh, Naseem; Bhatti, M. Ishaq

    2017-03-01

    Recently, Bhatti and Nguyen (2012) used EVT and various stochastic copulas to study the cross-country co-movements diversification and asset pricing allocation. Weiss (2013) observed that Dynamic Conditional Correlation (DCC) models outperform various copula models. This paper attempts to contribute to the literature on multivariate models for capturing forward and backward return co-movement, spillover effects and volatility linkages. It reflects cross-country forward and backward co-movements more clearly among various coupled international stock markets relating to information transmission and price discovery for making investment decisions. Given the reality of fat-tail or skewed distribution of financial data, this paper proposes the use of VECM-DCC and VAR-DCC models which capture dynamic dependences between the Australian and other selected international financial stock markets. We observe that the return co-movement effects between Australian and Asian countries are bidirectional ((AUS ↔ Hong Kong), (AUS ↔ Japan)) with the exception of Taiwan (AUS → Taiwan). We also observe that the volatility spillover between the Australian and both the UK and the US markets are bidirectional with a larger volatility spillover from both toward the AUS market. Further, the UK market has a higher volatility spillover on the Australian market compared to the US market and the US market has a higher volatility spillover on the UK than that of the Australian market.

  4. Modeling volatility using state space models.

    PubMed

    Timmer, J; Weigend, A S

    1997-08-01

    In time series problems, noise can be divided into two categories: dynamic noise which drives the process, and observational noise which is added in the measurement process, but does not influence future values of the system. In this framework, we show that empirical volatilities (the squared relative returns of prices) exhibit a significant amount of observational noise. To model and predict their time evolution adequately, we estimate state space models that explicitly include observational noise. We obtain relaxation times for shocks in the logarithm of volatility ranging from three weeks (for foreign exchange) to three to five months (for stock indices). In most cases, a two-dimensional hidden state is required to yield residuals that are consistent with white noise. We compare these results with ordinary autoregressive models (without a hidden state) and find that autoregressive models underestimate the relaxation times by about two orders of magnitude since they do not distinguish between observational and dynamic noise. This new interpretation of the dynamics of volatility in terms of relaxators in a state space model carries over to stochastic volatility models and to GARCH models, and is useful for several problems in finance, including risk management and the pricing of derivative securities. Data sets used: Olsen & Associates high frequency DEM/USD foreign exchange rates (8 years). Nikkei 225 index (40 years). Dow Jones Industrial Average (25 years).

  5. 7 CFR 766.104 - Borrower eligibility requirements.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... economic conditions such as low commodity prices; (iv) Damage or destruction of property essential to the farming operation; or (v) Loss of, or reduction in, the borrower or spouse's essential non-farm income. (2) The borrower does not have non-essential assets for which the net recovery value is sufficient to...

  6. 78 FR 38416 - Self-Regulatory Organizations; Miami International Securities Exchange LLC; Notice of Filing and...

    Federal Register 2010, 2011, 2012, 2013, 2014

    2013-06-26

    ..., without limitation, options, equities, futures, derivatives, indexes, exchange traded funds, exchange...., equity and ETF, index, derivatives, futures, foreign currency, and even commodities products... low as $0.05).\\13\\ \\13\\ As an example, per the CME Web site, strike prices for options on futures may...

  7. Climate Change and Food Security: The View from Space

    NASA Technical Reports Server (NTRS)

    Brown, Molly E.

    2012-01-01

    Global satellite data provides information on land use, rainfall, soil moisture, vegetation vigor and crop yields. Process-based products allows transformation of these data into information that can be used to assess impact of weather on commodity prices and local economic health. Trends and impact of climate change

  8. Nonwovens manufacturing technologies and cotton’s realistic scope in nonwovens

    USDA-ARS?s Scientific Manuscript database

    Cotton commodity continues to be under pressure from its low and depressed prices for decades, geo and political factors, competition with manufactured fibers, and, very importantly, its gradual decline in consumption by the U.S. domestic mills. In fact, the current domestic consumption of virgin co...

  9. Preparation of Jojoba Oil Ester Derivatives for Biodiesel Evaluation

    USDA-ARS?s Scientific Manuscript database

    As a result of the increase in commodity vegetable oil prices, it is imperative that non-food oils should be considered as alternative feedstocks for biodiesel production. Jojoba oil is unusual in that it is comprised of wax esters as opposed to the triglycerides found in typical vegetable oils. A...

  10. 22 CFR 201.69 - Cooperating country taxes and fees.

    Code of Federal Regulations, 2010 CFR

    2010-04-01

    ... 22 Foreign Relations 1 2010-04-01 2010-04-01 false Cooperating country taxes and fees. 201.69 Section 201.69 Foreign Relations AGENCY FOR INTERNATIONAL DEVELOPMENT RULES AND PROCEDURES APPLICABLE TO COMMODITY TRANSACTIONS FINANCED BY USAID Price Provisions § 201.69 Cooperating country taxes and fees. USAID...

  11. 75 FR 24641 - Order Finding That the HSC1

    Federal Register 2010, 2011, 2012, 2013, 2014

    2010-05-05

    ... commercial market (``ECM'') under sections 2(h)(3)--(5) of the Commodity Exchange Act (``CEA'' or the ``Act... (``Reauthorization Act'') \\4\\ significantly broadened the CFTC's regulatory authority with respect to ECMs by creating, in section 2(h)(7) of the CEA, a new regulatory category--ECMs on which significant price...

  12. Application of genomics-assisted breeding for generation of climate resilient crops: progress and prospects

    USDA-ARS?s Scientific Manuscript database

    Climate change affects agricultural productivity worldwide. Increased prices of food commodities are the initial indication of drastic edible yield loss, which is expected to increase further due to global warming. This situation has compelled plant scientists to develop climate change-resilient cro...

  13. 12 CFR 614.4530 - Special loans, production credit associations and agricultural credit associations.

    Code of Federal Regulations, 2010 CFR

    2010-01-01

    ... ADMINISTRATION FARM CREDIT SYSTEM LOAN POLICIES AND OPERATIONS Special Lending Programs § 614.4530 Special loans, production credit associations and agricultural credit associations. Under policies approved by the bank... associations may make the following special types of loans on commodities covered by price support programs...

  14. REACTT: an algorithm for solving spatial equilibrium problems.

    Treesearch

    D.J. Brooks; J. Kincaid

    1987-01-01

    The problem of determining equilibrium prices and quantities in spatially separated markets is reviewed. Algorithms that compute spatial equilibria are discussed. A computer program using the reactive programming algorithm for solving spatial equilibrium problems that involve multiple commodities is presented, along with detailed documentation. A sample data set,...

  15. Xchanging the World.

    ERIC Educational Resources Information Center

    Blythe, Chris; Richards, Dave

    This activity pack goes beyond exposing the low prices paid to commodity producers and explores broader structures that govern world trade and produce poverty and inequality. The pack encourages young people to look beyond the labels and consider the responsibilities consumers have toward the people who feed and clothe the world, or make the…

  16. The value of electricity storage in energy-only electricity markets

    NASA Astrophysics Data System (ADS)

    McConnell, D.; Forcey, T.; Sandiford, M.

    2015-12-01

    Price volatility and the prospect of increasing renewable energy generation have raised interest in the potential opportunities for storage technologies in energy-only electricity markets. In this paper we explore the value of a price-taking storage device in such a market, the National Electricity Market (NEM) in Australia. Our analysis suggests that under optimal operation, there is little value in having more than six hours of storage in this market. However, the inability to perfectly forecast wholesale prices, particularly extreme price spikes, may warrant some additional storage. We found that storage devices effectively provide a similar service as peak generators (such as Open Cycle Gas Turbines) and are similarly dependent on and exposed to extreme price events, with revenue for a merchant generator highly skewed to a few days of the year. In contrast to previous studies, this results in the round trip efficiency of the storage being relatively insignificant. Financing using hedging strategies similar to a peak generator effectively reduces the variability of revenue and exposure of storage to extreme prices. Our case study demonstrates that storage may have a competitive advantage over other peaking generators on the NEM, due to its ability to earn revenue outside of extreme peak events. As a consequence the outlook for storage options on the NEM is dependent on volatility, in turn dependent on capacity requirements. Further to this, increased integration of renewable energy may both depend on storage and improve the outlook for storage in technologies in electricity markets.

  17. Oil prices, fiscal policy, and economic growth in oil-exporting countries

    NASA Astrophysics Data System (ADS)

    El-Anshasy, Amany A.

    This dissertation argues that in oil-exporting countries fiscal policy could play an important role in transmitting the oil shocks to the economy and that the indirect effects of the changes in oil prices via the fiscal channel could be quite significant. The study comprises three distinct, yet related, essays. In the first essay, I try to study the fiscal policy response to the changes in oil prices and to their growing volatility. In a dynamic general equilibrium framework, a fiscal policy reaction function is derived and is empirically tested for a panel of 15 oil-exporters covering the period 1970--2000. After the link between oil price shocks and fiscal policy is established, the second essay tries to investigate the impact of the highly volatile oil prices on economic growth for the same sample, controlling for the fiscal channel. In both essays the study employs recent dynamic panel-data estimation techniques: System GMM. This approach has the potential advantages of minimizing the bias resulting from estimating dynamic panel models, exploiting the time series properties of the data, controlling for the unobserved country-specific effects, and correcting for any simultaneity bias. In the third essay, I focus on the case of Venezuela for the period 1950--2001. The recent developments in the cointegrating vector autoregression, CVAR technique is applied to provide a suitable framework for analyzing the short-run dynamics and the long-run relationships among oil prices, government revenues, government consumption, investment, and output.

  18. Analysis of Extracted and Volatile Components in Blackstrap Molasses Feed as Candidate House Fly Attractants

    DTIC Science & Technology

    2007-01-01

    found in this commodity. This conclusion is further supported by a study of sucrose pyrolysis products that listed furfural and 2-hydroxy-3-methyl-2...study that investigated the aroma compounds from citrus honey, and only furfural was found to be a major component in both sample matrices [40]. Analysis

  19. The UN Commission on Life Saving Commodities 3 years on: global progress update and results of a multicountry assessment.

    PubMed

    Pronyk, Paul M; Nemser, Bennett; Maliqi, Blerta; Springstubb, Nora; Sera, Diana; Karimov, Rouslan; Katwan, Elizabeth; Walter, Benedicte; Bijleveld, Pascal

    2016-04-01

    In September, 2012, the UN Commission on Life Saving Commodities (UNCoLSC) outlined a plan to expand availability and access to 13 life saving commodities. We profile global and country progress against these recommendations between 2012 and 2015. For 12 countries in sub-Saharan Africa that were off-track to achieve the Millennium Development Goals for maternal and child survival, we reviewed key documents and reference data, and conducted interviews with ministry staff and partners to assess the status of the UNCoLSC recommendations. The RMNCH fund provided short-term catalytic financing to support country plans to advance the commodity agenda, with activities coded by UNCoLSC recommendation. Our network of technical resource teams identified, addressed, and monitored progress against cross-cutting commodity-related challenges that needed coordinated global action. In 2014 and 2015, child and maternal health commodities had fewer bottlenecks than reproductive and neonatal commodities. Common bottlenecks included regulatory challenges (ten of 12 countries); poor quality assurance (11 of 12 countries); insufficient staff training (more than half of facilities on average); and weak supply chains systems (11 of 12 countries), with stock-outs of priority commodities in about 40% of facilities on average. The RMNCH fund committed US$175·7 million to 19 countries to support strategies addressing crucial gaps. $68·2 million (39·0%) of the funds supported systems-strengthening interventions with the remainder split across reproductive, maternal, newborn, and child health. Health worker training ($88·6 million, 50·4%), supply chain ($53·3 million, 30·0%), and demand generation ($21·1 million, 12·0%) were the major topics of focus. All priority commodities are now listed in the WHO Essential Medicines List; appropriate price reductions were secured; quality manufacturing was improved; a fast-track registration mechanism for prequalified products was established; and methods were developed for advocacy, quantification, demand generation, supply chain, and provider training. Slower progress was evident around regulatory harmonisation and quality assurance. Much work is needed to achieve full implementation of the UNCoLSC recommendations. Coordinated efforts to secure price reductions beyond the 13 commodities and improve regulatory efficiency, quality, and supply chains are still needed alongside broader dissemination of work products. Governments of Norway (NORAD) and the UK (DFID). Copyright © 2015 World Health Organization; licensee Elsevier. This is an Open Access article published without any waiver of WHO's privileges and immunities under international law, convention, or agreement. This Article should not be reproduced for use in association with the promotion of commercial products, services, or any legal entity. There should be no suggestion that WHO endorses any specific organisation or products. The use of the WHO logo is not permitted. This notice should be preserved along with the Article's original URL.

  20. Estimating the value of electricity storage in PJM: Arbitrage and some welfare effects

    DOE PAGES

    Sioshansi, Ramteen; Denholm, Paul; Jenkin, Thomas; ...

    2008-10-31

    Here, significant increases in prices and price volatility of natural gas and electricity have raised interest in the potential economic opportunities for electricity storage. In this paper, we analyze the arbitrage value of a price-taking storage device in PJM during the six-year period from 2002 to 2007, to understand the impact of fuel prices, transmission constraints, efficiency, storage capacity, and fuel mix. The impact of load-shifting for larger amounts of storage, where reductions in arbitrage are offset by shifts in consumer and producer surplus as well as increases in social welfare from a variety of sources, is also considered.

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