Search results for "future"
showing 10 items of 416 documents
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
2010
Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of …
Urban Smartness: Perspectives Arising in the Periphéria Project
2012
The paper discusses the concept of “urban smartness” starting from the early results of the Peripheria Project. Peripheria is a 30-month pilot B action funded by the European Commission under the CIP ICT PSP Programme and it aims at deploying convergent Future Internet platforms and services for the promotion of sustainable lifestyles in and across emergent networks of “smart” peripheral cities in Europe. Peripheria develops the Living Lab premise of shifting technology R&D out of the laboratory and into the real world in a systemic blend of technological with social innovation. It defines five archetypical “Arenas”—specific urban settings or innovation playgrounds, with defined social feat…
Exploring Differentiated Disintegration in a Post-Brexit European Union
2019
In the aftermath of the British referendum to leave the European Union and the European Commission's ‘White Paper on the Future of Europe’, it is not only time to take stock of the existing literature on differentiated integration, but also to rethink the perimeters of disintegration. We argue that phenomena such as Brexit embrace forms of differentiation which trigger the need for conceptualizing differentiated disintegration altogether. This article first sketches the path of the scholarly debate in a chronological way to grasp the breadth of existing literature. Second, it discusses differentiated disintegration as a potentially new area for research. Mapping several scenarios for future…
On measuring speculative and hedging activities in futures markets from volume and open interest data
2010
This paper provides a critical assessment of the line of research that measures speculative and hedging activities in futures markets from volume and open interest data. It makes several contributions. First, a detailed theoretical analysis of the measures proposed in the previous literature as proxies for speculative activity clarifies the circumstances in which they fail, as well as the assumptions that have to be made, when they are used as intended. Second, we propose a new way of combining the volume and the open interest figures, which provides additional information regarding the type of trading activity that takes place in the market on a given date. Finally, we analyse empirically …
A Study of Seasonality on the SAFEX Wheat Market
2015
This paper examines seasonality in returns and volatilities in the South African Futures Exchange (SAFEX) wheat futures contract in order to seek market inefficiencies that can be exploited for financial gain. Non-parametric and parametric-based techniques are used to study sample regimes before and after the peak in wheat prices that occurred during the global economic crisis in 2008. Findings of the study indicate that wheat returns on Mondays and Kansas City Board of Trade (KCBT) holidays are significant and positive while Tuesday returns are negative and significant. These seasonal patterns occur largely in the second sample of the wheat dataset. Furthermore, it is observed that volatil…
The Economic Value of Volatility Transmission Between the Stock and Bond Markets
2008
This study has two main objectives. Firstly, volatility transmission between stocks and bonds in European markets is studied using the two most important financial assets in these fields: the DJ Euro Stoxx 50 index futures contract and the Euro Bund futures contract. Secondly, a trading rule for the major European futures contracts is designed. This rule can be applied to different markets and assets to analyze the economic significance of volatility spillovers observed between them. The results indicate that volatility spillovers take place in both directions and that the stock-bond trading rule offers very profitable returns after transaction costs. These results have important implicatio…
Radical innovations: Between established knowledge and future research opportunities
2021
Abstract The fast growing body of radical innovation research is fragmented and difficult to overlook. We provide an overview of the most cited journals, authors, and publications and conduct a bibliographic coupling to structure the literature landscape. We identified the following research clusters: management of radical innovations, organizational learning and knowledge, financial aspects of radical innovation, radical innovation adoption and diffusion, radical industry innovations as challenges for incumbents, and radical innovation in specific industries. Based on an in-depth content analysis of these clusters, we identify the following future research opportunities: A systematic compi…
The shortened Corporate Ethical Virtues scale
2018
So far, the field of business ethics lacks validated measures for assessing virtues at the organizational level. The aim of this study is to investigate the measurement invariance of a shortened Corporate Ethical Virtues scale. In this manner, we contribute to validating an instrument that is both psychometrically sound and efficient to use. We conducted two survey studies of two independent groups (managers and school psychologists). Confirmatory factor analysis supported the eight‐factor model of the scale, and we found it to be invariant in two different occupational groups. The managers gave higher appraisals of ethical culture than the psychologists did in seven out of the eight dimens…
Optimal hedging under biased energy futures markets
2020
Abstract Optimal futures hedging positions for those agents trying to maximize their expected utility will depend on their view about the evolution of the market and on how risk adverse they are. The most risk adverse agents will probably decide to full-cover their positions. But when a futures bias exists, hedgers with moderate or low degree of risk aversion can alter their strategy depending on the expected gains in futures markets. In our application to the UK natural gas market, we find a statistically significant time-varying negative futures bias that can be forecasted with confidence. As a result of this bias, most effective and best performing hedging strategies for moderate risk-av…
A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
1997
The lognormal distribution assumption for the term structure of interest is the most natural way to exclude negative spot and forward rates. However, imposing this assumption on the continuously compounded interest rate has a serious drawback: rates explode and expected rollover returns are infinite even if the rollover period is arbitrarily short. As a consequence, such models cannot price one of the most widely used hedging instruments on the Euromoney market, namely the Eurodollar futures contract. The purpose of this note is to show that the problems with lognormal models result from modeling the wrong rate, namely the continuously compounded rate. If instead one models the effective an…