Search results for "future"
showing 10 items of 416 documents
Analysis of risk premium in UK natural gas futures
2018
Abstract In many futures markets, trading is concentrated on the front contract and positions are rolled-over until the strategy horizon is attained. In this paper, a pair-wise comparison between the conventional risk premium and the accrued risk premium in rolled-over positions on the front contract is carried out for UK natural gas futures. Several novel results are obtained. Firstly, and most importantly, the accrued risk premium in rollover strategies is significatively larger than conventional risk premiums and increases with the time to delivery. Specifically, for strategy horizons between three and six months, this difference increases from 1% to 10% (or from 4% to 20% in annualized …
European Natural Gas Seasonal Effects on Futures Hedging
2015
Abstract This paper is the first to discuss the design of futures hedging strategies in European natural gas markets (NBP, TTF and Zeebrugge). A common feature of energy prices is that conditional mean and volatility are driven by seasonal trends due to weather, demand, and storage level seasonalities. This paper follows and extends the Ederington and Salas (2008) framework and considers seasonalities in mean and volatility when minimum variance hedge ratios are computed. Our results show that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged values of the basis (futures price minus spot price). This fact remains true for short …
On the risk premium in Nordic electricity futures prices
2011
Abstract This paper examines empirically the relationship between electricity spot and futures prices, by analysing a decade of data for a set of short term-to-maturity futures contracts traded in the Nordic Power Exchange. It is found that, on average, there are significant positive risk premiums in short-term electricity futures prices. The significance and size of the premiums, however, varies seasonally over the year; whereas it is greatest during winter, it is zero in summer. It is also found that time-varying risk premiums are significantly related to unexpectedly low reservoir levels. Furthermore, before the unprecedented supply-shock that hit the market around the end of year 2002, …
Primary commodity prices: co-movements, common factors and fundamentals
2011
The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on co-movement of commodity prices.
Early detection of contamination and defect in foodstuffs by electronic nose: A review
2017
Abstract Electronic nose (e-nose) has emerged as a potential instrument in various areas of food safety assessment for rapid early detection of contamination and defect in food production chain. E-nose is an innovative measurement system designed for detecting and discriminating complex odors through mimicking the working mechanism and the principal building blocks of the mammalian olfactory system. This paper describes a literature update of the applications of the e-nose for ensuring health and safety in the food industry. Finally, its future trend, perspectives and challenging problem are also mentioned.
Exploring the future: Runtime scenario selection for complex and time-bound decisions
2015
Abstract Scenarios are designed to support decision-makers in gaining a better understanding of the consequences of decisions. Despite their popularity in IT for Foresight, a major obstacle is the complexity of strategic decisions and the resulting multitude of scenarios. Therefore choices need to be made, which scenarios to fully work out, by which experts and in which level of detail. This paper presents an approach to support making these trade-offs between accuracy and resources spent by prioritising scenarios based on their significance for the decision even on the basis of incomplete information. This approach combines theoretical findings in decision theory with results that were eli…
Money and the natural rate of interest: structural estimates for the United States and the Euro area
2008
We examine the role of money, allowing for three competing environments: the New Keynesian model with separable utility and static money demand; a non-separable utility variant with habit formation; and a version with adjustment costs for holding real balances. The last two variants imply forward-looking behavior of real money balances, as it is optimal for agents to allow their forecast of future interest rates to affect current portfolio decisions. We distinguish between these specifications by conducting a structural econometric analysis for the U.S. and the euro area. FIML estimates confirm the forward-looking character of money demand. Using these estimates we find that, in response to…
The Future of ERP Systems: look backward before moving forward
2012
Abstract This paper explores the enterprise resource planning (ERP) systems literature in an attempt to elucidate knowledge to help us see the future of ERP systems’ research. The main purpose of this research is to study the development of ERP systems and other related areas in order to reach the constructs of mainstream literature. The analysis of literature has helped us to reach the key constructs of an as-is scenario, those are: history and development of ERP systems, the implementation life cycle, critical success factors and project management, and benefits and costs. However, the to-be scenario calls for more up-to-date research constructs of ERP systems integrating the following co…
Fifth Generation Networking Principles for a Service Driven Future Internet Architecture
2010
Published version of an article published in Wireless Personal Communications, vol. 57:393-411. Also available from the publisher at: http://dx.doi.org/10.1007/s11277-010-0076-7 The vision of all-IP networks where IP forms the simple common layer understandable across the whole network has undeniable advantages. However, such simplicity comes as a major hurdle to flexibility and functionality to the architecture. This is evident from the increasingly numerous and complex engineering solutions and optimizations required to accommodate essential qualities like mobility, security, realtime communication support etc or to mitigate the shortcomings inherent in the 'traditional Internet' architec…
El efecto de la experiencia de servicio emocional en las intenciones futuras del usuario de centros deportivos
2016
El presente trabajo analiza la influencia que tienen los aspectos emocionales en las intenciones futuras de los usuarios de centros deportivos. A través de una muestra compuesta por 512 usuarios de tres instalaciones deportivas privadas y diversas escalas adaptadas de valor percibido, satisfacción general, intenciones futuras y emociones, se realiza un análisis de consistencia interna de dichas escalas, un descriptivo de media y desviación estándar, análisis de correlación de Pearson y una regresión lineal múltiple. Los resultados mostraron que las escalas utilizadas eran fiables y la valoración de los usuarios fue alta en cuanto a la satisfacción y la experiencia emocional con el servicio.…