Search results for "futures"
showing 10 items of 101 documents
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.
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…
Futures pricing in electricity markets based on stable CARMA spot models
2012
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increments process for the low-frequency dynamics, and model the large uctuations by a non-Gaussian stable CARMA process. The model allows for analytic futures prices, and we apply these to model and estimate the whole market consistently. Besides standard parameter estimation, an estimation procedure is suggested, where we t the non-stationary trend using futures data with long time until delivery, and a robust L 1 -lter to nd the states of …
Supporting value creation in SMEs through capacity building and innovation initiatives: the danger of provoking unsustainable rapid growth
2009
Value creation comes in many guises, and may be achieved through expansion and efficiency, innovation and novel processes, and closer alignment with customer needs. This article examines the real dangers to firms, especially small firms, which pursue very ambitious capacity growth plans in order to chase market opportunities. Case analysis has unearthed a new phenomenon, which might be termed ‘business gigantism’ – a situation of rapid and unsustainable growth that places severe strains on the firm. This article briefly recounts two case studies where small firms secured substantial funding to support rapid expansion – in both cases via public agencies. In each case, funding was justified b…
Assessing price clustering in European Carbon Markets
2012
Abstract The presence of price clustering in markets is taken as a sign of market inefficiency that can influence trading strategies. In this paper, we study the presence of a concentration in prices in carbon futures markets. Specifically, we analyze the European Carbon Futures Markets and test for evidence of preference for certain prices above others. Our results reveal the strong presence of price clustering in the carbon market at prices ending in digits 0 and 5. These findings support the attraction hypothesis, which endorses a significant clustering on gravitational prices, but also backs the negotiation hypothesis, which advocates greater clustering when trading costs are higher.
Rural futures in developed economies: The case of Finland
2015
Abstract This study presents four possible images of rural futures in Finland: decentralized bio-economy, colonial countryside, museum countryside and rural business islets. They are distilled through literature reviews, futures workshops and futures tables. Alternative specifications of structures, contents and agencies result in highly divergent states of key dimensions and, consequently, divergent rural futures. This diversity challenges the conventional public wisdom or intellectual monoculture that considers decay as the only future for rural areas. Key challenges in crafting plausible but divergent futures images are finding an appropriate level of abstraction or “flight altitude”, es…
Technology Assessment of Socio-Technical Futures: A Discussion Paper
2019
Problem: Visions of technology, future scenarios, guiding visions (Leitbilder) represent imaginations of future states of affairs that play a functional role in processes of technological research, development and innovation—e.g. as a means to create attention, communication, coordination, or for the strategic exertion of influence. Since a couple of years there is a growing attention for such imaginations of futures in politics, the economy, research and the civil society. This trend concerns technology assessment (TA) as an observer of these processes and a consultant on the implications of technology and innovation. TA faces increasing demands to assess imaginations of futures that circu…
Hedging effectiveness of European wheat futures markets
2014
The instability of commodity prices and the hypothesis that speculative behaviour was one of its causes has brought renewed interest in futures markets. In this paper, the hedging effectiveness of European and US wheat futures markets were studied to test whether they were affected by the high price instability after 2007. Implicitly, this is a test of whether the increasing presence of speculation in futures markets have made them divorced from the physical markets. A multivariate GARCH model was applied to compute optimal hedging ratios. No important evidence was found of a change in the effectiveness of hedging after 2007.