Commodities最新文献

筛选
英文 中文
Sector Formula for Approximation of Spread Option Value & Greeks and Its Applications 价差期权价值和希腊字母的扇形近似公式及其应用
Commodities Pub Date : 2024-07-26 DOI: 10.3390/commodities3030017
Roza Galeeva, Zi Wang
{"title":"Sector Formula for Approximation of Spread Option Value & Greeks and Its Applications","authors":"Roza Galeeva, Zi Wang","doi":"10.3390/commodities3030017","DOIUrl":"https://doi.org/10.3390/commodities3030017","url":null,"abstract":"The goal of this paper is to derive closed-form approximation formulas for the spread option value and Greeks by using double integration and investigating the exercise boundary. We have found that the straight-line approximation suggested in previous research does not perform well for curved exercise boundaries. We propose a novel approach: to integrate in a sector and find a closed-form formula expressed in terms of the bivariate normal CDF. We call it the sector formula. Numerical tests show the good accuracy of our sector formula. We demonstrate applications of the formula to the market data of calendar spread options for three major commodities, WTI, Natural Gas, and Corn, listed on the CME site as of May, April, and June 2024.","PeriodicalId":377639,"journal":{"name":"Commodities","volume":"21 5","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141801452","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Electricity GANs: Generative Adversarial Networks for Electricity Price Scenario Generation 电力 GANs:用于生成电价情景的生成式对抗网络
Commodities Pub Date : 2024-07-08 DOI: 10.3390/commodities3030016
Bilgi Yilmaz, Christian Laudagé, Ralf Korn, Sascha Desmettre
{"title":"Electricity GANs: Generative Adversarial Networks for Electricity Price Scenario Generation","authors":"Bilgi Yilmaz, Christian Laudagé, Ralf Korn, Sascha Desmettre","doi":"10.3390/commodities3030016","DOIUrl":"https://doi.org/10.3390/commodities3030016","url":null,"abstract":"The dynamic structure of electricity markets, where uncertainties abound due to, e.g., demand variations and renewable energy intermittency, poses challenges for market participants. We propose generative adversarial networks (GANs) to generate synthetic electricity price data. This approach aims to provide comprehensive data that accurately reflect the complexities of the actual electricity market by capturing its distribution. Consequently, we would like to equip market participants with a versatile tool for successfully dealing with strategy testing, risk model validation, and decision-making enhancement. Access to high-quality synthetic electricity price data is instrumental in cultivating a resilient and adaptive marketplace, ultimately contributing to a more knowledgeable and prepared electricity market community. In order to assess the performance of various types of GANs, we performed a numerical study on Turkey’s intraday electricity market weighted average price (IDM-WAP). As a key finding, we show that GANs can effectively generate realistic synthetic electricity prices. Furthermore, we reveal that the use of complex variants of GAN algorithms does not lead to a significant improvement in synthetic data quality. However, it requires a notable increase in computational costs.","PeriodicalId":377639,"journal":{"name":"Commodities","volume":" 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141668751","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does “Paper Oil” Matter? Energy Markets’ Financialization and Co-Movements with Equity Markets 纸面石油 "重要吗?能源市场的金融化以及与股票市场的共同走势
Commodities Pub Date : 2024-05-23 DOI: 10.3390/commodities3020013
Bahattin Büyüksahin, Michel A. Robe
{"title":"Does “Paper Oil” Matter? Energy Markets’ Financialization and Co-Movements with Equity Markets","authors":"Bahattin Büyüksahin, Michel A. Robe","doi":"10.3390/commodities3020013","DOIUrl":"https://doi.org/10.3390/commodities3020013","url":null,"abstract":"We revisit, and document new facts regarding, the financialization of U.S. energy markets in 2000–2010. We show that, after controlling for macroeconomic factors and physical energy market fundamentals, the strength of energy markets’ co-movements with the U.S. stock market is positively related to the energy paper market activity of hedge funds that trade both asset classes. This relation weakens when credit risk is elevated. We find, in contrast, no link with the aggregate positions of commodity index traders in energy futures markets. Our findings have implications for the ongoing debate regarding the financialization of commodities.","PeriodicalId":377639,"journal":{"name":"Commodities","volume":"59 28","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141102839","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Investigating the Consumption Patterns of Japanese Seafood during the COVID-19 Pandemic 调查 COVID-19 大流行期间日本海产品的消费模式
Commodities Pub Date : 2024-05-22 DOI: 10.3390/commodities3020012
Kentaka Aruga, Hiroki Wakamatsu
{"title":"Investigating the Consumption Patterns of Japanese Seafood during the COVID-19 Pandemic","authors":"Kentaka Aruga, Hiroki Wakamatsu","doi":"10.3390/commodities3020012","DOIUrl":"https://doi.org/10.3390/commodities3020012","url":null,"abstract":"The COVID-19 pandemic, with increased home cooking and decreased restaurant dining, significantly altered seafood consumption patterns. By applying an ordered logit model to identify factors affecting seafood consumption during the pandemic, this study found that the shift in seafood consumption was driven by factors such as changes in meal preparation methods, more time spent at home, and shifts in financial situations. While take-out consumption boosted overall seafood intake, popular varieties saw a rise in home consumption, while high-end seafood suffered from decreased demand as consumers focused more on home dining. This study underscores the importance of supporting suppliers, restaurants, and retailers dealing with high-end seafood, as they face economic challenges due to reduced consumption. In summary, pandemic-induced restrictions on mobility led to a notable transition from restaurant-prepared seafood to home-cooked options, highlighting the need for targeted policies to aid affected sectors.","PeriodicalId":377639,"journal":{"name":"Commodities","volume":"12 12","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141108294","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Evaluating the World’s First Sovereign Blue Bond: Lessons for Operationalising Blue Finance 评估世界上第一笔主权蓝色债券:蓝色金融运作的经验教训
Commodities Pub Date : 2024-04-17 DOI: 10.3390/commodities3020010
A. March, Tegan Evans, Stuart Laing, Jeremy Raguain
{"title":"Evaluating the World’s First Sovereign Blue Bond: Lessons for Operationalising Blue Finance","authors":"A. March, Tegan Evans, Stuart Laing, Jeremy Raguain","doi":"10.3390/commodities3020010","DOIUrl":"https://doi.org/10.3390/commodities3020010","url":null,"abstract":"The Seychelles blue bond is an innovative finance mechanism that has played a pivotal role in shaping the global landscape of blue bonds. Seychelles leadership in the blue economy sets a significant precedent. However, this precedent has also raised concerns among various stakeholders. This study evaluates of Seychelles’ sovereign blue bond, which was co-developed by the government of Seychelles and the World Bank. Three themes are explored, how the blue bond relates to other actors and donors in the blue economy space of Seychelles; how the blue bond contributes to advancing the national agenda and blue economy of Seychelles; and the key strengths, enablers and weaknesses of the blue bond. A series of considerations for future blue financing and blue bond mechanisms are presented, based on the findings of this study, to ensure that financing extends beyond blue washing and contributes meaningfully to the holistic transition to a sustainable blue economy. Our findings imply significant considerations for stakeholders in sustainable finance, suggesting ways to enhance the efficacy of blue bonds and emphasising the need for further research on their long-term impact and integration with other financial instruments.","PeriodicalId":377639,"journal":{"name":"Commodities","volume":" 31","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140691402","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Dynamics of Commodity Research: A Multi-Dimensional Bibliometric Analysis 商品研究的动态:多维文献计量分析
Commodities Pub Date : 2024-04-08 DOI: 10.3390/commodities3020009
I. Nica, Nora Chiriță
{"title":"The Dynamics of Commodity Research: A Multi-Dimensional Bibliometric Analysis","authors":"I. Nica, Nora Chiriță","doi":"10.3390/commodities3020009","DOIUrl":"https://doi.org/10.3390/commodities3020009","url":null,"abstract":"This study presents a comprehensive bibliometric analysis conducted in R Studio of the scientific landscape regarding commodity markets, trading strategies, sustainable production, integration of technologies such as machine learning, and their economic impacts, covering publications from 1974 to 2023. Employing a sophisticated query in Scopus, we meticulously compiled and analyzed data, revealing an annual growth rate of 10.46% in related scientific publications, with an average citation rate of 6.60 per document. The results indicate sustained interest in commodity research over time, with a significant increase observed in scientific production, particularly since the early 2008s. International collaboration is prominent, reflecting the global nature of research in commodity markets. Key themes such as “futures markets”, “commodity prices”, and “energy commodities” emerge from the analysis of keywords and bigrams, highlighting areas of interest within the field. Additionally, thematic mapping highlights emerging and niche themes in commodity research, providing insight into evolving trends and areas of specialization. Factorial analysis of keywords reveals the underlying structures of association between key concepts, shedding light on the intricate dynamics of research in the field of commodities. This research delineates the complex interplay between commodity markets and global economic dynamics, offering invaluable insights for academics, policymakers, and market participants aiming to navigate the intricate world of commodities in the digital age.","PeriodicalId":377639,"journal":{"name":"Commodities","volume":"41 7","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140728010","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Obtaining Accurate Gold Prices 获取准确的黄金价格
Commodities Pub Date : 2024-03-13 DOI: 10.3390/commodities3010008
Amit K. Sinha
{"title":"Obtaining Accurate Gold Prices","authors":"Amit K. Sinha","doi":"10.3390/commodities3010008","DOIUrl":"https://doi.org/10.3390/commodities3010008","url":null,"abstract":"Gold prices have been of major interest for a lot of investors, analysts, and economists. Accordingly, a number of different modeling approaches have been used to forecast gold prices. In this manuscript, the geometric Brownian motion approach, used in the pricing of numerous types of assets, is used to forecast the prices of gold at yearly, monthly, and quarterly frequencies. This approach allows for simulating one-period-ahead prices and the associated probabilities. The expected prices obtained from the simulated prices and probabilities are found to provide reliable forecasts when compared with the observed yearly, monthly, and quarterly prices.","PeriodicalId":377639,"journal":{"name":"Commodities","volume":"25 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140245311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Green Ammonia Production in Stochastic Power Markets 随机电力市场中的绿色合成氨生产
Commodities Pub Date : 2024-03-06 DOI: 10.3390/commodities3010007
Ezio Lauro, Amélie Têtu, H. Geman
{"title":"Green Ammonia Production in Stochastic Power Markets","authors":"Ezio Lauro, Amélie Têtu, H. Geman","doi":"10.3390/commodities3010007","DOIUrl":"https://doi.org/10.3390/commodities3010007","url":null,"abstract":"Real assets in the energy market are subject to ecological uncertainty due to the penetration of renewables. We illustrate this point by analyzing electrolyzers, a class of assets that recently became the subject of large interest, as they lead to the production of the desirable green hydrogen and green ammonia. The latter has the advantage of being easily stored and has huge potential in decarbonizing both the fertilizer and shipping industries. We consider the optimization of green ammonia production with different types of electricity procurement in the context of stochastic power and ammonia markets, a necessary assumption to translate the features of renewable, hence intermittent, electricity. We emphasize the importance of using stochastic prices to model the volatile nature of the price dynamics effectively, illustrating the project risks that hedging activities can mitigate. This study shows the pivotal role of flexibility when dealing with fluctuating renewable production and volatile electricity prices to maximize profits and better manage risks.","PeriodicalId":377639,"journal":{"name":"Commodities","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140260962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does Crude Oil Production Respond Differently to Oil Supply and Demand Shocks? Evidence from Alaska 原油生产对石油供需冲击的反应是否不同?来自阿拉斯加的证据
Commodities Pub Date : 2024-02-09 DOI: 10.3390/commodities3010005
Jungho Baek
{"title":"Does Crude Oil Production Respond Differently to Oil Supply and Demand Shocks? Evidence from Alaska","authors":"Jungho Baek","doi":"10.3390/commodities3010005","DOIUrl":"https://doi.org/10.3390/commodities3010005","url":null,"abstract":"The paper conducts extensive research on how Alaska’s oil production is affected by shocks in oil supply, aggregate demand, and oil-specific demand under both symmetric and asymmetric scenarios. We demonstrate that employing an empirical model with the inclusion of an asymmetric assumption provides a more suitable approach for comprehensively understanding the short and long-term impacts of various oil shocks on Alaska’s oil production. We also find that Alaska’s oil production is significantly affected by oil supply and aggregate demand shocks over both short and long periods, whereas oil-specific demand shocks have a minimal impact. Finally, our research identifies asymmetric effects in the long term, particularly concerning the influence of aggregate demand and oil-specific demand shocks on Alaska’s oil production. However, no asymmetric effects are observed for the three oil shocks in the short term.","PeriodicalId":377639,"journal":{"name":"Commodities","volume":"251 3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139848698","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does Crude Oil Production Respond Differently to Oil Supply and Demand Shocks? Evidence from Alaska 原油生产对石油供需冲击的反应是否不同?来自阿拉斯加的证据
Commodities Pub Date : 2024-02-09 DOI: 10.3390/commodities3010005
Jungho Baek
{"title":"Does Crude Oil Production Respond Differently to Oil Supply and Demand Shocks? Evidence from Alaska","authors":"Jungho Baek","doi":"10.3390/commodities3010005","DOIUrl":"https://doi.org/10.3390/commodities3010005","url":null,"abstract":"The paper conducts extensive research on how Alaska’s oil production is affected by shocks in oil supply, aggregate demand, and oil-specific demand under both symmetric and asymmetric scenarios. We demonstrate that employing an empirical model with the inclusion of an asymmetric assumption provides a more suitable approach for comprehensively understanding the short and long-term impacts of various oil shocks on Alaska’s oil production. We also find that Alaska’s oil production is significantly affected by oil supply and aggregate demand shocks over both short and long periods, whereas oil-specific demand shocks have a minimal impact. Finally, our research identifies asymmetric effects in the long term, particularly concerning the influence of aggregate demand and oil-specific demand shocks on Alaska’s oil production. However, no asymmetric effects are observed for the three oil shocks in the short term.","PeriodicalId":377639,"journal":{"name":"Commodities","volume":" 19","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139788638","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:604180095
Book学术官方微信