Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 30 for “"spot price"”.
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Institutional aspects of spot price coordinated electric power systems
Thesis: M.S., Massachusetts Institute of Technology, Department of Mechanical Engineering, 1993
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Spread, inventory and spot price volatility in the platinum market
… in the demand-and-supply conditions have on spot and futures prices. With the use of monthly data for the period January 1992 to January 2010, I find that the predictions of the theory of storage do not always hold in the platinum market. In conflict with the theoretical predictions, I find …
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A Comparison of Natural Gas Spot Price Linear Regression Forecasting Models
… gas in the United States follows a yearly price pattern of high prices during the winter heating season and lows during the summer months. During the winter heating season the daily and weekly price fluctuations for natural gas are normally related to ambient air temperature and other …
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Estimating Spot Price and Smooth Forward Curve in Electricity Markets with Bayesian Penalized Spline
… a method for estimating a continuous forward price curve from market forward prices quoted over a period. The approach is illustrated using observed market data from the Mid-Columbia (Mid-C) and California Oregon Border (COB) pricing hubs. Since Mid-C is a liquid market where forward contracts …
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Modeling of electricity spot prices for derivative valuation : capturing volatility clustering and price jumps
… and extreme events where the electricity spot price exhibits spiky behaviour and volatility clustering. Extreme events appear when e.g. a power plant is unexpectedly closed down, or temperature drops significantly, and the spot price volatility may exceed mean price by several orders of …
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Modelling energy markets and pricing energy derivatives
… methodologies for modelling the underlying spot price dynamics in energy markets. After a brief introduction in the alternative forms of derivation that may be used for speculative and risk management purposes in energy markets, we assess the performance of the standard Black's framework in …
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Evolutionary Models Of Market Behavior
… and their inherent abilities to predict the spot price, reflected in their distributions of prediction errors with respect to the spot price. In a dynamic model of a futures market, speculators with a continuous spectrum of all possible predictive abilities are followed through time. With …
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Optimal operating strategy for a storage facility
… the properties in the underlying natural gas spot price. To achieve the objective, I investigate the optimal operating strategy under three different spot price processes: the one-factor mean reversion price process with and without seasonal factors, the one-factor geometric Brownian motion …
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Price discovery, market efficiency and temporal dynamic price relationship: an empirical analysis of worldwide precious metals markets
The aim of this research is to investigate the price discovery, market efficiency and the temporal dynamic price relationships between financial prices (futures and index) and spot price, for three of the most important precious metals, namely gold, silver and platinum.When people are concerned …
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Modelling seasonality in South African agricultural futures
… seasonality in agricultural commodity futures prices. Futures prices are modelled using the model developed by Sørensen (2002). The model defines the commodity spot price as the sum of a nonstationary state variable, a stationary state variable and a deterministic seasonal component. Standard …
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Modelling spot prices, risk management, and investment strategies for the energy markets
This thesis addresses the topics of spot price modelling, risk management, and investment applications in the energy markets. Eight of the most important energy markets that trade futures contracts on NYMEX, and one Spot Energy Index (SEI) proposed for the first time in this thesis, are …
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Cointegration relations between spot and futures prices for selected commodities: Implications for hedging and forecasting
Cointegration analysis is used to study the spot and futures price relationships for two storable commodities, corn and soybeans, and a nonstorable commodity, live hogs, over a 13-year period, 1980 to 1992. For corn and soybeans, cointegration is found in most pre-harvest contracts (July), and …
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Price Dynamics in LNG Spot Markets: An Econometric Analysis
… has touched upon the dynamics behind the LNG spot price mechanisms. Given the fact that long-term LNG contracts are linked to oil and/or hub-based pricing, an interesting question is which determinants drive LNG spot prices and their volatility in world markets. This dissertation employs …
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Stable processes: theory and applications in finance
… pricing commodity futures in markets where the spot price includes jumps. The jumps are introduced by subordinating Brownian motion in the spot model by an α-stable process, α ε (0; 1] which leads to a new pricing approach for models with latent variables. The third problem is the pricing of …
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The relationship between crude oil and natural gas spot prices and its stability over time
… for a link between crude oil and natural gas prices was examined to determine whether one has existed in the past and exists in the present. Physical bases for a price relationship are examined. An econometric modeling exercise seeks to establish whether a stable price relationship exists and …
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Mean and Volatility Spillovers in Emission Allowance and Fuel Returns
… relationship between these four assets, using spot price data for natural gas, oil, and SO2 allowances and futures price data for coal. This paper uses univariate and multivariate GARCH modeling procedures and finds, among other results, evidence that changes in the price SO2 allowances effect …
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Mean and Volatility Spillovers in Emission Allowance and Fuel Returns
… relationship between these four assets, using spot price data for natural gas, oil, and SO2 allowances and futures price data for coal. This paper uses univariate and multivariate GARCH modeling procedures and finds, among other results, evidence that changes in the price SO2 allowances effect …
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Essays in Power System Economics
… method for modeling competition in electricity spot markets, namely, by approximating the supply functions of the competitors with cubic splines. We argue that this method is preferable to approximation by linear or piecewise-affine functions, which have been the main approaches to date. We …
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A Stochastic Model for Power Prices in the Alberta Electricity Market
… must deal with the problem of hedging load and price risk. Power prices typically exhibit some characteristics that are crucial to be considered in modelling power prices. In Alberta, periodicity, mean-reversion, and sudden power price spikes are the most common characteristics of power prices …
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Risk and Return Comparisons of Pre-harvest Marketing Strategies
… and sold by various parties in the supply chain. Price, yield, and production costs vary daily and can have large variation between years. Risk and Return Comparisons of Pre-harvest Marketing Strategies examines the effectiveness of using pre-harvest marketing strategies to enhance returns and to …
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