Topic
Spot contract
About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.
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TL;DR: In this article, the performance of an ensemble-based technique for forecasting short-term electricity spot prices in the Italian electricity market (IPEX) is examined, based on three standard accuracy measures, the results indicate that the ensemble-Based model outperforms the others, while the random forest and ARMA are highly competitive.
Abstract: Efficient modeling and forecasting of electricity prices are essential in today’s competitive electricity markets. However, price forecasting is not easy due to the specific features of the electricity price series. This study examines the performance of an ensemble-based technique for forecasting short-term electricity spot prices in the Italian electricity market (IPEX). To this end, the price time series is divided into deterministic and stochastic components. The deterministic component that includes long-term trends, annual and weekly seasonality, and bank holidays, is estimated using semi-parametric techniques. On the other hand, the stochastic component considers the short-term dynamics of the price series and is estimated by time series and various machine learning algorithms. Based on three standard accuracy measures, the results indicate that the ensemble-based model outperforms the others, while the random forest and ARMA are highly competitive.
37 citations
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06 Aug 2004TL;DR: In this paper, a method and apparatus for trading a standardised contract is presented, which requires the seller to make delivery to the exchange of a standardized debt product on the delivery date of the contract for a price given by the exchange determined settlement price and a conversion factor.
Abstract: A method and apparatus for trading a standardised contract. The contract obliges the seller to make delivery to the exchange of a standardised debt product on the delivery date of the contract for a price given by the exchange determined settlement price and a conversion factor. The contract further requires to take delivery from the exchange of said debt obligation for the same price. The contract further requires the buyer or seller to make margin payments to the exchange on each trading day, or with a longer period, based on the price movements of the contract during that trading day or period if so required by the trading rules. The contract further obliges the exchange to make similar payments to the buyer or seller if they are entitled to such payments under the trading rules.
37 citations
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TL;DR: In this paper, an attempt is made to test empirically the hypothesis that increased speculation in futures markets stabilizes spot price volatility in metals markets, which is confirmed by an ad hoc volatility ratio test but by generalizing the framework of Driskill et al.
Abstract: An attempt is made to test empirically the hypothesis that increased speculation in futures markets stabilizes spot price volatility in metals markets. This is confirmed not by an ad hoc volatility ratio test but by generalizing the framework of Driskill et al. (Driskill, R., McCafferty, S. and Sheffrin, S., 1991. Speculative intensity and spot futures price variability, Economic Inquiry, 29, 737-751) and Kawai (Kawai, M. 1983. Price volatility of storable commodities under rational expectations in spot and futures markets, International Economic Review, 24, 1313-1317). The hypothesis is tested using a critical condition generated by the model: the test is based on data from the copper, gold, silver and aluminium markets. The significance of the estimated coefficients is analysed by Monte Carlo methods. The empirical results, which are based on these four metals markets for the period 1980–1990, reject the hypothesis that an increase in the intensity of futures speculation tends to decrease the spot price...
37 citations
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TL;DR: In this article, seasonal patterns and other characteristics of electricity spot prices in the Australian National Electricity Market (NEM), over a 7-year sample period, were investigated more specifically the influence of seasonalities and outliers noted in the literature on electricity prices.
Abstract: This article documents seasonal patterns and other characteristics of electricity spot prices in the Australian National Electricity Market (NEM), over a 7-year sample period. The goal is to investigate more specifically the influence of seasonalities and outliers noted in the body of literature on electricity prices. The results confirm that electricity prices exhibit significant time-of-day and day-of-week effects and monthly and yearly effects are significant to a lesser degree. Extremely high spikes in the price series are an important characteristic of electricity prices and are shown to be a highly significant component of returns behaviour. Negative prices are unusual in financial time series data but occur in Australian electricity prices and are found to be influential on returns. The implications of these finding are that seasonal and outlier effects should not be ignored in efforts to model electricity prices.
36 citations
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TL;DR: Based on the peculiarities of electricity as underlying commodity of forward contracts, this paper developed a time-continuous pricing model for short-term electricity forwards The suggested stochastic volatility model utilizes the non-tradeable spot price of electricity and its variance rate as state variables.
Abstract: Based on the peculiarities of electricity as underlying commodity of forward contracts we develop a time-continuous pricing model for short-term electricity forwards The suggested stochastic volatility model utilizes the non-tradeable spot price of electricity and its variance rate as state variables This enables us to capture the non-linearities, and the high and time varying volatility seen in electricity prices Using maximum likelihood estimation based on Kalman filtering we report empirical results on electricity data from the Californian market
36 citations