Spot contract

About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.

Electricity Futures Prices in an Emissions Constrained Economy: Evidence from European Power Markets

Abstract: We investigate the economic factors that drive electricity risk premia in the European emissions constrained economy. Our analysis is undertaken for monthly baseload electricity futures for delivery in the Nordic, French and British power markets. We find that electricity risk premia are significantly related to the volatility of electricity spot prices, demand and revenues, and the price volatility of the carbon dioxide (CO2) futures traded under the EU Emissions Trading Scheme (EU ETS). This finding has significant implications for the pricing of electricity futures since it highlights for the first time the role of carbon market uncertainties as a main determinant of the relationship between spot and futures electricity prices in Europe. Our results also suggest that for the electricity markets under scrutiny futures prices are determined rationally by risk-averse economic agents.

Leverage vs. Feedback: Which Effect Drives the Oil Market?

Abstract: This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant effect as it might reflect the fear of oil consumers to face rising oil prices. However, this effect is amplified by an increase in the oil price subsequent to an increase in the volatility (i.e. inverse feedback effect) with a two-day delayed effect. This lead-lag relation between the oil price and its volatility is determinant for any type of trading strategy based on futures and options on the OVX implied volatility index, and thus is of interest to traders, risk- and fund-managers.

Electricity spot price forecasting as a part of energy management in de-regulated power market

Abstract: A method for spot price forecasting in electricity exchange is presented. In the beginning of the paper, the practices of the electricity exchange of Finland are described, and a brief presentation is given on the different contracts, or electricity products, available in the spot market. For comparison, the Nordic electricity exchange is also discussed. The structure of the forecasting model, based on time series analysis, is presented, and its validity is tested using real case data obtained from the Finnish power market. The spot price forecasting model is a part of a larger computer system for distribution energy management (DEM) in a de-regulated power market.

Settlement of futures contracts in foreign currencies

Abstract: A method and system are provided for executing a transaction relating to a first futures contract. The first futures contract involves a tradable asset, such as crude oil or another commodity, and a first contract price and a first settlement price expressed in a first currency, such as U.S. dollars. The first settlement price is updated on a periodic basis, typically daily. The method involves providing a second futures contract having an underlying instrument that includes the first futures contract. The second futures contract includes a second latest possible delivery date and a second contract price and a second settlement price that are denominated in a second currency. The second settlement price is updated periodically. A periodic mark-to-market operation credits or debits a buyer of the second futures contract based on the periodic update to the second settlement price. Delivery of the second contract occurs when the buyer pays the current second settlement price in the second currency and receives the first futures contract. Then, delivery of the first futures contract is completed by delivering either the tradable entity or a financial equivalent of the tradable entity based on the current first settlement price.