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Spot contract

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


Papers
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Journal ArticleDOI
TL;DR: In this article, the authors develop a stylized model to investigate the impact of financial options on reducing carbon permit price volatility under a cap-and-trade system, and show that both the spot price level and the price volatility of carbon permits can be reduced via the trading of financial option, while achieving the emission reduction target.

36 citations

Proceedings ArticleDOI
23 Jun 2010
TL;DR: In this paper, an agent-based model is applied to model the German electricity wholesale market with its four major German utility companies, which is used to assess base and peak power spot prices for scenarios implying doubling or tripling wind generation capacity in Germany.
Abstract: An agent-based model is applied to model the German electricity wholesale market with its four major German utility companies. The model is utilized to assess base and peak power spot prices for scenarios implying doubling or tripling wind generation capacity in Germany. Furthermore, the effect of 8 million Plug-In Hybrid Electric Vehicles (PHEVs), incorporating different charging/discharging patterns, on spot prices is evaluated. In the model the power generating units within the utilities are modeled by agents. These agents are trained to increase their profits by using a reinforcement learning approach combined with a genetic algorithm resulting in heuristically optimized bidding strategies. This approach allows to take into account strategic market behavior and the exercise of market power when analyzing future wind expansion and wide scale PHEV adoption scenarios. The wind generation is considered as an exogenous input to the model which estimates potential electricity prices and total cost for consumers.

36 citations

Journal ArticleDOI
01 Apr 1996
TL;DR: Time-series evidence yields estimates of the increase in the spread on the South African rand on days when riots, demonstrations, armed attacks, and related deaths occur in South Africa.
Abstract: Time-series evidence yields estimates of the increase in the spread on the South African rand on days when riots, demonstrations, armed attacks, and related deaths occur in South Africa. The cross-section evidence demonstrates how spreads vary across thirty-six industrial and developing countries as spot rate volatility and country risk vary. Both the changes in the spread over time for particular countries and the changes in the spread across the countries at a particular time appear to be significantly related to countries' risk differences and exchange-rate volatility. Copyright 1996 by Royal Economic Society.

35 citations

Journal ArticleDOI
TL;DR: The authors analyzes the hedging decisions for firms facing price and basis risk and highlights the role of options as useful hedging tools from the shape of the first-best solution, and then it is used to examine the optimal hedging strategy in futures and options markets.
Abstract: This paper analyzes the hedging decisions for firms facing price and basis risk. Two conditions assumed in most models on optimal hedging are relaxed. Hence, (i) the spot price is not necessarily linear in both the settlement price and the basis risk and (ii) futures contracts and options on futures at different strike prices are available. The design of the first-best hedging instrument is first derived and then it is used to examine the optimal hedging strategy in futures and options markets. The role of options as useful hedging tools is highlighted from the shape of the first-best solution. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:59–72, 2002

35 citations

Journal ArticleDOI
TL;DR: A hybrid model that combines the results from multiple linear regression (MLR) model with an auto-regressive integrated moving average (ARIMA) and Holt–Winters models for better forecasts is presented.
Abstract: Accurate forecast of the hourly spot price of electricity plays a vital role in energy trading decisions. However, due to the complex nature of the power system, coupled with the involvement of multi-variable, the spot prices are volatile and often difficult to forecast. Traditional statistical models have limitations in improving forecasting accuracies and reliably quantifying the spot electricity price under uncertain market conditions. This paper presents a hybrid model that combines the results from multiple linear regression (MLR) model with an auto-regressive integrated moving average (ARIMA) and Holt-Winters models for better forecasts. The proposed method is tested for the Iberian electricity market data set by forecasting the hourly day-ahead spot price with dataset duration of 7, 14, 30, 90, and 180 days. The results indicate that the hybrid model outperforms the benchmark models and offers promising results under most of the testing scenarios.

35 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20241
202376
2022205
2021111
2020115
2019106