Spot contract

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

Jump Processes in Natural Gas Markets

Abstract: Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in the U. S. and in the U. K. We find compelling empirical evidence for the importance of jumps in both markets, though jumps appear to appear more frequently in the U. K. Some of the difference between the U.S. and U.K. jump probabilities may be due to oil prices, other factors play a role.

Optimization Topics Related to Small Power Producing Facilities Operating under Energy Spot Pricing Policies

Abstract: Small Power Producing Facilities will become more and more common as the various provisions of the Public Utility Regulatory Policies Act (PURPA) are taken advantage of by utility and customers. These facilities incorporate several features which allow the user to increase his operational flexibilty with respect to the local utility. These facilities can be: local generation, local dependent generation, local energy storage facility, and shiftable load schedule. The only true control the utility has over the actual operation of such facilities is through the judicious selection of the energy prices proposed to such users both for the sale and purchase of energy. It is likely that most utilities will react to this novel user-utility relationship by implementing time-varying energy prices to better reflect their own production costs. These time varying energy prices are often referred to as Spot Prices and are rather commonly used in Europe. A key issue is then the simulation of the various SPPF loads under various spot pricing policies and as they would be seen from the utility's point of view. The purpose of the paper is to describe a general and flexible model for a large variety of SPPFs and to demonstrate its use on a number of operations planning and plant design problems.

Integrating Multiple Commodities in a Model of Stochastic Price Dynamics

Abstract: In this paper we develop a multi-factor model for the joint dynamics of related commodity spot prices in continuous time. We contribute to the existing literature by simultaneously considering various commodity markets in a single, consistent model. In an application we show the economic significance of our approach. We assume that the spot price processes can be characterized by the weighted sum of latent factors. Employing an essentially-affine model structure allows for rich dependencies among the latent factors and thus, the commodity prices. The co-integrated behavior between the different spot price dynamics is explicitly taken into account. Within this framework we derive closed-form solutions of futures prices. The Kalman Filter methodology is applied to estimate the model for crude oil, heating oil and gasoline futures contracts traded on the NYMEX. Empirically, we are able to identify a common non-stationary equilibrium factor driving the long-term price behavior and stationary factors affecting all three markets in a common way. Additionally, we identify factors which only impact subsets of the commodities considered. To demonstrate the economic consequences of our integrated approach, we evaluate the investment into a refinery from a financial management perspective and compare the results with an approach neglecting the co-movement of prices. This negligence leads to radical changes in the project's assessment.

System and Method for Commodity Futures Contract Trading Risk Management

Abstract: of the Disclosure A system for trading commodity futures contracts and options is provided. The system includes a user account system that has user-entered trade data, such as to buy a commodity futures contract for copper. A user information system is connected to the user account system and provides commodities trading data to users, such as a description of what a commodity futures contract is, and how copper prices have historically fluctuated. A trading controls system connected to the user account system receives user account data from the user account system and inhibits the user-entered trade data in response to the user account data.