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: Even though commodity-pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices as discussed by the authors, which is a limitation of the model.
Abstract: Even though commodity-pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This pap...
27 citations
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TL;DR: In the UK, wholesale electricity is sold in a spot market partly covered by long-term contracts which hedge the spot price as discussed by the authors, which is profitable in the absence of contracts, however, if fully hedged, the generators lose their incentive to raise prices above marginal costs.
Abstract: In England and Wales, wholesale electricity is sold in a spot market partly covered by long-term contracts which hedge the spot price. Two dominant conventional generators can raise spot prices to undesirable levels, which is profitable in the absence of contracts. If fully hedged, however, the generators lose their incentive to raise prices above marginal costs. Competition in the contract market could lead the generators to sell contracts for much of their output. Since privatisation, the generators have indeed covered most of their sales in the contract market.
27 citations
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TL;DR: In this article, the authors examined the price discovery between futures and spot markets in South Africa over the period 2002 to 2006 and employed four empirical methods: (i) a cointegration test, (ii) a vector error correction model, (iii) a Granger causality test, and (iv) an Error Correction model with TGARCH errors.
Abstract: This paper examines the price discovery between futures and spot markets in South Africa over the period 2002 to 2006. We employ four empirical methods: (i) a cointegration test, (ii) a Vector Error Correction model, (iii) a Granger causality test, and (iv) an Error Correction model with TGARCH errors. Empirical results show that FTSE/JSE Top 40 stock index futures and spot markets are cointegrated. Furthermore, Granger causality, VECM and ECM-TGARCH(1,1) results suggest a bidirectional causality (feedback) between futures and spot prices. We show that futures and spot play a strong price discovery role (FTSE/JSE Top 40 futures prices lead spot prices and vice versa).
27 citations
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TL;DR: Feng et al. as discussed by the authors investigated the efficiency of the Chinese metal futures (i.e., copper and aluminum) traded on China's Shanghai Futures Exchange, and argued that China's commodity futures markets are efficient, and that futures prices can be considered as unbiased predictors of future spot prices.
Abstract: This study investigates the efficiency of the Chinese metal futures (i. e. copper and aluminum) traded on China's Shanghai Futures Exchange. First, we thoroughly analyze the development of China's commodity futures markets, which provides a fundamental background. Then we examine the random walk and unbiasedness hypotheses for two metal futures during 1999–2004. Based on the empirical evidence, we argue that China's copper and aluminum futures markets are efficient, and that they aid the process of price discovery because futures prices can be considered as unbiased predictors of future spot prices. We attribute this efficiency to the regulatory changes made in 1999 and the increased financial skills and acumen of the participants in the market.
Edited by Xiaoming Feng
27 citations
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TL;DR: In this article, a hybrid forecasting model of monthly Henry Hub natural gas prices based on variational mode decomposition (VMD), particle swarm optimization (PSO), and deep belief network (DBN) is proposed.
27 citations