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 paper, the authors investigated how randomization has affected the performance of the Tel Aviv Stock Exchange at trade opening and at the expiration of stock-index derivatives, and found that preopening prices do not converge to full information values, post-randomization, opening prices on expiration days are at least as accurate as on other days.
17 citations
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13 May 2013TL;DR: This paper studies various check pointing schemes that can be used with spot instances and devise some algorithms for check pointing scheme on top of application-centric resource provisioning framework that increase the reliability while reducing the cost significantly.
Abstract: Amazon's spot instances allow customers to bid on unused Amazon EC2 capacity and run those instances for as long as their bid exceeds the current spot price. Customers may expect their services at lower cost with spot instances compared to on-demand or reserved. However, the reliability is compromised since the instances providing the service may become unavailable at any time. In this paper, we study various check pointing schemes that can be used with spot instances. Also we devise some algorithms for check pointing scheme on top of application-centric resource provisioning framework that increase the reliability while reducing the cost significantly.
17 citations
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TL;DR: The authors presented a multi-period rational-expectations model of a foreign exchange market in order to analyze the effect of introducing currency forward trading on measures of exchange-rate volatility based on an optimizing approach to risk-average agents.
17 citations
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TL;DR: In this paper, the authors analyse empirically the drivers of freight market volatility and demonstrate that the relation between the volatility of futures prices and the slope of the forward curve is non-monotonic and convex, that is, it has a V-shape.
Abstract: We analyse empirically the drivers of freight market volatility. We use several macroeconomic and shipping-related factors that are known to affect the supply and demand for shipping and examine their impact on the term structure of freight options implied volatilities (IV). We find that the level of IVs is affected by the level of the spot rate, the slope of the forward curve, as well as by both demand and supply factors, especially the former. We demonstrate that the relation between the volatility of futures prices and the slope of the forward curve is non-monotonic and convex, that is, it has a V-shape. In general, anticipation of economic growth and of a stronger freight market reduces IV whereas higher uncertainty and anticipation of excess shipping capacity may increase IV. Panel regressions as well as a series of robustness tests produce strong validation of the results.
17 citations
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TL;DR: In this article, the authors trace generalised new entrant benchmarks and their relationship to spot price outcomes in Australia's National Electricity Market over the 20-year period to 2018; from coal, to gas and more recently to variable renewables plus firming, notionally provided by shadow priced at the carrying cost of an Open Cycle Gas Turbine.
Abstract: In theory, well designed electricity markets should deliver an efficient mix of technologies at least-cost. But energy market theories and energy market modelling are based upon equilibrium analysis and in practice electricity markets can be off-equilibrium for extended periods. Near-term spot and forward contract prices can and do fall well below, or substantially exceed, relevant entry cost benchmarks and associated long run equilibrium prices. However, given sufficient time higher prices, on average or during certain periods, create incentives for new entrant plant which in turn has the effect of capping longer-dated average spot price expectations at the estimated cost of the relevant new entrant technologies. In this article, we trace generalised new entrant benchmarks and their relationship to spot price outcomes in Australia’s National Electricity Market over the 20-year period to 2018; from coal, to gas and more recently to variable renewables plus firming, notionally provided by—or shadow priced at—the carrying cost of an Open Cycle Gas Turbine. This latest entry benchmark relies implicitly, but critically, on the gains from exchange in organised spot markets, using existing spare capacity. As aging coal plant exit, gains from exchange may gradually diminish with ‘notional firming’ increasingly and necessarily being met by physical firming. At this point, the benchmark must once again move to a new technology set…
17 citations