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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.


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Book ChapterDOI
18 Jul 2005
TL;DR: In this article, the authors analyze the electricity portfolio problem of a big consumer in a multi-stage stochastic programming framework and compare the results with classical fix mix strategies, which are outperformed.
Abstract: In this paper we analyze the electricity portfolio problem of a big consumer in a multi-stage stochastic programming framework. Stochasticity enters the model via the uncertain spot price process and is represented by a scenario tree. The decision that has to be taken is how much energy should be bought in advance, and how large the exposition to the uncertain spot market, as well as the relatively expensive production with an own power plant should be. The risk is modeled using an Average Value-at-Risk (AVaR) term in the objective function. The results of the stochastic programming model are compared with classical fix mix strategies, which are outperformed. Furthermore, the influence of risk parameters is shown.

17 citations

01 Jan 2009
TL;DR: This paper studied the macroeconomic information conveyed by transaction flows in the foreign exchange market and proposed a new genre of model for the concurrent empirical link between spot prices and transaction flows that produces two new implications for forecasting.
Abstract: We study the macroeconomic information conveyed by transaction flows in the foreign exchange market. We present a new genre of model for the concurrent empirical link between spot prices and transaction flows that produces two new implications for forecasting: (i) transaction flows should have incremental forecasting power for future fundamentals relative to current spot prices and fundamentals, and (ii) transaction flows should have forecasting power for future excess returns if the information conveyed affects the risk premium. Both predictions are borne out empirically. Transaction flows in the EUR/USD market forecast GDP growth, money growth, and inflation. They also forecast future exchange rate returns, and this occurs via the information that flows carry concerning the future of the macro variables that drive the risk premium.

17 citations

Journal ArticleDOI
TL;DR: In this article, the authors proposed a de-seasonalised HOHMC model to capture the stylised behaviors of price evolution, especially during periods of sudden spikes driven by the abrupt changes of market sentiments.

17 citations

Journal ArticleDOI
TL;DR: In this article, the no-arbitrage condition is used to derive a long-run relationship between volatility measures and to justify the use of a fractional vector error correction model (FVECM) to study their dynamic relationship.
Abstract: The no-arbitrage relation between futures and spot prices implies an analogous relation between futures and spot daily ranges. The long-memory features of the range-based volatility estimators are analyzed, and fractional cointegration is tested in a semi-parametric framework. In particular, the no-arbitrage condition is used to derive a long-run relationship between volatility measures and to justify the use of a fractional vector error correction model (FVECM) to study their dynamic relationship. The out-of-sample forecasting superiority of FVECM, with respect to alternative models, is documented. The results highlight the importance of incorporating the long-run equilibrium in volatilities to obtain better forecasts, given the information content in the volatility of futures prices. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 33:77–102, 2013

17 citations

Journal ArticleDOI
TL;DR: In this paper, the authors estimate the value of the "merit-order effect" due to wind power generation in the Iberian market, in the period between 1st January 2008 and 31st October 2016.
Abstract: Renewable energy generation depresses electricity spot prices, which is often used as argument to justify incentives provided to renewables. In the so-called “merit-order effect”, renewable power reduces the load available for conventional power and displaces higher marginal cost generation out of the market. In this study, we estimate the value of the “merit-order effect” due to wind power generation in the Iberian market, in the period between 1st January 2008 and 31st October 2016. This value, representing consumers’ potential cost savings, is compared with the direct costs of the financial incentives in Portugal and in Spain. The accumulated “merit-order effect” amount is estimated to be 26.1 billion €, whilst the total values for the financial incentives reported is 23.9 billion €. The value of the “merit-order effect” explains the existing lower returns by conventional generation and might have additional impacts on future RES projects, subject to normal electricity market risks.

17 citations


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