Spot contract

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

Asymmetric volatility of basis and the theory of storage

Abstract: The theory of storage states that the marginal convenience yield on inventory falls at a decreasing rate as inventory increases. Previous literature has tested this hypothesis using the so-called “direct test” approach, which employs a direct measurement of inventory levels, or the “indirect test” approach, which examines the relative variation of spot and futures prices and the relative variation of negative basis to positive basis as alternative proxies for inventory levels. The rationale behind the indirect test is based on the hypothesis that futures prices are less variable than spot prices when inventory is low, and have similar variability when inventory is high. The authors propose a “unified test” of the theory of storage that incorporates aspects of both direct and indirect tests in an ARMAX-asymmetric GARCH model framework. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:399–418, 2005

Analysis of the Dynamic Evolutionary Behavior of American Heating Oil Spot and Futures Price Fluctuation Networks

Abstract: Heating oil is an extremely important heating fuel to consumers in northeastern United States. This paper studies the fluctuations law and dynamic behavior of heating oil spot and futures prices by setting up their complex network models based on the data of America in recent 30 years. Firstly, modes are defined by the method of coarse graining, the spot price fluctuation network of heating oil (HSPFN) and its futures price fluctuation network (HFPFN) in different periods are established to analyze the transformation characteristics between the modes. Secondly, several indicators are investigated: average path length, node strength and strength distribution, betweeness, etc. In addition, a function is established to measure and analyze the network similarity. The results show the cumulative time of new nodes appearing in either spot or futures price network is not random but exhibits a growth trend of straight line. Meanwhile, the power law distributions of spot and futures price fluctuations in different periods present regularity and complexity. Moreover, these prices are strongly correlated in stable fluctuation period but weak in the phase of sharp fluctuation. Finally, the time distribution characteristics of important modes in the networks and the evolution results of the topological properties mentioned above are obtained.

Visibility graph network analysis of natural gas price: The case of North American market

Abstract: Fluctuations in prices of natural gas significantly affect global economy. Therefore, the research on the characteristics of natural gas price fluctuations, turning points and its influencing cycle on the subsequent price series is of great significance. Global natural gas trade concentrates on three regional markets: the North American market, the European market and the Asia-Pacific market, with North America having the most developed natural gas financial market. In addition, perfect legal supervision and coordinated regulations make the North American market more open and more competitive. This paper focuses on the North American natural gas market specifically. The Henry Hub natural gas spot price time series is converted to a visibility graph network which provides a new direction for macro analysis of time series, and several indicators are investigated: degree and degree distribution, the average shortest path length and community structure. The internal mechanisms underlying price fluctuations are explored through the indicators. The results show that the natural gas prices visibility graph network (NGP-VGN) is of small-world and scale-free properties simultaneously. After random rearrangement of original price time series, the degree distribution of network becomes exponential distribution, different from the original ones. This means that, the original price time series is of long-range negative correlation fractal characteristic. In addition, nodes with large degree correspond to significant geopolitical or economic events. Communities correspond to time cycles in visibility graph network. The cycles of time series and the impact scope of hubs can be found by community structure partition.

Convergence of Electricity Wholesale Prices in Europe? - A Kalman Filter Approach

Abstract: This study tests the hypothesis that the ongoing restructuring process in the European electricity sector, as well as market participants’ adaptation to the new legal framework, have caused electricity wholesale day-ahead prices to converge towards arbitrage freeness. Using hourly cross-border capacity auction results at the Dutch-German and at the Danish-German border for the years 2002 to 2004, and the respective spot prices, we estimate a time-varying coecient model based on the law of one price (LOP). The results of these estimations are used to calculate the speed of convergence towards the LOP. While the German - Dutch prices and the German - West Danish prices are clearly developing towards arbitrage freeness, the German and East Danish prices do not exhibit significant convergence.

Extreme Value Theory for Heavy Tails in Electricity Prices

Abstract: Typical characteristics of electricity day-ahead prices at the European Power Exchange (EPEX) are very high volatility and a large number of extreme price changes. In this paper, we look at hourly spot prices at the German electricity market and apply extreme value theory (EVT) to investigate the tails of the price change distribution. Our results show the importance of delimiting price spikes and modelling them separately from the core of the price distribution. In particular, we get a realistic fit of the generalized Pareto distribution (GPD) to autoregressive–generalized autoregressive conditional heteroscedasticity (AR–GARCH) filtered price change series; based on this model, accurate forecasts of extreme price quantiles are obtained. Generally, our results suggest that EVT is of interest for both risk managers and portfolio managers in the highly volatile electricity market.