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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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Journal ArticleDOI
TL;DR: The authors analyzes the relationship between forward exchange rates, future spot rates and new information and finds that new information plays an important role in explaining the market forecasting error, or difference between the spot rate and the forward rate, determined in the previous period.

87 citations

Journal ArticleDOI
TL;DR: In this paper, it was shown that the optimality of resource allocation depends on the accuracy of the forward price, at the time production decisions are made, as a forecast of the subsequent spot price when consumption occurs.
Abstract: P AUL COOTNER stimulated significant research on the subject of speculative markets in both commodities and equities. His papers (1960, 1964, 1967) were original and provocative. One paper began with the statement: "The subject matter of this paper is bound to be considered heresy. I can say that without equivocation, because whatever views anyone expresses on this subject are sure to conflict with someone else's deeply held beliefs" (1964, p. 231). Most of the papers concerned with the operation of futures markets in commodities test the '"efficiency" of the market by examining the stochastic nature of futures prices (which Samuelson refers to as the Idiot of Chance).' In particular, it is asked whether the price of a futures contract is a martingale. Cootner's contention, which runs counter to the tide of academic writings, is that speculative prices are not random walks but are constrained by economically determined barriers (1964, ch. 11). The present paper is in the spirit of Cootner's thinking about the economic and welfare implications of speculative markets. My main conclusions are as follows. (1) The optimality of resource allocation (defined as the sum of consumer and producer surplus) depends upon the accuracy of the forward price, at the time production decisions are made, as a forecast of the subsequent spot price when consumption occurs. The existence or nonexistence of the martingale property of futures prices between these two dates is irrelevant for welfare purposes. (2) Social loss is a multiple of the square of the forecast error between the forward price and the subsequent spot price. Expected social loss is irreducible when the forward price is equal to the mathematical expectation of the subsequent spot price. (3) The longer the period between the production decisions and the subsequent consumption decisions, the greater the bias between the forward price and subsequent spot price. (4) It has been claimed that in an efficient market, the spot price at time t should just depend upon the price at t 1 and not upon earlier prices. It is proved that this situation is neither a necessary nor a sufficient condition for rational expectations. (5) Therefore, there is a tenuous connection between the stochastic nature of speculative price and measures of economic welfare; but there is a direct connection between the forecast errors and economic welfare.

87 citations

Journal ArticleDOI
TL;DR: In this paper, the authors proposed a scheduling policy for flexible contracts that allow flexible scheduling of the supply or demand of electric energy, based on the principle of no-arbitrage.
Abstract: This paper is concerned with pricing of electricity contracts that allow flexible scheduling of the supply or demand of electric energy. The contracts are priced based on the principle of no-arbitrage. Variables of the contracts are used to determine arbitrage opportunities and the price of contracts. Pricing of flexible contracts involves a scheduling policy. By representing the spot price with an appropriate stochastic process, the scheduling policy can be found using stochastic dynamic programming. Simulation examples illustrate the tradeoffs between prices and scheduling flexibility.

86 citations

Journal ArticleDOI
TL;DR: In this paper, the length of the real estate listing contract is examined as a means of providing an incentive for brokers to act in the best interest of home sellers, and a limitation on the duration of the contract accomplishes this objective by imposing a cost (namely the foregone commission) on brokers who fail to complete a sale before the contract expires.
Abstract: The length of the real estate listing contract is examined as a means of providing an incentive for brokers to act in the best interest of home sellers. A limitation on the duration of the contract accomplishes this objective by imposing a cost (namely, the foregone commission) on brokers who fail to complete a sale before the contract expires. The seller's optimal contract duration balances the benefits of improved incentives against the expected cost of renegotiating a new contract in the event of a failure bv the broker.

86 citations

Posted Content
TL;DR: The results on the benchmark suggest that a dynamic model of 13 lags is the optimal to forecast spot price direction for the short-term, and will generate comprehensive understanding of the crude oil dynamic which help investors and individuals for risk managements.
Abstract: This paper presents a model based on multilayer feedforward neural network to forecast crude oil spot price direction in the short-term, up to three days ahead. A great deal of attention was paid on finding the optimal ANN model structure. In addition, several methods of data pre-processing were tested. Our approach is to create a benchmark based on lagged value of pre-processed spot price, then add pre-processed futures prices for 1, 2, 3,and four months to maturity, one by one and also altogether. The results on the benchmark suggest that a dynamic model of 13 lags is the optimal to forecast spot price direction for the short-term. Further, the forecast accuracy of the direction of the market was 78%, 66%, and 53% for one, two, and three days in future conclusively. For all the experiments, that include futures data as an input, the results show that on the short-term, futures prices do hold new information on the spot price direction. The results obtained will generate comprehensive understanding of the crude oil dynamic which help investors and individuals for risk managements.

86 citations


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