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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01 Sep 2013
TL;DR: By analyzing the spot price histories of Amazon's EC2 cloud, this work reverse engineer how prices are set and construct a model that generates prices consistent with existing price traces, finding that prices are usually not market-driven as sometimes previously assumed.
Abstract: Cloud providers possessing large quantities of spare capacity must either incentivize clients to purchase it or suffer losses. Amazon is the first cloud provider to address this challenge, by allowing clients to bid on spare capacity and by granting resources to bidders while their bids exceed a periodically changing spot price. Amazon publicizes the spot price but does not disclose how it is determined.By analyzing the spot price histories of Amazon’s EC2 cloud, we reverse engineer how prices are set and construct a model that generates prices consistent with existing price traces. Our findings suggest that usually prices are not market-driven, as sometimes previously assumed. Rather, they are likely to be generated most of the time at random from within a tight price range via a dynamic hidden reserve price mechanism. Our model could help clients make informed bids, cloud providers design profitable systems, and researchers design pricing algorithms.
372 citations
TL;DR: In this article, a large file of Texas-based 15-min data was used to show that while increasing wind generation does indeed tend to reduce the level of spot prices, it is also likely to enlarge the spot-price variance.
372 citations
TL;DR: In this paper, the authors present a simple model implying that futures risk premia depend on both own-market and cross-market hedging pressures and show that hedging pressure also contains explanatory power for returns on the underlying asset, as predicted by the model.
Abstract: We present a simple model implying that futures risk premia depend on both ownmarket and cross-market hedging pressures. Empirical evidence from 20 futures markets, divided into four groups ~financial, agricultural, mineral, and currency! indicates that, after controlling for systematic risk, both the futures own hedging pressure and cross-hedging pressures from within the group significantly affect futures returns. These effects remain significant after controlling for a measure of price pressure. Finally, we show that hedging pressure also contains explanatory power for returns on the underlying asset, as predicted by the model. FUTURES PRICES ARE KNOWN TO DEVIATE from expected future spot prices because of risk premia that traders expect to earn ~or pay! when trading in futures markets. Futures risk premia are important because they affect the costs and benefits of hedging, as well as the diversification benefits that result from including futures in investment portfolios. Also, to the extent that economic agents make their production, storage, and consumption decisions by looking at futures prices as indicators of future spot prices, it is important to know the bias that exists in futures prices. There is an ongoing debate about the determinants of futures risk premia. Futures risk premia are usually related to systematic risk, as in the work of Dusak ~1973!, Black ~1976!, and Jagannathan ~1985!, among others, and to net positions of hedgers in futures markets, which is known as hedging pressure. Hedging pressure results from risks that agents cannot, or do not want to trade because of market frictions such as transaction costs and information asymmetries. The use of hedging pressure as an explanation for the futures price bias dates back to Keynes ~1930! and Hicks ~1939!, and has more recently been incorporated in models that allow both hedging pressure and systematic risk to affect futures prices ~see, e.g., Stoll ~1979! and Hirshleifer ~1988, 1989!!. Carter, Rausser, and Schmitz ~1983! and Bessembinder ~1992! provide empirical evidence for the combined role of the futures con
361 citations
Patent•
12 Feb 1999
TL;DR: In this article, a standardized contract is traded through an exchange that guarantees payment to the buyer of any amount owed to the seller from the seller as a result of the contract, and that guarantee payment to a seller from a buyer from the buyer.
Abstract: A method, system, computer program product, and data structure for trading in which a standardized contract is traded The contract obligates a buyer and a seller (two of the customers 12, 14, and 16) to settle the contract based on a price of the contract at a first effective date The contract is traded through an exchange that guarantees payment to the buyer of any amount owed to the buyer from the seller as a result of the contract and that guarantees payment to the seller of any amount owed to the seller from the buyer as a result of the contract The price of the contract is determined based on preselected notional cash flows discounted by an interest rate swap curve obtained from a preselected swap rate source (18)
356 citations
TL;DR: In this article, the forecasting abilities of a battery of univariate models on hourly electricity spot prices, using data from the Leipzig Power Exchange, were studied using an autoregressive model.
348 citations