Commodity Price Dynamics
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Commodity Price Dynamics
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Author : Craig Pirrong
language : en
Publisher: Cambridge University Press
Release Date : 2011-10-31
Commodity Price Dynamics written by Craig Pirrong and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-31 with Business & Economics categories.
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Modeling And Estimation Of Commodity Price Dynamics
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Author : Claudio Cina
language : en
Publisher:
Release Date : 2011
Modeling And Estimation Of Commodity Price Dynamics written by Claudio Cina and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Commodity prices exhibit different characteristics than traditional asset classes. This paper provides an in-depth analysis of the corresponding price dynamics transferring a time series approach originally proposed by Chan et al. (1992) to the field of commodities. One unrestricted and eight restricted stochastic models are assessed and empirically tested. Besides an incorporated mean reversion feature, the model also allows the volatility to change with the underlying price. Daily data of 22 commodities out of different sectors are taken into consideration. Generic front month future contracts form July 24, 1997 to January 6, 2011 were used for the analysis (3511 observations), further splitting the time series into a bull (2002 - 2006) and bear market regime (2007 - 2008). Generalized Method of Moments (GMM) are applied to estimate the unknown parameters and a &u9672 goodness-of-fit test is run to evaluate which models capture best the dynamics of the corresponding commodities for different market regimes. In line with Geman and Shih (2009) we find that the CEV exponent &u947 plays a very important role in the modeling of commodity price dynamics whereas the mean reversion effect disappears for most of the commodities for the different periods under analysis.
Commodity Price Dynamics
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Author : Craig Pirrong
language : en
Publisher: Cambridge University Press
Release Date : 2011-10-31
Commodity Price Dynamics written by Craig Pirrong and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-31 with Business & Economics categories.
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders, and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminum to oil to soybeans to zinc.
Advanced Positioning Flow And Sentiment Analysis In Commodity Markets
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Author : Mark J. S. Keenan
language : en
Publisher: John Wiley & Sons
Release Date : 2020-02-18
Advanced Positioning Flow And Sentiment Analysis In Commodity Markets written by Mark J. S. Keenan and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-18 with Business & Economics categories.
The definitive book on Positioning Analysis — a powerful and sophisticated framework to help traders, investors and risk managers better understand commodity markets Positioning Analysis is a powerful framework to better understand commodity price dynamics, risk, and sentiment. It indicates what each category of trader is doing—what they are trading, how much they are trading and how they might behave under a variety of different circumstances. It is essential in isolating specific types of flow patterns, defining behavioral responses, measuring shifts in sentiment, and developing tools for better risk management. Advanced Positioning, Flow and Sentiment Analysis in Commodity Markets explains the fundamentals of Positioning Analysis and presents new concepts in Commodity Positioning Analytics. This invaluable guide helps readers recognize how certain types of positioning patterns can be used to develop models, indicators, and analyses that can be used to enhance performance. This updated second edition contains substantial new material, including analytics based on the analysis of flow, the decomposition of trading flows, trading activity in the Chinese commodity markets, and the inclusion of Newsflow into Positioning Analysis. Author: Mark J S Keenan, also covers the structure of positioning data, performance attribution of speculators, sentiment analysis and the identification of price risks and behavioral patterns that can be used to generate trading signals.. This must-have resource: Offers intuitive and accessible guidance to commodity market participants and risk managers at various levels and diverse areas of the market Provides a wide range of analytics that can be used directly or integrated into a variety of different commodity-related trading, investment, and risk management programs Features an online platform comprising a wide range of customizable, regularly-updated analytical tools Contains an abundance of exceptional graphics, charts, and illustrations Includes easy-to-follow instructions for building analytics. Advanced Positioning, Flow and Sentiment Analysis in Commodity Markets: Bridging Fundamental and Technical Analysis, 2nd Edition is an indispensable source of information for all types of commodity traders, investors, and speculators, as well as investors in other asset classes who look to the commodity markets for price information.
Commodity Prices And Markets
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Author : Takatoshi Ito
language : en
Publisher: University of Chicago Press
Release Date : 2011-03
Commodity Prices And Markets written by Takatoshi Ito and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03 with Business & Economics categories.
Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.
Structural Modeling Of Short Run Price Dynamics In Commodities Markets
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Author : Ali Nouri Dariani
language : en
Publisher:
Release Date : 2014
Structural Modeling Of Short Run Price Dynamics In Commodities Markets written by Ali Nouri Dariani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This dissertation addresses the gap between commodity price models in economics and finance. The literature in finance often abstracts from market forces and calibrates a stochastic process of price dynamics in order to follow them closely and to price commodity derivatives, most importantly futures contracts. On the other hand models in economics literature often focus on supply, demand and inventories in the long-run. I have developed short-run structural models of commodity prices. These models provide a better description of price dynamics by considering the underlying structure of the economy. Since these models incorporate actions of market participants, they have the advantage of being able to process information signals about probabilities of future supply/demand shocks. The other advantage of short-run structural models is their power in prediction of unobservable states of the economy. Hence, these models provide a better description of forward curves in commodities markets. Recent advances in the theory of storage have been able to associate specific behaviors of commodity prices with inventory dynamics. These models assume producers and consumers who only consider current price, and storage units who consider the whole stochastic process of price in the future. This thesis improves upon these models in two aspects. First, I remove the assumption that the producers and consumers take into account only the current price. For depletable commodities specifically, and for many commodities in general, it is more plausible to assume that the producer has the option to sell the commodity now or postpone the extraction until a future time. The expected future dynamics of prices can change the current production decisions and as a result the current and future prices. My model characterizes the equilibrium of such a system and its comparative dynamics. Second, I introduce an advanced calibration algorithm for this model. Traditional models calibrate their parameters by minimizing their prediction error on aggregate measures such as the average volatility of forward prices. My approach considers the instances of forwards curves and tries to matches each of them. One advantage of this model is the ability to estimate the state of the system (e.g. remaining inventories) as well as the transient and permanent shocks in supply/demand. The theoretical framework of this dissertation shows that actions of rational market participants impose certain price dynamics to the market. Most examples in this work consider crude oil as it is the most traded commodity, with liquid future contracts for longer horizons. Calibration results demonstrate the improvements that short-run structural models could create in describing price dynamics.
Modeling And Forecasting Primary Commodity Prices
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Author : Walter C. Labys
language : en
Publisher: Routledge
Release Date : 2017-03-02
Modeling And Forecasting Primary Commodity Prices written by Walter C. Labys and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-02 with Business & Economics categories.
Recent economic growth in China and other Asian countries has led to increased commodity demand which has caused price rises and accompanying price fluctuations not only for crude oil but also for the many other raw materials. Such trends mean that world commodity markets are once again under intense scrutiny. This book provides new insights into the modeling and forecasting of primary commodity prices by featuring comprehensive applications of the most recent methods of statistical time series analysis. The latter utilize econometric methods concerned with structural breaks, unobserved components, chaotic discovery, long memory, heteroskedasticity, wavelet estimation and fractional integration. Relevant tests employed include neural networks, correlation dimensions, Lyapunov exponents, fractional integration and rescaled range. The price forecasting involves structural time series trend plus cycle and cyclical trend models. Practical applications focus on the price behaviour of more than twenty international commodity markets.
Commodities And Commodity Derivatives
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Author : Helyette Geman
language : en
Publisher: John Wiley & Sons
Release Date : 2009-09-24
Commodities And Commodity Derivatives written by Helyette Geman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-24 with Business & Economics categories.
The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV
Price Dynamics In China
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2010-09-01
Price Dynamics In China written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-09-01 with Business & Economics categories.
Chinese inflation, particularly non-food inflation, has been surprisingly modest in recent years. We find that supply factors, including those captured through upstream foreign commodity and producer prices, have been important drivers of non-food inflation, as has foreign demand for Chinese goods. Domestic demand and monetary conditions seem less important, possibly reflecting a large domestic output gap generated by many years of high investment. Inflation varies systemically within China, with richer (and urban) provinces having lower, more stable, inflation, but this urban inflation also influence that in lower-income provinces. Higher Mainland food inflation also raises inflation in non-Mainland China.
Real Options In Energy And Commodity Markets
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Author : Nicola Secomandi
language : en
Publisher: World Scientific
Release Date : 2016-11-28
Real Options In Energy And Commodity Markets written by Nicola Secomandi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-28 with Business & Economics categories.
The field of real options is concerned with the management and financial valuation of operational flexibility in business endeavors. From the very outset, energy and commodity markets — which play fundamental roles in the worldwide economy — have provided a relevant context for real option analysis, both in theory and practice.This volume is a collection of six chapters covering recent research on real options in energy and commodity markets, reflecting the significance of these markets for real option analysis. The volume is divided into two parts — the first on theory and the second on methods and applications.The two chapters in the first part of the book respectively address commodity storage and the concept of convenience yield, and how the management of real options can be impacted by the trader's own market decisions in the context of commodity shipping.The four chapters in the second part of the book propose and apply real option models in various domains — modeling the evolution of futures prices of emission certificates; managing copper extraction illustrated with an application to a project at Codelco, Chile, the largest copper producer in the world; the core ideas behind real option analysis in the context of the merchant management of hydrocarbon cracking operations; and optimizing the portfolio of contracts that oil refineries use to market their gasoline production.