Commodity Model Research Articles

Asymptotic Exponential Arbitrage in the Schwartz Commodity Futures Model

In this paper, we consider the Schwartz’s one-factor model for a storable commodity and a futures contract on that commodity. We introduce the analysis of asymptotic arbitrage in storable commodity models by proving that the futures prices process allows asymptotic exponential arbitrage with geometric decaying failure probability. Next, we find by comparison that, under some similar conditions, our result is a corresponding commodity assets (stronger) version of Föllmer and Schachermayer’s result stated in the modeling setting of geometric Ornstein-Uhlenbeck process for financial security assets.

RETRACTED ARTICLE: Research on sales information prediction system of e-commerce enterprises based on time series model

Sales forecasting plays an important role in guiding the sales and marketing of e-commerce enterprises, and warehousing department planning warehouse location. At the same time, sales data can better reflect future sales trends. This paper establishes a sales forecasting and analysis model for commodities with common characteristics using their historical sales data through time series model, and forecasts the sales inventory of a certain kind of products from a quantitative point of view. In order to improve the predictive reliability, this paper introduces external observable data and qualitative analysis of historical data prediction model by using hidden Markov model to predict the characteristics of hidden values, so as to further improve the reliability of prediction model.

The raw primary commodity (RPC) model: strengthening EFSA's capacity to assess dietary exposure at different levels of the food chain, from raw primary commodities to foods as consumed

The raw primary commodity (RPC) model: strengthening EFSA's capacity to assess dietary exposure at different levels of the food chain, from raw primary commodities to foods as consumed

SIMULATION TECHNOLOGIES IN THE MODELLING USERS’ BEHAVIORS IN THE PHARMACEUTICAL MARKET

The creation of a new branch of economics – behavioural economics studying the features of decision-making, resulted in changes of a number of fundamental ideas. The modern view of the economy, as a complex adaptive system, makes it necessary to use new methodologies for modeling dynamic processes, events arising over time, reproduce and transform.The apparatus of simulation modeling based on three main paradigms - Discrete Event, System Dynamics, and Agent Based - and their combinations meets these requirements Modeling the ‘arising’ behaviour of economic agents and developing forecasting models of commodity markets became possible with the advent of behavioural economics and simulation technologies. The domestic pharmaceutical market is one of the most dynamic, flexible and highly competitive, and the pharmaceutical industry is one of the active and gradually growing sectors of the Ukrainian economy. The need for taking into consideration its relationship to healthcare (with a significant range of specific agents), the active implementation of information and communication technologies, the emergence of a new type of users with complicated behaviour and a dynamic change in the preferences determines the relevance of conducting a special research of the pharmaceutical market. At the same time, application of such flexible tools as simulation technologies is gaining particular importance. The objective of this article is the reveal the possibilities of using simulation technologies in modeling the user’s behaviour in the pharmaceutical market. The article presents the results of the experiments conducted on the simulation models of consumer behavior of original and generic medicines in terms of working out their sales promotion strategies. The models are developed using the multi-level simulation paradigm (a combination of Agent-Based and System Dynamics approaches) on the platform of the AnyLogic system. In the experiments, materials from leading pharmaceutical companies of Ukraine were used. The experiments have proved the possibility to reproduce the consumers’ behaviour in dynamics, taking into account the influence of numerous stochastic factors in the market environment. Models are offered for use in the process of making managerial decisions on the production and sales of products by pharmaceutical enterprises. Models can be tailored to the specifics of a particular enterprise.

Non-commodity costs: can an ideal cost-balance be achieved?

Non-commodity costs: can an ideal cost-balance be achieved?

Electricity pricing theory based on continuous time commodity model

The theory of spot pricing forms the basis of power market design in several countries. However, this theory has two major drawbacks. First, it is based on the traditional hourly scheduling/dispatch model, it ignores the critical influence of time continuity in the electric power production/consumption on cost and power system operation, and it fails to address intertemporal constraints. The second drawback is that it assumes that electric products are homogeneous in the same dispatch period and cannot distinguish among the base, intermediate, and peak load powers with different technical and economic characteristics. This study aims to present a continuous time commodity model of electricity, which comprise spot pricing and load duration pricing methods, to overcome the abovementioned shortcomings of the spot pricing theory. Market optimization models in traditional electricity market theories were then changed accordingly from a static optimization problem to a functional optimization problem. The feasibility of load duration pricing was validated by strict mathematical derivation. The proposed theory and methods will provide new concepts and theoretical foundation for the development of electric power markets globally and in China.

Modeling fluctuations in the global demand for commodities

It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic activity. There have been numerous proposals for quantifying global real economic activity. We discuss which criteria a measure of global real activity must satisfy to be useful for modeling industrial commodity prices, we examine which of the many alternative measures in the literature are most suitable for applied work, and we explain why some popular measures are inappropriate for modeling industrial commodity prices. Given these insights, we examine the question of whether there has been a slowdown in global real economic activity between 2011 and 2016 and by how much. Drawing on a range of new evidence, we show that the global commodity price boom of the 2000s appears to have been largely transitory and that the partial recovery after 2016 has been fueled by the strength of advanced economies rather than China. Our analysis has important implications for the design of structural models of commodity markets, for the analysis of the transmission of commodity price shocks to commodity-importing and -exporting economies, and for commodity price forecasting.

Establishment of EOQ (Economic Order Quantity) Model for Spoilage Products and Power Demand Under Permissible Delay in Payments

The demand for a service is the amount of it that a consumer will purchase or will be ready to purchase at different prices at a given moment of time. An EOQ model for spoilage commodities and power demand under trade credits is established. Mathematical model is established to obtain optimal ordering policies for policies for retailer under two different cases. In this model buyer who purchases the commodities enjoy a fixed period offered by his/her vendor. We show that total profit function is concave with respect to time. We then provide for finding maximum profit. Numerical examples are provided of the optimal solution to find order quantity and total profit. Sensitivity analysis of the key parameters is presented to validate the model.

Analyzing the Structural Transformation of Commodity Markets: Financialization Revisited

The first decade of the 21st century saw wide fluctuations in commodity prices and a massively increased participation of financial investors in the commodity derivatives markets. The investigation of whether the presence of financial investors was responsible for these fluctuations - and, more in general, whether large trades affected futures and spot prices - has yielded mixed results in the literature. We take up this question by linking financialization to the ongoing structural transformation of the commodity markets. First, we discuss issues related to the identification of the price effects of financialization; then, we present models of commodity markets with heterogeneous agents and informational frictions and discuss the role of financial investors as the counterparts of commercial hedgers. Lastly, we suggest some avenues for future research, including the possible implications of the shale revolution and of commodity trading in the financialization process.

Bringing collaborative inclusiveness to Indonesian agribusiness in West Java through online platform

The purpose of this research is to propose an inclusive agribusiness model that can improve the economic conditions of farmers in Indonesia, especially in West Java. The researchers used multiple cases for investigating the business model for different commodities in the West Java area. For each case, the data were collected from farmers' focus groups, interviews with stakeholders in each commodity, and through obtaining secondary data. It was discovered that farmers are constrained by various problems concerning lack of tangible and intangible resources. As the main agribusiness actor, farmers also have low welfare. To improve farmer's welfare, a Purpose-Driven Inclusive Agribusiness Ecosystem (PDIAE) model is proposed in which participation of regulators, investors, infrastructure, knowledge empowerment, market and research information, and financial incentives are mandatory. These findings may enhance knowledge of how inclusive business models can increase the welfare of the bottom of the pyramid segment.

The Influence of Freight Generation Production Characteristics of the Internal – Regional Zone Commodities on Sustainable Freight Transportation Highway Network System

The increasing of commodity freights production in the internal – regional zone is a national development strategy to create interzone consolidation to accelerate the productivity of an internal – regional zone staple commodity. Sustainable freight transportation development requires a strategic direction based on the commodity freights production dominant characteristics in an internal-regional zone. This research has been done to estimate the distribution model and route assignment model of staple alternative commodity. Estimated generation production of commodity freights movement in production zones is influenced by zone demographic variables, infrastructure, and means of transportation. Gravity method is used to estimate the distribution model and route assignment model by calibrating it with Newton-Raphson method. The application and development of the gravity method in the modelling analysis will determine the estimation effect of sustainable freights transportation needed. The computational simulation result is an approach of mathematical model illustration for complex and systematic estimation. Therefore, the modelling results can provide the direction of sustainable highway construction on the highway network system, will determine the effectiveness and efficiency of traffic movement, and distribute the movement

Dinámica del sistema migratorio argentino-paraguayo

Asentada originalmente en zonas de frontera común y del litoral argentino, la migración paraguaya a este país se funde en la fase de industrialización de mediados del siglo XX que activa el ciclo de migración interna desde las provincias al Área Metropolitana de Buenos Aires, en simultáneo con la guerra civil de 1947 y la dictadura stronista, impulsando un proceso emigratorio hacia la Argentina que se sostiene hasta el presente. La estructura económica y sociolaboral paraguaya se ordena en los últimos años conforme a un modelo agrario de exportación de commodities, con inequitativa distribución del ingreso, baja empleabilidad y alto subempleo. El tipo de inserción laboral existente en ese país es replicado por la diáspora en Argentina, donde el empleo de hombres en rubros como la construcción y de mujeres en casas de familia, por citar algunos casos, reproducen dinámicas de subsistencia análogas a las de los mismos sectores populares del Paraguay. A continuación, ofreceremos un caso desde el cual retomar la discusión sobre la Ciudadanía MERCOSUR. Demostraremos que la existencia de una regionalización de la dinámica migratoria paraguaya de larga data se sobrepone a los particularismos localistas, evidenciando una red de interacciones de migración cuya dinámica está constituida por el funcionamiento de una variedad de redes que unen a actores en los diferentes niveles de agregación y que se despliega desde el Paraguay hasta los grandes centros urbanos de la Argentina, con lógicas propias que, en definitiva, responden a un pasado, a un presente y a un futuro común.

Financial exposure and technology innovation investment

ObjetivoO objetivo deste trabalho é identificar, medir e otimizar o risco financeiro e seus efeitos sobre os resultados de projetos com inovação, tanto na perspectiva do regime contábil quanto do regime de caixa, em uma indústria de commodities.AbordagemUm estudo de caso hipotético, baseado em um caso real de uma indústria petroquímica brasileira, foi analisado com regras de precificação de commodities baseados em contratos reais. As métricas Earnings at Risk (EaR) e Cash Flow at Risk (CFaR) foram utilizadas, assim como uma métrica proposta neste trabalho, denominada Cash Balance at Risk (CBaR).ResultadosEste artigo demonstrou que a mensuração e otimização do risco financeiro são questões importantes no processo de tomada de decisão em uma indústria petroquímica. As medidas EaR, CFaR e CBaR se apresentaram como contribuições ao processo padrão de avaliação de projetos. Os resultados também demonstraram que inovações tecnológicas, em certas condições, podem funcionar como um “hedge natural”. Foi verificado que descasamentos temporais entre recebimentos e despesas geram uma exposição financeira a oscilações em preços e em valores de moedas estrangeiras. Financiamento e hedge podem ser utilizados em conjunto para aprimorar resultados de projetos.Originalidade/valorUm projeto com inovação foi comparado com um projeto de expansão em uma indústria petroquímica. Foi realizada uma analise de risco que agrega ao financiamento e ao hedge o uso de contratos de precificação de commodities. Os resultados desse projeto demonstram que é importante considerar medidas de risco financeiro nas avaliações de projetos.

Approximations for High Dimensional Commodity and Energy Merchant Operations Models

Merchant operations is an approach to manage commodity and energy conversion assets modeled as real options. Firms operate networks of such assets, e.g., multiple wind or solar farms that generate electricity at different geographical locations, may be coupled with local grid-level energy storage facilities, and are connected to various wholesale power markets via capacitated transmission lines. The corresponding models are typically intractable. This work describes methods to compute approximate operating policies and assess their optimality gaps for such models. These approximations extend techniques developed for models of single commodity and energy conversion assets.

Intelligent interaction based on holographic personalized portal

Purpose The purpose of this paper is to study the architecture of holographic personalized portal, user modeling, commodity modeling and intelligent interaction. Design/methodology/approach In this paper, the authors propose crowd-science industrial ecological system based on holographic personalized portal and its interaction. The holographic personality portal is based on holographic enterprises, commodities and consumers, and the personalized portal consists of accurate ontology, reliable supply, intelligent demand and smart cyberspace. Findings The personalized portal can realize the information acquisition, characteristic analysis and holographic presentation. Then, the intelligent interaction, e.g. demand decomposition, personalized search, personalized presentation and demand prediction, will be implemented within the personalized portal. Originality/value The authors believe that their work on intelligent interaction based on holographic personalized portal, which has been first proposed in this paper, is innovation focusing on the interaction between intelligence and convenience.

Commodity Spot, Forward Prices, and Convenience Yield Under Incomplete Market

This paper analyzes the relation between commodity spot, forward prices, and convenience yield under incomplete markets. We show a financial pricing model of spot and forward commodity in an explicit fashion with production under incomplete markets and prove the existence of an equilibrium for this economy. One of the most important results of this paper is the difference between commodity spot and forward equilibrium price can be explained by the discounted shadow price of storage constraint minus the discounted marginal storage cost and it can be interpreted as the net convenience yield in the existing literature. Here the discounted factor is affected by the incompleteness of the markets. We prove the generic existence of the equilibrium and thus the obtained spot forward price relation is the equilibrium price formula. We also derive the firm's optimal production plan and trading strategy.

Disease Risk and Market Structure in Salmon Aquaculture

We develop a model of a multi-national firm producing commodities for a global market in multiple locations with location-specific risks and different regulatory standards. Salmon aquaculture and disease outbreaks provide an empirically relevant example. We specifically examine details of the infectious salmon anemia outbreak in Chile in the late 2000s, the multi-national nature of some firms operating in Chile, and the overall market structure of the salmon farming industry as motivation for our theoretical model. In the model, market structure and the regulatory environments in multiple countries interact to influence how intensively firms use aquatic ecosystems. Downward-sloping market demand can lead to a perverse outcome in which high environmental standards in one country both lower the provision of disease management in the other country and reduce industry-wide output. We extend this model to consider additional locations, types of firms, and within-location risk spillovers. We find that the risk of outbreak in a given location is decreasing with greater firm concentration within the location, increasing with the outside production of operators within the location, and increasing with lower risk (or more regulation) in other locations where the operators produce. We suggest other applications of multi-national risk management.

Kalman Filtering-Based Approach for Project Valuation of an Iron Ore Mining Project Through Spot Price and Long-Term Commitment Contracts

Iron ore was traditionally traded using long-term commitment (LTC) contracts. In the last decade, with the surging demand from China, a futures market was created for iron ore. In this paper, using historical information from this futures market, we focus on modeling market dynamics of Iron Fine 62% Fe—CFR Tianjin Port (China) futures contracts to determine optimal parameter values of the Schwartz (J Financ 52:923–973, 1997) two-factor model. A new approach using LTC and futures contracts is proposed to assess the Net Present Value (NPV) of an iron ore mining project. We apply Kalman filtering techniques to calibrate the two-factor commodity model to iron ore futures for the January 2014–November 2016 period. The Kalman filter is useful to infer unobservable variables from noisy measurements. In the Schwartz (1997) two-factor model, the unobservable spot price and convenience yield are inferred from futures contracts transactions. Model parameters are fitted using maximum likelihood optimization. Using parameters derived from the Kalman filtering and the maximum likelihood approach, spot price simulations for the next 7 years are made for three scenarios. The NPV of a mining project is calculated for each scenario. Then, both LTC and futures markets are treated separately and the mining company can choose which proportion of its production to sell in each market. Results show that the calibration and NPV simulation workflow can be effectively used to assess the profitability of a mining project, accounting for the exposure to futures markets.

Historiography of the Appetites: A Note on the Edible Series from Reaktion Books and the Commodity Model of Global Food History

Historiography of the Appetites: A Note on the Edible Series from Reaktion Books and the Commodity Model of Global Food History

The algebraic properties of the space-and time-dependent one-factor model of commodities

We consider the one-factor model of commodities for which the parameters of the model depend upon the stock price or upon the time. For that model we study the existence of group-invariant transformations. When the parameters are constant, the one-factor model is maximally symmetric. That also holds for the time-dependent problem. However, in the case for which the parameters depend upon the stock price (space) the one-factor model looses the group invariants. For specific functional forms of the parameters the model admits other possible Lie algebras. In each case we determine the conditions which the parameters should satisfy in order for the equation to admit Lie point symmetries. Some applications are given and we show what should be the precise relation amongst the parameters of the model in order for the equation to be maximally symmetric. Finally we discuss some modifications of the initial conditions in the case of the space-dependent model. We do that by using geometric techniques.