Number Of Commodities Research Articles

A Benchmark for Commodity Trading Advisor Performance

This article describes a passive index that can be used as a benchmark for creating commodity trading advisors (CTAs). The index is designed to benchmark the performance of diversified trend-followers. Diversified CTAs trade in number of derivatives markets, including commodity, currency, interest rate, and equity derivatives markets. Trend followers follow momentum strategies that are designed to capture longer-term trends in asset prices. The index uses a momentum trading strategy that takes hypothetical long and short positions in a number of commodity, currency, and fixed income futures contracts. Results indicate that the passive index has returns that are highly correlated with the return of the average CTA. As such, this index can be useful in performance measurement and attribution as well as in the creation of multi-manager CTA portfolios.

EVALUATING SUPPORT TO AGRICULTURE IN SOUTH AFRICA: THE CALCULATION OF NET PROTECTION COEFFICIENTS (NPCS)

The Effective Protection Ratio (EPR) is used in this study as a measure of the impact of policy distortions on agricultural producers. The results of the EPR analysis show that in 1995, most of the interventions supporting agricultural production have disappeared, particularly if the production is aimed at the domestic market. This holds for basic grains and oilseeds, as well as other products such as potatoes, cotton and tobacco, across all regions. Beef cattle and sheep production is also not being favoured by support in any of the regions. On the contrary, a number of commodities are effectively being taxed.

Walrasian General Equilibrium and Nonlinear Dynamics

Investigations of the structural stability of the general equilibrium model show that within a nonlinear framework, the differential equation governing price adjustment requires two conditions: (a) The number of agents must be greater than or equal to the number of commodities; and (b) severe restrictions on the nature of preferences must be placed. These restrictions are the same as the restrictions on preferences that are required by Chipman and Moore (1980) in order to obtain an exact and an invariant measure of consumer surplus, which is the measure and standard of value in neoclassical economics. When the Chipman-Moore conditions are examined, it is clear that the required restrictions on preferences can also be understood as requiring the constancy of the marginal utility of money, either with respect to all prices (homothetic preferences), or with respect to income and all prices except the numeraire commodity (parallel preferences). The constancy of the marginal utility between the rich and the poor implies an unintended interpersonal comparison of utility. This makes the theory of value rather special, and has implications for much applied work such as benefit-cost analysis or other social decision-making, which requires a general theory of value. It is the utilitarian formulation of welfare, which by definition means that only utility information is taken into account, that leads to the restrictive theory of value. Consequently, avoiding utilitarianism requires an approach to social choice theory that takes other information about well-being into account in social decision-making.

Forecasting the Demand for South African Rail Goods Transport

There has been a substantial decline in the demand for rail transport for a large number of commodities over the past decades. In particular, higher-value commodities, capable of bearing a higher transport cost, have been replaced by low-value commodities like coal and iron ore. In this paper a forecasting model for the rail demand of eighteen individual commodities was estimated by means of the method of ordinary least squares. In general macro-economic activity variables such as GDP and GDE were used as independent variables and these provided good regression results. An ex post historical simulation yielded satisfactory forecasts. The model suggests that total rail tonnage will increase annually by about 1,2 per cent under a “pessimistic” economic scenario, by 3,5 per cent under an “average” scenario and by 6,5 per cent under an “optimistic” scenario.

A dual ascent approach to the fixed-charge capacitated network design problem

In this paper we consider the problem of constructing a network over which a number of commodities are to be transported. Fixed costs are associated to the construction of network arcs and variable costs are associated to routing of commodities. In addition, one capacity constraint is related to each arc. The problem is to determine a network design that minimizes the total cost; i.e., it balances the construction and operating costs. A dual ascent procedure for finding improved lower bounds and near-optimal solutions for the fixed-charge capacitated network design problem is proposed. The method is shown to generate tighter lower bounds than the linear programming relaxation of the problem.

Theory of Production: A Long-Period Analysis.

1. Free competition and long-period positions 2. A one-commodity model 3. Two-commodity models 4. Models with any number of commodities 5. Choice of technique 6. Alternative descriptions of a 'technique' 7. Fixed capital models 8. Joint production 9. Models with jointly utilized machines 10. Land 11. Persistent wage and profit rate differentials 12. On limits to the long-period method 13. Production as a circular flow and the concept of surplus 14. The neoclassical theory of distribution and the problem of 'capital' 15. On some alternative theories of distribution Mathematical appendix.

Fast deterministic approximation for the multicommodity flow problem

In this paper we consider an optimization version of the multicommodity flow problem which is known as the maximum concurrent flow problem. We show that an approximate solution to this problem can be computed deterministically using O(k(e−2 + logk) logn) 1-commodity minimum-cost flow computations, wherek is the number of commodities,n is the number of nodes, ande is the desired precision. We obtain this bound by proving that in the randomized algorithm developed by Leighton et al. (1995) the random selection of commodities can be replaced by the deterministic round-robin without increasing the total running time. Our bound significantly improves the previously known deterministic upper bounds and matches the best known randomized upper bound for the approximation concurrent flow problem.

Approximate Max-Flow Min-(Multi)Cut Theorems and Their Applications

Consider the multicommodity flow problem in which the object is to maximize the sum of commodities routed. We prove the following approximate max-flow min-multicut theorem: \[ \frac{{\min {\text{multicut}}}}{{O(\log k)}} \leqslant \max {\text{flow}} \leqslant \min {\text{multicut}}, \] where k is the number of commodities. Our proof is constructive; it enables us to find a multicut within $O(\log k)$ of the max flow (and hence also the optimal multicut). In addition, the proof technique provides a unified framework in which one can also analyse the case of flows with specified demands of Leighton and Rao and Klein et al. and thereby obtain an improved bound for the latter problem.

Speeding up Karmarkar's algorithm for multicommodity flows

We show how to speed up Karmarkar's linear programming algorithm for the case of multicommodity flows. The special structure of the constraint matrix is exploited to obtain an algorithm for the multicommodity flow problem which requires O(s 3.5 v 2.5 eL) arithmetic operations, each operation being performed to a precision of O (L) bits. Herev is the number of vertices ande is the number of edges in the given network,s is the number of commodities, andL is bounded by the number of bits in the input. We obtain a speed up of the order of (e 0.5/v 0.5)+(e 2.5/v 2.5s2) over Karmarkar's modified algorithm which is substantial for dense networks. The techniques in the paper can also be used to speed up any interior point algorithm for any linear programming problem whose constraint matrix is structurally similar to the one in the multicommodity flow problem.

A new HAD algorithm for optimal routing of hierarchically structured data networks

In this paper, a new algorithm based on hierarchical aggregation/disaggregation and decomposition/composition (HAD) scheme is proposed to solve the optimal routing problems (ORP) for hierarchically structured networks of multi-layer backbones. Our algorithm has two major differences with the existing HAD algorithms for hierarchically clustered networks: (1) our algorithm works with more general networks than the networks with the clustered structure; (2) our algorithm parallelizes the computations for different commodities (message flows defined by a pair of origin node and destination node) so that it speeds up with a parallel time complexity of O(mlog/sup 2/(n)), which is much less than O(Mlog/sup 2/(n)) needed for the existing HAD algorithms. Here, n is the number of nodes in the network; M is the number of commodities and m is a positive number usually much smaller than M and is a function of the patterns of all the commodities including the locations of all origin nodes and destination nodes, and the flow demand of each commodity. Furthermore, our algorithm can make a trade-off between the run time and the optimality, i.e., by allowing the solution to be sub-optimal, our algorithm can save great amount of computation time. The implementation of the algorithm for a 200-node network is simulated using OPNET simulation package (OPNET or Optimized Network Engineering Tools is developed by MIL3, Inc.), and the test results are consistent with our analysis.

Fiscal systems in transition: The case of the Czech income tax

TAX REFORM has been a major priority of microeconomic policy during the process of economic transition in Central and Eastern Europe. In the Czech Republic, a fundamental restructuring of the tax system took place from the start of 1993, introducing a tax system broadly in conformity with taxation practice in Western Europe. The new system includes personal and corporate income taxes, a value added tax of the type operated by EU member states, and excise duties on a limited number of commodities, including motor fuels, alcohol and tobacco.' This article considers the reasons for tax reform and the consequences of the particular measures adopted, focusing on the case of one component of the Czech reform, the personal income tax. Compared with personal income taxes in Western Europe, this now raises relatively little revenue; indeed, the new income tax actually raises a smaller proportion of fiscal revenue than the old system of income taxes which it replaced. The article attempts to evaluate the reasons for changing from the earlier system, and to show the role played by the new income tax within the overall Czech fiscal system2 We concentrate on an analysis of the old and new personal income taxes because this raises interesting questions about the relative incentive, distributional and revenue-raising properties of the two systems. While we have something to say about indirect taxation, the sheer complexity of the old turnover tax system makes a similar comparative analysis, based on formal modelling and microsimulation, uneconomic, if not unfeasible. For example, in 1989 there were 1506 turnover tax rates, varying from -291% to + 88%: a system one Czech economist described as 'chaotic'.3 The article is in four main parts. The first discusses the priority which has been given to tax reform in the process of economic transition, and the objectives and constraints which have dictated the pattern of tax reforms which have been undertaken. We then provide a quantitative assessment, based on household microdata from the Czechoslovak household budget survey, of the structure of income taxation and the impact of income tax reform in the Czech case. First we describe the pattern of household income tax payments under the highly differentiated pre-1993 CSFR tax system, and show that much of the complexity of the pre-1993 system, including the different allowances and marginal rates of tax for different groups of taxpayersaccording to age, marital status, gender, disability and dependants-achieved little

Computational complexity of multicommodity flow problems with uniform assignment of flow

AbstractThis paper treats multicommodity flow problems with a flow assignment constraint. General multicommodity flow problems require both the path set in which the commodities are assigned and the volume to which the commodities are assigned for each path. However, in this paper, we treat only problems wherein paths are required. the flow is assigned to the paths uniformly. This problem appears in state‐and‐time‐dependent routing (STR), which is a kind of dynamic routing scheme in telecommunication networks. We show that this problem is NP‐complete and remains NP‐complete if the lengths (number of edges) of paths are restricted to less than or equal to two but can be solved in polynomial time if the path lengths are restricted to be less than or equal to two and the number of commodities is fixed.

Fast Approximation Algorithms for Multicommodity Flow Problems

All previously known algorithms for solving the multicommodity flow problem with capacities are based on linear programming. The best of these algorithms uses a fast matrix multiplication algorithm and takes O(k3.5n3m0.5 log(nDU)) time for the multicommodity flow problem with integer demands and at least O(k2.5n2m0.5 log(nϵ−1DU)) time to find an approximate solution, where k is the number of commodities, n and m denote the number of nodes and edges in the network, D is the largest demand, and U is the largest edge capacity. As a consequence, even multicommodity flow problems with just a few commodities are believed to be much harder than single-commodity maximum-flow or minimum-cost flow problems. In this paper, we describe the first polynomial-time combinatorial algorithms for approximately solving the multicommodity flow problem. The running time of our randomized algorithm is (up to log factors) the same as the time needed to solve k single-commodity flow problems, thus giving the surprising result that approximately computing a k-commodity maximum-flow is not much harder than computing about k single-commodity maximum-flows in isolation. In fact, we prove that a (simple) k-commodity flow problem can be approximately solved by approximately solving O(k log2n) single-commodity minimum-cost flow problems. Our k-commodity algorithm runs in O (knm log4n) time with high probability. We also describe a deterministic algorithm that uses an O(k)-factor more time. Given any multicommodity flow problem as input, both algorithms are guaranteed to provide a feasible solution to a modified flow problem in which all capacities are increased by a (1 + ϵ)-factor, or to provide a proof that there is no feasible solution to the original problem. We also describe faster approximation algorithms for multicommodity flow problems with a special structure, such as those that arise in "sparsest cut" problems and uniform concurrent flow problems.

Computing economic equilibria using benefit and surplus functions

This paper suggests some new algorithms for the computation of equilibria for private ownership competitive economies. The algorithms are based on two principles related to economic equilibria termed, respectively, thezero-maximum principle and thezero-minimum principle. These principles relate equilibria to certain optimization problems, and these relations can be used as a basis for actually computing equilibria. The algorithms suggested in this paper employ a standard fixed-point method as a fundamental component, as do other general purpose algorithms for determining equilibria. However, in this paper the fixed-point methods are applied to mappings that are derived from the optimization principles related to equilibria, and these mappings have several attractive features. Especially attractive is the fact that the mappings can be defined either with respect to prices (inm dimensions, wherem is the number of commodities) or with respect to utility levels (inn dimensions, wheren is the number of representative consumers). In applications, typicallyn is much less thanm and hence great efficiency is achieved by using the algorithms that are defined with respect to utility levels. Some computational experience with these algorithms is reported in this paper. This experience confirms the feasibility of using the algorithms and indicates an exceptional degree of reliability and speed.

Limited arbitrage is necessary and sufficient for the existence of a competitive equilibrium with or without short sales

A condition of limited arbitrage is defined on the endowments and the preferences of the traders in an Arrow-Debreu economy. Theorem 1 establishes that limited arbitrage is necessary and sufficient for the existence of the competitive equilibrium in markets with or without short sales. Limited arbitrage bounds utility arbitrages. the diversity of the traders in the economy, and the gains from trade which they can afford from initial endowments (Proposition 2); it is related to but nonetheless different from the no-arbitrage condition used in finance. Theorem 2 establishes that an Arrow-Debreu economy has a competitive equilibrium if and only if every one of its subeconomies with N I traders does, where N is the number of commodities. Limited arbitrage has been shown elsewhere to be equivalent to the existence of the core [16], to the contractibility of spaces of preferences and to the existence of continuous anonymous social choice rules which respect unanimity.

Statutory Marketing, Farmer Price Imbalance, and Efficient Diversification of Agricultural Commodities Export

Many developing countries facing fluctuating export earnings frequently embark on ambitious diversification programs aimed at reducing the concentration of their commodity offering. For most, however, the limited value of a strategy consisting of merely increasing the number of commodities exported soon becomes apparent. This study examines the potential for applying portfolio theory to select the agricultural commodities to be exported by a developing country when farmer prices are set and guaranteed by a marketing board. The major portfolio diversification problems encountered are discussed and suggestions are made regarding their solution.

Improved bounds for the max-flow min-multicut ratio for planar and Kr, r-free graphs

We consider the version of the multicommodity flow problem in which the objective is to maximize the sum of commodities routed. Garg, Vazirani and Yannakakis proved that the minimum multicut and maximum flow ratio for this problem can be bounded by O(log k), where k is the number of commodities. In this note we improve this ratio to O(1) for planar graphs, and more generally to O( r 3) for graphs with an excluded K r, r minor. The proof is based on the network decomposition theorem of Klein, Plotkin and Rao. Our proof is constructive and yields approximation algorithms, with the same factors, for the minimum multicut problem on such networks.

The coverability problem in input-output systems

The notion of a vector replacement system, developed in the computer science literature, is used to analyze the reachability problem in integer-valued input-output models. An integer-valued input-output system with initial resources is a 5-tuple 〈 n, m, A, B, μ〉, where n is the number of commodities, m the number of production processes, A is the n × m input matrix, B is the n × m output matrix and μ ϵ R n is the initial vector of resources. The elements of A, B an μ are non-negative integers. A vector μ' is reachable from μ if it is possible to transform μ into μ' through a sequence of production processes, without ever violating the feasibility constraint represented by the available resources.

DETERMINING CORRELATIONS BETWEEN PRICE AND QUALITY CHARACTERS OF PERISHABLE COMMODITIES IN BOLIVIA

ABSTRACTThe grading and selection of perishable commodities for improved quality in developing countries have often been recommended but with little economic justification for the increased return this might bring to the producer. This paper reports the analysis of wholesale market price and quality characters of tomatoes, potatoes and bananas/plantains in Bolivia. The analysis indicates that, in order of importance, size, quality and ripeness contribute to the determination of prices of tomatoes though the model only explains 52% of the variation in price indicating that other unidentified factors influence the price. With potatoes and bananas/plantains only size of tubers and bunches were shown to relate significantly to price. This study, though limited in the number of commodities, does provide an indication of where important relationships exist, especially in tomatoes. The methodology, used here could be usefully applied in other developing country situations where there is a need for rapid assessment of the economic importance of different aspects of the produce quality.

Export Diversification and Export Instability: Some Evidence From South East Asia and Latin America

The often cited argument that the high export earnings instability of LDCs is due to the tendency to have their exports concentrated on a small number of commodities or geographic markets is examined via the technique of Multidimensional Scaling (MDS). Based on time-series export earnings data from six LDCs which have experienced diverse development patterns, MDS is used to investigate the hypothesis that, for each LDC individual commodity or geographic market exports tend to move in phase. In addition, MDS enables the development of a country-specific measure of diversification which allows an examination of the export diversification experience of each country. [421]