ARE PRODUCT SPREADS USEFUL FOR FORECASTING OIL PRICES? AN EMPIRICAL EVALUATION OF THE VERLEGER HYPOTHESIS

2017 ◽  
Vol 22 (3) ◽  
pp. 562-580 ◽  
Author(s):  
Christiane Baumeister ◽  
Lutz Kilian ◽  
Xiaoqing Zhou
Keyword(s):  
Empirical Evaluation ◽  
Spot Price ◽  
Market Prices ◽  
Economic Fundamentals ◽  
Time Varying Parameter ◽  
Mean Squared Prediction Error ◽  
Out Of Sample ◽  
Squared Prediction Error ◽  
Heating Oil ◽  
The Difference

Many oil industry analysts believe that there is predictive power in the product spread, defined as the difference between suitably weighted refined product market prices and the price of crude oil. We derive a number of alternative forecasting model specifications based on product spreads and compare the implied forecasts to the no-change forecast of the real price of oil. We show that not all product spread models are useful for out-of-sample forecasting, but some models are, even at horizons between one and two years. The most accurate model is a time-varying parameter model of gasoline and heating oil spot price spreads that allows for structural change in product markets. We document mean-squared prediction error reductions as high as 20% and directional accuracy as high as 63% at the two-year horizon, making product spread models a good complement to forecasting models based on economic fundamentals, which work best at short horizons.

scholarly journals Cross Hedging Jet Fuel on the Singapore Spot Market

2003 ◽  
Author(s):  
Ephraim Clark ◽  
Mark C Tan ◽  
Radu Tunru
Keyword(s):  
Serial Correlation ◽  
Goodness Of Fit ◽  
Spot Market ◽  
Jet Fuel ◽  
Spot Price ◽  
Out Of Sample ◽  
Heating Oil ◽  
Cross Hedging

In this paper we test for the most effective cross hedging instrument for the Singapore spot market in jet fuel over the period February 4, 1997 to August 21, 2001. Our results are mixed. We find that the heating oil contract is the best in-sample cross-hedging instrument. It has the highest correlation with the spot price and gives the best regression results. However, after correcting for serial correlation, the goodness of fit measured by R2 is rather low. Out of sample results are weak for all models and ambiguous with respect to the heating oil contract.  

scholarly journals El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements

2021 ◽  
Vol 13 (14) ◽  
pp. 7987
Author(s):  
Mehmet Balcilar ◽  
Elie Bouri ◽  
Rangan Gupta ◽  
Christian Pierdzioch
Keyword(s):  
El Niño ◽  
Predictive Value ◽  
El Nino ◽  
Southern Oscillation ◽  
La Niña ◽  
Realized Variance ◽  
La Nina ◽  
Out Of Sample ◽  
Heating Oil ◽  
Price Movements

We use the heterogenous autoregressive (HAR) model to compute out-of-sample forecasts of the monthly realized variance (RV) of movements of the spot and futures price of heating oil. We extend the HAR–RV model to include the role of El Niño and La Niña episodes, as captured by the Equatorial Southern Oscillation Index (EQSOI). Using data from June 1986 to April 2021, we show evidence for several model configurations that both El Niño and La Niña phases contain information useful for forecasting subsequent to the realized variance of price movements beyond the predictive value already captured by the HAR–RV model. The predictive value of La Niña phases, however, seems to be somewhat stronger than the predictive value of El Niño phases. Our results have important implications for investors, as well as from the perspective of sustainable decisions involving the environment.

How the United Kingdom Controls Pharmaceutical Prices and Spending: Learning From Its Experience

2021 ◽  
pp. 002073142199709
Author(s):  
Marc A. Rodwin
Keyword(s):  
United Kingdom ◽  
Cost Effective ◽  
Market Prices ◽  
The United Kingdom ◽  
Generic Market ◽  
Pharmaceutical Spending ◽  
The Difference ◽  
The Government ◽  
Pharmaceutical Prices ◽  
Limit Access

To control costs and improve access, nations can adopt strategies employed in the United Kingdom to control pharmaceutical prices and spending. Current policy evolved from a system created in 1957 that allowed manufacturers to set launch prices, capped manufacturers’ rates of return, and later cut list prices. These policies did not effectively control spending and had limited effects on purchase prices. The United Kingdom currently controls pharmaceutical spending in 4 ways. (a) Since 1999, it has typically paid no more than is cost-effective. (b) Since 2017, for medicines that will have a significant budget impact, National Health Service England seeks discounts from cost-effective prices or seeks to limit access for 2 years to patients with the greatest need. (c) Since 2014, statutes and a voluntary scheme have required branded manufacturers to pay the government rebates to recoup the difference between the global pharmaceutical budget and actual spending. (d) For hospitals, generics and some patented drugs are procured through competitive bidding; community pharmacies are reimbursed through a system that provides an incentive to beat average generic market prices. These policies controlled the growth of spending, with the largest effects following budget controls in 2014. Changes since 2008 have reduced savings, first by paying more than is cost-effective for cancer drugs and then by applying higher cost-effectiveness thresholds for some drugs used to treat cancer and certain other drugs.

scholarly journals Principles of Good Faith in Harmonization of Partnership Cooperation on the Distribution of Nine Food Ingredients at PT Sarana PanganMadani, Pekanbaru City

2021 ◽  
Vol 2 (1) ◽  
pp. 388-397
Author(s):  
Yeni Triana ◽  
Handana
Keyword(s):  
Community Service ◽  
Agricultural Land ◽  
Limited Liability ◽  
Good Faith ◽  
Business Community ◽  
Market Prices ◽  
Food Ingredients ◽  
Limited Knowledge ◽  
The Difference ◽  
The Relationship

The problem of limited knowledge of partners about agreements or contracts in general, and in particular regarding the principle of good faith in business activities faced by business actors and company management, which generally consists of millennial youth, which can be said to be still lacking in understanding the principle of commitment well, as a guideline in carrying out the actions of a company, especially companies with legal entities, such as Limited Liability Companies, where PT Sarana PanganMadani, has established many partnerships, which of course must keep the relationship harmonious, sometimes the relationship is already running, due to limited knowledge, experience, there was a clash that would definitely hinder good relations, both parties, for example, at the beginning of the negotiation there was an agreement, which gave birth to a partnership to distribute the nine staples, but in its implementation, there were obstacles, which caused Due to the difference in prices, even though at the beginning of the negotiation the price was already agreed to, but there was a change, which was due to an increase in market prices or production prices, so that the price that was agreed upon earlier, of course changed, this change is a problem of misunderstanding between the two parties, according to Partners. PT Sarana PanganMadani, the company raised prices unilaterally, while from the PT stated that due to changes in market prices, this is one example which is a significant obstacle, resulting in inconsistencies in the development of partner businesses which are good business groups providing distribution of nine staples daily activities, as well as providing business capital to develop agricultural land, as well as services, ranging from basic materials to packaging ready to be marketed. In this community service program, the priority issue agreed upon by the PKM FH Unilak proposer together with his partner, PT Sarana PanganMadani, to be resolved is to provide understanding through legal counseling about the principles of good faith in cooperating with the business community. Thus, after the program is implemented, it is hoped that partners will gain a correct understanding and have knowledge of agreements or contracts in general, and in particular the principles of good faith in this partnership. The method that will be used in this community service is to use lectures that will be directly at the PT Sarana PanganMadani office.

Abstract 108: Optimal In-Hospital Defibrillator Placement

Circulation ◽  
2019 ◽  
Vol 140 (Suppl_2) ◽  
Author(s):  
Kwan Hon Benjamin Leung ◽  
Matthew Yang ◽  
Christopher Sun ◽  
Katherine S Allan ◽  
Natalie Wong ◽  
...  
Keyword(s):  
Average Distance ◽  
Mathematical Optimization ◽  
Rank Test ◽  
Relative Decrease ◽  
Signed Rank ◽  
Out Of Sample ◽  
Signed Rank Test ◽  
Academic Teaching Hospital ◽  
Mathematical Optimization Model ◽  
The Difference

Introduction: Delays in defibrillation of in-hospital cardiac arrests (IHCAs) can reduce the likelihood of survival. Mathematical optimization has been shown to improve public location defibrillator placement but has not been applied to in-hospital defibrillator placement. Objective: To determine if mathematical optimization of in-hospital defibrillator placements can reduce distances to IHCAs compared to current placements in a large academic teaching hospital. Methods: We identified all treated IHCAs and defibrillator placements in St. Michael’s Hospital in Toronto, Canada from Jan. 2007 to Jun. 2017 and mapped them to a 3-D representation of the hospital that we developed from blueprints. An equal number of optimal defibrillator locations was identified using a mathematical optimization model that minimizes the average distance between IHCAs and the closest defibrillator in a 10-fold cross-validation approach. The optimized and current defibrillator locations were compared in terms of average distance to the out-of-sample IHCAs in each fold. We repeated the analysis excluding IHCAs and defibrillators in intensive care units (ICUs), operating theaters (OTs), and the emergency department (ED). Significance in the difference of average distance was determined using a Wilcoxon signed-rank test. Results: We identified 537 treated IHCAs and 53 defibrillators within the hospital during the study period. Of these, 236 IHCAs and 38 defibrillators were outside of ICUs, OTs, and the ED. Optimal defibrillator placements reduced the average defibrillator-to-IHCA distance from 17.1 m to 3.8 m, a relative decrease of 77.8% (P<0.01) on all IHCAs compared to current defibrillator placements. For non-ICU/OT/ED IHCAs, the average distance was reduced from 18.3 m to 9.8 m, a relative decrease of 46.4% (P<0.01). Conclusion: Optimization-guided placement of in-hospital defibrillators can significantly reduce the distance from an IHCA to the closest defibrillator.

scholarly journals The Empirical Evaluation of the Determinants of Industrial Manufacturing in the CEMAC Zone

2019 ◽  
Vol 10 (1) ◽  
pp. 72
Author(s):  
Louis Bernard Tchekoumi ◽  
Patrick Danel Nya
Keyword(s):  
Manufacturing Sector ◽  
Empirical Evaluation ◽  
Value Added ◽  
Business Climate ◽  
Geographic Proximity ◽  
Per Capita Gdp ◽  
Absolute Value ◽  
Industrial Manufacturing ◽  
Per Capita ◽  
The Difference

The aim of this article is to assess the determinants of industrial manufacturing in the CEMAC zone. To achieve this, we make use of a gravity model on a static panel with random effects, according to the methodology proposed by Hausman-Taylor. The results show that the population, value added of the manufacturing sector, colonial links and geographic proximity have significant impacts with the expected signs. On the other hand, the difference in absolute value of per capita GDP, the business climate, financial inflows as well as actual distance are the group variables that arise as constraints to export manufacturing.

scholarly journals Mean-Variance Analysis of Alternative Hedging Strategies

1972 ◽  
Vol 4 (1) ◽  
pp. 123-128 ◽  
Author(s):  
David Holland ◽  
Wayne D. Purcell ◽  
Terry Hague
Keyword(s):  
Futures Markets ◽  
Market Price ◽  
Theoretical Models ◽  
Spot Price ◽  
Hedging Strategies ◽  
Optimum Position ◽  
Futures Price ◽  
The Difference ◽  
Mean Variance ◽  
Over Time

Much of the research in commodity hedging has concentrated upon the development of theoretical models describing the optimum position in cash and futures markets. Other studies have shown that the difference between current spot price and futures price represents the market price for storage, processing services, or both. The revenue stabilizing potential of futures markets for commodities with continuous as opposed to noncontinuous inventories has also received attention. However, very little work or literature is publicly available on how different hedging strategies actually would have performed for a particular commodity over time.

Out-of-sample data visualization using bi-kernel t-SNE

2020 ◽  
pp. 147387162097820
Author(s):  
Haili Zhang ◽  
Pu Wang ◽  
Xuejin Gao ◽  
Yongsheng Qi ◽  
Huihui Gao
Keyword(s):  
Data Visualization ◽  
Principal Component ◽  
Feature Space ◽  
Gaussian Kernel ◽  
Sample Data ◽  
Out Of Sample ◽  
Benchmark Datasets ◽  
The Difference ◽  
Low Dimensional ◽  
Effective Visualization

T-distributed stochastic neighbor embedding (t-SNE) is an effective visualization method. However, it is non-parametric and cannot be applied to steaming data or online scenarios. Although kernel t-SNE provides an explicit projection from a high-dimensional data space to a low-dimensional feature space, some outliers are not well projected. In this paper, bi-kernel t-SNE is proposed for out-of-sample data visualization. Gaussian kernel matrices of the input and feature spaces are used to approximate the explicit projection. Then principal component analysis is applied to reduce the dimensionality of the feature kernel matrix. Thus, the difference between inliers and outliers is revealed. And any new sample can be well mapped. The performance of the proposed method for out-of-sample projection is tested on several benchmark datasets by comparing it with other state-of-the-art algorithms.

scholarly journals Research on Risk Control under the Background of Electricity Futures Market

2020 ◽  
Vol 165 ◽  
pp. 06032
Author(s):  
Suyuan Chang ◽  
Dunnan Liu ◽  
Xiaoyu Li
Keyword(s):  
Electricity Market ◽  
Effective Means ◽  
Futures Market ◽  
Spot Price ◽  
Price Difference ◽  
Forward Contracts ◽  
Hedging Strategies ◽  
Futures Hedging ◽  
The Difference ◽  
Market Factors

In the process of electricity marketization, the electricity futures market is an effective means to avoid the risk of electricity price fluctuations. Based on the background of the electricity futures market, this article first analyzes the physical and market factors of the price fluctuation risk in the electricity market; then, it studies the principle and implementation effects of the power futures hedging function; finally, the manufacturer’s strategy of hedging based on the price difference between the spot price of electricity and the price of forward contracts has been studied in detail. This article believes that the electricity futures market can effectively hedge the spot market risk, and hedging strategies based on the difference between the spot price and the forward price are better.

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