scholarly journals Research on the Relationship between Iron Ore Futures Price and Spot Price in China

2018 ◽  
Author(s):  
Hui Sheng
Keyword(s):  
Iron Ore ◽  
Spot Price ◽  
Futures Price ◽  
The Relationship

scholarly journals Pricing Mining Concessions Based on Combined Multinomial Pricing Model

2017 ◽  
Vol 2017 ◽  
pp. 1-9
Author(s):  
Chang Xiao ◽  
Jinsheng Zhou
Keyword(s):  
Empirical Study ◽  
Multinomial Distribution ◽  
Spot Price ◽  
Pricing Model ◽  
Pricing Models ◽  
Copper Mine ◽  
Futures Price ◽  
The Relationship ◽  
Mineral Product ◽  
Better Than

A combined multinomial pricing model is proposed for pricing mining concession in which the annualized volatility of the price of mineral products follows a multinomial distribution. First, a combined multinomial pricing model is proposed which consists of binomial pricing models calculated according to different volatility values. Second, a method is provided to calculate the annualized volatility and the distribution. Third, the value of convenience yields is calculated based on the relationship between the futures price and the spot price. The notion of convenience yields is used to adjust our model as well. Based on an empirical study of a Chinese copper mine concession, we verify that our model is easy to use and better than the model with constant volatility when considering the changing annualized volatility of the price of the mineral product.

scholarly journals A Study on the Causal Relationship between Spot Price and Futures Price of Crude Oil and Agricultural Products

2020 ◽  
Vol 8 (5) ◽  
pp. 296-315
Author(s):  
Dong Hoon Shin ◽  
Seon Hyeon Kim
Keyword(s):  
Causal Relationship ◽  
Futures Market ◽  
Agricultural Products ◽  
Spot Price ◽  
Agricultural Product ◽  
Causality Test ◽  
Futures Price ◽  
Derivatives Markets ◽  
The Relationship ◽  
Toda And Yamamoto

This paper studies the relationship between the agricultural, energy, and derivatives markets. This study empirically analyzes how the results of previous studies on the Granger causality between oil price and the spot price of agricultural products appear in the futures market by using the Toda and Yamamoto (1995)’ causality test. There are two main findings. First, 7 bidirectional causalities and 27 causalities between oil and 6 agricultural products are found, providing strong evidence of a causal relationship. Second, causality is found between oil prices and grain and oilseed type agricultural products, and the spot price of oil has relatively more causalities on agricultural product prices than the futures price of oil. Lastly, testing each period shows that a financial crisis can strengthen the relationship between the agriculture markets and the energy markets

scholarly journals The Effect of Renewable Energy Generation on the Electric Power Spot Price of the Japan Electric Power Exchange

Energies ◽  
2018 ◽  
Vol 11 (9) ◽  
pp. 2215 ◽  
Author(s):  
Jun Maekawa ◽  
Bui Hai ◽  
Sarana Shinkuma ◽  
Koji Shimada
Keyword(s):  
Electric Power ◽  
Panel Data Analysis ◽  
Renewable Energies ◽  
Policy Implications ◽  
Spot Price ◽  
Price Forecast ◽  
Weather Information ◽  
Power Exchange ◽  
Renewable Energy Generation ◽  
The Relationship

This study aims to explore the relationship between renewable energies and the electric power spot price of the Japan Electric Power Exchange (JEPX). By using panel data analysis and proxy modeling, this work attempts to estimate how renewable energies (displayed through the proxies) and other factors influence the electric power spot price in Japan. Based on an analysis of the estimations, some policy implications have been proposed, such as to incorporate weather information into the price forecast, or to provide a guide to more effectively transact on the JEPX.

scholarly journals Iron ore tailings in the production of cement tiles: a value analysis on building sustainability

2018 ◽  
Vol 18 (4) ◽  
pp. 395-412 ◽  
Author(s):  
Wanna Carvalho Fontes ◽  
Giovanni Gonçalves Fontes ◽  
Ellen Cristine Pinto Costa ◽  
Julia Castro Mendes ◽  
Guilherme Jorge Brigolini Silva ◽  
...  
Keyword(s):  
Iron Ore ◽  
Construction Material ◽  
Local Identity ◽  
Value Analysis ◽  
Social And Emotional ◽  
A Value ◽  
Iron Ore Tailings ◽  
Dissolution Tests ◽  
Technical Evaluation ◽  
The Relationship

Abstract The present work discloses the development of a sustainable cement tile (SCT) produced with Iron Ore Tailings from tailings dams (IOT). Initially, technical evaluation and environmental analysis of IOT were performed through physical, chemical and morphological characterisation, leaching and dissolution tests. Its feasibility as a pigment was also investigated. Subsequently, the value analysis was performed, starting from an empathy map to a study on environmental, social and emotional values in the relationship between people and product. As result, the IOT presented fine, crystalline particles, no toxicity, and is technically feasible to be employed as filler, aggregate and pigment in the production of SCT. The colour layer of the SCT presented more homogeneous colour and less pores than conventional ones. Therefore, the design of the SCT was developed, incorporating intangible values such as: environmental ideology, local identity and social expression. In this sense, the present work seeks to assist in the decision-making process involving IOT as construction material.

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.

The Unbiasedness and Hedging Effectiveness in KOSPI200 Futures Market

2007 ◽  
Vol 15 (1) ◽  
pp. 73-100
Author(s):  
Seok Kyu Kang
Keyword(s):  
Risk Management ◽  
Risk Premium ◽  
Futures Market ◽  
Spot Price ◽  
Sample Period ◽  
Futures Prices ◽  
Spot Prices ◽  
Hedging Effectiveness ◽  
Futures Price ◽  
Rolling Windows

This study is to examine the unblasedness hypothesis and hedging effectiveness in KOSPI20() futures market. The unbiasedness and efficiency hypothesis is carried out using a cointegration methodology. And hedging effectiveness is measured by comparing hedging performance of the naive hedge model, OLS hedge model. and constant correlation bivariate GARCH (1. 1) hedge model based on rolling windows. The sample period covers from May. 3. 1996 to December. 8, 2005. The empirical results are summarized as follows: First, there exists the cOintegrating relationship between realized spot prices and futures prices of the 10 day. 22 day. 44 day. and 59 day prior to maturity. Second. futures prices of backward the 10 day. 22 day. 44 day from maturity provide unbiased forecasts of the realized spot prices. The KOSPI200 futures price is likely to predict accurately future KOSPI200 spot prices without the trader having to pay a risk premium for the privilege of trading the contract. Third. for shorter maturity. the futures price appears to be the best forecaster of spot price. Forth, bivariate GARCH hedging effectiveness outperforms the naive and OLS hedging effectiveness. The implications of these findings show that KOSPI200 futures market behaves as unbiased predictor of future spot price and risk management instrument of KOSPI200 spot portfolio.

Is Chinese or American maize price effective for trading and policy-making reference?

2014 ◽  
Vol 6 (3) ◽  
pp. 470-484
Author(s):  
Yunxian Yan ◽  
Lu Tian ◽  
Yuejie Zhang
Keyword(s):  
Policy Making ◽  
Wholesale Price ◽  
Price Transmission ◽  
Spot Price ◽  
Policy Makers ◽  
Content Type ◽  
Market Participants ◽  
Long Run ◽  
American Maize ◽  
Futures Price

Purpose – The purpose of this paper is to discover an effective maize price for trading and policy-making reference by assessing the price transmission of the US spot and futures maize prices to Chinese counterparts. Design/methodology/approach – The authors apply a systematic, quantitative method to analyze the integration between US and Chinese maize markets. Based on the residuals of the variables through error correction model, the directed acyclic graph (DAG) among six price variables is conducted. With consideration of the dependence on and direction of six price variables, the variance decomposition of each variable is calculated. Findings – This paper shows that the vertical price transmission passes from wholesale price to farm-gate price. The horizontal price transmission ranges from spot price to futures price at the domestic market and from the American spot price to domestic spot price, from the American spot price to domestic futures price and from the American futures price to domestic futures price. The American maize spot and futures prices, and in particular the spot price, have greater effects on domestic maize prices contemporaneously. It also indicates that the American spot price is the leader price in the long run at both maize markets. Originality/value – This paper contributes by using the DAG method in this paper. It also contributes by helping policy makers and market participants find the leading prices and offers insight into ways of gaining power of price setting in the maize market.

Study on the Effect on Sintering Mineralization of Iron Ore

2013 ◽  
Vol 652-654 ◽  
pp. 2538-2542 ◽  
Author(s):  
Xiao Hui Fan ◽  
Ying Li ◽  
Xu Ling Chen
Keyword(s):  
Grain Size ◽  
Regression Analysis ◽  
Chemical Composition ◽  
Iron Ore ◽  
Raw Material ◽  
Sintering Process ◽  
Main Effect ◽  
Relationship Model ◽  
Ore Mineralization ◽  
The Relationship

The main effect on iron ore mineralization performance in the sintering process is the grain size of raw material and chemical composition. The results show that -0.5mm particles can mineralize, but +0.5mm particles remain a nucleus in sinter. This paper analyses the effect of the chemical composition on mineralization characteristics of liquid production. The relationship model is established by using regression analysis between the chemical composition and liquid formation characteristics. The mian factors of mineralization in the chemical composition: SiO2, CaO, MgO and Al2O3.

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