scholarly journals New Crypto-Secured Lending System with a Two-Way Collateral Function

Ledger ◽  
2021 ◽  
Vol 6 ◽  
Author(s):  
Sungil Kim
Keyword(s):  
Price Volatility ◽  
Volatility Risk ◽  
Price Increases

All existing secured loans, including crypto-secured loans, are provided under the condition that the collateral entrusted by the borrower is kept safe during the loan term. In other words, they use a one-way collateral function. Thus, a frequent drawback of these loans is that the collateral value increases if and only if the collateral price increases. To resolve this problem, this paper proposes a new crypto-secured lending system incorporating a new two-way collateral function. It would allow a borrower to invest proportions of their own collateral by predicting the market in both directions to make profits irrespective of whether the price of the collateral increases or decreases. This benefits the borrower since profit can be made even if the price of the collateral drops, by betting on the price decrease. This new lending system could include a new hedged portion, unlike traditional secured lending systems. As a result, larger loans can be made under this arrangement; further, this portion provides the advantage of reducing the underlying collateral price volatility risk.

Design and pricing of derivative contracts in a spectrum market

2015 ◽  
Vol 02 (01) ◽  
pp. 1550005 ◽  
Author(s):  
Aparna Gupta ◽  
Koushik Kar ◽  
Praveen K. Muthuswamy
Keyword(s):  
Wireless Channels ◽  
Numerical Study ◽  
Price Volatility ◽  
Spot Price ◽  
Spectrum Access ◽  
Self Similarity ◽  
Price Process ◽  
Management Objectives ◽  
Price Increases ◽  
Spectrum Market

We propose a secondary spectrum market that allows wireless providers to purchase spectrum access licenses of short duration in the form of spot contracts and derivative contracts on spectrum. A spot contract provides immediate access to one or more wireless channels and cannot be further traded. On the other hand, derivative contracts on spectrum typically involve purchase of spectrum licenses in the future for predefined terms, and they can play an important role in risk management objectives of wireless providers. In this paper, we utilize a model for the spot price of spectrum licenses in which the price increases with increasing congestion in spectrum usage caused by the primary demand for spectrum. The spot price process, modeled as driven by a fractional Brownian motion (fBm) process to capture the self-similarity properties of wireless traffic, is utilized in fractional stochastic calculus to obtain the value of derivative contracts. We design a variety of derivative contracts considering the risk profile of both the buyers and sellers of spectrum. Through a detailed numerical study, we examine the value of these derivative contracts for changes in spot price volatility and the parameters that define the contracts.

scholarly journals MEAN-REVERTING STOCHASTIC VOLATILITY

2000 ◽  
Vol 03 (01) ◽  
pp. 101-142 ◽  
Author(s):  
JEAN-PIERRE FOUQUE ◽  
GEORGE PAPANICOLAOU ◽  
K. RONNIE SIRCAR
Keyword(s):  
Stochastic Volatility ◽  
Stock Price ◽  
Implied Volatility ◽  
Asset Price ◽  
Market Price ◽  
Price Volatility ◽  
Estimation Procedure ◽  
Derivative Pricing ◽  
Volatility Risk ◽  
Index Value

We present derivative pricing and estimation tools for a class of stochastic volatility models that exploit the observed "bursty" or persistent nature of stock price volatility. An empirical analysis of high-frequency S&P 500 index data confirms that volatility reverts slowly to its mean in comparison to the tick-by-tick fluctuations of the index value, but it is fast mean-reverting when looked at over the time scale of a derivative contract (many months). This motivates an asymptotic analysis of the partial differential equation satisfied by derivative prices, utilizing the distinction between these time scales. The analysis yields pricing and implied volatility formulas, and the latter is used to "fit the smile" from European index option prices. The theory identifies the important group parameters that are needed for the derivative pricing and hedging problem for European-style securities, namely the average volatility and the slope and intercept of the implied volatility line, plotted as a function of the log-moneyness-to-maturity-ratio. The results considerably simplify the estimation procedure, and the data produces estimates of the three important parameters which are found to be stable within periods where the underlying volatility is close to being stationary. These segments of stationarity are identified using a wavelet-based tool. The remaining parameters, including the growth rate of the underlying, the correlation between asset price and volatility shocks, the rate of mean-reversion of the volatility and the market price of volatility risk can be roughly estimated, but are not needed for the asymptotic pricing formulas for European derivatives. The extension to American and path-dependent contingent claims is the subject of future work.

scholarly journals Price clusters and stock price stability

2020 ◽  
Vol 24 ◽  
pp. 33
Author(s):  
Hamid Reza Kordlouie ◽  
Mehrnoush Ebrahimi ◽  
Narges Mohseni Dehkolani ◽  
Azam Zare Jafar Kolaei
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Traditional Approach ◽  
Price Volatility ◽  
Price Stability ◽  
Stock Price Volatility ◽  
Factors Affecting ◽  
Price Increases ◽  
Research Findings ◽  
Clustering Test

Understanding the factors affecting stock return volatility, for analysts, investors and company executives, it is critical. In this study, using a traditional approach, we identify the factors influencing volatility and how price friction is formed on stock price stability, and in particular, examining the clustering test for price increases. This study was carried out by examining the price clusters and stock price stability in the stock market and the OTC market between 2009 -2010. Econometric software was used to investigate the research variables. In this study, we tried to study stock price volatility in proportion to stock price clusters. Research findings showed; there is no significant relationship between stock price volatility and price clusters in the OTC market and the stock market.

Asymmetry in farm-to-retail dry bean price transmission in Sāo Paulo, Brazil

2014 ◽  
Vol 14 (1) ◽  
pp. 31-41
Author(s):  
C.A. da Cunha ◽  
A.E. Wander
Keyword(s):  
Purchasing Power Parity ◽  
Price Volatility ◽  
Sao Paulo ◽  
Price Transmission ◽  
High Price ◽  
São Paulo ◽  
Dry Bean ◽  
Farm Level ◽  
Price Increases ◽  
Asymmetric Price Transmission

The objective of this paper is to verify the existence of asymmetric price transmission in the farm, wholesale and retail dry bean market in Sāo Paulo, Brazil. The dry bean market is characterised by high price volatility, mainly due to harmful interference from informal actors. Consequently, the prices being practiced at different chain levels have asymmetric transmission, which can be explained by failures in coordination, opportunistic behaviour of farmers and intermediaries, and the asymmetry of information amongst actors within the chain. Our findings confirm those of the existing literature - in situations of asymmetric price transmission, price increases at farm level are more intensely transmitted to wholesalers and retailers than price decreases. Consequently, the common bean market shows inefficiencies in price transmission along the chain, as price increases at farm level generate higher impacts on retail prices, violating the absolute form of purchasing power parity.

scholarly journals Ranking of US macroeconomic news impacting WTI crude oil volatility risk

2019 ◽  
Vol 8 (6) ◽  
pp. 49-57 ◽  
Author(s):  
Omid Faseli
Keyword(s):  
Crude Oil ◽  
Price Volatility ◽  
Ordinary Least Squares ◽  
High Price ◽  
Research Approach ◽  
Macroeconomic News ◽  
Volatility Risk ◽  
Ols Regression ◽  
Oil Price Volatility ◽  
The Impact

This study had the purpose to investigate the impact of 38 scheduled major United States (US) macroeconomic news on WTI crude oil intraday volatility for the period 2012-2018. It was the aim to provide a news ranking that indicates upcoming high volatility episodes at a specific point in time. The West Texas Intermediate (WTI) light crude oil represents a benchmark since it has a signal effect on market players. High crude oil price volatility is a measure of risk and known to increase inflation, to affect producers, consumers, and investors and to destabilize economic growth. In this research approach one-minute high-frequency bid close prices provided the basis for a 1h window rolling standard deviation. Data modeling was performed using simple and multiple robust ordinary least squares (OLS) regression performed with programming language Python. The model successfully identified 21 significant news announcements in both, the simple and multiple regression models, however, simple OLS-regression appears to be more sensitive. It also provided a ranking of US news impacting WTI volatility risk. The results support the prediction of approaching high price volatility and thus, display an opportunity for market participants and decision-makers to minimize risk.

scholarly journals Links between food price behaviour and nutrition in the developing world

SURG Journal ◽  
2012 ◽  
Vol 5 (2) ◽  
pp. 51-62
Author(s):  
Bethany Woods
Keyword(s):  
Food Security ◽  
Commodity Prices ◽  
Price Volatility ◽  
Commodity Markets ◽  
Unintended Consequences ◽  
Food Price ◽  
Price Increases ◽  
The Impact ◽  
Food Commodity ◽  
Global Food

With the recent financial crisis and its enduring fallout, questions surrounding the state of global food security have become more pressing. A key element influencing the nutritional status of the world’s poor is price behavior within global food commodity markets. In recent decades, food commodity markets have experienced both significant price increases, and an increase in volatility. These price trends have had significant impacts on the diversity of diets in impoverished households worldwide, which in turn has impacted nutrition and health. This paper will discuss the causes behind recent trends in food commodity prices, and the extent of their impact on food security and nutrition. Specifically, it will address the impact of food price increases and the uncertainty induced by food price volatility on household food consumption and nutrition. Micronutrient intake is the focus of the nutritional discussion of this work, and variations of consumption behavior in various regions and within different household dynamics are all taken into account. Existing policy actions are discussed in terms of the frequency of their implementation, the factors encouraging or deterring their implementation, and their intended and unintended consequences. Finally, the paper concludes with suggestions for future actions and areas for future research.

scholarly journals What Moves the German Land Market? A Decomposition of the Land Rent-Price Ratio

2020 ◽  
pp. 1-18
Author(s):  
Jana Plogmann ◽  
Oliver Mußhoff ◽  
Martin Odening ◽  
Matthias Ritter
Keyword(s):  
Interest Rates ◽  
Agricultural Land ◽  
Price Volatility ◽  
Land Market ◽  
Price Ratio ◽  
Land Markets ◽  
Land Rent ◽  
Federal States ◽  
Price Increases ◽  
Western Germany

The price increases on agricultural land markets over the last decade have triggered a debate about land as an attractive investment opportunity for agricultural and non-agricultural investors. In a static environment, the rent-price ratio provides a first indicator of the profitability of an investment in land. In this paper, we apply the dynamic Gordon growth model to Western Germany and decompose the rent-price ratio into the expected present values of rental growth rates, real interest rates, and a land premium, i.e., the excess return on investment. This analysis reveals that the recent price surge on agricultural land markets was not unprecedented; that the land market rent-price ratio is rather low and varies considerably among federal states; and that (expected) premia for land are mostly negative. Finally, we find that changing expected present values of returns on land investments are the major driver for land price volatility.

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