Change of Persistence in European Electricity Spot Prices

The European Power Exchange has introduced day-ahead auctions and continuous trading spot markets to facilitate the insertion of renewable electricity. These markets are designed to balance excess or lack of power in short time periods, which leads to a large stochastic variability of the electricity prices. Furthermore, the different markets show different stochastic memory in their electricity price time series, which seem to be the cause for the large volatility. In particular, we show the antithetical temporal correlation in the intraday 15 minutes spot markets in comparison to the day-ahead hourly market. We contrast the results from Detrended Fluctuation Analysis (DFA) to a new method based on the Kramers–Moyal equation in scale. For very short term (< 12 hours), all price time series show positive temporal correlations (Hurst exponent H > 0.5) except for the intraday 15 minute market, which shows strong negative correlations (H < 0.5). For longer term periods covering up to two days, all price time series are anti-correlated (H < 0.5).

Information transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation

This paper examines information transmission between Bitcoin derivatives and spot exchanges using 15-minutes interval data over May 2016 - September 2020. We employ a novel econometric framework with Fourier approximation, taking structural shifts in causal linkages, on the prices, returns, and volatilities of BitMEX, the derivatives market, and five other major spot exchanges, Coinbase, Bitstamp, Kraken, CEX.io, and Poloniex. Overall, the results provide robust evidence of information flow between the derivatives and spot exchanges, implying the markets react to new information simultaneously. The results are of importance for investors conducting portfolio allocation exercises and risk management strategies.

Towards Analyzing Computational Costs of Spark for SARS-CoV-2 Sequences Comparisons on a Commercial Cloud

In this paper, we developed a Spark application, named Diff Sequences Spark, which compares 540 SARS-CoV-2 sequences from South America in Amazon EC2 Cloud, generating as output the positions where the differences occur. We analyzed the performance of the proposed application on selected memory and storage optimized virtual machines (VMs) at on-demand and spot markets. The execution times and financial costs of the memory optimized VMs outperformed the storage optimized ones. Regarding the markets, Diff Sequences Spark reduced the average execution times and monetary costs when using spot VMs compared to their respective on-demand VMs, even in scenarios with several spot revocations, benefiting from the low overhead fault tolerance Spark framework.

Manual Frequency Restoration Reserve Activation Clearing Model

The integration of the European markets has started with the successful coupling of spot markets (day-ahead and intra-day) and is expected to continue with the coupling of balancing markets. In this paper, the optimization model for the activation of manual frequency restoration reserve (mFRR) is presented. The model incorporates all order types agreed among the European transmission system operators (TSOs) to be included in the Manually Activated Reserves Initiative (MARI) project. Additionally, the model incorporates the buying curve (demand) of mFRR with the possible tolerance band defined by the TSOs, order clearing constraints and the cross-zonal capacity (CZC) constraints, forming a mixed integer linear programming model. The methodology employs two distinct steps: In the first step, an order conversion process is employed for the markets applying the central-scheduling scheme, and in the second step, the mFRR activation process is executed by solving the presented model. The whole process is tested using a case, including twenty-five European control areas. The attained clearing results indicate that price convergence is achieved among the involved control areas, along with a reduction in the overall balancing costs mainly due to the imbalance netting that is implicitly performed during the joint mFRR balancing energy (BE) clearing process and due to the cross-border exchange of mFRR BE.

Transaction costs and inter-organizational relations between farmers and farm product buyers in Ghana

PurposeThe purpose of this paper is to provide an understanding of what motivates farmers to participate in inter-organizational relationships with farm product buyers. Interest in inter-organizational relationships in the Ghanaian agri-food sector has been stimulated in recent years by policies seeking to reduce farmers’ market risks while improving buyers’ access to commodity inputs. The decision of how to sell farm produce is an economic imperative for the farmer; therefore, the coexistence of spot markets and inter-organizational relationships suggests that the farmers who use them must be having some gains from them.Design/methodology/approachThis study employed binary logit regression using both qualitative and quantitative data and the transactions cost theory to understand the Ghanaian farmers’ motivation for participating in inter-organizational relationships.FindingsThis study found that a farmer having better information regarding product buyers’ needs was an important motivator for participation. The farmers’ certainty about the price they would get and the quantity they would sell were also major factors that motivated farmers’ participation. Again, the motivation to engage in inter-organizational relationships with processors was also influenced by the nature of the crop. Fruit farmers, for example, were 3.7 times more likely to participate in these relationships than non-fruit farmers.Research limitations/implicationsThis study considered analysis at the farmer level. However, some farmers produced multiple crops. This means that the farmers who participate in inter-organizational relations with buyers for one crop enterprise may be nonparticipant with the other crop(s). Future studies could target analysis at the crop level while accounting for the associated transactions costs.Originality/valueThis study explores how a combination of transaction costs theory and the different crops that farmers produce explains farmers’ decision to participate in inter-organizational relationships.