Die erste Studie analysiert den Einfluss spekulativer Aktivität auf die Renditen und die Volatilität von Edelmetallterminpreisen. Die Ergebnisse zeigen, dass die spekulative Aktivität kurzfristig keinen Einfluss auf die Edelmetallterminpreise hat. Langfristig, auf monatlicher Basis, beeinflussen sie jedoch die Renditen der Edelmetallterminpreise. Die zweite Studie untersucht, ob Händleraktivitäten unterschiedlicher Marktteilnehmer den Beitrag des Terminmarktes zur Preisfindung und die Konvergenzgeschwindigkeit zwischen Rohstoffkassa- und Terminpreisen beeinflussen. Die Ergebnisse zeigen, dass Händleraktivitäten den Beitrag der Rohstoffterminmärkte zur Preisfindung nicht signifikant beeinflussen. Spekulanten verbessern die Konvergenzrate und Index Trader verschlechtern sie. Die dritte Studie analysiert den Einfluss der Marktstruktur auf Weizenterminpreise. Die Ergebnisse zeigen, dass sich aufgrund der Dominanz physischer Händler, in Verbindung mit einer geringen Beteiligung anderer Händler, der Terminpreis des harten Frühlingsweizens von der fundamentalen Entwicklung abgekoppelt hat. Die vierte Studie vergleicht den Einfluss von Nachrichten zum Angebot und Nachfrage mit dem Einfluss der Veröffentlichungen von Händlerpositionen auf die Getreideterminpreise. Während fundamentale Nachrichten weiterhin wichtig für die Preisbildung auf Getreideterminmärkten sind, ist die Bedeutung der Veröffentlichung von Händlerpositionen auf dem Mais- und Weizenterminmarkt verhältnismäßig gestiegen. Die fünfte Studie untersucht die Absichten unterschiedlicher Händler und inwieweit die Interaktion zwischen verschiedenen Händlern die Preisbildung an Rohstoffterminmärkten beeinflusst. Wir zeigen, dass Spekulanten Momentum-Strategien verfolgen und Hedger gegen den Markt handeln. Die Interaktions-Analyse zeigt, dass Spekulanten und Hedger die wichtigsten Händlergruppen für die Preisbildung auf Rohstoffterminmärkten sind. / The first study analyzes the impact of speculative activity on precious metals’ futures returns and volatility. Our results demonstrate that speculative activity does not affect precious metals’ futures returns in the short run. However, in long-term they influence precious metals’ futures returns on a monthly base. The second study examines how trading activities of different market participants influence the contribution of the futures market to price discovery and the rate of convergence between commodity spot and futures markets. The results show that the trading activities do not significantly contribute to price discovery in commodity futures markets. Considering the rate of convergence between spot and futures prices, we find that speculators improve while index traders impair the rate of convergence. The third study analyzes the impact of the market structure on wheat futures prices. The findings reveal that the price of hard red spring futures decoupled from its fundamental development because of the dominant presence of physical traders, combined with a low participation of other traders. The fourth study analyzes the impact of fundamental news on grain futures prices compared to the impact of the publication of traders’ positions. The results show that fundamental news remain an important source for pricing in grain futures markets. Nevertheless, a shift of importance from fundamental news to the publication of traders’ positions is observed in corn and wheat futures markets. The fifth study aims to reveal the motives behind the position changes of different market participants and how the interaction between the different traders affects prices in commodity futures markets. We find that speculators are driven by momentum trading and hedgers are contrarian traders. The interaction analysis demonstrates that on average speculators and hedgers appear to be the most important traders influencing pricing in commodity markets.

<p>In this thesis we focus resource allocation problems and electronic markets in particular. The main application area of ours is electricity markets. We present a number of algorithms and include practical experience.</p><p>There is an ongoing restructuring of power markets in Europe and elsewhere, this implies that an industry that previously has been viewed as a natural monopoly becomes exposed to competition. In the thesis we move a step further suggesting that end users should take active part in the trade on power markets such as <i>(i)</i> day-ahead markets and <i>(ii) </i>markets handling close to real-time balancing of power grids. Our ideas and results can be utilised <i>(a) </i>to increase the efficiency of these markets and <i>(b) </i>to handle strained situations when power systems operate at their limits. For this we utilise information and communication technology available today and develop electronic market mechanisms designed for large numbers of participants typically distributed over a power grid.</p><p>The papers of the thesis cover resource allocation with separable objective functions, a market mechanism that accepts actors with discontinuous demand, and mechanisms that allow actors to express combinatorial dependencies between traded commodities on multi-commodity markets. Further we present results from field tests and simulations.</p>

In this thesis we focus resource allocation problems and electronic markets in particular. The main application area of ours is electricity markets. We present a number of algorithms and include practical experience. There is an ongoing restructuring of power markets in Europe and elsewhere, this implies that an industry that previously has been viewed as a natural monopoly becomes exposed to competition. In the thesis we move a step further suggesting that end users should take active part in the trade on power markets such as (i) day-ahead markets and (ii) markets handling close to real-time balancing of power grids. Our ideas and results can be utilised (a) to increase the efficiency of these markets and (b) to handle strained situations when power systems operate at their limits. For this we utilise information and communication technology available today and develop electronic market mechanisms designed for large numbers of participants typically distributed over a power grid. The papers of the thesis cover resource allocation with separable objective functions, a market mechanism that accepts actors with discontinuous demand, and mechanisms that allow actors to express combinatorial dependencies between traded commodities on multi-commodity markets. Further we present results from field tests and simulations.

Accounting / M.Com. (Accounting0

The main focus of this thesis rests in the assessment of the quantitative easing policy impact on commodity prices and prices of commodity derivatives in the US. Several VAR models have been constructed in this paper to capture the relations between time series of monetary policy variables and commodity markets indices. The impulse-response analysis applied in the VAR models has discovered the causal connection between the QE policy and the value of commodity indices. The official announcement of initiation (extension) of the policy of the QE policy and its realization consisting of purchases of vast amount of treasury securities and federal agency debt and MBS has lead to the major commodity indices increase. Since this fact has been overlooked by Fed so far, its acceptance might enhance the realization of possible future QE policy and the valuation of the QE as a monetary policy alternative in conditions of zero-bound.

Focus of master's thesis is usability of automated trading of commodities with automated trading systems – expert advisors. Thesis describe theoretical background of commodity markets, trading principles, technical analysis of market, design and implementation of strategy as expert advisor. In conclusion, results are analyzed.

In connection to the process of financialization of commodity markets which is caused by the sharp increase of money flowing into the commodity markets, the question of which factors affect commodity and commodity indices prices is discussed. The aim of the dissertation is to determine and quantify the factors affecting the prices of industrial metals during the period of financialization of commodity markets and derive the pricing model of industrial metals, which would be able to generate signals of a possible overvaluation or undervaluation. The paper examined non-ferrous industrial metals traded on the Commodity Exchange LME (London Metal Exchange), namely aluminum, copper, lead, nickel, tin and zinc. These metals are also included in the most of the world's composite commodity indices. The dissertation analyzes the contemporary developments in commodity markets; relationship between the price volatility and fundamental factors (including production, consumption and stocks of chosen metals and a wide range of macroeconomic determinants) or the relationship between risk and return of industrial metals. The closing part of the dissertation focuses on the creating of composite pricing indicator for copper and tin by using the Boosted Trees method. The results obtained in the research show that created indicator is able to explain the volatility of the 3m copper futures contracts by 94.25% and 3m futures contracts of tin by 96, 79% in the period from 1/2000 to 3/2015.

Die erste Studie analysiert den Einfluss von Gläubigerschutz auf die internationalen Anlageentscheidungen in Anleihemärkten. In den Ländern mit einem überdurchschnittlichen Gläubigerschutz wirkt ein verbesserter Gläubigerschutz im Heimatmarkt positiv auf die Nachfrage nach ausländischen Anleihen, reduziert jedoch den positiven Effekt des ausländischen Gläubigerschutzes auf die internationale Diversifikation. Die zweite Studie analysiert die Behavioral Finance Erklärungsansätze für Home Bias. Es wird gezeigt, dass Patriotismus und Intoleranz gegen Unsicherheit einen negativen Einfluss auf die internationale Diversifikation in Anleihemärkten haben. Die dritte Studie analysiert die Vorhersagekraft der Händlerpositionen auf die Renditen der Terminkontrakte für Agrarrohstoffe mittels Quantil-Regressionen. Dadurch können signifikante Granger-Kausalitäten zwischen Händlerpositionen und Renditen entdeckt werden, die nicht durch die traditionellen Granger-Kausalitätstests für den Mittelwert der Renditeverteilung aufgedeckt werden können. Die vierte Studie untersucht die kurz- und langfristigen Einflüsse der Spekulanten auf die Preisbildung in den Edelmetallterminmärkten. Es wird gezeigt, dass die kumulierten Änderungen in Händlerpositionen die Edelmetallterminpreise vorhersagen können. Die letzte Studie berücksichtigt die Nichtlinearitäten in der Vorhersagekraft der Handelsaktivität für Renditen in den Bullen- und Bärenmarktphasen der Edelmetallterminmärkte. Die Richtung der Granger-Kausalität zwischen Handelsaktivität und nachfolgenden Renditen ist oft asymmetrisch in den unterschiedlichen Marktphasen, was durch den unterschiedlichen Informationsgehalt der Transaktionen erklärt werden kann. / The first study analyzes the relationship between domestic creditor protection and foreign investment in bond markets. For the investing countries with relatively high levels of domestic creditor protection, a high level of domestic creditor protection is associated with a higher international diversification in bond portfolios and reduces the sensitivity of foreign investment to the foreign creditor protection. The second study explores the behavioral determinants of home bias in debt markets. It shows that patriotism and uncertainty avoidance reduce international diversification. The third paper analyzes the relationship between financial activity and returns in twelve agricultural futures markets based on quantile regressions. Quantile regressions detect significant Granger-causal effects from trader positions to returns that would not have been unveiled while using the traditional "Granger causality in mean" approach. The fourth essay investigates long- and short-term effects of speculative activity on the price mechanism in precious metals futures markets and shows that accumulated changes in positions of speculators have the potential to forecast returns. The last study accounts for non-linearity in the predictive power of trading activity for precious metals futures returns in bull and bear market states. The direction of Granger causality from trading activity to subsequent returns is often asymmetric across bull and bear markets, which may be explained by the different informational content of trades.

This thesis consists of four papers dealing with the futures price process. In the first paper, we propose a two-factor futures volatility model designed for the US natural gas market, but applicable to any futures market where volatility decreases with maturity and varies with the seasons. A closed form analytical expression for European call options is derived within the model and used to calibrate the model to implied market volatilities. The result is used to price swaptions and calendar spread options on the futures curve. In the second paper, a financial market is specified where the underlying asset is driven by a d-dimensional Wiener process and an M dimensional Markov process. On this market, we provide necessary and, in the time homogenous case, sufficient conditions for the futures price to possess a semi-affine term structure. Next, the case when the Markov process is unobservable is considered. We show that the pricing problem in this setting can be viewed as a filtering problem, and we present explicit solutions for futures. Finally, we present explicit solutions for options on futures both in the observable and unobservable case. The third paper is an empirical study of the SABR model, one of the latest contributions to the field of stochastic volatility models. By Monte Carlo simulation we test the accuracy of the approximation the model relies on, and we investigate the stability of the parameters involved. Further, the model is calibrated to market implied volatility, and its dynamic performance is tested. In the fourth paper, co-authored with Tomas Björk and Camilla Landén, we consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures price curve. Using a Lie algebraic approach we investigate when the infinite dimensional futures price process can be realized by a finite dimensional Markovian state space model, and we give general necessary and sufficient conditions, in terms of the volatility structure, for the existence of a finite dimensional realization. We study a number of concrete applications including the model developed in the first paper of this thesis. In particular, we provide necessary and sufficient conditions for when the induced spot price is a Markov process. We prove that the only HJM type futures price models with spot price dependent volatility structures, generically possessing a spot price realization, are the affine ones. These models are thus the only generic spot price models from a futures price term structure point of view. / Diss. Stockholm : Handelshögskolan, 2004

This thesis investigates the role of price and non-price competitiveness factors using a relative export price index, introduced by Benkovskis and Wörz (2016), that is adjusted for changes in quality and taste. First, we replicate their model employing an updated dataset, confirming previous results. Then, the framework is used to study the recent developments in the Europe's oil product market. Given the saturation of the market, decreasing demand, and converging prices, importance of non-price competitiveness factors, such as quality, increases. The results suggest that the problems of the underinvested oil downstream industry in Northwestern European producers are caused not only by decreasing aggregate demand, high costs, and low margins, but by non-price competitiveness factors as well. We find profound improvements in product quality in CEE countries, following substantial investments into the sector and market consolidation. Both regions are at risk of rising imports of high-quality products from the Middle East, Russia and USA. This thesis provides a comprehensive picture of price and non-price competitiveness developments of all players in the highly competitive European oil downstream market.