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.

This thesis consists of three essays that explore the dynamics of interconnected markets and examine the relationships between markets, investor behavior, and fundamental characteristics of the firm and the economy. In the first essay, we investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit in producer countries have stock returns that are strongly predictable based on the returns of their associated customer countries. This behavior is especially prevalent among firms with high levels of foreign sales. To better understand this effect we develop an asset pricing model in which firms in different countries are connected by trade credit links. The model offers further predictions about this phenomenon, including stronger predictability during periods of high credit constraints and low uninformed trading volume. We find supportive empirical evidence for these predictions. The second essay investigates the dynamics of commodity futures volatility. I derive the variance decomposition for the futures basis to show how unexpected excess returns result from new information about expected future interest rates, convenience yields, and risk premia. Using data on major commodity futures markets and global bilateral commodity trade, I analyze the extent to which commodity volatility is related to fundamental uncertainty arising from increased emerging market demand and macroeconomic uncertainty, and control for the potential impact of financial frictions introduced by changing market structure and index trading. I find that a higher concentration in the emerging market importers of a commodity is associated with higher futures volatility. Commodity futures volatility is significantly predictable using variables capturing macroeconomic uncertainty. The third essay investigates the differential explanatory power of consumer (importing countries) and producer (exporting countries) risk in explaining the volatility of commodity spot premia and term premia using trade-weighted indices of GDP volatility. Using data for major commodity futures markets, bilateral commodity trade, exchange rates, and GDP for countries trading these commodities, I test hypotheses on the heterogeneous impact of consumer and producer shocks, potentially driven by differences in hedging preferences and investment planning horizons. Producer risk is significant for both short-dated and long-dated maturities, while consumer risk has greater explanatory power for the volatility of the term spread.

High performance grid computing is a key enabler of large scale collaborative computational science. With the promise of exascale computing, high performance grid systems are expected to incur electricity bills that grow super-linearly over time. In order to achieve cost effectiveness in these systems, it is essential for the scheduling algorithms to exploit electricity price variations, both in space and time, that are prevalent in the dynamic electricity price markets. Typically, a job submission in the batch queues used in these systems incurs a variable queue waiting time before the resources necessary for its execution become available. In variably-priced electricity markets, the electricity prices fluctuate over discrete intervals of time. Hence, the electricity prices incurred during a job execution will depend on the start and end time of the job. Our thesis consists of two parts. In the first part, we develop a method to predict the start and end time of a job at each system in the grid. In batch queue systems, similar jobs which arrive during similar system queue and processor states, experience similar queue waiting times. We have developed an adaptive algorithm for the prediction of queue waiting times on a parallel system based on spatial clustering of the history of job submissions at the system. We represent each job as a point in a feature space using the job characteristics, queue state and the state of the compute nodes at the time of job submission. For each incoming job, we use an adaptive distance function, which assigns a real valued distance to each history job submission based on its similarity to the incoming job. Using a spatial clustering algorithm and a simple empirical characterization of the system states, we identify an appropriate prediction model for the job from among standard deviation minimization method, ridge regression and k-weighted average. We have evaluated our adaptive prediction framework using historical production workload traces of many supercomputer systems with varying system and job characteristics, including two Top500 systems. Across workloads, our predictions result in up to 22% reduction in the average absolute error and up to 56% reduction in the percentage prediction errors over existing techniques. To predict the execution time of a job, we use a simple model based on the estimate of job runtime provided by the user at the time of job submission. In the second part of the thesis, we have developed a metascheduling algorithm that schedules jobs to the individual batch systems of a grid, to reduce both the electricity prices for the systems and response times for the users. We formulate the metascheduling problem as a Minimum Cost Maximum Flow problem and leverage execution period and electricity price predictions to accurately estimate the cost of job execution at a system. The network simplex algorithm is used to minimize the response time and electricity cost of job execution using an appropriate flow network. Using trace based simulation with real and synthetic workload traces, and real electricity price data sets, we demonstrate our approach on two currently operational grids, XSEDE and NorduGrid. Our experimental setup collectively constitute more than 433K processors spread across 58 compute systems in 17 geographically distributed locations. Experiments show that our approach simultaneously optimizes the total electricity cost and the average response time of the grid, without being unfair to users of the local batch systems. Considering that currently operational HPC systems budget millions of dollars for annual operational costs, our approach which can save $167K in annual electricity bills, compared to a baseline strategy, for one of the grids in our test suite with over 76000 cores, is very relevant for reducing grid operational costs in the coming years.

No description available.

Thesis (Ph.D. (Business Management))--North-West University, Potchefstroom Campus, 2007.

Relationship marketing has received much attention and widespread publicity over the past ten years and has moved to the forefront of research and practice. It provides companies with a management tool to establish economically profitable relationships, networks and interactions with different, but equally important stakeholder markets. The marketing concept as reflected in the four P's of the marketing mix was prominent in marketing practice and thinking until the mid-1980s, when reference to customer relationships and relationship building began to appear in the literature and became the focus of much research. The marketing concept, although still relevant, was expanded to include the dimension of relationships. The shift fiom transactional to relationship-based marketing has many implications for product and service based business. Marketing can no longer be viewed as a separate function to which an organisation can assign responsibility for the customer while the rest of the organisation gets on with their tasks. Rather, the relationship-based view of marketing places the responsibility for marketing (as defined broadly) on everyone in the organisation. In other words, it is the responsibility of every employee within the organisation to satisfy the needs of customers. A relationship marketing orientation can therefore create a competitive edge for an organisation and can also have a positive impact on organisational performance. In a highly competitive, global environment organisations are focussing more attention on building sustainable, competitive advantages by developing and maintaining close, cooperative relationships with a limited set of suppliers, customers and channel members. Through these relationships, organisations create value by differentiating their offering and/or lowering their costs. The term "relationship marketing" is therefore applied to a number of different marketing activities ranging from consumer frequency marketing programs to selling activities directed towards building partnerships with key customers. The focus of this study is to investigate the mutually beneficial nature of establishing long term relationships in supplier markets, customer markets, internal markets, recruitment markets, internal markets and influence markets. The different principles which are important to improve and professionally manage the relationships in the markets listed above, are identified and discussed. These principles were tested in travel agencies in the Western Cape province to determine their current and ideal application in a travel and tourism environment. The calculation of effect sizes were based on the difference between the current and ideal application of the principles within travel agencies in the Western Cape. / Thesis (Ph.D. (Business Management))--North-West University, Potchefstroom Campus, 2007

Relationship marketing has received much attention and widespread publicity over the past ten years and has moved to the forefront of research and practice. It provides companies with a management tool to establish economically profitable relationships, networks and interactions with different, but equally important stakeholder markets. The marketing concept as reflected in the four P's of the marketing mix was prominent in marketing practice and thinking until the mid-1980s, when reference to customer relationships and relationship building began to appear in the literature and became the focus of much research. The marketing concept, although still relevant, was expanded to include the dimension of relationships. The shift fiom transactional to relationship-based marketing has many implications for product and service based business. Marketing can no longer be viewed as a separate function to which an organisation can assign responsibility for the customer while the rest of the organisation gets on with their tasks. Rather, the relationship-based view of marketing places the responsibility for marketing (as defined broadly) on everyone in the organisation. In other words, it is the responsibility of every employee within the organisation to satisfy the needs of customers. A relationship marketing orientation can therefore create a competitive edge for an organisation and can also have a positive impact on organisational performance. In a highly competitive, global environment organisations are focussing more attention on building sustainable, competitive advantages by developing and maintaining close, cooperative relationships with a limited set of suppliers, customers and channel members. Through these relationships, organisations create value by differentiating their offering and/or lowering their costs. The term "relationship marketing" is therefore applied to a number of different marketing activities ranging from consumer frequency marketing programs to selling activities directed towards building partnerships with key customers. The focus of this study is to investigate the mutually beneficial nature of establishing long term relationships in supplier markets, customer markets, internal markets, recruitment markets, internal markets and influence markets. The different principles which are important to improve and professionally manage the relationships in the markets listed above, are identified and discussed. These principles were tested in travel agencies in the Western Cape province to determine their current and ideal application in a travel and tourism environment. The calculation of effect sizes were based on the difference between the current and ideal application of the principles within travel agencies in the Western Cape. / Thesis (Ph.D. (Business Management))--North-West University, Potchefstroom Campus, 2007

Access to abstract restricted until 12/14/2014 / Access to thesis restricted until 12/14/2014 / Department of Family and Consumer Sciences

In chapter 1, I investigate the return links and dynamic conditional correlations between the equity and commodity returns for G7 countries from 2000:01 to 2014:10. The commodity futures include BCOM Index which contains the futures and spot price of 22 commodities, Brent and Crude oil futures, gold and silver futures, Wheat, Corn and Soybean futures and CRB index. The finding indicates that during the full sample period GOLD, WHEAT and CORN have the smallest dynamic conditional correlations with all the Equity indexes. In addition, the correlations between the GOLD/Equity pairs are negative during the financial crisis. This fact indicates the benefit of hedging the stock portfolios with gold futures while we have stress in the financial markets. The results from hedging effectiveness suggest that all the commodity/stock portfolios provide better diversification benefits than the stock portfolios. In average, including CRB, BCOM and GOLD futures to the stock portfolios have the highest hedging effectiveness ratios. Chapter 2 investigates the impact of global and local variables on the Sovereign bond spreads for 22 developed countries in North America, Europe and Pacific Rim Regions, using monthly data from January 2010 to March 2015. There are a few main findings of this chaper. First, the global factors are considerably more important in déterminant the sovereign bond spreads for all the regions. Second, for the bond spread of each region over its local government bond, the countries’ domestic fundamentals are found to be more influential determinants of the spreads, compared to the spread over US government bond as a safe haven government bond. Third, the bond spreads in the Eurozone area is less influenced by the global factors compared to the other regions. Fourth, the sovereign bond spreads of all regions are positively related to the US corporate high yield spreads as a proxy of market sentiment and the log of VIX index as measurement for the investor risk aversion. The coefficient of the log of VIX index shows the strong power of the stock market implied volatility on determining the yield spreads in the fixed income market.

Thesis advisor: Harold Petersen / According to the Efficient Market Hypothesis (EMH), speculative bubbles do not exist and are impossible. We disagree. If prices are the only observable component of an asset’s value, and they themselves are an aggregated consensus of perceived value, then what about the Efficient Market Hypothesis (EMH) is testable? Rather than assume that prices always reflect value (i.e. perfect market efficiency), we maintain that markets are efficient to the extent that one can be confident that tomorrow’s prices will not diverge dramatically or arbitrarily from today’s prices, absent significant new information. Speculative bubbles are not materializing every day, every month, or even every year. But they do have the potential and indeed a tendency to occur from time to time. If markets are efficient, what explains all the trading? Rather than assume rational expectations and a homogenous investor class, we assume four investor classes that diverge in their perception of value (i.e. in their expectation of future returns) and thus trade with each other. Using insights from Hyman Minsky’s Financial Instability Hypothesis (FIH), we develop a theoretical framework for how a speculative bubble might materialize within a modern capitalist economy with securities markets’ that follow a random walk. Obviously, there is no “bubble” variable. We use Tobin’s Q, the ratio of the price of an asset to its replacement cost, and Shiller’s cyclically adjusted P/E ratio as proxy variables for bubbles. We find statistically significant, negative relationships between both of these proxy variables and our dependent variable, Ten Year Cumulative Returns, thereby providing evidence against the EMH and suggesting the possibility of speculative bubbles. / Thesis (BA) — Boston College, 2014. / Submitted to: Boston College. College of Arts and Sciences. / Discipline: Economics Honors Program. / Discipline: Economics.