nÃo hà / A grande importÃncia que alguns estudos internacionais dÃo quanto aos efeitos da volatilidade do cÃmbio e da dinÃmica das polÃticas cambiais sobre as transaÃÃes comerciais vÃm crescendo nos Ãltimos anos. Todavia, nÃo hà um consenso na literatura precedente a respeito dos impactos da volatilidade cambial sobre o fluxo de exportaÃÃes e importaÃÃes. De Grauwe & Skudenly (2000), Ozturk (2006), Bahmani-Oskooee & Hegerty (2007) e Auboin & Ruta (2012) argumentam que uma maior variabilidade da taxa de cÃmbio à prejudicial ao comÃrcio entre paÃses. Para os autores, esse impacto negativo da volatilidade cambial sobre o volume financeiro de comÃrcio internacional decorre da teoria da escolha sob incerteza. O documento concentra-se principalmente em investigar os impactos da volatilidade da taxa de cÃmbio sobre os fluxos de exportaÃÃes de commodities do Brasil para Argentina, Alemanha, China e EUA durante 2000:T1 e 2013:T3. Para verificar a existÃncia de quebras estruturais na funÃÃo tendÃncia das variÃveis reais do modelo de fluxo de comÃrcio bilateral brasileiro, aplicou-se o teste sugerido por Perron & Yabu (2009). Os resultados desse teste indicaram que das vinte e cinco (25) sÃries analisadas, 64% apresentaram uma quebra no nÃvel e inclinaÃÃo na funÃÃo tendÃncia das mesmas. Com o objetivo de evitar resultados viesados em relaÃÃo à ordem de integraÃÃo das sÃries por causa da presenÃa de quebras estruturais, foram aplicados os testes de raiz unitÃria com quebras estruturais desenvolvidos por Lee & Strazicich (2003) e Lee & Strazicich (2004). Os resultados dos dois testes indicaram que das vinte e cinco (25) sÃries analisadas, 80% e 84%, sÃo estacionÃrias com uma e duas quebras, respectivamente. Isto Ã, podem ser caracterizadas como pertencentes à classe I(0). Para finalizar a anÃlise, aplicou-se o teste de quebra estrutural de Bai e Perron (1998) para analisar as mudanÃas na conduÃÃo da polÃtica cambial brasileira durante o perÃodo de 2000 a 2013. Os resultados indicaram a existÃncia de duas (2) quebras estruturais nos parÃmetros estimados da funÃÃo tendÃncia para as exportaÃÃes de commodities. / The great importance that some international studies give about the effects of exchange rate volatility and the dynamics of exchange rate policies on trade transactions have been growing in recent years. However, there is no consensus in the previous literature regarding the impact of exchange rate volatility on the flow of exports and imports. De Grauwe & Skudenly (2000), Ozturk (2006), Bahmani-Oskooee & Hegerty (2007) and Auboin & Ruta (2012) argue that greater variability of the exchange rate is detrimental to trade between countries. For the authors, this negative impact of exchange rate volatility on the financial volume of international trade stems from the theory of choice under uncertainty. The document focuses primarily on investigating the impact of the volatility of the exchange rate on the pattern of commodity exports from Brazil to Argentina, Germany, China and the United States during 2000: T1 and 2013: T3. To verify the existence of structural breaks in the trend function of real variables of the Brazilian bilateral trade flow model, was applied to the test suggested by Perron & Yabu (2009). The results of this test indicated that the twenty-five (25) series analyzed, 64% had a drop in the level and slope of the trend function thereof. In order to avoid biased results in relation to the order of integration of the series because of the presence of structural breaks, unit root tests were applied with structural breaks developed by Lee & Strazicich (2003) and Lee & Strazicich (2004). The results of both tests indicated that the twenty-five (25) series analyzed, 80% and 84%, are stationary with one or two breaks, respectively. That is, they can be characterized as belonging to class I (0). To complete the analysis, we applied the structural break test Bai and Perron (1998) to analyze the changes in the conduct of the Brazilian exchange rate policy during the period 2000 to 2013. The results indicated the existence of two (2) structural breaks the estimated parameters of the trend function for commodity exports.

Commodities futures trading went through unparalleled structural transformation during the first decade of the 2000s, which ultimately resulted in long lasting impacts on the volume and open interest levels as well as on the access to these markets and inclusion of new participants. Benefiting from the new sets of high frequency data made available due to these transformations, this dissertation is composed of three papers that investigate different market microstructure aspects of the commodities futures markets at BM&F-Bovespa. The first paper analyzes the modelling and forecasting of realized volatility in the corn and live cattle markets. For this purpose, the heterogeneous autoregressive model (HAR-RV) proposed by Corsi (2009) was used, as well as its extensions adapted to include jump components (Andersen et al., 2007) and leverage components (Corsi and Reno, 2012). Using measurements to compare both analysis, results show that modelling in-sample realized volatility is best performed if jumps and leverage components are included in the model. Out-of-sample forecasts results for the live cattle market show that there was no statistically significant difference between the models. For the corn markets, difference in the models\' forecast performance was found at the daily horizon only. The second paper delves into the relationship between volatility, volume and bid-ask spread in the corn and live cattle markets. Considering that these are emerging agricultural markets, concentration measures were also included. A three-equation structural model was used to capture the relationship between volatility, volume and bid-ask spread and the estimation was performed using the IV-GMM approach. Findings show that bid-ask spread levels are higher for live cattle markets than it is for corn markets. In addition, bid-ask spread is negatively related to volume and positively related to volatility. The significance and magnitude of the responses depend on the level of liquidity in each market. Further, results point out that concentration impacts corn and live cattle differently. The third paper examines the dynamic relationship between dealers activity and market structure in the live cattle inter-dealer market at BM&F-Bovespa. First, a descriptive analysis of the live cattle inter-dealer market structure is carried out and then follows an investigation of the dynamic of dealers\' activity and its determinants. Results indicate that the live cattle inter-dealer market is not competitive and that dealers\' activity is positively related to market concentration, quoted bid-ask spread, number of active dealers and the dealer\'s traded quantity. / Negociações nos mercados futuros de commodities passaram por transformações estruturais significativas durante a primeira década dos anos 2000, resultando em uma elevação dos níveis de volume e open interest, e também em uma maior facilidade de acesso a esses mercados e inclusão de novos participantes. Beneficiando-se da divulgação de dados de alta frequência possibilitada por estas transformações, esta tese, composta por três artigos, tem por objetivo investigar diferentes aspectos da microestrutura dos mercados de commodities da BM&F-Bovespa. O primeiro artigo analisa a modelagem e previsão de volatilidade realizada nos mercados futuros de milho e boi gordo. Para este fim, utilizou-se o modelo heterogêneo auto regressivo proposto por Corsi (2009), bem como suas extensões adaptadas para a inclusão dos componentes de saltos (jumps) (Andersen et al., 2007) e alavancagem (Corsi e Reno, 2012). Utilizando diferentes métricas de comparação, os resultados encontrados mostram que os modelos que incluem os componentes de saltos e os de alavancagem tem melhor desempenho que os demais em análises in-sample (modelagem). Por outro lado, a análise das previsões out-of-sample mostra que, para o mercado de boi gordo, não há diferença entre os modelos empregados, enquanto que para o mercado de milho verificou-se uma diferenciação preditiva no horizonte diário, porém para os horizontes semanal e mensal, os quatro modelos tiveram performance indistinta. O segundo artigo explora a relação entre volatilidade, volume e bid-ask spread nos mercados de milho e boi gordo. Levando em conta que se trata de mercados emergentes, métricas de concentração de mercado foram incluídas na análise. Para capturar a relação entre volatilidade, volume e bid-ask spread, um modelo estrutural de três equações simultâneas foi utilizado e a estimação foi feita através do modelo GMM com variáveis instrumentais. Os resultados indicam que os níveis de bid-ask spread encontrados para o mercado de boi gordo são maiores que os encontrados para o mercado de milho. Além disso, o bid-ask spread é negativamente relacionado ao volume e positivamente relacionado à volatilidade. Entretanto, a intensidade e magnitude da relação entre as variáveis depende dos níveis de liquidez dos mercados analisados. A concentração impacta o mercado de milho e boi gordo de forma diferente. O terceiro artigo investiga a dinâmica da relação entre a atividade dos dealers e estrutura do mercado de boi gordo na BM&F-Bovespa. Primeiramente, faz-se uma análise descritiva deste mercado e posteriormente estuda-se o comportamento dos dealers e seus determinantes. Os resultados indicam que os dealers no mercado de boi gordo não operam em uma estrutura competitiva e que a atividade destes é positivamente relacionada à concentração de mercado, ao bid-ask spread, ao número de dealers ativos e à quantidade de contratos transacionada pelos dealers.

The aim of my work is to evaluate the operation of the controlling model, the company created for the purpose of allocation of costs to revenues, respectively sales contracts, and to find possibilities for improvement. The reason is to evaluate these contracts from various aspects, namely profitability, cost intensive, contribution to overall profit, etc. A key element of the model are the rates determined by using calculations based on the individual activities. Therefore, work is currently focused on refining and possible reducing of calculated rates and also quantifying these changes through analysis. The aim is also to find more appropriate tools that would complete the existing calculation, and that management could use while managing the company. To ensure the effect on rates it has been especially suggested to change an approach to depreciation and labor costs. As the complement of the existing calculation was recommended using the variable costing and the target costing.

From 2000 to 2010, America's music industry's annual revenue went from $4 billion to $2 billion. Much of this is attributed to the internet's ability to provide consumers with easy access to free music, and hip hop has been especially impacted by this trend. Utilizing document analysis and personal interviews, this study found that the success of independent artists has influenced the business strategies of major record companies. In response to a dramatic decrease in record sales, major labels have made more of an effort to sign their artists to 360 deals, which allow the labels to profit from every aspect of an artist's brand or identity. While some independent artists are the main beneficiary of the profits generated from their music and personal brand, they also reify the commodity-form capitalist system by attempting to turn their music and brand into a fetishized commodity and by turning their audience into a commodity.

By the year 2050, about three quarters of the world’s population will live in cities. Most cities are developed by state or federal governments; however, some cities are developed for the purpose of private interests that plan the city. While the concept of private companies planning and sometimes even owning cities is not a new development, there seems to currently be a rise in this trend, with communication corporations such as IBM, Google, Intel, and Cisco now taking advantage of this growing market. Known as “smart” or “wired” cities, this new privatized way of planning communities allows major communication corporations to play an important role in shaping the future of our communities. Google, IBM, and Intel are all playing a role in planning the future of Portland, Oregon. By analyzing documents such as planning ordinances, financial reports, and government transcripts, as well as conducting interviews with city planners and corporate employees, this study found that many of the “smart” city efforts being undertaken by these communication corporations are intimately tied to their efforts to bring the Internet of Things (IoT) to fruition. Ultimately, the main goal of these efforts is to utilize urban communication technologies (UCTs) to gather data about community members by tracking their activities. In this emerging personal data economy, identities are the main commodity being fetishized.

Este trabalho retomou as análises do comportamento dos preços das commodities agrícolas após um período superior a uma década durante o qual o tema ocupou pouca atenção dos estudiosos. Os resultados encontrados mostram um papel moderado, mas não desprezível, para as variáveis macroeconômicas nas variações não-antecipadas daqueles preços. A taxa de câmbio impacta diretamente os preços dos produtos transacionados no exterior e indiretamente aqueles que com eles competem na produção e no consumo. A taxa de juros é componente do custo de armazenamento e, assim, se ela aumenta, por exemplo, eleva-se o custo de armazenamento, maior volume de commodities é lançado no mercado e seus preços tendem a cair. A taxa de juros, sabe-se, também, afeta o nível de atividade econômica e, logo, a renda dos países. Análises de auto-regressão vetorial foram empregadas para medir os impactos e a importância de choques nessas variáveis macroeconômicas sobre os preços da soja e do milho no Brasil. Verificaram-se efeitos não desprezíveis dos juros sobre esses preços e do c6ambio sobre o preço da soja. A renda - medida pelo PIB - não se mostrou relevante, talvez por este não ter capturado o efeito daquela ou pela exígua variação que o PIB tenha apresentado no período analisado. Embora os juros tenham se revelado capazes de serem utilizados para aliviar impactos inflacionários oriundos de elevações exageradas de preços de commodities, as evidências apontam para um elevado componente exógeno desses preços, o que pode ser interpretado com resultado da importância de fatores setoriais nesses mercados (como tecnologia e produtividade, clima e oscilações de demanda). Assim, caso a preocupação relacionar-se à instabilidade desses preços, caberá usar os instrumentos de armazenagem e crédito para controlá-la. / This work resumed the behavioral analysis of commodities prices in agriculture after a decade during which the topic drew little attention from researchers. The results found show a moderate role, but not indispensable, played by the macroeconomic variables in the non-anticipated variations of their prices. The exchange rate impacts directly the prices of goods traded in foreign markets and indirectly those with which they compete in production and consumption. The interest rate is a component of storage costs, and, therefore, if it is raised, for example, it increases them, so a higher volume of commodities is offered to the market and their prices tend to drop. It is also known that the interest rate affects the level of economic activity and, thus, the countries\' revenue. Analysis of vectorial auto-regression was utilized to measure the impacts and the importance of shocks in these macroeconomic variables on corn and soybean prices in Brazil. It was verified indispensable effects of interest on these prices and of the interest rate on the soybean price. The revenue - measured by the GDP - did not show relevance, it might not have captured the effect of the revenue or because of the insignificant variation of the GDP in the period analyzed. Even though the interest has proven to be useful to mitigate the inflationary impacts derived from exacerbated increases of commodities prices, the evidences point to an elevated exogenous component of these prices, which can be interpreted as a result of the importance of sectoral factors in these markets (such as technology and productivity, climate and demand oscillations). Thus, as far as price instability is concerned, the use of instruments of storage and credit is required to control it.

實證證據顯示商品價格有均值回歸和跳躍的特性。由於一些商品期權收益涉及歷史商品價格的算術平均，因此我們求出算術亞式期權在均值回歸跳躍擴散過程下的分析解。比分析解是對資產價格最終值和實際平均值的聯合特徽函數進行快速傅立葉變換獲得。我們通過數值模擬研究來檢驗此建議方法的準確度和計算效率。 / Empirical evidence indicates that commodity prices are mean reverting and exhibit jumps. As some commodity option payoff involves the arithmetic average of historical commodity prices, we derive an analytical solution to arithmetic Asian options under a mean reverting jump diffusion process. The analytical solution is implemented with the fast Fourier transform based on the joint characteristic function of the terminal asset price and the realized average value. We also examine the accuracy and computational efficiency of the proposed method through numerical studies. / Detailed summary in vernacular field only. / Chung, Shing Fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 40-42). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts also in Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Model with constant parameters --- p.5 / Chapter 2.1 --- Model specification --- p.6 / Chapter 2.2 --- Joint characteristic function --- p.8 / Chapter 3 --- Model with time-dependent parameters --- p.12 / Chapter 3.1 --- Model specification --- p.13 / Chapter 3.2 --- Joint characteristic function --- p.13 / Chapter 4 --- Fast Fourier transform on Asian option prices --- p.18 / Chapter 5 --- Numerical results --- p.20 / Chapter 5.1 --- Comparison of the analytical solution and Monte Carlo simulation . --- p.20 / Chapter 5.2 --- Price sensitivity and model parameters --- p.26 / Chapter 5.3 --- Price sensitivity and payoff structure --- p.26 / Chapter 6 --- Conclusion --- p.33 / Chapter A --- Normally distributed jump size --- p.34 / Bibliography --- p.40

A presente pesquisa tem por principal finalidade observar as variações ocorridas nos preços da soja em grão, farelo e óleo, durante o período de 1995 a 2002, dentre os estados selecionados (Rio Grande do Sul, Paraná, São Paulo e Mato Grosso), comparados aos preços praticados em Chicago. O objetivo dessa investigação diz respeito a estabelecer um relação linear entre as variáveis, com o intuito de verificar a existência ou não de correlação entre os preços dos produtos. Por outro lado, busca também examinar o processo de funcionamento das bolsas de mercadorias e futuros e a sua influência na determinação do processo de formação dos preços das commodities agropecuárias. Por fim o estudo busca evidenciar o ponto de vista de produtores, técnicos e empresários rurais ligados aos ramos da produção, comercialização e industrialização da oleaginosa. Através desse confronto de idéias, espera-se que o trabalho contribua empiricamente e qualitativamente na descrição desse segmento tão importante para a economia do país.

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / Recent unexpected variability in the earnings of agribusinesses in South Africa has led stakeholders to ask as to why projected financial performance tended to be so different from the actual results achieved. This paper aims to make an empirical contribution to the discussion on the effects of soft commodity price volatility on the returns of entities whose major business involves derivatives trading in agricultural commodity products. Firstly, mathematical models for commodity price volatility are determined for the major agricultural commodities on the South African Futures Exchange (SAFEX) using the autoregressive conditional heteroskedasticity (ARCH) and the generalised autoregressive conditional heteroskedasticity (GARCH) type of approaches. Secondly, the study then seeks to ascertain whether there are causality links between the commodity price volatility and the returns or earnings realised by selected agribusinesses over time. The paper then discusses some trading strategies that are applicable given that commodity price volatility can be forecasted using the statistical models identified under the study.

<p>There is a big interest for alternative investment strategies than investing in traditional asset classes. Commodities are having a boom dynamic with increasing prices. This thesis is therefore based on applying Modern Portfolio Theory concept to this alternative asset class.</p><p>In this paper we manage to create optimal portfolios of commodities for investors with known and unknown risk preferences. When comparing expected returns to actual returns we found that for the investor with the known risk preference almost replicated the return of the markets. The other investor with unknown risk preference also profited but not as efficient as the market portfolio.</p>