Lu, Chenxi. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 53-60). / Abstract also in Chinese. / Chapter Chapter 1: --- Introduction --- p.1 / Chapter Chapter 2: --- Methodology --- p.5 / Chapter 2.1: --- Modified Rescaled Range Statistic R/S --- p.5 / Chapter 2.2: --- Fractionally Integrated GARCH (FIGARCH) Model --- p.7 / Chapter Chapter 3: --- Long memory in gold returns and volatility --- p.9 / Chapter 3.1: --- Data --- p.9 / Chapter 3.2: --- Empirical results of the modified R/S statistic and FIGARCH model --- p.11 / Chapter 3.3 --- Self-similarity of long memory in the gold market --- p.15 / Chapter Chapter 4: --- Structural break of long memory in the gold market --- p.18 / Chapter 4.1: --- Structural break in long memory feature --- p.18 / Chapter 4.2: --- Forward rolling and backward rolling methodology and empirical evidence --- p.20 / Chapter 4.3: --- Evidence for the structural break using the FIGARCH model --- p.31 / Chapter Chapter 5: --- Long memory in the international diamond market --- p.40 / Chapter 5.1: --- International diamond cartel --- p.40 / Chapter 5.2: --- Data --- p.43 / Chapter 5.3: --- Empirical results --- p.45 / Chapter Chapter 6: --- Conclusions --- p.51 / Reference --- p.53 / Appendix 1 --- p.61

The Mirrlees Review recommends that commodity taxation should in general be uniform, but with some goods consumed in conjunction with labour supply (such as child care) left untaxed. This paper examines the validity of this claim in an optimal income tax framework. Contrary to the recommendation of the Review, our theoretical results imply that even if all goods other than the good needed for working are separable from leisure, the optimal tax on these goods should not be uniform. Instead, goods with larger expenditure elasticities should be discouraged relatively more by the tax system. If the government fully subsidises the cost of the good needed for working, then commodity taxation is uniform under the standard separability assumption. Our results imply that the optimal commodity tax system is dependent on the expenditure side of the government. A calibration exercise presented in the paper suggests that these results can be quantitatively important.

With the development of various derivative instruments and index products, commodities have become a distinct asset class which can offer enhanced diversification benefits to the traditional asset allocation of stocks and bonds. In this thesis, we begin by discussing some of the key properties of commodity markets which distinguish them from bond and stock markets. Then, we consider the informational role of commodity futures markets. Since commodity prices exhibit mean-reverting behaviour, we will also review several mean-reversion models which are commonly used to capture and describe the dynamics of commodity prices. In Chapter 4, we focus on discussing a two-factor mean-reverting model proposed by Hikspoors and Jaimungal, as a means of providing additional degree of randomness to the long-run mean level. They have also suggested a method to extract the implied market prices of risk, after estimating both the risk-neutral and real-world parameters from the calibration procedure. Given the usefulness of this model, we are motivated to investigate the robustness of this calibration process by applying the methodology to simulated data. The capability to produce stable and accurate parameter estimates will be assessed by selecting various initial guesses for the optimization process. Our results show that the calibration method had a lot of difficulties in estimating the volatility and correlation parameters of the model. Moreover, we demonstrate that multiple solutions obtained from the calibration process would lead to model uncertainty in extracting the implied market prices of risk. Finally, by using historical crude oil data from the same time period, we can compare our calibration results with those obtained by Hikspoors and Jaimungal.

Thesis (Ph. D.)--University of Florida, 1982. / Typescript. Vita. Description based on print version record. Includes bibliographical references (leaves 129-134).

Tex., Univ., Thesis / Vita. Literaturverz. Bl. 109 -116.

This report examines two trading strategies on crude oil futures contracts by employing four time series models. Using daily prices of crude oil futures contracts in recent two years, we found that those models with better predictive ability will generate more profitable opportunities with lower risk from the result of simulated trading process. However, the two trading strategies associated with different models perform completely different. The empirical reasoning for the performance of different model-strategies is discussed, as well as applying the appropriate models and strategies in different markets. This work helps the research and development in statistical trading strategies / text

This dissertation deals with three issues that are important to many firms, namely, volatile commodity prices, environmental regulations, and globalization. In the first essay I study the benefit and the coordination of inventory sharing when there are two existing channels for procurement, i.e., the spot and forward markets. I propose a method for sharing inventory such that the decentralized firms get the same benefit per unit of the sharing transactions regardless of whether the firm is borrowing or lending. The procurement cost gap between the centralized and decentralized cases is dramatically small by using this method. In the second essay, I analyze whether imposing carbon costs to retailers and consumers changes the supply chain design or social welfare. I consider three types of players who want to maximize different objectives and three kinds of competitive settings. Different from previous studies, I show that the supply chain design is changed significantly by imposing carbon costs especially when market competition is medium to high. In the third essay, I consider long-term / short-term strategies of multi-national corporations. For the long-term strategy, I show that the correlation between the exchange rate and the market demand in a foreign country affects plant location. For the short-term strategy, I show that manufacturers increase the inventory levels as the exchange rate of the country where the plant is located grows weaker. I confirm these results empirically using plant-level data of Korean multi-national corporations provided by the Export-Import Bank of Korea. / text

With the development of various derivative instruments and index products, commodities have become a distinct asset class which can offer enhanced diversification benefits to the traditional asset allocation of stocks and bonds. In this thesis, we begin by discussing some of the key properties of commodity markets which distinguish them from bond and stock markets. Then, we consider the informational role of commodity futures markets. Since commodity prices exhibit mean-reverting behaviour, we will also review several mean-reversion models which are commonly used to capture and describe the dynamics of commodity prices. In Chapter 4, we focus on discussing a two-factor mean-reverting model proposed by Hikspoors and Jaimungal, as a means of providing additional degree of randomness to the long-run mean level. They have also suggested a method to extract the implied market prices of risk, after estimating both the risk-neutral and real-world parameters from the calibration procedure. Given the usefulness of this model, we are motivated to investigate the robustness of this calibration process by applying the methodology to simulated data. The capability to produce stable and accurate parameter estimates will be assessed by selecting various initial guesses for the optimization process. Our results show that the calibration method had a lot of difficulties in estimating the volatility and correlation parameters of the model. Moreover, we demonstrate that multiple solutions obtained from the calibration process would lead to model uncertainty in extracting the implied market prices of risk. Finally, by using historical crude oil data from the same time period, we can compare our calibration results with those obtained by Hikspoors and Jaimungal.

It is known that the small commodity markets are influential to people’s life, but their operations are unique. The lack of standard management has become the biggest obstacle for the development of logistics services in a commodity market. How traditional logistics model can be operated effectively in a commodity market is therefore interesting in this study. The purposes of this thesis are to characterize the commodity logistics systems, identify the challenges of logistics systems in the commodity market, and discuss how the use of e-business platform may improve the logistics system. In order to realize the purposes, the qualitative approach was used in this research. Literature review, interview and case study in one Chinese city with a big commodity market are implemented in the research. Survey study has been carried out to collect data for analyzing the logistics systems. As the main results in this thesis, small-volume, short-life cycle, variety and variability are found to be the main characteristics of a logistics system in the commodity market in the case city. The challenges are therefore about how to design and improve the logistics system so that it can adapt to these characteristics. Finally, this thesis presents the analysis on how an e-business platform can provide effective solutions to meet these challenges.

Today’s construction industry consists of fierce competition and low margins, resulting in companies focusing on cost risk awareness. The aim of this thesis was to investigate how construction companies manage their market risks, with a special focus on commodity risks. In addition, the thesis purpose was also to explore the composition of commodity exposures within a few selected construction companies. A financial index of commodity exposures was generated out of Statistiska Centralbyråns’ totala faktorprisindex for multi-residence housing projects. Furthermore, a fictional case was combined to test the risk management effect of the financial index, using Sweden’s four largest construction companies’ commodity exposures. In summary, the construction companies were all aware of their commodity exposures although most of them did not actively manage them or know their exposures extent. Moreover, financial risk management of commodities is not easy or straightforward, resulting in difficulties in choosing the right management tool. Therefore, this thesis created and illustrated how a financial index could be used as a way to stabilize the profitability in construction projects.