A hybrid commodity price-forecasting model applied to the sugar-alcohol sector

Accurate price forecasting for agricultural commodities can have significant decision-making implications for suppliers, especially those of biofuels, where the agriculture and energy sectors intersect. Environmental pressures and high oil prices affect demand for biofuels and have reignited the discussion about effects on food prices. Suppliers in the sugar-alcohol sector need to decide the ideal proportion of ethanol and sugar to optimise their financial strategy. Prices can be affected by exogenous factors, such as exchange rates and interest rates, as well as non-observable variables like the convenience yield, which is related to supply shortages. The literature generally uses two approaches: artificial neural networks (ANNs), which are recognised as being in the forefront of exogenous-variable analysis, and stochastic models such as the Kalman filter, which is able to account for non-observable variables. This article proposes a hybrid model for forecasting the prices of agricultural commodities that is built upon both approaches and is applied to forecast the price of sugar. The Kalman filter considers the structure of the stochastic process that describes the evolution of prices. Neural networks allow variables that can impact asset prices in an indirect, nonlinear way, what cannot be incorporated easily into traditional econometric models.

Commodity Future Price Premiums – Case EU ETS

The purpose of this thesis was to study commodity future price premiums and their nature on emission allowance markets. The EUA spot and future contracts traded on the secondary market during EU ETS Phase 2 and Phase 3 were selected for empirical testing. The cointegration of spot and future prices was examined with Johansen cointegration methodology. Daily interest rates with a similar tenor to the future contract maturity were used in the cost-of-carry model to calculate the theoretical future prices and to estimate the deviation from the fair value of future contracts, assumed to be explained by the convenience yield. The time-varying dependence of the convenience yield was studied by regression testing the correlation between convenience yield and the time to maturity of the future contract. The results indicated cointegration between spot and future prices, albeit depending on assumptions on linear trend and intercept in cointegration vector Dec-14 and Dec-15 contracts. The convenience yield correlates positively with the time-to-maturity of the future contract during Phase 2, but negatively during Phase 3. The convenience yield featured positive correlation with spot price volatility and negative correlation with future price volatility during both Phases 2 and 3.

Explaining the Persistence of Commodity Prices

This paper extends the Competitive Storage Model by incorporating prominent features of the production process and financial markets. A major limitation of this basic model is that it cannot successfully explain the degree of serial correlation observed in actual data. The proposed extensions build on the observation that in order to generate a high degree of price persistence, a model must incorporate features such that agents are willing to hold stocks more often than predicted by the basic model. We therefore allow unique characteristics of the production and trading mechanisms to provide the required incentives. Specifically, the proposed models introduce (i) gestation lags in production with heteroskedastic supply shocks, (ii) multiperiod forward contracts, and (iii) a convenience return to inventory holding. The rational expectations solutions for twelve commodities are numerically solved. Simulations are then employed to assess the effects of the above extensions on the time series properties of commodity prices. Results indicate that each of the features above partially account for the persistence and occasional spikes observed in actual data. Evidence is presented that the precautionary demand for stocks might play a substantial role in the dynamics of commodity prices.

The theory of storage and the volatility in commadity markets

Esse estudo estende a metodologia de Fama e French (1988) para testar a hipótese derivada da Teoria dos Estoques de que o convenience yield dos estoques diminui a uma taxa decrescente com o aumento de estoque. Como descrito por Samuelson (1965), a Teoria implica que as variações nos preços à vista (spot) e dos futuros (ou dos contratos a termo) serão similares quando os estoques estão altos, mas os preços futuros variarão menos que os preços à vista quando os estoques estão baixos. Isso ocorre porque os choques de oferta e demanda podem ser absorvidos por ajustes no estoque quando este está alto, afetando de maneira similar os preços à vista e futuros. Por outro lado, quando os estoques estão baixos, toda a absorção dos choques de demanda ou oferta recai sobre o preço à vista, uma vez que os agentes econômicos têm pouca condição de reagir à quantidade demandada ou ofertada no curto prazo.

Preços de commodities agrícolas e o comportamento de mercado invertido (backwardation): o caso da soja

A relação entre preços do mercado spot e do mercado futuro e a evidência de Mercado Invertido (backwardation) na estrutura a termo de commodities têm tido ênfase na literatura de economia e de finanças. O objetivo deste trabalho é apresentar as principais causas responsáveis pelo comportamento de Mercado Invertido e identificar as propriedades que caracterizam o equilíbrio de preços em commodities agrícolas. Seja pela existência de prêmio de risco ou do benefício de conveniência, o entendimento dos efeitos sobre a replicação do preço futuro e sobre a estrutura a termo de preços ainda permanece em aberto. A premissa de perfeita replicação de portfólios e a ausência de fricções de mercado implicam, por outro lado, que o entendimento do comportamento de Mercado Invertido advém da compreensão do processo estocástico do próprio ativo subjacente. O apreçamento neutro ao risco, amparado pelos sinais de reversão de preços, permite a modelagem de preços conforme o proposto em Schwartz e Smith (2000), cuja calibração e os resultados serão apresentados para a soja.

Agricultural commodities pricing model applied to the Brazilian sugar market

This article suggests a pricing model for commodities used to produce biofuel. The model is based on the concept that the deterministic component of the Wiener process is not constant and depends on time and exogenous variables. The model, which incorporates theory of storage, the convenience yield and the seasonality of harvests, was applied in the Brazilian sugar market. After predictions were made with the Kalman filter, the model produced results that were statistically more accurate than those returned by the two-factor model available in the literature.

Pricing derivatives with stochastic volatility

This Ph.D. thesis contains 4 essays in mathematical finance with a focus on pricing Asian option (Chapter 4), pricing futures and futures option (Chapter 5 and Chapter 6) and time dependent volatility in futures option (Chapter 7). In Chapter 4, the applicability of the Albrecher et al.(2005)'s comonotonicity approach was investigated in the context of various benchmark models for equities and com- modities. Instead of classical Levy models as in Albrecher et al.(2005), the focus is the Heston stochastic volatility model, the constant elasticity of variance (CEV) model and the Schwartz (1997) two-factor model. It is shown that the method delivers rather tight upper bounds for the prices of Asian Options in these models and as a by-product delivers super-hedging strategies which can be easily implemented. In Chapter 5, two types of three-factor models were studied to give the value of com- modities futures contracts, which allow volatility to be stochastic. Both these two models have closed-form solutions for futures contracts price. However, it is shown that Model 2 is better than Model 1 theoretically and also performs very well empiri- cally. Moreover, Model 2 can easily be implemented in practice. In comparison to the Schwartz (1997) two-factor model, it is shown that Model 2 has its unique advantages; hence, it is also a good choice to price the value of commodity futures contracts. Fur- thermore, if these two models are used at the same time, a more accurate price for commodity futures contracts can be obtained in most situations. In Chapter 6, the applicability of the asymptotic approach developed in Fouque et al.(2000b) was investigated for pricing commodity futures options in a Schwartz (1997) multi-factor model, featuring both stochastic convenience yield and stochastic volatility. It is shown that the zero-order term in the expansion coincides with the Schwartz (1997) two-factor term, with averaged volatility, and an explicit expression for the first-order correction term is provided. With empirical data from the natural gas futures market, it is also demonstrated that a significantly better calibration can be achieved by using the correction term as compared to the standard Schwartz (1997) two-factor expression, at virtually no extra effort. In Chapter 7, a new pricing formula is derived for futures options in the Schwartz (1997) two-factor model with time dependent spot volatility. The pricing formula can also be used to find the result of the time dependent spot volatility with futures options prices in the market. Furthermore, the limitations of the method that is used to find the time dependent spot volatility will be explained, and it is also shown how to make sure of its accuracy.

INFLUENCE OF ALTITUDE, AGE AND DIAMETER ON YIELD AND ALPHA-BISABOLOL CONTENT OF CANDEIA TREES (Eremanthus erythropappus)

The heartwood of candeia tree is a source of essential oil rich in alpha-bisabolol, a substance widely used in the cosmetic and pharmaceutical industry. Bearing in mind the economic importance of alpha-bisabolol, this work aimed to evaluate the influence of tree age on the yield and content of alpha-bisabolol present in essential oil from candeia, considering two distinct reliefs and three diameter classes, in Aiuruoca region, south Minas Gerais state. The two distinct reliefs correspond respectively to one section of the stand growing at 1,000m of altitude (Area 1) and another section growing at 1,100m of altitude (Area 2). In each section, 15 trees were felled from among 3 different diameter classes. Discs were removed from the base of each tree to estimate their age by doing growth ring count. Soil samples were taken and Subjected to physical and chemical analysis. The logs were reduced into chips and random samples were taken for distillation to extract essential oil. The method used was steam distillation at a pressure of 2 kgf/cm(2)/2.5 h. The chemical analysis was performed in a gas chromatograph (GC) based on the alpha-bisabolol standard reference. The yield of essential oil from trees in Area I was higher than that from trees in Area 2, with the same pattern of influence for older trees. In Area 2, the alpha-bisabolol content was higher in younger trees. No differences were found between the relevant parameters in relation to diameter classes.

QTL mapping for yield components in a tropical maize population using microsatellite markers

QTL mapping provides usefull information for breeding programs since it allows the estimation of genomic locations and genetic effects of chromossomal regions related to the expression of quantitative traits. The objective of this study was to map QTL related to several agronomic important traits associated with grain yield: ear weight (EW), prolificacy (PROL), ear number (NE), ear length (EL) and diameter (ED), number of rows on the ear (NRE) and number of kernels per row on the ear (NKPR). Four hundred F-2:3 tropical maize progenies were evaluated in five environments in Piracicaba, Sao Paulo, Brazil. The genetic map was previously estimated and had 117 microssatelite loci with average distance of 14 cM. Data was analysed using Composite Interval Mapping for each trait. Thirty six QTL were mapped and related to the expression of EW (2), PROL (3), NE (2), EL (5), ED (5), NRE (10), NKPR (5). Few QTL were mapped since there was high GxE interaction. Traits EW, PROL and EN showed high genetic correlation with grain yield and several QTL mapped to similar genomic regions, which could cause the observed correlation. However, further analysis using apropriate statistical models are required to separate linked versus pleiotropic QTL. Five QTL (named Ew1, Ne1, Ed3, Nre3 and Nre10) had high genetic effects, explaining from 10.8% (Nre3) to 16.9% (Nre10) of the phenotypic variance, and could be considered in further studies.

Transition in Yield and Azimuthal Shape Modification in Dihadron Correlations in Relativistic Heavy Ion Collisions

Hard-scattered parton probes produced in collisions of large nuclei indicate large partonic energy loss, possibly with collective produced-medium response to the lost energy. We present measurements of pi(0) trigger particles at transverse momenta p(T)(t) = 4-12 GeV/c and associated charged hadrons (p(T)(a) = 0.5-7 GeV/c) vs relative azimuthal angle Delta phi in Au + Au and p + p collisions at root s(NN) = 200 GeV. The Au + Au distribution at low p(T)(a), whose shape has been interpreted as a medium effect, is modified for p(T)(t) < 7 GeV/c. At higher p(T)(t), the data are consistent with unmodified or very weakly modified shapes, even for the lowest measured p(T)(a), which quantitatively challenges some medium response models. The associated yield of hadrons opposing the trigger particle in Au + Au relative to p + p (I(AA)) is suppressed at high p(T) (I(AA) approximate to 0.35-0.5), but less than for inclusive suppression (R(AA) approximate to 0.2).

Quantum yield excitation spectrum (UV-visible) of CdSe/ZnS core-shell quantum dots by thermal lens spectrometry

A recently developed thermal lens spectrometry configuration has been used to study CdSe/ZnS core-shell quantum dots (QDs) suspended in toluene and tetrahydrofuran (THF) solvents. The special features of this configuration make it very attractive to measure fluorescence quantum yield (eta) excitation spectrum since it simplifies the measurement procedure and consequently improve the accuracy. Furthermore, the precision reached is much higher than in conventional photoluminescence (PL) technique. Two methods, called reference sample and multiwavelength have been applied to determine eta, varying excitation wavelength in the UV-visible region (between 335-543 nm). The eta and PL spectra are practically independent of the excitation wavelength. For CdSe/ZnS QDs suspended in toluene we have obtained eta=76 +/- 2%. In addition, the aging effect on eta and PL has been studied over a 200 h period for QDs suspended in THF. (C) 2010 American Institute of Physics. [doi:10.1063/1.3343517]

High-yield kraft pulping of Eucalyptus grandis Hill ex Maiden biotreated by Ceriporiopsis subvermispora under two different culture conditions

In the present study, it was evaluated how two different culture conditions for the biotreatment of Eucalyptus grandis by Ceriporiopsis subvermispora affect a subsequent high-yield kraft pulping process. Under the varied culture conditions investigated, different extracellular enzyme activities were observed. Manganese-peroxidase (MnP) secretion was 3.7 times higher in cultures supplemented with glucose plus corn-steep liquor (glucose/CSL) as compared to non-supplemented (NS) cultures. The biotreated samples underwent diverse levels of wood component degradation as losses of weight and lignin were increased in glucose/CSL cultures. Mass balances for lignin removal during kraft pulping showed that delignification was facilitated when both biotreated wood samples were cooked. Delignification efficiency did not correlate positively with MnP levels in the cultures. On the other hand, biopulps from NS and glucose/CSL cultures saved 27% and 38% beating time to achieve 288 Schopper-Riegler freeness during refining, respectively. Biopulps disposed of decreased tensile and tear resistances, thus easier refining of the biokraft pulps seems to be a consequence of less resistant fiber walls. Improved beatability of biopulps was tentatively related to short fibers and fines formation during refining. We suggest that to some extent polysaccharide depolymerization occurred during the biotreatment, which also resulted in diminished pulp yields in the case of glucose/CSL cultures.

Effects of elastic indenter deformation on spherical instrumented indentation tests: the reduced elastic modulus

Although the Hertz theory is not applicable in the analysis of the indentation of elastic-plastic materials, it is common practice to incorporate the concept of indenter/specimen combined modulus to consider indenter deformation. The appropriateness was assessed of the use of reduced modulus to incorporate the effect of indenter deformation in the analysis of the indentation with spherical indenters. The analysis based on finite element simulations considered four values of the ratio of the indented material elastic modulus to that of the diamond indenter, E/E(i) (0, 0.04, 0.19, 0.39), four values of the ratio of the elastic reduced modulus to the initial yield strength, E(r)/Y (0, 10, 20, 100), and two values of the ratio of the indenter radius to maximum total displacement, R/delta(max) (3, 10). Indenter deformation effects are better accounted for by the reduced modulus if the indented material behaves entirely elastically. In this case, identical load-displacement (P - delta) curves are obtained with rigid and elastic spherical indenters for the same elastic reduced modulus. Changes in the ratio E/E(i), from 0 to 0.39, resulted in variations lower than 5% for the load dimensionless functions, lower than 3% in the contact area, A(c), and lower than 5% in the ratio H/E(r). However, deformations of the elastic indenter made the actual radius of contact change, even in the indentation of elastic materials. Even though the load dimensionless functions showed only a little increase with the ratio E/E(i), the hardening coefficient and the yield strength could be slightly overestimated when algorithms based on rigid indenters are used. For the unloading curves, the ratio delta(e)/delta(max), where delta(e) is the point corresponding to zero load of a straight line with slope S from the point (P(max), delta(max)), varied less than 5% with the ratio E/E(i). Similarly, the relationship between reduced modulus and the unloading indentation curve, expressed by Sneddon`s equation, did not reveal the necessity of correction with the ratio E/E(i). The most affected parameter in the indentation curve, as a consequence of the indentation deformation, was the ratio between the residual indentation depth after complete unloading and the maximum indenter displacement, delta(r)/delta(max) (up to 26%), but this variation did not significantly decrease the capability to estimate hardness and elastic modulus based on the ratio of the residual indentation depth to maximum indentation depth, h(r)/h(max). In general, the results confirm the convenience of the use of the reduced modulus in the spherical instrumented indentation tests.

A novel continuous time representation for the scheduling of pipeline systems with pumping yield rate constraints

Pipeline systems play a key role in the petroleum business. These operational systems provide connection between ports and/or oil fields and refineries (upstream), as well as between these and consumer markets (downstream). The purpose of this work is to propose a novel MINLP formulation based on a continuous time representation for the scheduling of multiproduct pipeline systems that must supply multiple consumer markets. Moreover, it also considers that the pipeline operates intermittently and that the pumping costs depend on the booster stations yield rates, which in turn may generate different flow rates. The proposed continuous time representation is compared with a previously developed discrete time representation [Rejowski, R., Jr., & Pinto, J. M. (2004). Efficient MILP formulations and valid cuts for multiproduct pipeline scheduling. Computers and Chemical Engineering, 28, 1511] in terms of solution quality and computational performance. The influence of the number of time intervals that represents the transfer operation is studied and several configurations for the booster stations are tested. Finally, the proposed formulation is applied to a larger case, in which several booster configurations with different numbers of stages are tested. (C) 2007 Elsevier Ltd. All rights reserved.

Penetration of hydrolysed soy protein-added brine and its effect on yield and pH of beef steaks from the biceps femoris muscle

This study was aimed to evaluate the penetration behaviour of different brines with tumbled beef steaks from the biceps femoris muscle, specifically their interactions with pH and effects on yield. Six muscles from different animals, divided into origin (OP) and insertion (IP) portions, were cut into 60 steaks of 2.5 cm thickness and tumbled for 30 or 60 min. The steaks were tumbled with two brines, with (WTB/HSP) or without (WTB) hydrolysed soy protein (HSP), and steaks that were not tumbled with brine or water were used as controls. Brine penetration was verified by measuring the amount of dye-containing brine (absorbance at 627 nm) recovered from homogenates of four thin (2 mm) slices from the surface of the beef steaks after tumbling. The WTB/HSP steaks exhibited greater (P < 0.05) brine penetration when tumbled for 60 min than for 30 min. The OP steaks showed greater yield and lower pH (P < 0.05) than IP steaks. HSP-added brine increased the water absorption and retention in the first slices of the steaks, and its efficiency was increased with a longer tumbling time. The portion of the biceps femoris muscle used influenced brine absorption and retention, impacting meat yield. (C) 2010 Elsevier Ltd. All rights reserved.