Arbitraggio statistico su commodity

La tesi ha trattato il tema dell'arbitraggio statistico portando esempi pratici di applicazione di strategie d'investimento.

Patches of Bare Ground as a Staple Commodity for Declining Ground-Foraging Insectivorous Farmland Birds

Conceived to combat widescale biodiversity erosion in farmland, agri-environment schemes have largely failed to deliver their promises despite massive financial support. While several common species have shown to react positively to existing measures, rare species have continued to decline in most European countries. Of particular concern is the status of insectivorous farmland birds that forage on the ground. We modelled the foraging habitat preferences of four declining insectivorous bird species (hoopoe, wryneck, woodlark, common redstart) inhabiting fruit tree plantations, orchards and vineyards. All species preferred foraging in habitat mosaics consisting of patches of grass and bare ground, with an optimal, species-specific bare ground coverage of 30–70% at the foraging patch scale. In the study areas, birds thrived in intensively cultivated farmland where such ground vegetation mosaics existed. Not promoted by conventional agri-environment schemes until now, patches of bare ground should be implemented throughout grassland in order to prevent further decline of insectivorous farmland birds.

Price risk management in the copper market using commodity derivatives and options strategies

Metals price risk management is a key issue related to financial risk in metal markets because of uncertainty of commodity price fluctuation, exchange rate, interest rate changes and huge price risk either to metals’ producers or consumers. Thus, it has been taken into account by all participants in metal markets including metals’ producers, consumers, merchants, banks, investment funds, speculators, traders and so on. Managing price risk provides stable income for both metals’ producers and consumers, so it increases the chance that a firm will invest in attractive projects. The purpose of this research is to evaluate risk management strategies in the copper market. The main tools and strategies of price risk management are hedging and other derivatives such as futures contracts, swaps and options contracts. Hedging is a transaction designed to reduce or eliminate price risk. Derivatives are financial instruments, whose returns are derived from other financial instruments and they are commonly used for managing financial risks. Although derivatives have been around in some form for centuries, their growth has accelerated rapidly during the last 20 years. Nowadays, they are widely used by financial institutions, corporations, professional investors, and individuals. This project is focused on the over-the-counter (OTC) market and its products such as exotic options, particularly Asian options. The first part of the project is a description of basic derivatives and risk management strategies. In addition, this part discusses basic concepts of spot and futures (forward) markets, benefits and costs of risk management and risks and rewards of positions in the derivative markets. The second part considers valuations of commodity derivatives. In this part, the options pricing model DerivaGem is applied to Asian call and put options on London Metal Exchange (LME) copper because it is important to understand how Asian options are valued and to compare theoretical values of the options with their market observed values. Predicting future trends of copper prices is important and would be essential to manage market price risk successfully. Therefore, the third part is a discussion about econometric commodity models. Based on this literature review, the fourth part of the project reports the construction and testing of an econometric model designed to forecast the monthly average price of copper on the LME. More specifically, this part aims at showing how LME copper prices can be explained by means of a simultaneous equation structural model (two-stage least squares regression) connecting supply and demand variables. A simultaneous econometric model for the copper industry is built: {█(Q_t^D=e^((-5.0485))∙P_((t-1))^((-0.1868) )∙〖GDP〗_t^((1.7151) )∙e^((0.0158)∙〖IP〗_t ) @Q_t^S=e^((-3.0785))∙P_((t-1))^((0.5960))∙T_t^((0.1408))∙P_(OIL(t))^((-0.1559))∙〖USDI〗_t^((1.2432))∙〖LIBOR〗_((t-6))^((-0.0561))@Q_t^D=Q_t^S )┤ P_((t-1))^CU=e^((-2.5165))∙〖GDP〗_t^((2.1910))∙e^((0.0202)∙〖IP〗_t )∙T_t^((-0.1799))∙P_(OIL(t))^((0.1991))∙〖USDI〗_t^((-1.5881))∙〖LIBOR〗_((t-6))^((0.0717) Where, Q_t^D and Q_t^Sare world demand for and supply of copper at time t respectively. P(t-1) is the lagged price of copper, which is the focus of the analysis in this part. GDPt is world gross domestic product at time t, which represents aggregate economic activity. In addition, industrial production should be considered here, so the global industrial production growth that is noted as IPt is included in the model. Tt is the time variable, which is a useful proxy for technological change. A proxy variable for the cost of energy in producing copper is the price of oil at time t, which is noted as POIL(t ) . USDIt is the U.S. dollar index variable at time t, which is an important variable for explaining the copper supply and copper prices. At last, LIBOR(t-6) is the 6-month lagged 1-year London Inter bank offering rate of interest. Although, the model can be applicable for different base metals' industries, the omitted exogenous variables such as the price of substitute or a combined variable related to the price of substitutes have not been considered in this study. Based on this econometric model and using a Monte-Carlo simulation analysis, the probabilities that the monthly average copper prices in 2006 and 2007 will be greater than specific strike price of an option are defined. The final part evaluates risk management strategies including options strategies, metal swaps and simple options in relation to the simulation results. The basic options strategies such as bull spreads, bear spreads and butterfly spreads, which are created by using both call and put options in 2006 and 2007 are evaluated. Consequently, each risk management strategy in 2006 and 2007 is analyzed based on the day of data and the price prediction model. As a result, applications stemming from this project include valuing Asian options, developing a copper price prediction model, forecasting and planning, and decision making for price risk management in the copper market.

Periodising globalisation: Mauritian integration into the sugar commodity chain (1825-2005)

Using the case study of Mauritius, and its integration into the international sugar commodity chain, this paper shows that the analysis of commodity chains can be fruitfully employed to respond to recent calls in the field of global/world history for a periodisation of globalisation. The entry of Mauritius into the British Empire brought about a particular kind of integration of the island into the capitalist world system. Central to this integration was the production of sugar under the West Indian Sugar Protocol, with this ultimately turning Mauritius from a free port into a plantation economy. This shaped the island's economic and political practice, and brought the formation of a range of institutions that sustained a high degree of inequality among Mauritians by finding ever newer ways of conciliating socio-economic mobility with exploitation. The paper discusses Mauritian history through the framework of bilateral and multilateral trading agreements that had a significant impact on the sugar industry, and kept the island economically dependent on this single crop. This only changed when the postcolonial state succeeded in diversifying the Mauritian economy during the 1970s and 1980s.

Technical Reference Team Commodity: Misoprostol

http://www.rhsupplies.org/fileadmin/user_upload/CoLSC/Meeting_Documents/Dakar_2-5_July_2013/second_part/Global_conveners_brief_Misoprostol_Final.pdf

Technical Reference Team Commodity: Oxytocin

http://www.rhsupplies.org/fileadmin/user_upload/CoLSC/Meeting_Documents/Dakar_2-5_July_2013/second_part/Global_conveners_brief_Oxytocin_Final.pdf