Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets

This paper models the mean and volatility spillovers of prices within the integrated Iberian and the interconnected Spanish and French electricity markets. Using the constant (CCC) and dynamic conditional correlation (DCC) bivariate models with three different specifications of the univariate variance processes, we study the extent to which increasing interconnection and harmonization in regulation have favoured price convergence. The data consist of daily prices calculated as the arithmetic mean of the hourly prices over a span from July 1st 2007 until February 29th 2012. The DCC model in which the variances of the univariate processes are specified with a VARMA(1,1) fits the data best for the integrated MIBEL whereas a CCC model with a GARCH(1,1) specification for the univariate variance processes is selected to model the price series in Spain and France. Results show that there are significant mean and volatility spillovers in the MIBEL, indicating strong interdependence between the two markets, while there is a weaker evidence of integration between the Spanish and French markets. We provide new evidence that the EU target of achieving a single electricity market largely depends on increasing trade between countries and homogeneous rules of market functioning.

Long memory in return structures from developed markets

[En]The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computed Hurst-Mandelbrot’s Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic using spectral regression. The findings suggest existence of long memory in volatility and random walk for logarithmic return series in general for all the selected stock market indices. Findings are in line with the stylized facts of financial time series.

A complex systems modelling approach for decentralized simulation of electrical microgrids

ICECCS 2010

An integrated design approach to power systems : from power flows to electricity markets

Power system is at the brink of change. Engineering needs, economic forces and environmental factors are the main drivers of this change. The vision is to build a smart electrical grid and a smarter market mechanism around it to fulfill mandates on clean energy. Looking at engineering and economic issues in isolation is no longer an option today; it needs an integrated design approach. In this thesis, I shall revisit some of the classical questions on the engineering operation of power systems that deals with the nonconvexity of power flow equations. Then I shall explore some issues of the interaction of these power flow equations on the electricity markets to address the fundamental issue of market power in a deregulated market environment. Finally, motivated by the emergence of new storage technologies, I present an interesting result on the investment decision problem of placing storage over a power network. The goal of this study is to demonstrate that modern optimization and game theory can provide unique insights into this complex system. Some of the ideas carry over to applications beyond power systems.

Competitive issue of money & abolition of central banks

The aim of this work is to analyze the main characteristics of the current financial system and to investigate the arising of critical voices with respect this system. In particular, we analyze some historical facts that have been important in the creation of this financial order. We analyze the new digital currency, known as Bitcoin, as the basic ingredient in the formation of a new alternative and decentralized international financial system. In 10 years Bitcoin has expanded its influence to many economic activities. We also analyzed briefly the classic liberal theory that criticizes the intervention of governments in the markets. Finally, we consider relevant the arising of a group of countries (BRICS) that may challenge the current system where the position of USA is privileged.

Financial Futures Markets and Their Impact on the Real Economy in Middle and Low Income Countries

This project analyses the influence of the futures market on middle and low income countries. In it, I attempt to show that investments made by large investment funds in this market, as well as by certain pension plans, bring major consequences whose effects are more evident in less developed countries. The cornerstones of the work are as follows; to attempt to see the existing relationship between the commodity futures market and its underlying assets; analysing products such as wheat, rice and corn in-depth, because these are the most basic foodstuffs at a global level; to determine how an increase in trading in these markets can affect the lives of people in the poorest countries; to analyse investor concern regarding the consequences that their investments may have. Throughout the project we will see how large speculators use production forecasting models to determine the shortage of a commodity in order to take a position in the futures market to profit from it. In addition we will see how an increase in trading in this market causes an increase in the price of the underlying asset in the spot market. As for investor concern, I can say it is negligible, but the idea of running pension plans or investment funds that follow some social criteria has been welcomed by those interviewed, which makes me think that different legislation is possible. This legislation will only come into existence if it is demanded by the people. A fact that now becomes complicated because without a minimum financial basis, they cannot even know how the large investment funds trade with hunger in the world. The day when most people understand how large speculators profit from famine will be the day to put pressure on governments to begin to put limits on speculation. This makes financial awareness necessary in order to achieve a curb in excessive speculation.

Markets, marketing and production issues for aquaculture in East Africa: the case of Uganda

Aquaculture is currently responsible for an insignificant proportion of total fish production in Uganda. However, given the increasing demand for fresh fish in urban and peri-urban araes, and threats to the supply of fish from natural catch fisheries, the potential exists for a strong market in aquaculture. Small-scale fish farmers located relatively close to markets or all-season roads, and who can supply consistent and high quality produce, will have the widest range of marketing opportunities, and will likely be within the area of operation of potential traders and intermediaries that deliver fish to markets. Fish farmers that are not close to roads, or produce unreliable quantities and variable quality products may face high transaction costs of marketing their product, and decreasing net returns to production. The authors found that significant on-farm labor, and access to input markets are important factors leading to positive net returns to fish production. Areas with high population density and relatively low wages will be well suited to labor intensive aquaculture. The authors concluded that aquaculture development has good potential in certain areas of Uganda and should therefore be pursued as a potential development pathway. However, policy makers should consider the importance of the price of fresh fish relative to the cost of labor, as well as other factors including the importance of smallholder credit and access to extension services, when directing investments in aquaculture technology.

New Products and Markets for Menhaden, Brevoortia spp.

Although menhaden, Brevoortia spp., represent 23.5 percent of United States commercial fishery landings, they represent only about 2.6 percent of the total landed value of fishery products. New food products and markets are needed to increase the economic value of the menhaden resource. This paper describes investigations of menhaden as a raw material for both traditional and new forms of food products. Canned menhaden is a logical food product, but the production of a menhaden surimi with good functionality has recently been demonstrated. The U.S. Food and Drug Administration has placed partially hydrogenated menhaden oil on the GRAS list of ingredients for food products, but a decision on the status of nutritionally beneficial refined menhaden oil is not yet available. Refined menhaden oil is currently the raw material for biomedical test materials being used in research approved by the National Institutes of Health to determine the health benefits of fish oils and omega-3 fatty acids. The test materials are being produced, with strict quality controls, at the NMFS Charleston Laboratory.

Research in Global Groundfish Markets: An Exercise in International Cooperation

Over roughly the last decade, most of the fishery resources of the continental shelf and nearshore areas of the world's oceans have come under the control of coastal nations. One consequence of this extension of fisheries jurisdiction (EFJ) by any individual state has been the expansion of its production possibilities. That is, with strengthened property rights in the ocean resources off its shores, a coastal nation experiences increased opportunities to produce goods and services from its newly enlarged pool of resources. Such a nation, then, would appear to be a potential gainer from EFJ.