MA348exam 1999

Exam questions and solutions in LaTex

MA348exam 1999 pdf

Exam questions and solutions in PDF

Istmo Centroamericano: la regulación de la distribución de energía eléctrica en los países con empresas privadas. Los casos de El Salvador, Guatemala, Nicaragua y Panamá

Incluye Bibliografía

RP92-217 #2 Producer Marketing Mangement: Deferred Pricing Alternatives for Grain

Grain producers must make marketing decisions every day. First they must decide whether to price or hold grain. If they decide to price grain, they must then choose the most appropriate method of pricing: cash sale, forward contract, or hedging. If they decide to hold grain (not to price), they must choose the most appropriate method of retaining ownership. This fact sheet presents some guidelines to help producers choose the least costly method of owning grain or speculating on price level changes.

RP94-217 No. 18 Use of Crop Futures and Options by the Nontrader

Crop producers make a number of decisions that are market related. They may be categorized as financial decisions, production decisions, or marketing decisions. All three decisions depend on what prices are likely to be at some specific time in the future. The marketing decisions is complex. This research publication discusses the number of alternatives that are available even for the producer who does not directly buy or sell futures or options contracts.

RP92-217 No. 19 Cost of Grain Storage

Grain marketing decisions are among the toughest the farm owner/operator or manager must make. Grain producers store grain to speculate on receiving higher prices, earn a return above storage costs, or to take advantage of government programs. Prices must increase enough to cover the additional costs, or forward contract prices must exceed current prices by more than the cost of storage in order to justify forward pricing. The gain in prices received can come from both changes in price level and changes in basis. This research publication discusses all the areas of the cost of grain storage.

Variational inference for Student-t MLP models

This paper presents a novel methodology to infer parameters of probabilistic models whose output noise is a Student-t distribution. The method is an extension of earlier work for models that are linear in parameters to nonlinear multi-layer perceptrons (MLPs). We used an EM algorithm combined with variational approximation, the evidence procedure, and an optimisation algorithm. The technique was tested on two regression applications. The first one is a synthetic dataset and the second is gas forward contract prices data from the UK energy market. The results showed that forecasting accuracy is significantly improved by using Student-t noise models.

Great adaptations : China's creative clusters and the new social contract

The transformation of China's urban landscape has witnessed a boom in cultural adaptation, namely the adaptation of a Western idea, the creative cluster. This chapter examines the formatting of hundreds of creative clusters-art centres, animation bases, cultural zones, and incubators. The cluster has important implications for how we understand China going forward into the second decade of the 21st century. The cluster phenomenon has resulted in to a substantive remaking of the social contract, between officials, entrepreneurs, local residents, academics-and most significantly cultural producers. However, these processes of adaption are mostly driven by real estate developers working in partnership with local government officials. Cut and paste design is the fast road to completion. In this sense, the description 'creative' may well be redundant.

Structured contract strategies for capital and operations expenditure projects in the oil and gas industry

This project was a step forward in developing a 'descriptive theory' of contracting in the oil and gas industry that reflects the operating environment in which the project manager operates. This study investigates the existing processes and methods used in establishing contracts which are very often prescriptive, and not always appropriate or optimal for a given situation. This study contributes to contracting effectiveness or optimal contracting in the oil and gas industry.

Market virtues and public failures : antecedents to public sector reform in the contract state

This paper considers the historical factors that have contributed to the pressures for reform in the Australian State of Victoria which proved to be more radical than paths taken by the Commonwealth Government and any other Australian states. As public management in Victoria made tentative steps towards market orientated practices, the inexperienced public officials, together with a mixture of political, economic, administrative and social factors made the government more vulnerable to a perceived need for reform. Australia, like the United Kingdom and New Zealand with which it shares similarities of government structure, commenced the path of reform in a tentative manner with major reforms being implemented by powerful leaders. Powerful reformers were Margaret Thatcher in the United Kingdom, a group of like minded politicians from Treasury in New Zealand and in the Australian State of Victoria, Jeff Kennett. Each capitalised on a sense of crises to move their reform agenda forward at a rapid pace. Victoria is offered as an illustration of how the past provides a means of understanding why Premier Jeff Kennett was able during the 1990's, to implement public sector reform into Victoria in such a dramatic way.

The first renewable forward market mechanisms in the Iberian Electricity Market

A description of the first renewable forward market mechanisms in the Iberian Electricity Market is provided. A contract for difference mechanism is available in Spain since March 2011between the last resort suppliers and the special regime (renewables and cogeneration) settling the price differences between the equilibrium price of the forward regulated auctions for the last resort supply and the spot price of the corresponding delivery period. Regulated auctions of baseload futures of the Portuguese zone in which the Portuguese last resort supplier sells the special regime production exist since December 2011. The experience gained from renewables auctions in Latin America could be used in the Iberian Electricity market, complementing these first market mechanisms. Introduction of renewable auctions at least for the most mature technologies (i.e. wind) in Spain and Portugal providing a fair price for the renewable generation will be of utmost importance in the short term to diminish the tariff deficit caused by the massive deployment of the feed-in-tariff scheme. Liquidity in the forward markets will also increase as a result of the entry of renewable generation companies intending to maximize their profits due to gradual suppression of feed in tariff schemes.

Analysis of the Iberian electricity forward market hedging efficiency

An assessment of the hedging performance in the Iberian Forward Electricity Market is performed. Aggregated data from the Portuguese and Spanish clearing houses for energy derivatives are considered. The hedging performance is measured through the ratio of the final open interest of a month derivatives contract divided by its accumulated cleared volume. The base load futures in the Iberian energy derivatives exchange show the lowest ratios due to good liquidity. The peak futures show bigger ratios as their reduced liquidity is produced by auctions fixed by Portuguese regulation. The base load swaps settled in the clearing house located in Spain show initially large values due to low registered volumes, as this clearing house is mainly used for short maturity (daily and weekly swaps). This hedging ratio can be a powerful oversight tool for energy regulators when accessing to all the derivatives transactions as envisaged by European regulation.

Analysis of the Iberian Power Forward Price Formation

The price formation of the Iberian Energy Derivatives Market-the power futures market-starting in July 2006, is assessed until November 2011, through the evolution of the difference between forward and spot prices in the delivery period (“ex-post forward risk premium”) and the comparison with the forward generation costs from natural gas (“clean spark spread”). The premium tends to be positive in all existing mechanisms (futures, Over-the-Counter and auctions for catering part of the last resort supplies). Since year 2011, the values are smaller due to regulatorily recognized prices for coal power plants. The power futures are strongly correlated with European gas prices. The spreads built with prompt contracts tend also to be positive. The biggest ones are for the month contract, followed by the quarter contract and then by the year contract. Therefore, gas fired generation companies can maximize profits trading with contracts of shorter maturity.

Propuestas regulatorias para el diseño de un mercado ibérico a plazo eficiente de la energía = Regulatory proposals for the development of an efficient iberian energy forward market

El mercado ibérico de futuros de energía eléctrica gestionado por OMIP (“Operador do Mercado Ibérico de Energia, Pólo Português”, con sede en Lisboa), también conocido como el mercado ibérico de derivados de energía, comenzó a funcionar el 3 de julio de 2006. Se analiza la eficiencia de este mercado organizado, por lo que se estudia la precisión con la que sus precios de futuros predicen el precio de contado. En dicho mercado coexisten dos modos de negociación: el mercado continuo (modo por defecto) y la contratación mediante subasta. En la negociación en continuo, las órdenes anónimas de compra y de venta interactúan de manera inmediata e individual con órdenes contrarias, dando lugar a operaciones con un número indeterminado de precios para cada contrato. En la negociación a través de subasta, un precio único de equilibrio maximiza el volumen negociado, liquidándose todas las operaciones a ese precio. Adicionalmente, los miembros negociadores de OMIP pueden liquidar operaciones “Over-The-Counter” (OTC) a través de la cámara de compensación de OMIP (OMIClear). Las cinco mayores empresas españolas de distribución de energía eléctrica tenían la obligación de comprar electricidad hasta julio de 2009 en subastas en OMIP, para cubrir parte de sus suministros regulados. De igual manera, el suministrador de último recurso portugués mantuvo tal obligación hasta julio de 2010. Los precios de equilibrio de esas subastas no han resultado óptimos a efectos retributivos de tales suministros regulados dado que dichos precios tienden a situarse ligeramente sesgados al alza. La prima de riesgo ex-post, definida como la diferencia entre los precios a plazo y de contado en el periodo de entrega, se emplea para medir su eficiencia de precio. El mercado de contado, gestionado por OMIE (“Operador de Mercado Ibérico de la Energía”, conocido tradicionalmente como “OMEL”), tiene su sede en Madrid. Durante los dos primeros años del mercado de futuros, la prima de riesgo media tiende a resultar positiva, al igual que en otros mercados europeos de energía eléctrica y gas natural. En ese periodo, la prima de riesgo ex-post tiende a ser negativa en los mercados de petróleo y carbón. Los mercados de energía tienden a mostrar niveles limitados de eficiencia de mercado. La eficiencia de precio del mercado de futuros aumenta con el desarrollo de otros mecanismos coexistentes dentro del mercado ibérico de electricidad (conocido como “MIBEL”) –es decir, el mercado dominante OTC, las subastas de centrales virtuales de generación conocidas en España como Emisiones Primarias de Energía, y las subastas para cubrir parte de los suministros de último recurso conocidas en España como subastas CESUR– y con una mayor integración de los mercados regionales europeos de energía eléctrica. Se construye un modelo de regresión para analizar la evolución de los volúmenes negociados en el mercado continuo durante sus cuatro primeros años como una función de doce indicadores potenciales de liquidez. Los únicos indicadores significativos son los volúmenes negociados en las subastas obligatorias gestionadas por OMIP, los volúmenes negociados en el mercado OTC y los volúmenes OTC compensados por OMIClear. El número de creadores de mercado, la incorporación de agentes financieros y compañías de generación pertenecientes a grupos integrados con suministradores de último recurso, y los volúmenes OTC compensados por OMIClear muestran una fuerte correlación con los volúmenes negociados en el mercado continuo. La liquidez de OMIP está aún lejos de los niveles alcanzados por los mercados europeos más maduros (localizados en los países nórdicos (Nasdaq OMX Commodities) y Alemania (EEX)). El operador de mercado y su cámara de compensación podrían desarrollar acciones eficientes de marketing para atraer nuevos agentes activos en el mercado de contado (p.ej. industrias consumidoras intensivas de energía, suministradores, pequeños productores, compañías energéticas internacionales y empresas de energías renovables) y agentes financieros, captar volúmenes del opaco OTC, y mejorar el funcionamiento de los productos existentes aún no líquidos. Resultaría de gran utilidad para tales acciones un diálogo activo con todos los agentes (participantes en el mercado, operador de mercado de contado, y autoridades supervisoras). Durante sus primeros cinco años y medio, el mercado continuo presenta un crecimento de liquidez estable. Se mide el desempeño de sus funciones de cobertura mediante la ratio de posición neta obtenida al dividir la posición abierta final de un contrato de derivados mensual entre su volumen acumulado en la cámara de compensación. Los futuros carga base muestran la ratio más baja debido a su buena liquidez. Los futuros carga punta muestran una mayor ratio al producirse su menor liquidez a través de contadas subastas fijadas por regulación portuguesa. Las permutas carga base liquidadas en la cámara de compensación ubicada en Madrid –MEFF Power, activa desde el 21 de marzo de 2011– muestran inicialmente valores altos debido a bajos volúmenes registrados, dado que esta cámara se emplea principalmente para vencimientos pequeños (diario y semanal). Dicha ratio puede ser una poderosa herramienta de supervisión para los reguladores energéticos cuando accedan a todas las transacciones de derivados en virtud del Reglamento Europeo sobre Integridad y Transparencia de los Mercados de Energía (“REMIT”), en vigor desde el 28 de diciembre de 2011. La prima de riesgo ex-post tiende a ser positiva en todos los mecanismos (futuros en OMIP, mercado OTC y subastas CESUR) y disminuye debido a la curvas de aprendizaje y al efecto, desde el año 2011, del precio fijo para la retribución de la generación con carbón autóctono. Se realiza una comparativa con los costes a plazo de generación con gas natural (diferencial “clean spark spread”) obtenido como la diferencia entre el precio del futuro eléctrico y el coste a plazo de generación con ciclo combinado internalizando los costes de emisión de CO2. Los futuros eléctricos tienen una elevada correlación con los precios de gas europeos. Los diferenciales de contratos con vencimiento inmediato tienden a ser positivos. Los mayores diferenciales se dan para los contratos mensuales, seguidos de los trimestrales y anuales. Los generadores eléctricos con gas pueden maximizar beneficios con contratos de menor vencimiento. Los informes de monitorización por el operador de mercado que proporcionan transparencia post-operacional, el acceso a datos OTC por el regulador energético, y la valoración del riesgo regulatorio pueden contribuir a ganancias de eficiencia. Estas recomendaciones son también válidas para un potencial mercado ibérico de futuros de gas, una vez que el hub ibérico de gas –actualmente en fase de diseño, con reuniones mensuales de los agentes desde enero de 2013 en el grupo de trabajo liderado por el regulador energético español– esté operativo. El hub ibérico de gas proporcionará transparencia al atraer más agentes y mejorar la competencia, incrementando su eficiencia, dado que en el mercado OTC actual no se revela precio alguno de gas. ABSTRACT The Iberian Power Futures Market, managed by OMIP (“Operador do Mercado Ibérico de Energia, Pólo Português”, located in Lisbon), also known as the Iberian Energy Derivatives Market, started operations on 3 July 2006. The market efficiency, regarding how well the future price predicts the spot price, is analysed for this energy derivatives exchange. There are two trading modes coexisting within OMIP: the continuous market (default mode) and the call auction. In the continuous trading, anonymous buy and sell orders interact immediately and individually with opposite side orders, generating trades with an undetermined number of prices for each contract. In the call auction trading, a single price auction maximizes the traded volume, being all trades settled at the same price (equilibrium price). Additionally, OMIP trading members may settle Over-the-Counter (OTC) trades through OMIP clearing house (OMIClear). The five largest Spanish distribution companies have been obliged to purchase in auctions managed by OMIP until July 2009, in order to partly cover their portfolios of end users’ regulated supplies. Likewise, the Portuguese last resort supplier kept that obligation until July 2010. The auction equilibrium prices are not optimal for remuneration purposes of regulated supplies as such prices seem to be slightly upward biased. The ex-post forward risk premium, defined as the difference between the forward and spot prices in the delivery period, is used to measure its price efficiency. The spot market, managed by OMIE (Market Operator of the Iberian Energy Market, Spanish Pool, known traditionally as “OMEL”), is located in Madrid. During the first two years of the futures market, the average forward risk premium tends to be positive, as it occurs with other European power and natural gas markets. In that period, the ex-post forward risk premium tends to be negative in oil and coal markets. Energy markets tend to show limited levels of market efficiency. The price efficiency of the Iberian Power Futures Market improves with the market development of all the coexistent forward contracting mechanisms within the Iberian Electricity Market (known as “MIBEL”) – namely, the dominant OTC market, the Virtual Power Plant Auctions known in Spain as Energy Primary Emissions, and the auctions catering for part of the last resort supplies known in Spain as CESUR auctions – and with further integration of European Regional Electricity Markets. A regression model tracking the evolution of the traded volumes in the continuous market during its first four years is built as a function of twelve potential liquidity drivers. The only significant drivers are the traded volumes in OMIP compulsory auctions, the traded volumes in the OTC market, and the OTC cleared volumes by OMIClear. The amount of market makers, the enrolment of financial members and generation companies belonging to the integrated group of last resort suppliers, and the OTC cleared volume by OMIClear show strong correlation with the traded volumes in the continuous market. OMIP liquidity is still far from the levels reached by the most mature European markets (located in the Nordic countries (Nasdaq OMX Commodities) and Germany (EEX)). The market operator and its clearing house could develop efficient marketing actions to attract new entrants active in the spot market (e.g. energy intensive industries, suppliers, small producers, international energy companies and renewable generation companies) and financial agents as well as volumes from the opaque OTC market, and to improve the performance of existing illiquid products. An active dialogue with all the stakeholders (market participants, spot market operator, and supervisory authorities) will help to implement such actions. During its firs five and a half years, the continuous market shows steady liquidity growth. The hedging performance is measured through a net position ratio obtained from the final open interest of a month derivatives contract divided by its accumulated cleared volume. The base load futures in the Iberian energy derivatives exchange show the lowest ratios due to good liquidity. The peak futures show bigger ratios as their reduced liquidity is produced by auctions fixed by Portuguese regulation. The base load swaps settled in the clearing house located in Spain – MEFF Power, operating since 21 March 2011, with a new denomination (BME Clearing) since 9 September 2013 – show initially large values due to low registered volumes, as this clearing house is mainly used for short maturity (daily and weekly swaps). The net position ratio can be a powerful oversight tool for energy regulators when accessing to all the derivatives transactions as envisaged by European regulation on Energy Market Integrity and Transparency (“REMIT”), in force since 28 December 2011. The ex-post forward risk premium tends to be positive in all existing mechanisms (OMIP futures, OTC market and CESUR auctions) and diminishes due to the learning curve and the effect – since year 2011 – of the fixed price retributing the indigenous coal fired generation. Comparison with the forward generation costs from natural gas (“clean spark spread”) – obtained as the difference between the power futures price and the forward generation cost with a gas fired combined cycle plant taking into account the CO2 emission rates – is also performed. The power futures are strongly correlated with European gas prices. The clean spark spreads built with prompt contracts tend to be positive. The biggest clean spark spreads are for the month contract, followed by the quarter contract and then by the year contract. Therefore, gas fired generation companies can maximize profits trading with contracts of shorter maturity. Market monitoring reports by the market operator providing post-trade transparency, OTC data access by the energy regulator, and assessment of the regulatory risk can contribute to efficiency gains. The same recommendations are also valid for a potential Iberian gas futures market, once an Iberian gas hub – currently in a design phase, with monthly meetings amongst the stakeholders in a Working Group led by the Spanish energy regulatory authority since January 2013 – is operating. The Iberian gas hub would bring transparency attracting more shippers and improving competition and thus its efficiency, as no gas price is currently disclosed in the existing OTC market.