Download Commodities, Energy and Environmental Finance by René Aïd, Michael Ludkovski, Ronnie Sircar PDF

By René Aïd, Michael Ludkovski, Ronnie Sircar

This quantity is a set of chapters overlaying the newest advancements in functions of monetary arithmetic and facts to themes in power, commodity monetary markets and environmental economics. The examine provided is predicated at the shows and discussions that came about throughout the Fields Institute concentration application on Commodities, strength and Environmental Finance in August 2013. The authors comprise utilized mathematicians, economists and practitioners, supplying for a multi-disciplinary spectrum of views at the topic.

The quantity comprises 4 sections: electrical energy Markets; actual thoughts; buying and selling in Commodity Markets; and Oligopolistic versions for power construction. Taken jointly, the chapters provide a accomplished precis of the present state-of-the-art in quantitative research of commodities and effort finance. the subjects coated contain structural versions of electrical energy markets, financialization of commodities, valuation of commodity actual suggestions, game-theory research of exhaustible source administration and research of commodity ETFs. the quantity additionally contains survey articles that supply a resource for brand new researchers drawn to moving into those themes.

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Extra resources for Commodities, Energy and Environmental Finance

Example text

The expected performance of indexing is no different from the performance of the benchmark index. This is in contrast with active investing whose objective is to outperform the market or a benchmark index. Depending upon their styles, active managers rely on fundamental analysis, technical analysis or macroeconomic analysis to identify inefficiencies and anomalies in the markets which they then try to exploit. In a recent report [33], the United Nations Conference on Trade and Development (UNCTAD) argued that between July 2009 and February 2011, the importance of index traders diminished at the expense of active investment strategies.

For every ETF, we obtain its closing prices and reference index values from Bloomberg for the period Dec 2008–May 2013. g. the return over days 1–30 then returns over days 31–60 for 30-day returns). Let Lt be the price of an LETF and St be the reference index value at time t. For a given leverage ratio ˇ, we compare the log-returns of the LETF to ˇ times the log-returns of the corresponding reference index. n/ Yt D ln LtCn Lt t ˇ ln StCn t ; St (1) Tracking Errors of Commodity LETFs 43 where t represents one trading day.

Food & Water Watch: Casino of Hunger: How Wall street speculators fueled the global food crisis. Technical Report (2009) 12. : Institutional investors and stock market volatility. Q. J. Econ. 121, 461–504 (2006) 13. : Causes and consequences of the oil shock of 2007–08. Brookings Papers on Economic Activity, pp. 215–259 (2009) 14. : Effects of index-fund investing on commodity futures prices. C. San Diego (2012) 15. : New evidence on the financialization of the commodity markets. Technical Report, George Washington University, July 22 (2013) 16.

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