Short-term electricity futures prices: Evidence on the time-varying risk premium

This paper examines empirically the relationship between electricity spot and futures prices, by analysing a decade of data for a set of short term-to-maturity futures contracts traded in the Nordic Power Exchange, Nord Pool. It is found that, on average, there are significant positive risk premiums in short-term electricity futures prices. The significance and size of the premiums, however, varies seasonally over the year; whereas it is greatest during winter, it is zero in summer. It is also found that time-varying risk premiums are significantly related to unexpectedly low reservoir levels. Furthermore, before the unprecedented supply-shock that hit the Nord Pool market around the end of year 2002, the variation of the risk premiums was related to the variance and the skewness of future spot prices. This result is consistent with the view that risk considerations played a role in the determination of futures prices. Finally, additional evidence provided throughout the paper supports the view that circumstances changed in the Nord Pool market after the shock period. Este trabajo estudia la relación entre los precios de contado y a futuro de la electricidad a través de un análisis empírico realizado sobre los precios a futuro a corto plazo negociados durante una década en el mercado nórdico de electricidad, Nord Pool. Los resultados indican que existen primas de riesgo positivas en media en los contratos de futuro a corto plazo. Sin embargo, la significatividad y tamaño de las primas varia estacionalmente a lo largo del año, siendo las de mayor tamaño durante el invierno y nulas durante el verano. También se encuentra evidencia significativa relativa a la capacidad explicativa de los niveles anormalmente bajos de las reservas hidráulicas sobre la variación temporal de las primas de riesgo. Además, antes del shock de oferta que azotó el mercado Nord Pool a finales del año 2002, la variación de las primas de riesgo estaba relacionada con la varianza y asimetría de los precios futuros de la electricidad. Este resultado es coherente con la visión de que el riesgo se tomaba en consideración en la determinación de los precios a futuro. Finalmente, a lo largo de todo el documento se muestra evidencia adicional a favor de la opinión de que las cirscustancias cambiaron en el Nord Pool después del periodo turbulento.Prima de riesgo, futuros sobre la electricidad, Nord Pool risk premium, electricity futures, Nord Pool

How does financial theory apply to catastrophe-linked derivatives? En empirical test of several princing models

The paper focuses on the PCS Catastrophe Insurance Option Contracts and empirically tests the degree of agreement between their real quotes and the standard fmancial theory. The highest possible precision is incorporated since the real quotes are perfectly synchronized and the bid-ask spread is always considered. A static setting is assumed and the main topics of arbitrage, hedging and portfolio choice are involved in the analysis. Three significant conclusions are reached. First, the catastrophe derivatives may be very often priced by arbitrage methods, and the paper provides some examples of practical strategies that were available in the market. Second, hedging arguments also yield adequate criteria to price the derivatives and some real examples are provided as well. Third, in a variance aversion context many agents could be interested in selling derivatives to invest the money in stocks and bonds. These strategies show a suitable level in the variance for any desired expected return. Furthermore, the methodology here applied seems to be quite general and may be useful to price other derivative securities. Simple assumptions on the underlying asset behavior are the only required conditions

Open and closed positions and stock index futures volatility

In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it

Los precios en los mercados reestructurados de electricidad: algunas lecciones básicas para la negociación derivada

Este artículo investiga los precios al contado de mercados reestructurados de la electricidad de diversas partes del mundo. Primero se proporciona un análisis detallado de las propiedades distributivas y de la dinámica de los precios de contado eléctricos. Después se realiza una introducción a los múltiples factores por el lado de la demanda y de la oferta que contribuyen a su complejo y variado comportamiento. Finalmente se extraen algunas lecciones fundamentales del análisis anterior para la negociación de derivados sobre la electricidad.This paper investigates the spot prices from restructured electricity markets around the world. First, we provide a comprehensive survey of the distributional properties and the dynamics of spot electricity prices. Then, we introduce the multiple demand and supply factors that contribute to their complex and diverse behaviour. Finally, we extract some fundamental lessons implied by such characteristics, for the power [email protected]

Nivel de conocimiento, actitudes y prácticas sobre el uso de DIU como método de planificación familiar en mujeres que die ron a luz en el Hospital Bertha Calderón Roque en el periodo de Enero-Marzo 2015

La anticoncepción luego de algún evento obstétrico, adquiere una dimensión especial si se tiene en cuenta que el método seleccionado debe garantizar el mantenimiento de la lactancia y la salud del binomio madre-hijo. Además de la importancia de un adecuado espaciamiento de los embarazos, como primera medida para reducir el riesgo de morbilidad y mortalidad materno-infantil. Se realizó un estudio en el Hospital Bertha Calderón Roque, para describir el nivel de conocimientos, actitudes y practicas sobre el uso del DIU como método de planificación familiar en mujeres que dieron a luz del servicio de maternidad de Enero a Marzo del 2015. Encontrándose que la falta de conocimiento sobre el uso del dispositivo intrauterino y encontrando que en la mayoría de los aspectos específicos analizados; de manera general se identificó un tipo de actitud favorable en más de la mitad de la población estudiada pero lamentablemente el nivel de practica continua siendo malo y aumenta el riego a nuevos embarazos, muchas veces tempranos, no deseados y con periodos intergenésico cortos, lo que aumenta el riesgo de complicaciones obstétricas y mortalidad materno fetal en la población de nuestro país. En las razones de uso del DIU post evento obstétrico predomina el deseo de no tener más hijos, la cultura machista que predomina en América latina y en nuestro país pone de manifiesto las razones de no uso de métodos anticonceptivos en el posparto refiriéndose al DIU y no usar algún método por decisión propia y por complacer a la pareja. Se recomienda entonces Desarrollar campañas de información masiva y atrayente sobre el uso de DIU posparto a nivel de la población y en los servicios de salud que eliminen las barreras culturales, económicas y sociales en la población de edad fértil así como diseñar estrategias de educación y comunicación que permitan mejorar los conocimientos actitudes y prácticas en el uso de DIU como método de planificación familiar de elección post evento obstétrico y en el comportamiento saludable y responsable de la población en general

How Financial Theory Applies to Catastrophe-Linked Derivatives--An Empirical Test of Several Pricing Models

This paper discusses the PCS Catastrophe Insurance Option Contracts, pro- viding empirical support on the level of correspondence between real quotes and standard financial theory. The highest possible precision is incorpo- rated since the real quotes are perfectly synchronized and the bid-ask spread is always considered. A static setting is assumed and the main topics of arbitrage, hedging, and portfolio choice are involved in the analysis. Three significant conclusions are reached. First, the catastrophe derivatives may often be priced by arbitrage methods, and the paper provides some examples of practical strategies that were available in the market. Second, hedging arguments also yield adequate criteria to price the derivatives, and some real examples are provided as well. Third, in a variance aversion context many agents could be interested in selling derivatives to invest the money in stocks and bonds. These strategies show a suitable level in the variance for any desired expected return. Furthermore, the methodology here ap- plied seems to be quite general and may be useful to price other derivative securities. Simple assumptions on the underlying asset behavior are the only required conditions.Publicad

Effect of genomic distance on coexpression of coregulated genes in E. coli

In prokaryotes, genomic distance is a feature that in addition to coregulation affects coexpression. Several observations, such as genomic clustering of highly coexpressed small regulons, support the idea that coexpression behavior of coregulated genes is affected by the distance between the coregulated genes. However, the specific contribution of distance in addition to coregulation in determining the degree of coexpression has not yet been studied systematically. In this work, we exploit the rich information in RegulonDB to study how the genomic distance between coregulated genes affects their degree of coexpression, measured by pairwise similarity of expression profiles obtained under a large number of conditions. We observed that, in general, coregulated genes display higher degrees of coexpression as they are more closely located on the genome. This contribution of genomic distance in determining the degree of coexpression was relatively small compared to the degree of coexpression that was determined by the tightness of the coregulation (degree of overlap of regulatory programs) but was shown to be evolutionary constrained. In addition, the distance effect was sufficient to guarantee coexpression of coregulated genes that are located at very short distances, irrespective of their tightness of coregulation. This is partly but definitely not always because the close distance is also the cause of the coregulation. In cases where it is not, we hypothesize that the effect of the distance on coexpression could be caused by the fact that coregulated genes closely located to each other are also relatively more equidistantly located from their common TF and therefore subject to more similar levels of TF molecules. The absolute genomic distance of the coregulated genes to their common TF-coding gene tends to be less important in determining the degree of coexpression. Our results pinpoint the importance of taking into account the combined effect of distance and coregulation when studying prokaryotic coexpression and transcriptional regulation

On the habitat use of the Neotropical whip spider Charinus asturius (Arachnida: Amblypygi)

The non-random occupation of habitats is termed habitat selection. Some species of whip spiders select trees with burrows at their base, while others use substrates such as rocks. Here, we investigated the habitat use by Charinus asturius Pinto-da-Rocha, Machado & Weygoldt, 2002, an endemic species of Ilhabela Island in Brazil. We found that C. asturius is more likely to be found under rocks that cover larger areas of substrate. Our results also suggest the existence of territorialism in C. asturius and show that C. asturius adults may be found again on the same rock a week later. Additionally, our data show that C. asturius is present in a greater area of Ilhabela than previously documented.Fundacao de Amparo a Pesquisa do Estado de Sao Paulo (FAPESP) [2014/19191-3, 2015/01518-9]Conselho Nacional de Desenvolvimento Cientifico e Tecnologico (CNPq) [133214/2015-0]Univ Sao Paulo, Escola Artes Ciencias & Humanidades, Lab Ecol Sensorial & Comportamento Artropodes, Rua Arlindo Bettio 1000, BR-03828000 Sao Paulo, SP, BrazilUniv Sao Paulo, Inst Biociencias, Programa Pos Grad Zool, Rua Matao 321,Travessa 14, BR-05508900 Sao Paulo, BrazilUniv Sao Paulo, Inst Psicol, Dept Psicol Expt, Ave Prof Mello de Morais,1721 Butanta, BR-05508030 Sao Paulo, SP, BrazilUniv Fed Sao Paulo, Programa Pos Grad Ecol & Evolucao, Rua Prof Artur Riedel 275, BR-09972270 Diadema, BrazilUniv Fed Sao Paulo, Programa Pos Grad Ecol & Evolucao, Rua Prof Artur Riedel 275, BR-09972270 Diadema, BrazilFAPESP: [2014/19191-3, 2015/01518-9]CNPq: [133214/2015-0]Web of Scienc

Chapter Multiscale Modeling of Myocardial Electrical Activity: From Cell to Organ

Endocrinolog

A New Perspective on the Relationship between Trading Variables and Volatility in Futures Markets

In this paper, we study the relationship between trading-related variables and volatility in futures markets, from a new unifying perspective, which is based on the separation of open and closed positions. Volatility in stock index futures markets (Standard & Poor's 500, DAX 30 and Nikkei 225) is related to the flow of contracts entered into the markets and the flow of contracts that are closed out. In general, the daily changes in the number of open and closed positions are both positively correlated with volatility. Additionally, there is a stronger positive relationship between the number of open (respectively, closed) positions and contemporaneous volatility on those days when the opening of new positions (respectively, the closing of old ones) dominates the market. Finally, massive intra-day trading does not seem to alter the average volatility. The change in perspective allows us to provide a consistent story for the effect of the change in the open interest on the volatility analysed in the previous literature. Keywords: volatility; open interest; trading volume; open and closed positions. JEL Classifications: G12, G1