Modelling and measuring price discovery in commodity markets

In this paper we present an equilibrium model of commodity spot (St) and future (Ft) prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modeling endogenously the convenience yield, our theoretical model is able to capture the existence of backwardation or contango in the long-run spot-future equilibrium relationship, (St-ß2Ft ). When the slope of the cointegrating vector ß2>1 (ß2

Modelling and measuring price discovery in commodity markets.

In this paper we present an equilibrium model of commodity spot (St) and future (Ft) prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modeling endogenously the convenience yield, our theoretical model is able to capture the existence of backwardation or contango in the long-run spot-future equilibrium relationship, (St-ß2Ft ). When the slope of the cointegrating vector ß2>1 (ß2<1) the market is under long-run backwardation (contango). It is the first time in which the theoretical possibility of finding a cointegrating vector different from the standard ß2=1 is formally considered. Independent of the value of ß2, this paper shows that the equilibrium model admits an Error Correction Representation, where the linear combination of (St) and (Ft) characterizing the price discovery process, coincides with the permanent component of the Gonzalo-Granger (1995) Permanent-Transitory decomposition. This linear combination depends on the elasticity of arbitrage services and is determined by the relative liquidity traded in the spot and future markets. Such outcome not only provides a theoretical justification for this Permanent-Transitory decomposition? but it offers a simple way of detecting which of the two prices is dominant in the price discovery process. All the results produced in this article are testable, as it can be seen in the application to spot and future non-ferrous metals prices (Al, Cu, Ni, Pb, Zn) traded in the London Metal Exchange (LME). Most markets are in backwardation and future prices are ?information dominant? in the most liquid future markets (Al, Cu, Ni, Zn).Backwardation; Cointegration; Commodity markets; Contango; Convenience Yield; Future prices; Price discovery; Permanent-transitory decomposition;

La PAC discrimina a las mujeres

La desigualdad de género evidenciada en el medio rural se hace patente en contextos sociales, económicos, políticos y culturales muy diversos. Se trata además de una realidad muy compleja, en la que influyen numerosos factores que tienen consecuencias de muchos tipos. En este artículo, se pretende colocar el centro del análisis en uno de los aspectos que componen esa realidad: ¿qué está ocurriendo con la distribución de las ayudas procedentes de la Política Agraria Común (PAC) en clave de género

Estudio descriptivo de pacientes hospitalizados con telemetría

La telemetría es la medición o registro de procesos y eventos electrocardiográficos a distancia. Consiste en la monitorización cardiaca del paciente en una localización remota. Estos registros se recogen en un ordenador central ubicado en el control de enfermería que refleja continuamente el electrocardiograma de todos los pacientes conectados a él mediante unos radiotransmisores inalámbricos que funcionan con baterías recargables. Los radiotransmisores están conectados al paciente mediante cinco electrodos adheridos a la piel, esto permite a los pacientes total libertad para deambular y moverse dentro del rango de alcance de la estación de control, habitualmente la Planta de hospitalización. El ordenador central refleja los ECG de los pacientes conectados a él y guarda los eventos importantes ocurridos durante las últimas 24h. ¿La telemetría puede ayudar al paciente a un mejor diagnóstico de su enfermedad, mejorar su tratamiento y con ello su calidad de vida? Para responder a estas preguntas se realiza el siguiente estudio. Se trata de un estudio prospectivo descriptivo, abarcando un periodo de tiempo de 4 meses, de febrero a mayo de 2016, ambos inclusive con un total de 100 pacientes. El grupo de población es aleatorio, la única premisa que se tiene en cuenta es que le sea pautada la telemetría durante su ingreso en el Servicio de Cardiología - Neurología del Hospital Río Carrión de Palencia, donde se ha realizado este estudio.Grado en Enfermerí

Dinámica Cerebral:La actividad cerebral en función de las condiciones dinámicas de la excitabilidad nerviosa. Tomo primero.

This book can be cited as: Gonzalo J. (1945/2010/2022), "Dinámica Cerebral", Tomo I, Consejo Superior de investigaciones Cientificas, Madrid 1945, in: "Dinámica Cerebral" facsimile edition, Gonzalo I. (Ed), Red Temática en Tecnologías de Computación Artificial/Natural, Universidad de Santiago de Compostela 2010 (Open Access http://dspace.usc.es/handle/10347/4341). "Brain Dynamics" Volume 1, Gonzalo I. (Ed), English translation, Madrid 2022 (Open Access in this web page). English translation (2022) of Volume 2 of Brain Dynamics by Justo Gonzalo is freely available at at: https://eprints.ucm.es/id/eprint/72118/ English translation (2015, revised 2022) of ubsequent research by this author is freely available at: https://eprints.ucm.es/id/eprint/30931/This book is the English translation of the published book in Spanish: `Dinámica Cerebral´, by Justo Gonzalo, Volume 1, published by the Consejo Superior de Investigaciones Científicas, Madrid 1945. A facsimile Spanish edition includindg Volume 2 and supplements was published by the Red Temática en Tecnologías de Computación Artificial/Natural (RTNAC) and the University of Santiago de Compostela in 2010, and whose on-line open-access version (http://dspace.usc.es/handle/10347/4341) maintains a significant rate of visits since its publication. Justo Gonzalo (Barcelona 1910 - Madrid 1986), after specialization in Austria and Germany, developed a novel research on the human cerebral cortex, partially exposed in this book. The research described here is surprisingly of current interest, apart from its undoubted historical interest. Some aspects were ahead of discoveries that were made later. Some of the phenomena exposed are still unknown, or have only been observed in the last decades, and the functional dynamic unity of the cortex proposed by the author is closely related to the current trends in the study of the brain. Some singular phenomena are described with extreme detail, such as inverted vision, facilitation, delocalization of colors, reversal of motion, and orientation disorder, among others. From the study of patients with unilateral lesion in an association area of the left parieto-occipital cortex, the author characterized what he called the `central syndrome´ of the cortex as a multisensory disorder in which all functions are affected bilaterally and symmetrically, presenting dynamic phenomena such as disaggregation of a sensory function into partial functions that are united in normal perception. Thus, inverted or tilted vision appears, whose first in-depth study is part of this research. A related phenomenon is partial disappearance of the disorders by intensification of the stimulus, or by means of facilitation, according to which the perception of a stimulus improves by the presence of another stimulus of the same or of a different sensory modality (cross-modal effect), or by a motor stimulus, muscular effort being one of the most efficient and less known means. The greater the brain excitability deficit, the more efficient facilitation is. The first detailed study on multisensory and motor facilitation is part of this research. Multisensoriality is a topic of great interest at present. From the new approach that the author gave to the research, his conception of brain dynamics emerged. The term `brain dynamics´, so widely used today, was introduced here for the first time in relation to sensory organization. This research filled the gap then existing between brain pathology and the physiology of the nervous system since the phenomena described find explanation on a physiological basis governed by the laws of nervous excitability, and provides a dynamic solution to the rigid theory of brain localization by establishing a continuous transition between lower and higher sensory functions, both being based on the same physiological laws. In addition to the patients directly studied by the author, a reference case is also the famous Schneider patient of Goldstein and Gelb studied in 1918-1919, which deserves publications even at present, and which the author interpreted under the central syndrome. In this Volume 1, the first part deals qualitatively with general aspects of the research (findings, new syndrome, dynamic analysis), and a the second part focuses on the quantitative and experimental aspects concerning visual functions. This part covers electrical and light excitability, color vision, visual field, visual forms, color vision, motion perception, motion inversion, visual image orientation, and visual schema. The rich bibliographic documentation on various trends of thought and clinical data adds interest and amenity to the book. This research received international attention from relevant authors shortly after the first publication of the book in Spanish, and more recently found echo in the field of cybernetics and artificial intelligence. A preface introduces some aspects of this research, its author and his subsequent research.Depto. de ÓpticaFac. de Ciencias FísicasFALSEunpu

Modelling and measuring price discovery in commodity markets

In this paper we present an equilibrium model of commodity spot (st) and futures (ƒt) prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modelling endogenously the convenience yield, our theoretical model is able to capture the existence of backwardation or contango in the long-run spot-futures equilibrium relationship, st = β2ƒt + β3 When the slope of the cointegrating vector β2 > 1(β2 < 1) the market is under long run backwardation (contango). It is the first time in this literature in which the theoretical possibility of finding a cointegrating vector different from the standard β2 = 1 is formally considered. Independent of the value of β2 this paper shows that the equilibrium model admits an economically meaningful Error Correction Representation, where the linear combination of (st) and (ƒt) characterizing the price discovery process in the framework of Garbade and Silber (1983). coincides exactly with the permanent component of the Gonzalo and Granger (1995) Permanent Transitory decomposition. This linear combination depends on the elasticity of arbitrage seIVices and is determined by the relative liquidity traded in the spot and futures markets. Such outcome not only provides a theoretical justification for this Permanent-Transitory decomposition; but it offers a simple way of detecting which of the two prices is dominant in the price discovery process. All the results are testable. as can be seen in the application to spot and futures non-ferrous metals prices (Al, Co, Ni, Pb, Zn) traded in the London Metal Exchange (LME). Most markets are in backwardation and futures prices are "information dominant" in highly liquid futures markets (Al, Cu, Ni, Zn).Publicad

Modelling and Measuring Price Discovery in Commodity Markets

In this paper we present an equilibrium model of commodity spot (st) and futures (ƒt) prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modelling endogenously the convenience yield, our theoretical model is able to capture the existence of backwardation or contango in the long-run spot-futures equilibrium relationship, st = β2ƒt + β3 When the slope of the cointegrating vector β2 > 1(β2 < 1) the market is under long run backwardation (contango). It is the first time in this literature in which the theoretical possibility of finding a cointegrating vector different from the standard β2 = 1 is formally considered. Independent of the value of β2 this paper shows that the equilibrium model admits an economically meaningful Error Correction Representation, where the linear combination of (st) and (ƒt) characterizing the price discovery process in the framework of Garbade and Silber (1983). coincides exactly with the permanent component of the Gonzalo and Granger (1995) Permanent Transitory decomposition. This linear combination depends on the elasticity of arbitrage seIVices and is determined by the relative liquidity traded in the spot and futures markets. Such outcome not only provides a theoretical justification for this Permanent-Transitory decomposition; but it offers a simple way of detecting which of the two prices is dominant in the price discovery process. All the results are testable. as can be seen in the application to spot and futures non-ferrous metals prices (Al, Co, Ni, Pb, Zn) traded in the London Metal Exchange (LME). Most markets are in backwardation and futures prices are "information dominant" in highly liquid futures markets (Al, Cu, Ni, Zn)