University of Zagreb. Faculty of Science. Department of Mathematics.
Abstract
Ovaj rad je detaljnija obrada članka autora Luce Pieronia i Mattea Ricciarellia pod nazivom: ”Modelling dynamic storage function in commodity markets: Theory and evidence” odnosno prevedeno na hrvatski : “Modeliranje funkcije dinamičkog skladištenja na tržištima roba: Teorija i dokazi”. U radu, slijedeći tzv. modernu teoriju skladištenja, modeliramo cijene robe u međuvremenskom okviru u kojem racionalni subjekt može prenositi robu kao zalihe iz trenutnog u buduće razdoblje zbog špekulativnih potreba i opreza. U prvom poglavlju opisujemo ekonomsku teoriju i motivaciju koja se nalazi iz svjetskog tržišta metala, konkretnije bakra. U drugom poglavlju uvodimo pojam Hamiltonijana te definiramo optimizacijski problem i ograničenja zajedno s postupkom optimizacije funkcije cilja. U trećem poglavlju navodimo potrebne alate za ekonometrijsku analizu dok u četvrtom poglavlju primjenjujemo navedene alate na podacima. U petom poglavlju komentiramo podatke i dobivene rezultate. U šestom poglavlju dajemo zaključak te komentiramo ponašanje ekonomskih agenata s obzirom na Tobinovo q.This paper is more detailed version of the article by authors Luca Pieroni and Matteo Ricciarelli: “Modelling dynamic storage function in commodity markets: Theory and evidence” . In this paper, by following so called modern theory of storage, we model commodity prices in an intertemporal framework, in which, a rational subject can carry commodity as stocks from present to the future period for speculative purposes and caution. In first chapter, we describe economic theory and motivation behind world metal market, particularly copper market. In second chapter, we introduce the Hamiltonian and define optimization problem with it's constraint together with optimization procedure. In third chapter, we mention necessary tools for econometric analysis while in fourth chapter, we apply those tools on our data. In fifth chapter, we comment on data and results. The conclusion is given the in sixth chapter, together with a comment on behaviour of economic agents with the respect to the Tobin's q
