Search results for: Oil price volatility

Authors: T. Kamalakis, I. Neokosmidis, D. Varoutas, T. Sphicopoulos

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The photonic component industry is a highly innovative industry with a large value chain. In order to ensure the growth of the industry much effort must be devoted to road mapping activities. In such activities demand and price evolution forecasting tools can prove quite useful in order to help in the roadmap refinement and update process. This paper attempts to provide useful guidelines in roadmapping of optical components and considers two models based on diffusion theory and the extended learning curve for demand and price evolution forecasting.

Keywords: Roadmapping, Photonic Components, Forecasting, Diffusion Theory.

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Authors: R. A. Sabir , X. Xinping , S.A. Sabr

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This paper has presented research in progress concerning the contribution of target costing approach to achievement competitive price in the Iraqi firm. The title of the paper is one of the subjects that get large concerns in the finance and business world in the present time. That is because many competitive firms have appeared in the regional and global markets and the rapid changes that covered all fields of life. On the other hand, this paper concentrated on lack knowledge of the industrial firms, regarding the significant role of target cost for achieving the competitive prices. The paper depends on the main supposition, using the competitive price to get the target cost in the industrial firms. In order to achieve competitive advantage in business world the firms should rely on modern methods to manage cost and profit. From strategic perspective the target cost achieves a so powerful competitive advantage represented in cost reduction. Nevertheless the target cost does not exclude the calculation and survey of costs during the production process. Products- estimated costs are calculated and compared with the target costs.

Keywords: Target Costing, Competitive Price, Target Profit, Iraq Kurdistan Region.

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Authors: Siddhant Sahu, P. James Daniel Paul

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Technical analysis comprised by various technical indicators is a holistic way of representing price movement of stocks in the market. Various forms of indicators have evolved from the primitive ones in the past decades. There have been many attempts to introduce volume as a major determinant to determine strong patterns in market forecasting. The law of demand defines the relationship between the volume and price. Most of the traders are familiar with the volume game. Including the time dimension to the law of demand provides a different visualization to the theory. While attempting the same, it was found that there are different thresholds in the market for different companies. These thresholds have a significant influence on the price. This article is an attempt in determining the thresholds for companies using the three dimensional graphs for optimizing the portfolios. It also emphasizes on the magnitude of importance of volumes as a key factor for determining of predicting strong price movements, bullish and bearish markets. It uses a comprehensive data set of major companies which form a major chunk of the Indian automotive sector and are thus used as an illustration.

Keywords: Technical Analysis, Expert System, Law of demand, Stocks, Portfolio Analysis, Indian Automotive Sector.

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Authors: Ioan Popa, Cristiana Tudor, Radu Lupu

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The interdependences among stock market indices were studied for a long while by academics in the entire world. The current financial crisis opened the door to a wide range of opinions concerning the understanding and measurement of the connections considered to provide the controversial phenomenon of market integration. Using data on the log-returns of 17 stock market indices that include most of the CEE markets, from 2005 until 2009, our paper studies the problem of these dependences using a new methodological tool that takes into account both the volatility clustering effect and the stochastic properties of these linkages through a Dynamic Conditional System of Simultaneous Equations. We find that the crisis is well captured by our model as it provides evidence for the high volatility – high dependence effect.

Keywords: Stock market interdependences, Dynamic System ofSimultaneous Equations, financial crisis

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Authors: W. A. Pamungkas, R. B. Setyawati, A. F. Rifai, C. P. Setiawan, A. W. Budiman, Inayati, J. Waluyo, S. H. Pranolo

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The increase in LPG consumption in Indonesia is not balanced with the amount of supply. The high demand for LPG due to the success of the government's kerosene-to-LPG conversion program and the COVID-19 pandemic in 2020 led to an increase in LPG consumption in the household sector and caused Indonesia's trade balance to experience a deficit. The high consumption of LPG encourages the need for alternative fuels which aims to substitute LPG. Dimethyl Ether (DME) is an organic compound with the chemical formula CH3OCH3, has a high cetane number and has characteristics similar to LPG. DME can be produced from various sources such as coal, biomass and natural gas. Based on the economic analysis conducted at 10% Internal Rate of Return (IRR), coal has the largest Net Present Value (NPV) of Rp. 20,034,837,497,241 with a payback period of 3.86 years, then biomass with an NPV of Rp. 10,401,526,072,850 and payback period of 5.16. The latter is natural gas with an NPV of IDR 7,401,272,559,191 and a payback period of 6.17 years. Of the three sources of raw materials used, if the sensitivity is calculated using the selling price of DME equal to the selling price of LPG, it will get an NPV value that is greater than the NPV value when using the current DME price. The advantages of coal as a raw material for DME are profitableness, low price and abundant resources, but it has high greenhouse gas emission.

Keywords: LPG, DME, coal, biomass, natural gas.

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Authors: Chava Sunil Kumar, P.S. Subrahmanyan, J. Amarnath

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In this paper variation of spot price and total profits of the generating companies- through wholesale electricity trading are discussed with and without Central Generating Stations (CGS) share and seasonal variations are also considered. It demonstrates how proper analysis of generators- efficiencies and capabilities, types of generators owned, fuel costs, transmission losses and settling price variation using the solutions of Optimal Power Flow (OPF), can allow companies to maximize overall revenue. It illustrates how solutions of OPF can be used to maximize companies- revenue under different scenarios. And is also extended to computation of Available Transfer Capability (ATC) is very important to the transmission system security and market forecasting. From these results it is observed that how crucial it is for companies to plan their daily operations and is certainly useful in an online environment of deregulated power system. In this paper above tasks are demonstrated on 124 bus real-life Indian utility power system of Andhra Pradesh State Grid and results have been presented and analyzed.

Keywords: OPF, ATC, Electricity Market, Bid, Spot Price

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Authors: Sun-Young Jang, Sung-Ah Kim, Dongyoun Shin

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Current real-estate value estimation, difficult for laymen, usually is performed by specialists. This paper presents an automated estimation process based on big data and machine-learning technology that calculates influences of building conditions on real-estate price measurement. The present study analyzed actual building sales sample data for Nonhyeon-dong, Gangnam-gu, Seoul, Korea, measuring the major influencing factors among the various building conditions. Further to that analysis, a prediction model was established and applied using RapidMiner Studio, a graphical user interface (GUI)-based tool for derivation of machine-learning prototypes. The prediction model is formulated by reference to previous examples. When new examples are applied, it analyses and predicts accordingly. The analysis process discerns the crucial factors effecting price increases by calculation of weighted values. The model was verified, and its accuracy determined, by comparing its predicted values with actual price increases.

Keywords: Big data, building-value analysis, machine learning, price prediction.

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Authors: Hamed Sabahno

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In this paper, an inventory model with finite and constant replenishment rate, price dependant demand rate, time value of money and inflation, finite time horizon, lead time and exponential deterioration rate and with the objective of maximizing the present worth of the total system profit is developed. Using a dynamic programming based solution algorithm, the optimal sequence of the cycles can be found and also different optimal selling prices, optimal order quantities and optimal maximum inventories can be obtained for the cycles with unequal lengths, which have never been done before for this model. Also, a numerical example is used to show accuracy of the solution procedure.

Keywords: Deteriorating items, Dynamic programming, Finitereplenishment rate, Inventory control, Operation Research.

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Authors: Changhong Guo, Shaomei Fang, Yong He

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In this paper, fractional Black-Scholes models for the European option pricing were established based on the fractional G-Brownian motion (fGBm), which generalizes the concepts of the classical Brownian motion, fractional Brownian motion and the G-Brownian motion, and that can be used to be a tool for considering the long range dependence and uncertain volatility for the financial markets simultaneously. A generalized fractional Black-Scholes equation (FBSE) was derived by using the Taylor’s series of fractional order and the theory of absence of arbitrage. Finally, some explicit option pricing formulas for the European call option and put option under the FBSE were also solved, which extended the classical option pricing formulas given by F. Black and M. Scholes.

Keywords: European option pricing, fractional Black-Scholes equations, fractional G-Brownian motion, Taylor’s series of fractional order, uncertain volatility.

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Authors: Ioannis P. Panapakidis, Marios N. Moschakis

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The Greek Energy Market is structured as a mandatory pool where the producers make their bid offers in day-ahead basis. The System Operator solves an optimization routine aiming at the minimization of the cost of produced electricity. The solution of the optimization problem leads to the calculation of the System Marginal Price (SMP). Accurate forecasts of the SMP can lead to increased profits and more efficient portfolio management from the producer`s perspective. Aim of this study is to provide a comparative analysis of various machine learning models such as artificial neural networks and neuro-fuzzy models for the prediction of the SMP of the Greek market. Machine learning algorithms are favored in predictions problems since they can capture and simulate the volatilities of complex time series.

Keywords: Deregulated energy market, forecasting, machine learning, system marginal price, energy efficiency and quality.

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Authors: Yi-Chang Chen, Shan-Lin Chang, Chia-Chun Wu

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Unlike this study focused extensively on trading behavior of option market, those researches were just taken their attention to model-driven option pricing. For example, Black-Scholes (B-S) model is one of the most famous option pricing models. However, the arguments of B-S model are previously mentioned by some pricing models reviewing. This paper following suggests the importance of the dynamic character for option pricing, which is also the reason why using the genetic algorithm (GA). Because of its natural selection and species evolution, this study proposed a hybrid model, the Genetic-BS model which combining GA and B-S to estimate the price more accurate. As for the final experiments, the result shows that the output estimated price with lower MAE value than the calculated price by either B-S model or its enhanced one, Gram-Charlier garch (G-C garch) model. Finally, this work would conclude that the Genetic-BS pricing model is exactly practical.

Keywords: genetic algorithm, Genetic-BS, option pricing model.

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Authors: Shih-Ching Lo, Yu-Ping Liao

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Social-economic variables influence transportation demand largely. Analyses of discrete choice model consider social-economic variables to study traveler-s mode choice and demand. However, to calibrate the discrete choice model needs to have plenty of questionnaire survey. Also, an aggregative model is proposed. The historical data of passenger volumes for high speed rail and domestic civil aviation are employed to calibrate and validate the model. In this study, models with different social-economic variables, which are oil price, GDP per capita, CPI and economic growth rate, are compared. From the results, the model with the oil price is better than models with the other social-economic variables.

Keywords: forecasting, passenger volume, dynamic competitive model, social-economic variables, oil price.

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Authors: Christopher Reichstein, Ralf-Christian Härting, Martina Häußler

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With a continuously increasing speed of information exchange on the World Wide Web, retailers in the E-Commerce sector are faced with immense possibilities regarding different online purchase processes like dynamic price settings. By use of Dynamic Pricing, retailers are able to set short time price changes in order to optimize producer surplus. The empirical research illustrates the basics of Dynamic Pricing and identifies six influencing factors of Dynamic Pricing. The results of a structural equation modeling approach show five main drivers increasing the potential of dynamic price settings in the E-Commerce. Influencing factors are the knowledge of customers’ individual willingness to pay, rising sales, the possibility of customization, the data volume and the information about competitors’ pricing strategy.

Keywords: E-commerce, empirical research, experts, Dynamic Pricing (DP), influencing factors, potentials.

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Authors: Katleho D. Makatjane, Kalebe M. Kalebe

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The present paper used time-varying parameters which are based on the score function of a probability density at time t to model volatility of saving rate. We used a scaled likelihood function to update the parameters of the model overtime. Our results revealed high diligence of time-varying since the location parameter is greater than zero. Furthermore, we discovered a leptokurtic condition on saving rate’s distribution. Kapetanios, Shin-Shell Nonlinear Augmented Dickey-Fuller (KSS-NADF) test showed that the saving rate has a nonlinear unit root; therefore, it can be modeled by a generalised autoregressive score (GAS) model. Additionally, value at risk (VaR) and conditional tail expectation (CTE) indicate that 99% of the time people in Lesotho are saving more than spending. This puts the economy in high risk of not expanding. Therefore, the monetary policy committee (MPC) of Lesotho should revise their monetary policies towards this high saving rates risk.

Keywords: Generalized autoregressive score, time-varying, saving rate, Lesotho.

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Authors: Tomislav Stambolic, Anton Causevski

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The deficit of power for electricity demand reaches almost 30% for consumers in the last few years. This reflects with continually increasing the price of electricity, and today the price for small industry is almost 110Euro/MWh. The high price is additional problem for the owners in the economy crisis which is reflected with higher price of the goods. The paper gives analyses of the energy needs for real agro complex in Macedonia, private vinery with capacity of over 2 million liters in a year and with self grapes and fruits fields. The existing power supply is from grid with 10/04 kV transformer. The geographical and meteorological condition of the vinery location gives opportunity for including renewable as a power supply option for the vinery complex. After observation of the monthly energy needs for the vinery, the base scenario is the existing power supply from the distribution grid. The electricity bill in small industry has three factors: electricity in high and low tariffs in kWh and the power engaged for the technological process of production in kW. These three factors make the total electricity bill and it is over 110 Euro/MWh which is the price near competitive for renewable option. On the other side investments in renewable (especially photovoltaic (PV)) has tendency of decreasing with price of near 1,5 Euro/W. This means that renewable with PV can be real option for power supply for small industry capacities (under 500kW installed power). Therefore, the other scenarios give the option with PV and the last one includes wind option. The paper presents some scenarios for power supply of the vinery as the followings: • Base scenario of existing conventional power supply from the grid • Scenario with implementation of renewable of Photovoltaic • Scenario with implementation of renewable of Photovoltaic and Wind power The total power installed in a vinery is near 570 kW, but the maximum needs are around 250kW. At the end of the full paper some of the results from scenarios will be presented. The paper also includes the environmental impacts of the renewable scenarios, as well as financial needs for investments and revenues from renewable.

Keywords: Energy, Power Supply, Renewable, Efficiency.

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Authors: Zahra Amirhosseini, Alireza Bashiri

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The aim of this study was to examine and identify the type of Iranian financial market in terms of being symmetrical or asymmetrical and to measure relationship between type of market and the market's indices. In this study, daily information on the market-s Share Price Index, Industrial Index and Top Fifty Most Active Companies during the years 1999-2010 has been used. In addition, to determine type of the financial market, rate of return on Security is taken into account. In this research, by using logistic regression analysis methods, relationship of the market type with the above mentioned indices have been examined. The results showed that the type of the financial market has a positive significant association with market share price index and Industrial Index. Index of Top Fifty Most Active Companies is significantly associated with type of financial market, however this relationship is inverse.

Keywords: All Share Price Index, Asymmetrical Market, Industrial Index, Symmetrical Market, Top Fifty Most Active Companies Index

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Authors: Zhaojun Wang, Zongdi Sun, Yongjie Chen, Manman Chen, Linghui Wang

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This paper uses the analytic hierarchy process to study the execution effect of the minimum purchase price of grain in different regions and various grain crops. Firstly, for different regions, five indicators including grain yield, grain sown area, gross agricultural production, grain consumption price index, and disposable income of rural residents were selected to construct an evaluation index system. We collect data of six provinces including Hebei Province, Heilongjiang Province and Shandong Province from 2006 to 2017. Then, the judgment matrix is constructed, and the hierarchical single ordering and consistency test are carried out to determine the scoring standard for the minimum purchase price of grain. The ranking of the execution effect from high to low is: Heilongjiang Province, Shandong Province, Hebei Province, Guizhou Province, Shaanxi Province, and Guangdong Province. Secondly, taking Shandong Province as an example, we collect the relevant data of sown area and yield of cereals, beans, potatoes and other crops from 2006 to 2017. The weight of area and yield index is determined by expert scoring method. And the average sown area and yield of cereals, beans and potatoes in 2006-2017 were calculated, respectively. On this basis, according to the sum of products of weights and mean values, the execution effects of different grain crops are determined. It turns out that among the cereals, the minimum purchase price had the best execution effect on paddy, followed by wheat and finally maize. Moreover, among major categories of crops, cereals perform best, followed by beans and finally potatoes. Lastly, countermeasures are proposed for different regions, various categories of crops, and different crops of the same category.

Keywords: Analytic hierarchy process, grain yield, grain sown area, minimum grain purchase price.

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Authors: Gülfem I. Alptekin, S. Emre Alptekin

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The next generation wireless systems, especially the cognitive radio networks aim at utilizing network resources more efficiently. They share a wide range of available spectrum in an opportunistic manner. In this paper, we propose a quality management model for short-term sub-lease of unutilized spectrum bands to different service providers. We built our model on competitive secondary market architecture. To establish the necessary conditions for convergent behavior, we utilize techniques from game theory. Our proposed model is based on potential game approach that is suitable for systems with dynamic decision making. The Nash equilibrium point tells the spectrum holders the ideal price values where profit is maximized at the highest level of customer satisfaction. Our numerical results show that the price decisions of the network providers depend on the price and QoS of their own bands as well as the prices and QoS levels of their opponents- bands.

Keywords: cognitive radio networks, game theory, nextgeneration wireless networks, spectrum management.

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Authors: Robert Cep, Lenka Ocenasova, Jana Novakova, Karel Kouril, Jan Valicek, Branimir Barisic

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This paper deals with the problem of thermal and mechanical shocks, which rising during operation, mostly at interrupted cut. Here will be solved their impact on the cutting edge tool life, the impact of coating technology on resistance to shocks and experimental determination of tool life in heating flame. Resistance of removable cutting edges against thermal and mechanical shock is an important indicator of quality as well as its abrasion resistance. Breach of the edge or its crumble may occur due to cyclic loading. We can observe it not only during the interrupted cutting (milling, turning areas abandoned hole or slot), but also in continuous cutting. This is due to the volatility of cutting force on cutting. Frequency of the volatility in this case depends on the type of rising chips (chip size element). For difficult-to-machine materials such as austenitic steel particularly happened at higher cutting speeds for the localization of plastic deformation in the shear plane and for the inception of separate elements substantially continuous chips. This leads to variations of cutting forces substantially greater than for other types of steel.

Keywords: Cutting Tool Life, Heating, Mechanical Shocks, Thermal Shocks

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Authors: P. Kanakasabapathy, Radhika. S,

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In the competitive electricity market environment, the profit of the pumped-storage plant in the energy market can be maximized by operating it as a generator, when market clearing price is high and as a pump, to pump water from lower reservoir to upper reservoir, when the price is low. An optimal self-scheduling plan has been developed for a pumped-storage plant, carried out on weekly basis in order to maximize the profit of the plant, keeping into account of all the major uncertainties such as the sudden ancillary service delivery request and the price forecasting errors. For a pumped storage power plant to operate in a real time market successive self scheduling has to be done by considering the forecast of the day-ahead market and the modified reservoir storage due to the ancillary service request of the previous day. Sliding Window Technique has been used for successive self scheduling to ensure profit for the plant.

Keywords: Ancillary services, BPSO, Power System Economics (Electricity markets), Self-Scheduling, Sliding Window Technique.

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Authors: Abdulla Rahil, Rupert Gammon, Neil Brown

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The rapid growth of renewable energy sources and their integration into the grid have been motivated by the depletion of fossil fuels and environmental issues. Unfortunately, the grid is unable to cope with the predicted growth of renewable energy which would lead to its instability. To solve this problem, energy storage devices could be used. Electrolytic hydrogen production from an electrolyser is considered a promising option since it is a clean energy source (zero emissions). Choosing flexible operation of an electrolyser (producing hydrogen during the off-peak electricity period and stopping at other times) could bring about many benefits like reducing the cost of hydrogen and helping to balance the electric systems. This paper investigates the price of hydrogen during flexible operation compared with continuous operation, while serving the customer (hydrogen filling station) without interruption. The optimization algorithm is applied to investigate the hydrogen station in both cases (flexible and continuous operation). Three different scenarios are tested to see whether the off-peak electricity price could enhance the reduction of the hydrogen cost. These scenarios are: Standard tariff (1 tier system) during the day (assumed 12 p/kWh) while still satisfying the demand for hydrogen; using off-peak electricity at a lower price (assumed 5 p/kWh) and shutting down the electrolyser at other times; using lower price electricity at off-peak times and high price electricity at other times. This study looks at Derna city, which is located on the coast of the Mediterranean Sea (32° 46′ 0 N, 22° 38′ 0 E) with a high potential for wind resource. Hourly wind speed data which were collected over 24½ years from 1990 to 2014 were in addition to data on hourly radiation and hourly electricity demand collected over a one-year period, together with the petrol station data.

Keywords: Hydrogen filling station off-peak electricity, renewable energy, off-peak electricity, electrolytic hydrogen.

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Authors: Yan Wang, Yasushi Asami, Yukio Sadahiro

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In urban area, several landmarks may affect housing price and rents, and hedonic analysis should employ distance variables corresponding to each landmarks. Unfortunately, the effects of distances to landmarks on housing prices are generally not consistent with the true price. These distance variables may cause magnitude error in regression, pointing a problem of spatial multicollinearity. In this paper, we provided some approaches for getting the samples with less bias and method on locating the specific sampling area to avoid the multicollinerity problem in two specific landmarks case.

Keywords: Landmarks, hedonic regression, distance variables, collinearity, multicollinerity.

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Authors: Andrea Paltrinieri, Alberto Dreassi, Stefano Miani, Alex Sclip

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The financial crises caused a collapse in prices of most asset classes, raising the attention on alternative investments such as sukuk, a smaller, fast growing but often misunderstood market. We study diversification benefits of sukuk, their correlation with other asset classes and the effects of their inclusion in investment portfolios of institutional and retail investors, through a comprehensive comparison of their risk/return profiles during and after the financial crisis. We find a beneficial performance adjusted for the specific volatility together with a lower correlation especially during the financial crisis. The distribution of sukuk returns is positively skewed and leptokurtic, with a risk/return profile similarly to high yield bonds. Overall, our results suggest that sukuk present diversification opportunities, a significant volatility-adjusted performance and lower correlations especially during the financial crisis. Our findings are relevant for a number of institutional investors. Long term investors, such as life insurers would benefit from sukuk’s protective features during financial crisis yet keeping return and growth opportunities, whereas banks would gain due to their role of placers, advisors, market makers or underwriters.

Keywords: Asset allocation, asset performance, sukuk, zero beta asset.

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Authors: F. Ghaiti

Abstract:

In this paper, we present the 2006 survey study origin destination and price that we carried out during 2006 fall in the area in the Moroccan region of Rabat-Salé-Zemmour-Zaer. The survey concerns the people-s characteristics, their displacements behavior and the price that they will be able to pay for a tramway ticket. The main objective is to study a set of relative features to the households and to their displacement's habits and to their choices among public and privet transport modes. A comparison between this survey results and that of the 1996's is made. A pricing scheme is also given according to the tram capacity. (The Rabat-Salé tramway is under construction right now and it will be operational beginning 2010).

Keywords: Matrix O/D, Theory of pricing, Urban transport survey.

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Authors: Tru C. Le, France Cheong

Abstract:

Although the Vietnamese catfish farming has grown at very high rates in recent years, the industry has also faced many problems affecting its sustainability. This paper studies the perceptions of catfish farmers regarding risk and risk management strategies in their production activities. Specifically, the study aims to measure the consequences, likelihoods, and levels of risks as well as the efficacy of risk management in Vietnamese catfish farming. Data for the study were collected through a sample of 261 catfish farmers in the Mekong Delta, Vietnam using a questionnaire survey in 2008. Results show that, in general, price and production risks were perceived as the most important risks. Farm management and technical measures were perceived more effective than other kinds of risk management strategies in risk reduction. Although price risks were rated as important risks, price risk management strategies were not perceived as important measures for risk mitigation. The results of the study are discussed to provide implications for various industry stakeholders, including policy makers, processors, advisors, and developers of new risk management strategies.

Keywords: Aquaculture, catfish farming, sources of risk, riskmanagement, risk strategies, risk mitigation.

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Authors: Anyapak Prapannetivuth

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The purpose of this research is to investigate the marketing mix that is perceived to be important for the small sized hotels in Pattaya. This research provides insights through a review of the marketing activities performed by the small sized hotels. Nine owners & marketing manager of small sized hotels and resorts, all local Chonburi people, were selected for an in-depth interview. The research suggests that seven marketing mixes (e.g. Product, Price, Place, Promotion, People, Physical Evidence and Process) were commonly used by these hotels, however, three types – People, Price and Physical Evidence were considered most important by the owners.

Keywords: Marketing Mix, Marketing Tools, and Small Sized Hotels.

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Authors: Abdulrahman Alsuhaibani, Martin Macken

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FACTS devices have great influence on the grid stability and power markets price. Recently, there is intent to integrate a large scale of renewable energy sources to the power system which in turn pushes the power system to operate closer to the security limits. This paper discusses the power system stability and reliability improvement that could be achieved by using FACTS. There is a comparison between FACTS devices to evaluate their performance for different functions. A case study has also been made about its effect on reducing generation cost and minimizing transmission losses which have good impact on efficient and economic operation of electricity markets.

Keywords: FACTS, grid stability, spot price, Optimal Power Flow.

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Authors: Elijah Acquah-Andoh

Abstract:

The UK has had its fair share of the shale gas revolutionary waves blowing across the global oil and gas industry at present. Although, its exploitation is widely agreed to have been delayed, shale gas was looked upon favorably by the UK Parliament when they recognized it as genuine energy source and granted licenses to industry to search and extract the resource. This, although a significant progress by industry, there yet remains another test the UK fracking resource must pass in order to render shale gas extraction feasible – it must be economically extractible and sustainably so. Developing unconventional resources is much more expensive and risky, and for shale gas wells, producing in commercial volumes is conditional upon drilling horizontal wells and hydraulic fracturing, techniques which increase CAPEX. Meanwhile, investment in shale gas development projects is sensitive to gas price and technical and geological risks. Using a Two-Factor Model, the economics of the Bowland shale wells were analyzed and the operational conditions under which fracking is profitable in the UK was characterized. We find that there is a great degree of flexibility about Opex spending; hence Opex does not pose much threat to the fracking industry in the UK. However, we discover Bowland shale gas wells fail to add value at gas price of $8/ Mmbtu. A minimum gas price of $12/Mmbtu at Opex of no more than $2/ Mcf and no more than $14.95M Capex are required to create value within the present petroleum tax regime, in the UK fracking industry.

Keywords: Capex, economical, investment, profitability, shale gas development, sustainable.

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Authors: Shigeaki Sakurai, Youichi Kitahata, Ryohei Orihara

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This paper proposes a method that discovers sequential patterns corresponding to user-s interests from sequential data. This method expresses the interests as constraint patterns. The constraint patterns can define relationships among attributes of the items composing the data. The method recursively decomposes the constraint patterns into constraint subpatterns. The method evaluates the constraint subpatterns in order to efficiently discover sequential patterns satisfying the constraint patterns. Also, this paper applies the method to the sequential data composed of stock price indexes and verifies its effectiveness through comparing it with a method without using the constraint patterns.

Keywords: Sequential pattern mining, Constraint pattern, Attribute constraint, Stock price indexes

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Authors: Robest Flasza, Milan Rippel, Jan Solc

Abstract:

The main aim of this paper is to develop and calibrate an econometric model for modeling prices of long term electricity futures contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of German electricity market. The data sample contains several structural breaks which have to be taken into account for modeling. We model the data with an ARIMAX model which reveals high correlation between the price of electricity futures contracts and prices of LT futures contracts of fuels (namely coal, natural gas and crude oil). Besides this, also a share price index of representative electricity companies traded on Xetra, spread between 10Y and 1Y German bonds and exchange rate between EUR and USD appeared to have significant explanatory power over these futures contracts on EEX.

Keywords: electricity futures, EEX, ARIMAX, emissionallowances

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