Tesis sobre el tema "Commodity"
Siga este enlace para ver otros tipos de publicaciones sobre el tema: Commodity.
Crea una cita precisa en los estilos APA, MLA, Chicago, Harvard y otros
Consulte los 50 mejores tesis para su investigación sobre el tema "Commodity".
Junto a cada fuente en la lista de referencias hay un botón "Agregar a la bibliografía". Pulsa este botón, y generaremos automáticamente la referencia bibliográfica para la obra elegida en el estilo de cita que necesites: APA, MLA, Harvard, Vancouver, Chicago, etc.
También puede descargar el texto completo de la publicación académica en formato pdf y leer en línea su resumen siempre que esté disponible en los metadatos.
Explore tesis sobre una amplia variedad de disciplinas y organice su bibliografía correctamente.
1
Chari, Sarangan L. "Commodity swaps". Thesis, Massachusetts Institute of Technology, 1990. https://hdl.handle.net/1721.1/128794.
Texto completoResumen
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1990.Includes bibliographical references (leaves 59-60).
by Sarangan L. Chari.
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1990.
2
Maiden, Shelby. "The Commodity Club: Commodity Fetishism in Modern Art and Tattoos". Digital Commons @ East Tennessee State University, 2018. https://dc.etsu.edu/honors/467.
Texto completoResumen
The current culture of commodity fetishism that surrounds both modern art and tattoos are disproportionately a part of the perpetuation of an artificial sense of society and community. It promotes the notion that by simply by inking the deeper layers of their skin or by spending millions on a painting that somehow one becomes elevated and enters an elite space, or club, of people like them.
3
Kozlova. "INTERNATIONAL COMMODITY AUCTIONS". Thesis, Київ 2018, 2018. http://er.nau.edu.ua/handle/NAU/33770.
Texto completo
4
Isleimeyyeh, Mohammad. "Financialization of Commodity : the Role of Financial Investors in Commodity Markets". Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED068/document.
Texto completoResumen
Cette thèse étudie le rôle joué par les investisseurs financiers sur les marchés des matières premières, connu sous le nom de financiarisation des matières premières. Elle est constituée d’une partie théorique et d’une autre empirique. Les recherches menées visent à étudier la participation des investisseurs, détenant des portefeuilles d’actions, aux marchés à terme de matières premières, pour des raisons de diversification. De plus, cette diversification peut être obtenue en investissant dans un panier de produits de base. Le premier chapitre analyse théoriquement l’interaction entre le marché des matières premières et celui des actions. Le deuxième chapitre étudie empiriquement l’impact du choix des investisseurs financiers sur la prime de risque des contrats à terme sur les matières premières. Il s’intéresse principalement à trois produits de base : pétrole brut (WTI), fioul pour chauffage et gaz naturel. Le troisième chapitre étudie théoriquement l’intégration de deux marchés de matières premières. Nous clarifions certaines considérations concernant l’effet de la financiarisation sur lesquelles la littérature existante reste hésitante. Nous démontrons le pouvoir d’influence qu’exercent les investisseurs sur le marché des matières premières. Toutefois, ceci dépend de la nature de la position de l’investisseur sur le marché à terme. De manière générale, la financiarisation entraîne la hausse des prix spot, des prix des contrats à terme et des niveaux des stocks. Nous montrons aussi que les investisseurs représentent un canal de transmission entre les marchés de matières premières. Leurs effets étendus se limitent à la corrélation croisée des marchés de matières premières. Enfin, nous montrons que les rendements des marchés d’actions sont devenus un déterminant de la prime de risque des contrats à terme après la crise financière de 2008. Cet effet des rendements des actions est indifférent entre les maturités courtes et longuesThis dissertation studies the role of financial investors on commodity markets, which is referred as financialization of commodity. The content of the dissertation splits to theoretical and empirical work. The implemented researches are motivated by the participation of investors, who own stock portfolios, in commodity futures markets for diversification reasons. Furthermore, that diversification is likely achieved by investing in a basket of commodities. The first chapter investigates, theoretically, the interaction between commodity and stock markets. The second chapter studies, empirically, the impact of financial investors on the commodities futures risk premium. It focuses on studying three commodities: crude oil (WTI), heating oil and natural gas. The third chapter examines, theoretically, the integration between two commodity markets. We clarify the hesitating of the previous literature in finding evidences of the impact of financialization. We confirm the influential power of investment in commodity market. However, that depends on the financial investors positions taken in the futures market. Generally, financialization increases the spot prices, the futures prices and inventory levels. We find, also, that investors are a transmission channel between commodity markets. Their effects spread out restricted to the cross commodity markets correlation. Finally, stock market returns became effective determinant of the futures risk premium after 2008 financial crisis. Also, the effect of the stock returns indifferent between short and long maturities
5
Mealiff, Michael A. y Neal D. Wall. "Analyzing commodity council development and implementation: the Air Force Furnishings Commodity Council". Monterey, California. Naval Postgraduate School, 2011. http://hdl.handle.net/10945/10649.
Texto completoResumen
MBA Professional ReportThis study seeks to understand the factors that contributed to the successful development and implementation of the Air Force Furnishings Commodity Council (AFFCC). Specifically, we explore the challenges associated with supporting small business goals without sacrificing strategic outcomes, the difficulties of standing up a commodity council whose spend has no functional ownership or centralized funding, and the complexities of establishing accurate cost savings performance and validation metrics. We also explore the concept of maximizing the utilization of the AFFCC by Air Force organizations.
6
Shu, Haicheng. "Essays on commodity futures". Thesis, University of York, 2017. http://etheses.whiterose.ac.uk/18802/.
Texto completoResumen
This thesis intends to study the mechanism behind the commodity futures term structure, and the interaction between commodity markets, particularly the crude oil market, and the macroeconomic indicators in the real economy. The first part of thesis comprises a comprehensive review of the relevant literature, revealing that, although there has been extensive investigation into commodity prices and their term structure modelling, based on either ``pure macro'' or ``pure finance'' perspectives, the discussion of their joint application, remains very limited. The subsequent preliminary data analysis highlights some other concerns in respect to this subject area, such as the effect of the unit root, commonly observed in the commodity price related models, and its possible solution. On the basis of these observations, I propose two models to add to the existing literature. The second part of this thesis proposes a joint affine term structure model for multiple commodity futures contracts. In this model, the instantaneous short rate factor is a pure latent variable, and is jointly determined by several commodity markets. The empirical evidence, presented in this part, suggests that the path of this ``commodity market implied short rate factor'' is consistent with the policy rate. It reveals that the expectation in respect to the interest rate in the commodity market reflects and anticipates developments in monetary policy. The third part of this thesis presents a macro-finance model for the economy and the oil market, allowing us to study interactions between the convenience yield, the spot and futures markets, monetary policy and macroeconomic variables. I use the Kalman filter to represent latent variables that handle the effects of exogenous shocks to inflation and the oil price, and to deal with missing observations. Traditional models use latent variables, with little economic meaning, to explain commodity futures, while this model makes the effect of macroeconomic variables explicit. I find a significant interaction between the economy and the oil markets, including an important link in the monetary transmission mechanism, running from the policy interest rate to the convenience yield, oil price and hence inflation and policy transmission.
7
Tombari, Martina. "Arbitraggio statistico su commodity". Bachelor's thesis, Alma Mater Studiorum - Università di Bologna, 2013. http://amslaurea.unibo.it/5927/.
Texto completo
8
Erbil, Bahire. "Essays on commodity prices". Thesis, University of York, 2013. http://etheses.whiterose.ac.uk/4895/.
Texto completoResumen
This thesis is a collection of five empirical essays which examine microeconomic and macroeconomic aspects of high and volatile commodity prices. The first three chapters focus more on microeconomic issues of commodity prices. The second chapter examines the dynamic relationship between the commodity futures curve and inventory levels and finds a long-run cointegrating relationship between base metal spot prices, futures prices, inventories, and interest rates. This study presents some evidence that a temporary scarcity shock, modeled as a spot price shock which changes the slope of the futures curve, does cause a reaction in commodity markets. The third chapter investigates the gasoline price and income elasticities in the U.S. which confirms the structural change in the U.S. gasoline market where demand elasticity of gasoline price and income became more inelastic over the last decade. The fourth chapter examines the dynamic impact of demand and supply shocks in the U.S. and U.K. gasoline market where results show that the U.S. gasoline prices are impacted by the global demand shock. The last two chapters concentrate more on macroeconomic impacts of commodity prices on commodity exporting countries. The fifth chapter studies the fiscal behavior in developing oil-producing countries and examines whether it is procyclical. The results reveal that total expenditure is highly procyclical in the low and middle-income groups but countercyclical in high-income countries in the sample. The results confirm that political and institutional factors, as well as financing constraints, play a role in the cyclicality of fiscal policies in the oil producing developing countries. Finally, the sixth chapter examines the dynamic relationship between exchange rates and commodity prices to determine whether commodity prices Granger cause exchange rate or exchange rates Granger cause commodity prices for a group of advanced and developing commodity-exporting economies. The study finds stronger evidence of in-sample causality from exchange rates to commodity prices for most of the countries in the sample. One of the key findings is the consistent significant causality from exchange rates to commodities for Korea.
9
Bierbrauer, Michael. "Essays on commodity price risk /". Frankfurt a.M, 2008. http://opac.nebis.ch/cgi-bin/showAbstract.pl?sys=000253654.
Texto completo
10
Fabini, Claudia. "Statistical Analysis of Commodity Prices". St. Gallen, 2009. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04602710001/$FILE/04602710001.pdf.
Texto completo
11
Rubino, Nicola. "Three essays on commodity prices". Doctoral thesis, Universitat de Barcelona, 2020. http://hdl.handle.net/10803/669558.
Texto completoResumen
In the first part of our thesis, we present an analysis of a group of small commodity exporting countries' price differentials relative to the US dollar. Using unrestricted self exciting threshold autoregressive models (SETAR). We model and evaluate sixteen national consumers' price index (CPI) differentials relative to the US dollar CPI. Out-of-sample forecast accuracy is evaluated through calculation of mean absolute errors measures on the basis of monthly rolling window and recursive forecasts and extended to three additional models, namely a logistic smooth transition regression (LSTAR), an additive non-linear autoregressive model (AAR) and a simple neural network model (NNET). Our preliminary results confirm presence of some form of non-linearity in the majority of the countries analyzed, generally favoring the Heckscher commodity points theory.
Secondly, we estimate a behavioral real exchange rate model, contributing to the literature on the exchange rates through the adoption of a newly built commodity price index. Our results show that past literature do appear to have overestimated the impact of the commodities' terms of trade on the real exchange rate. Panel Granger causality testing leads us to conclude that that the long run relationship between prices and the exchange rate in commodity exporting countries is substantially still present, although no country group would clearly present contemporaneously a significant (and meaningful) short and long run causation scheme.
Finally, we study the impact of commodity price volatility on the real exchange rate short term convergence in an error correction background in a panel of developed and developing countries. Through a logistic smooth transition regression, different measures of volatility are taken into account to capture arbitrage opportunities and the alternating regimes of convergence of the exchange rate to its equilibrium, proving that the commodity points theory of Heckscher represents a valid way of looking at non-linear convergence of the exchange rate to its equilibrium path.
12
Rogstadius, Jakob. "Visualizing the Ethiopian Commodity Market". Thesis, Linköping University, Department of Science and Technology, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-19564.
Texto completoResumen
The Ethiopia Commodity Exchange (ECX), like many other data intensive organizations, is having difficulties making full use of the vast amounts of data that it collects. This MSc thesis identifies areas within the organization where concepts from the academic fields of information visualization and visual analytics can be applied to address this issue.Software solutions are designed and implemented in two areas with the purpose of evaluating the approach and to demonstrate to potential users, developers and managers what can be achieved using this method. A number of presentation methods are proposed for the ECX website, which previously contained no graphing functionality for market data, to make it easier for users to find trends, patterns and outliers in prices and trade volumes of commodieties traded at the exchange. A software application is also developed to support the ECX market surveillance team by drastically improving its capabilities of investigating complex trader relationships.Finally, as ECX lacked previous experiences with visualization, one software developer was trained in computer graphics and involved in the work, to enable continued maintenance and future development of new visualization solutions within the organization.
13
Morris, Jeremy. "Understanding the digital music commodity". Thesis, McGill University, 2010. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=95108.
Texto completoResumen
This dissertation concentrates on the changing form of the music commodity over the last two decades. Specifically, it traces the transition from music on compact discs to music as a digital file on computers/mobile devices and the economic, industrial, aesthetic and cultural consequences this shift has for how we produce, present, and consume music. As computers became viable sources for the playback of popular music in the 1980s and 1990s, the roots of the digital music commodity took hold. Stripped of many of their previous attributes (i.e. album art, compressed sound, packaging, etc.), recordings as digital files were initially decontextualized commodities. On computers, music underwent an interface-lift, gradually getting redressed with new features (i.e. metadata, interfaces, digital packaging). This dissertation focuses on five technologies Winamp, Metadata, Napster, iTunes and Cloud Computing that were key to rehabilitating the music commodity in its digital environments. These technologies and the cultural practices that accompanied them gave music new paratexts and micromaterials that ultimately constituted the digital music commodity. Through case studies, generative archival research, and descriptive analysis, this study makes methodological and intellectual contributions to the field of communication and technology studies as well as to studies of new media and the cultural industries. By teasing out the differences between the commodity aspects of the CD and the digital file, this project offers fresh perspectives on materiality, aesthetics, labour and ownership in an era of digital goods. Digital music's fluid and ubiquitous nature seems to subvert those who seek to profit from it. But while digital music offers the potential to disrupt the traditional ways of doing business in music, it also affords new forms of control and power. This has not stopped artists, hobbyists and users from carrying out creative experiments that call into quesCette thèse de doctorat examine la transformation du produit musical au cours des deux dernières décennies. En particulier, elle illustre la transition de la musique inscrite sur disque compact en fichier numérique disponible sur ordinateurs ou appareils portables et s'intéresse aux conséquences économiques, industrielles, esthétiques et culturelles que cette transition a provoquées en regard aux manières avec lesquelles on produit, présente, et consomme la musique. Dès lors que les ordinateurs ont été en mesure de jouer de la musique populaire au cours des années 1980 et 1990, les bases d'un bien musical numérique ont pris racine. Dépourvue de nombre de ses anciennes caractéristiques (ex. les illustrations, l'information contextuelle, l'emballage, etc.), la musique de format de fichier numérique était, au départ, un bien décontextualisé. La musique présentée sur ordinateur est passée au travers un processus de mise à jour de l'interface marqué par l'insertion de nouvelles caractéristiques (ex. les métadonnées, les interfaces, « l'emballage » numérique). Cette thèse de doctorat focalise sur cinq technologies Winamp, les métadonnées, Napster, iTunes et l'infonuagique ayant joué un rôle central dans la réadaptation du bien musical dans son environnement numérique. Par l'entremise d'études de cas, de recherche en archive et d'a nalyses descriptives, cette étude propose une contribution méthodologique et intellectuelle aux domaines de la communication et de la technologie ainsi qu'aux études sur les nouveaux médias et les industries culturelles. En cernant les différences entre les aspects du disque compact et du fichier numérique les caractérisant comme biens, ce projet offre une nouvelle perspective sur la matérialité, l'esthétique, la main d'uvre et la propriété à l'ère des biens numériques. Bien que la musique numérique ait le potentiel de bouleverser les modèles d'affaires de l'industrie musicale
14
Koettering, Andreas Hermann. "Futures trading on commodity markets". Thesis, University of Oxford, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.306271.
Texto completo
15
Gatti, R. "Multi-commodity search : three essays". Thesis, University of Cambridge, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.599337.
Texto completoResumen
The main purpose of the thesis is to extend the search literature by considering consumers who search for 'bundles' of commodities, rather than just a single good. It is shown that many of the results standard in the single commodity analysis, such as reservation prices and monopoly pricing, do not survive the transition to multi-commodity analysis. The thesis consists of three separate, but inter-related essays. Brief outlines of each essay follows. "Multi-Commodity Consumer Search." This paper considers the optimal strategy for a consumer who searches amongst firms for prices which will maximise an indirect utility function. The optimal search strategy cannot in general be represented by a 'reservation boundary', the multi-commodity extension of the 'reservation price'. Necessary and sufficient conditions are obtained for the optimal search strategy to be represented by a 'reservation boundary', and it is shown that an additively separable indirect utility function will satisfy these conditions. "Existence of Nash Equilibrium in Games with Discontinuous Payoffs." This paper extends the work by Dasgupta & Maskin and Simon to obtain a more general proof for the existence of mixed strategy Nash equilibria in games with discontinuous payoff functions. Following the method of analysis developed by Dasgupta & Maskin, I consider a sequence of finite games which converge to the discontinuous game in the limit. Sufficient conditions are obtained for the limit of a sequence of Nash equilibria from the finite games to be a Nash equilibrium of the limit game. The resulting conditions are not only more general than those from previous analyses but in many cases easier to apply. "Equilibrium Price Dispersion with Multi-Commodity Search." In this paper I develop a model of multi-commodity search where homogeneous consumers search sequentially, and with strictly positive search costs, to maximise an additively separable indirect utility function. Firms sell only one type of commodity, but within industries firms are identical and commodities are homogeneous.
16
Ganepola, Chanaka N. "Three essays on commodity markets". Thesis, University of Manchester, 2018. https://www.research.manchester.ac.uk/portal/en/theses/three-essays-on-commodity-markets(0769e13c-59d8-46fb-a196-1ec9a7c18883).html.
Texto completoResumen
This thesis consists of three papers that analyze the effects of crude oil prices on macroeconomic variables, stock markets, and the behavior of hedgers and speculators when they trade illiquid commodities. The first paper examines the impact of oil price shocks on selected macroeconomic variables. This study is conducted across a sample of twelve countries that include developed countries, developing countries, oil producing countries and oil importing countries. Further, the study focuses on the behavior of oil production and oil imports/exports following these oil price shocks. Our findings suggest that macroeconomic variables of oil producing countries are more resilient to oil supply shocks compared to countries that largely depend on oil imports. The stimulus on industrial production following aggregate demand shocks of countries that are less dependent on imported crude oil decays rapidly, in comparison to the stimulus on industrial production of countries that are largely dependent on imported crude oil. The second paper analyses the impact of oil prices on stock market returns. This study uses present value models to survey the effects of oil prices on stock returns through cash flow and discount rate channels. This paper also looks into the effects of oil prices on cash flow and discount rate betas of the stock market and seventeen industries. We find that using oil market associated variables in the absence of a price-based variable may lead to invalid VAR-based stock return news decomposition to cash flow and discount rate news components. We find evidence that oil market associated variables improve the predictability of real stock returns, especially the recent period of 2000:01-2015:12. These predictor variables also affect both market cash flow and discount rate betas as well as betas of industries such as oil, mining and utilities. The third paper examines the behavior of hedgers and speculators in commodities market when they trade illiquid commodities. This study also points out that using the Amihud measure (Amihud (2002)) as the measure of illiquidity in commodity market could be problematic due to its size bias. In order to handle this potential issue, we decompose the Amihud measure into turnover based Amihud measure and market size following Brennan, Huh and Subrahmanyam (2013). We find that speculators (hedgers) pay an additional premium to buy liquidity (insurance) in illiquid commodities. Further, the paper reports clear evidence of asymmetries of illiquidity effects in bullish and bearish market days.
17
West, Hugh. "Technology strategy in commodity industries". Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/9822.
Texto completo
18
Chong, Wenzheng y Yuwen Lai. "Roadmap for commodity sourcing strategy". Thesis, Massachusetts Institute of Technology, 2015. http://hdl.handle.net/1721.1/100079.
Texto completoResumen
Thesis: M. Eng. in Logistics, Massachusetts Institute of Technology, Engineering Systems Division, 2015.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 70-71).
The procurement and sourcing group of OG company was tasked to systematically forecast, design and develop the future state of the company's next generation supply base. The main objective is to anticipate the preferred locations to source commodities such as machine parts from in the near future. In response to that objective, the purpose of this thesis is to identify the relevant group decision drivers that consist of political, economic, social, technological, environmental, legal and business internal factors that the procurement and sourcing group are evaluating. These drivers were then utilized to develop a tool that is able to quantify, balance and combine the specified drivers so as to determine the overall alignment to the company's procurement and sourcing strategy. This tool also seeks to predict the near-term global competitiveness of oilfield services equipment manufacturing by country. Through on-site interviews, literature review, public data collection and statistical analysis, we were able to identify and specify top drivers that were most relevant to the decisionmaking process of managers in procurement and sourcing group for an oil & gas company. Based on the specified drivers, our analysis identified the top ranked countries using a hierarchical analytical process which was then used to validate the company's current sourcing strategy. Building on this analysis, we propose a framework that determines OG company's next generation supply base. The framework proposed can serve as an organizational development approach and decision-making tool which is useful in uncovering the underlying motivations of the procurement and sourcing managers. The tool also provides qualitative recommendations through a quantitative stepwise approach. The methodology of identifying and quantifying drivers as described in our thesis is especially relevant to industrial manufacturing companies with a global manufacturing footprint. We conclude with the limitations of the framework and potential avenues for future research.
by Wenzheng Chong and Yuwen Lai.
M. Eng. in Logistics
19
Costan, Victor Marius. "A commodity trusted computing module". Thesis, Massachusetts Institute of Technology, 2008. http://hdl.handle.net/1721.1/45988.
Texto completoResumen
Thesis (M. Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2008.Includes bibliographical references (p. 107-110).
The Trusted Execution Module (TEM) is a high-level specification for a commodity chip that can execute user-supplied procedures in a trusted environment. The TEM draws inspiration from the Trusted Platform Module (TPM), the first security-related hardware that has gained massive adoption in the PC market. However, the TEM is capable of securely executing procedures expressing arbitrary computation, originating from a potentially untrusted party, whereas the TPM is limited to a set of cryptographic functions that is fixed at design-time. Despite its greater flexibility, the TEM design was implemented on the same inexpensive off-the-shelf hardware as the TPM, and it does not require any export-restricted technology. Furthermore, the TEM removes the expensive requirement of a secure binding to it host computer. This makes TEM a great candidate for the next-generation TPM. However, the TEM's guarantees of secure execution enable exciting applications that were far beyond the reach of TPM-powered systems. The applications include but are not limited to mobile agents, peer-to-peer multiplayer online games, and anonymous offline payments.
by Victor Marius Costan.
M.Eng.
20
Fall, Moctar A. "Commodity bonds : a financing alternative". Thesis, Massachusetts Institute of Technology, 1986. http://hdl.handle.net/1721.1/14994.
Texto completoResumen
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1986.MICROFICHE COPY AVAILABLE IN ARCHIVES AND DEWEY.
Bibliography: leaves 93-95.
by Moctar A. Fall.
M.S.
21
Ross, Russell Glen. "Cluster storage for commodity computation". Thesis, University of Cambridge, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.612979.
Texto completo
22
Cristini, Annalisa. "OECD activity and commodity prices". Thesis, University of Oxford, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.670315.
Texto completo
23
Wang, Zaizhi. "Commodity Derivatives : Modeling and Pricing". Paris, ENMP, 2011. http://www.theses.fr/2011ENMP0088.
Texto completoResumen
Les prix des matières premières ont augmenté à un rythme sans précédent au cours des dernières années rendant les dérivés sur matières premières de plus en plus populaires dans de nombreux secteurs comme l'énergie, les métaux et les produits agricoles. Le développement rapide du marché des produits dérivés sur matières premières a aussi induit une recherche vers toujours plus de précision et cohérence dans la modélisation et l'évaluation de produits dérivés des matières premières. Les points les plus importants dans la modélisation des matières premières sont la bonne représentation du rendement d'opportunité appelé communément "convenience yield ", la prise en compte de la saisonnalité et la capture du phénomène de retour à la moyenne pour les prix des matières premières. Il est à noter que le rendement d'opportunité (convenience yield ) peut être induit du prix des la courbe des forwards et être simplement ajouté au terme d'évolution(terme de drift) dans les modèles canoniques, comme le modèle de Black Scholes, le modèle à volatilité locale et les modèles à volatilité stochastique. An delà de ces modèles, d'autres modèles ont été conçus pour modéliser spécifiquement l'évolution du convenience yield, la saisonnalité ou le phénomène de retour à la moyenne des prix. Il s'agit par exemple du modèle de Gibson Schwartz qui suppose que le terme de convenience yield est aléatoire. Cette approche prend donc en compte l'évolution non déterministe du convenience yield et l'interprète comme un paramètre critique du modèle. Ceci explique sa grande popularité et son adoption important par les praticiens du marché. Un autre modèle fréquemment utilisé est le modèle de Gabillon. Celui se concentre sur la saisonnalité des prix et l'effet de retour a la moyenne, en modélisant un prix à long terme stochastique corrélé aux prix du spot. Dans cette thèse, nous prouvons que ces deux approches ne sont en fait qu'une et qu'il y a une relation d'équivalence entre le modèle de Gibson Schwartz et le modèle de Gabillon. Reposant sur le principe de diffusion équivalente introduite par Gyöngy, nous montrons que le modèle de Gibson Schwartz et le modèle de Gabillon peuvent se réduire à un modèle à un facteur dont la distribution marginale peut être explicitement calculée sous certaines conditions. Ceci nous permet en particulier de trouver des formules analytiques pour l'ensemble des options vanilles. Certaines de ces formules sont nouvelles à notre connaissance et d'autres confirment des résultats antérieurs. Dans un second temps, nous nous intéressons à la bonne modélisation de la dynamique de la volatilité des marchés des matières premières. En effet, les marchés de matières premières sont caractérisés par des volatilités très fluctuantes et importante. Alors que les effets sur la saisonnalité, la modèlisation du convenience yield et l'effet de retour à la moyenne des prix ont été fortement soulignés dans la littérature, la bonne modélisation de la dynamique de la volatilité a souvent été oubliée. La famille de modèle à volatilité stochastique est introduite pour renforcer la dynamique de la volatilité, capturant le phénomène de smile de la surface de volatilité grâce à un processus stochastique pour la volatilité. C'est une caractéristique très importante pour les dérivés à maturité longue où l'effet volatilité stochastique conduit à des résultats très différents de ceux obtenus avec des modèles plus conventionnels. Les modèles à volatilité stochastique permettent aussi de prendre en compte le phénomène de corrélation négative entre le sous-jacent et la volatilité en introduisant de manière explicite ce paramètre de corrélation. Les modèles à volatilité stochastique les plus populaires comprennent le modèle d'Heston, le modèle de Piterbarg, le modèle de SABR, etc. Dans cette thèse, nous étendons les idées de Piterbarg à la famille des modèles à volatilité stochastique en rendant le concept plus général. Nous montrons en particulier comment introduire des paramètres dépendant du temps dans les modèles à volatilité stochastique et explicitons différentes formules de calcul explicite du prix d'options vanilles, permettant ainsi une calibration des paramètres du modèles extrêmement efficaceCommodity prices have been rising at an unprecedented pace over the last years making commodity derivatives more and more popular in many sectors like energy, metals and agricultural products. The quick development of commodity market as well as commodity derivative market results in a continuously uprising demand of accuracy and consistency in commodity derivative modeling and pricing. The specification of commodity modeling is often reduced to an appropriate representation of convenience yield, intrinsic seasonality and mean reversion of commodity price. As a matter of fact, convenience yield can be extracted from forward strip curve and then be added as a drift term into pricing models such as Black Scholes model, local volatility model and stochastic volatility model. Besides those common models, some specific commodity models specially emphasize on the importance of convenience yield, seasonality or mean reversion feature. By giving the stochasticity to convenience yield, Gibson Schwartz model interprets the term structure of convenience yield directly in its model parameters, which makes the model extremely popular amongst researchers and market practitioners in commodity pricing. Gabillon model, in the other hand, focuses on the feature of seasonality and mean reversion, adding a stochastic long term price to correlate spot price. In this thesis, we prove that there is mathematical equivalence relation between Gibson Schwartz model and Gabillon model. Moreover, inspired by the idea of Gyöngy, we show that Gibson Schwartz model and Gabillon model can reduce to one-factor model with explicitly calculated marginal distribution under certain conditions, which contributes to find the analytic formulas for forward and vanilla options. Some of these formulas are new to our knowledge and other formulas confirm with the earlier results of other researchers. Indeed convenience yield, seasonality and mean reversion play a very important role, but for accurate pricing, hedging and risk management, it is also critical to have a good modeling of the dynamics of volatility in commodity markets as this market has very fluctuating volatility dynamics. While the formers (seasonality, mean reversion and convenience yield) have been highly emphasized in the literature on commodity derivatives pricing, the latter (the dynamics of the volatility) has often been forgotten. The family of stochastic volatility model is introduced to strengthen the dynamics of the volatility, capturing the dynamic smile of volatility surface thanks to a stochastic process on volatility itself. It is a very important characteristic for pricing derivatives of long maturity. Stochastic volatility model also corrects the problem of opposite underlying-volatility correlation against market data in many other models by introducing correlation parameter explicitly. The most popular stochastic volatility models include Heston model, Piterbarg model, SABR model, etc. As pointed out by Piterbarg, the need of time-dependent parameters in stochastic volatility models is real and serious. It is because in one hand stochastic volatility models with constant parameters are generally incapable of fitting market prices across option expiries, and in the other hand exotics do not only depend on the distribution of the underlying at the expiry, but on its dynamics through all time. This contradiction implies the necessity of time-dependent parameters. In this thesis, we extend Piterbarg's idea to the whole family of stochastic volatility model, making all the stochastic volatility models having time-dependent parameters and show various formulas for vanilla option price by employing various techniques such as characteristic function, Fourier transform, small error perturbation, parameter averaging, etc
24
Pererva, P. G. y Darina Sergiivna Maistro. "Intellectual property as a commodity". Thesis, Кременчуцький національний університет імені Михайла Остроградського, 2016. http://repository.kpi.kharkov.ua/handle/KhPI-Press/26287.
Texto completo
25
Pearson, Matilda. "Migrant Worker: Commodity or Human?" Thesis, Malmö högskola, Fakulteten för kultur och samhälle (KS), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:mau:diva-21359.
Texto completoResumen
This paper uses peace and conflict theory to analyse the migrant worker issue in the Gulf States, focusing on Indian construction workers in the emirate of Dubai. Peace and conflict theory is found to provide a missing perspective on the question, which is best understood in an interdisciplinary frame-work combined with for example migration and development theory. Migrant workers’ vulnerability in the global free market is described and the modern economic history of the Gulf region is discussed to explain today’s unique labour situation. Different regional and local parties to the conflict are identified to distinguish guiding interests and their impact on the conflict. Put in an international perspective, the same conflict mechanisms found in the Gulf are detected globally. They reveal widespread practises of structural and cultural violence that can only be contested by a vibrant global civil society guided by truly cosmopolitan values.
26
Fan, Hua (John). "Momentum Investing in Commodity Futures". Thesis, Griffith University, 2014. http://hdl.handle.net/10072/365723.
Texto completoResumen
Momentum, the tendency of recent winner stocks to continue to rise and recent loser stocks to continue to fall, is one of the most puzzling asset pricing anomalies in modern finance. The recent boom in commodity futures investments has sparked renewed interest from both academia and industry in momentum investment strategies. This thesis proposes and examines the performance of three novel momentum-based active investment strategies in commodity futures. Conventional momentum strategies rely on 12 months of past returns for the formation of investment portfolios. First, this thesis proposes a more granular strategy termed 'microscopic momentum‘, which decomposes conventional momentum into single-month momentum components. The novel decomposition reveals that a microscopic momentum strategy generates persistent economic profits even after controlling for sector-specific or month-of-year commodity seasonality effects. Furthermore, we find that all 12 months of past returns play an important role in determining the conventional momentum profits. Second, for the first time in the literature, we document a consistent reversal pattern in commodity momentum profits. Combining the observed reversal pattern with the momentum signal, the strategy in the second study significantly outperforms conventional strategies. The profitability of the proposed strategy cannot be explained by standard asset pricing risk factors, market volatility, investors‘ sentiment, data- mining or transaction costs, but appears to be related to global funding liquidity. Furthermore, the proposed investment strategy in commodity futures may be employed as a portfolio diversification tool.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Griffith Business School
Griffith Business School
Full Text
27
Zhang, Tingxi. "Essays on Commodity Futures Investments". Thesis, Griffith University, 2021. http://hdl.handle.net/10072/409662.
Texto completoResumen
The commodity futures literature has advanced significantly in the last decades due to its growing importance in financial economics and the investment management industry. Commodities are important inputs of production in the modern economy, and their respective futures markets possess unique characteristics in a diversified investment portfolio. This thesis is devoted to investigating systematic strategies in global commodity futures markets.
First, this thesis employs the Nelson-Siegel framework to model commodity futures curves. Exploiting the information embedded in the level, slope, and curvature parameters, this thesis develops novel investment strategies that assume short-term continuation of recent parallel, twist or butterfly movements of futures curves. The proposed strategies based on changes in the slope and curvature generate statistically significant profits uncorrelated to previously documented commodity factors. The information content embedded in the curvature parameter appears to be sensitive to market frictions, but the strategy based on the slope parameter remains profitable net of transaction costs and is valuable as an investment overlay to traditional commodity portfolios.
Second, this thesis documents a weekly rebalancing time-series momentum effect in commodity futures, which is statistically significant and has been adversely affected by momentum turning points in recent years. A momentum turning point is defined as the disagreement between long-term and short-term trends. The weekly time-series momentum effect represents a distinct investment opportunity relative to monthly timeseries and cross-sectional momentum. Moreover, we find that momentum turning points contain valuable information that can be utilised to improve time-series momentum by dynamically combining short-term and long-term signals. The enhanced performance is robust to transaction costs and day-of-week checks.
Third, we examine the investability of commodity risk premia in China. The standard momentum, carry, and basis-momentum factors previously documented are not investable due to the unique liquidity patterns along the futures curves in China. However, dynamic rolling and strategic portfolio weights significantly boost the investment capacity of such premia without compromising its statistical and economic significance. Meanwhile, style integration delivers enhanced performance and improved opportunity sets. Furthermore, the observed investable premia offer portfolio diversification for investors. Finally, investable commodity premia in China reveal strong predictive ability with global real economic growth.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Dept Account,Finance & Econ
Griffith Business School
Full Text
28
Sanogo, Al Hassan <1993>. "Commodity market and adlatility contagion". Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/10814.
Texto completo
29
Powell, Andrew. "The evaluation of commodity options and the management of commodity related risks for developing countries". Thesis, University of Oxford, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.357291.
Texto completo
30
HAMPSHIRE, BRUNO NIEMEYER. "THE EFFECT OF COMMODITY PRICES ON THE REAL EXCHANGE RATE FOR COMMODITY EXPORTERS: AN EMPIRICAL ANALYSIS". PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=12388@1.
Texto completoResumen
A presente dissertação busca estudar empiricamente a
relação entre preço de
commodities e taxa de câmbio real para países que possuem
alta participação
destes produtos em sua pauta de exportação. De fato, os
países que estamos
estudando (Austrália, Canadá, Nova Zelândia e Brasil)
possuem tais
características e, desta forma, preços de commodities devem
ser determinantes
fundamentais de seus termos de troca, tornando-se
importantes na determinação
de suas taxas de câmbio real de equilíbrio. Compreendemos
que o trato cuidadoso
das tecnicalidades relacionadas a este estudo é de
fundamental importância para
uma estimação consistente dos coeficientes de interesse,
principalmente quando
levamos em consideração as diversas divergências existentes
na literatura quanto
à qual o mecanismo gerador de dados das séries de preço de
commodities e de
taxa de câmbio real e quanto à endogeneidade da variável
índice de preço de
commodities na determinação da taxa de câmbio real. Para
contornar tal problema
partiremos de diferentes hipóteses para estas questões e
utilizaremos técnicas
econométricas apropriadas para cada hipótese, buscando
obter resultados robustos
a estas divergências.This dissertation intends to study the relationship between commodity prices and real effective exchange rate for countries which exports portfolios accounts on a large share of commodity related products. In fact, all the four countries we study (Australia, Canada, New Zealand and Brazil) depends heavily on commodity exports, and therefore commodity prices might be important determinant of their terms of trade, becoming fundamental variable to the real exchange rate determination. It is also of great importance the careful treatment of the technical issues related to the study, so as to provide consistent estimates of the coefficients of interest, mainly when we consider all the divergence related to what the true data generating process of the series and the endogeneity of the commodity price index. To solve this issue we follow considering different assumptions, and for each we use appropriate econometric technical and then compare the results.
31
Natanelov, Valeri. "Commodity futures markets: dynamic interrelationships between financial asset markets, energy markets and traditional agricultural commodity markets". Thesis, Ghent University, 2014. https://eprints.qut.edu.au/129692/1/129692.pdf.
Texto completoResumen
This doctoral thesis discerns the complicated dynamic interrelationships between financial asset markets, energy markets and traditional agricultural commodity markets. Recently, various factors have dramatically changed the economic relationships between these important markets which contributed to greater price volatility and complex price transmissions across these markets. Via the use of cointegration methodologies on stock and futures markets four price relationships have been scrutinized with respect to agricultural commodities and crude oil markets; crude oil and BRIC stock markets; crude oil, corn and ethanol markets; and Indian government sugar policy and global sugar and commodity futures indices. Crude oil futures are shown to be affecting mature commodity futures markets. Recently, policies encouraging biofuel production have changed the mechanisms of influence of crude oil futures prices on several agricultural commodity markets. It has been shown that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Specifically, biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold. Consequently, the impact of crude oil price movements on heterogeneous BRIC economies is analyzed. Crude oil futures prices are found to have an impact on markets in two distinct manners. The first being the traditional impact of energy, being one of the main production factors, on the economies.
In parallel, the information component of crude oil futures price fluctuations has an additional impact on the markets. In case of the complex relationships between crude oil, corn and ethanol futures markets, a strong relationship between crude oil and corn markets on one side, and crude oil and ethanol on the other has been found. In addition, corn futures market became more sensitive to volatility due to ethanol demand-sinks. Overall, the markets exhibit great dependency on information shifts. Consequent analysis of the Indian and global sugar and commodity indices futures offers additional insight on the bigger picture. The heterogeneous and complex Indian sugar policies, in combination of limited access and knowledge of futures markets, cause decoupling between the Indian sugar futures prices and the regional prices. Indian sugar futures markets are led by the information from global commodity markets. This division in price formation of Indian regional (spot) sugar markets and the futures markets indicates a distinct difference in the underlying price formation process. The main contributions of this research are:
(i) novel use of threshold cointegration techniques to model policy interventions;
(ii) inductive analytic design incorporates policy and regime changes that could affect price transmission;
(iii) policy price interventions cause impaired functioning of the futures markets, and;
(iv) agricultural commodities and commodity markets in general are more than ever responsive to information flows and experience price and volatility spillover effects among themselves.
Finally, it is hinted to reconsider futures markets theory, from the perspective that the decision-making process in futures markets is based on a priori situation or information.
32
Stieger, Remo. "Analysis of commodity based structured products". St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02604528002/$FILE/02604528002.pdf.
Texto completo
33
Bozovic, Milos. "Risks in Commodity and Currency Markets". Doctoral thesis, Universitat Pompeu Fabra, 2009. http://hdl.handle.net/10803/7388.
Texto completoResumen
This thesis analyzes market risk factors in commodity and currency markets. It focuses on the impact of extreme events on the prices of financial products traded in these markets, and on the overall market risk faced by the investors. The first chapter develops a simple two-factor jump-diffusion model for valuation of contingent claims on commodities in order to investigate the pricing implications of shocks that are exogenous to this market. The second chapter analyzes the nature and pricing implications of the abrupt changes in exchange rates, as well as the ability of these changes to explain the shapes of option-implied volatility "smiles". Finally, the third chapter employs the notion that key results of the univariate extreme value theory can be applied separately to the principal components of ARMA-GARCH residuals of a multivariate return series. The proposed approach yields more precise Value at Risk forecasts than conventional multivariate methods, while maintaining the same efficiency.El objetivo de esta tesis es analizar los factores del riesgo del mercado de las materias primas y las divisas. Está centrada en el impacto de los eventos extremos tanto en los precios de los productos financieros como en el riesgo total de mercado al cual se enfrentan los inversores. En el primer capítulo se introduce un modelo simple de difusión y saltos (jump-diffusion) con dos factores para la valuación de activos contingentes sobre las materias primas, con el objetivo de investigar las implicaciones de shocks en los precios que son exógenos a este mercado. En el segundo capítulo se analiza la naturaleza e implicaciones para la valuación de los saltos en los tipos de cambio, así como la capacidad de éstos para explicar las formas de sonrisa en la volatilidad implicada. Por último, en el tercer capítulo se utiliza la idea de que los resultados principales de la Teoria de Valores Extremos univariada se pueden aplicar por separado a los componentes principales de los residuos de un modelo ARMA-GARCH de series multivariadas de retorno. El enfoque propuesto produce pronósticos de Value at Risk más precisos que los convencionales métodos multivariados, manteniendo la misma eficiencia.
34
Bekele, Israel. "Mobile Apps for Ethiopian Commodity Exchange". Thesis, Mittuniversitetet, Avdelningen för informations- och kommunikationssystem, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:miun:diva-27680.
Texto completoResumen
In the African continent the mobile phones are already contributing theirshare in the development of the continent. Specially in Ethiopia, in onedirection, the users of mobile phones are increasing each year and mostimportantly the small scale farmers who contribute 85% of the country’spopulation are using these devices to trade their surplus products in anefficient manner and better deal thus earn good profit. In anotherdirection, Ethiopia has set up its own Commodity Exchange in 2008 sothat farmers and traders could buy and sell commodities in an efficientand transparent manner. Taking into consideration both of thesedevelopments carried out to encourage smooth trade and modernmarking strategies, this project has a target to come up with mobileapplications for the Android mobile platform and iPhone users in the firstphase of implementation. Accordingly, the app developed will help to getreal time Ethiopia commodity Exchange (ECX) market prices, commodityrelated headlines, weather forecasts and other relevant news. It willcontribute to standardize the way ECX is performing to link up differentparties specially farmers who make up majority of the country’spopulation and support the economy of the country in a great deal withthe traders. Although the mobile app developed does not have an aim tobring in significant change into the existing system at the currentpenetration of Smartphone in the country, it helps to disseminateinformation in standardized manner as in big commodity exchanges andbesides, we believe in the future it will be the convenient and widely usedmeans to reach the traders with necessary information.
35
Brady, Anita y n/a. "Constituting queer : performativity and commodity culture". University of Otago. Department of Communication Studies, 2008. http://adt.otago.ac.nz./public/adt-NZDU20080429.113540.
Texto completoResumen
This thesis foregrounds a question unanswered in queer theory�s account of the ongoing reproduction of heteronormativity. In Gender Trouble, Judith Butler asks "From where does the performative draw its force, and what happens to the performative whose task it is to undo" that discursively legitimated enacting? (Bodies That Matter 224-5). While queer theory offers a compelling account of how the normative fictions of identity privilege heterosexuality, the first part of Butler�s question remains relatively under-theorised. This thesis addresses this gap and argues that to understand the source of performative authority, we must address the intimate relationship between gay identity and commodity culture. Thus, I investigate the connections between the marketing industry, an historically politicised gay press, and a lesbian and gay politics imagined through the paradigm of identity, and argue that they combine in a citational feedback loop to performatively produce gay identity as the "ideal consumer." I then undertake case studies of two media texts, the website Gay.com and the television series Queer Eye for the Straight Guy, in order to demonstrate how the white, male, middle-class gay aesthete functions hegemonically as gayness in culture.
My analysis then turns to the second part of Butler�s question -"what happens to the performative whose task it is to undo?"- and examines the consequences of the absence of an analysis of commodity culture for the notion of queer. To that end, I suggest that alongside their repetitions of gay normativity, both Gay.com and Queer Eye perform queer possibility. However, the case studies I undertake, along with the critical reception of Queer Eye and the internet technologies behind Gay.com, suggests that these media texts fall short of the promise of queerness. This apparent failure to disturb heteronormative reproduction is connected in these critiques to each text�s commercial imperatives. This thesis argues that such critiques tend to rely on determinations of the authenticity of queer performance, and emphasise veracity over queer theory�s potential to exploit the critical potential of deliberate indeterminacy. I argue, instead, that a key part of queer theory�s contingency is its capacity to respond to the changing performative contexts of the normative repetitions it seeks to undo. To put this more simply: If consumer desire defines contemporary gayness, then it is with consumer desire that queer theory must contend. It is precisely the indeterminacy of queer that enables such shifts in its strategies of subversion. Recognition of how queer�s indeterminacy enables those subversive moves returns us to the importance to queer theory of a sustained consideration of the constitutive capacities of commodity culture. What I suggest in this thesis is that if we do no ask "From where does the performance draw its force?" then we cannot answer "And what happens to the performative whose task it is to undo?" the normative framework of identity.
36
Penoff, Bradley Thomas. "Transport level features for commodity clusters". Thesis, University of British Columbia, 2011. http://hdl.handle.net/2429/35395.
Texto completoResumen
There is a need for systems to provide additional processing to extract useful information from the growing amounts of data. High Performance Computing (HPC) techniques use large clusters comprised of commodity hardware and software to provide the necessary computation when a single machine does not suffice. In addition to the increase in data,
there have been other architectural changes like the advent of multicore and the presence of multiple networks on a single compute node, yet the commodity transport protocols in use have not adapted. It is therefore an opportune time to revisit the question of which transport features are necessary in order to best support today’s applications. Popular in HPC, we use the Message Passing Interface (MPI) to provide support for large scale parallel applications. We propose features to the transport protocol to overcome the problems with reliability, performance, and design simplicity existing in Ethernet-based commodity clusters. We use the Stream Control Transmission Protocol (SCTP) as a vehicle to implement tools having the proposed transport features for MPI. We develop several SCTP-based MPI implementations, a full-featured userspace SCTP stack, as well as enable the execution of unmodified MPI programs over a simulated network and SCTP implementation. The tools themselves provide the HPC and networking communities means to utilize improved transport
features for MPI by way of SCTP. The tools developed in this thesis are used to show that the proposed transport features enable further capabilities regarding the performance, reliability, and design simplicity of MPI applications running on Ethernet-based cluster
systems constructed out of commodity components.
37
Kaas, Susanna. "Validation of market commodity forward curves". Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-172427.
Texto completoResumen
In this thesis the aim was to propose a method that could be used to validate the market commodity forward curve and analyse if the method is possible to apply. The thesis is limited to forward curves with equally spaced maturities up to one year and seasonal price patterns. The method suggested is to construct a reference curve by simulating futures prices with the seasonal cost-of-carry model and perform linear interpolation between these simulated values. The validation method was applied to UK natural gas futures traded on the Intercontinental Exchange for every trading day in December 2013. Estimates were based on settlement prices for the period 2011- 01-01 to 2013-11-30. Resulting reference curves appeared to capture the seasonal behaviour of UK natural gas in a correct way and the shape of the curve seemed to follow the market curve. However the majority of observed time series representing the state variables did not fulfil model assumptions. Therefore the observation period was shortened to 2012-07-01-2013-11-30 but the result was only slightly improved. It was still the case that some of the state variable processes did not follow model assumptions. By performing likelihood ratio test it was found that for some state variables the speed of mean reversion could be set to zero. The conclusion was that the proposed method is not appropriate to use for validating the market curve for the considered contracts. This is because model assumptions for state variables were not always fulfilled and some of the state variable process could be reduced to random walks. Perhaps model assumptions are fulfilled if the method is applied to another time period. However it is difficult to use a method for validation if historical data sometimes suggests that times series are not stationary and do not fulfil model assumptions. Finally the conclusion was drawn that for the chosen commodity the validation method is not applicable.I detta examensarbete var målet att föreslå en metod för att validera marknadskurvan för råvaruterminer och utvärdera den föreslagna metoden. Examensarbetet är begränsat till marknadskurvor för råvaruterminer med säsongsberoende och likafördelade förfallodagar upp till ett år. Valideringsmetoden som föreslås är att med en teoretisk modell skapa en referenskurva som kan jämföras med marknadskurvan. Metoden för att skapa referenskurvan är att simulera terminspriser med seasonal cost-of-carry model och sedan interpolera linjärt mellan de simulerade punkterna. Valideringsmetoden appliceras på råvaruterminer med UK naturgas som underliggande tillgång och handlas på Intercontinental Exchange. Det historiska dataset som användes utgörs av observationsperioden 2011-01-01 till 2013-11-30. Referenskurvor skapades för varje handelsdag i december 2013 och verkade uppfylla det förväntade säsongsberoendet hos naturgas. Analyser visade dock att modellantagandena inte alltid var uppfyllda av de genererade processerna från historiskt data. Observationsperioden kortades ned men resultatet blev endast något bättre, dock uppfyllde fortfarande inte några av processerna de uppställda antagandena. Resultat visade också att vissa av processerna för båda observationsperioderna kunde reduceras till slumpvandringar. Slutsatsen av arbetet är att den föreslagna metoden inte är lämplig för validering av marknadskurvan för den analyserade tidsperioden. Orsaken till detta var att modellantaganden inte var uppfyllda för alla tillståndsvariabler samt att några av processerna kunde reduceras till slumpvandringar. Dock är det möjligt att modellantaganden skulle kunna uppfyllas för en annan tidsperiod. Eftersom det är svårt att använda en metod för validering om historisk data inte alltid uppfyller modellantaganden och om processerna inte är stationära drogs slutsatsen att den föreslagna metoden inte är lämplig för den analyserade råvaran.
38
Holstius, David. "Monitoring Particulate Matter with Commodity Hardware". Thesis, University of California, Berkeley, 2014. http://pqdtopen.proquest.com/#viewpdf?dispub=3640465.
Texto completoResumen
Health effects attributed to outdoor fine particulate matter (PM 2.5) rank it among the risk factors with the highest health burdens in the world, annually accounting for over 3.2 million premature deaths and over 76 million lost disability-adjusted life years. Existing PM2.5 monitoring infrastructure cannot, however, be used to resolve variations in ambient PM2.5 concentrations with adequate spatial and temporal density, or with adequate coverage of human time-activity patterns, such that the needs of modern exposure science and control can be met. Small, inexpensive, and portable devices, relying on newly available off-the-shelf sensors, may facilitate the creation of PM2.5 datasets with improved resolution and coverage, especially if many such devices can be deployed concurrently with low system cost.
Datasets generated with such technology could be used to overcome many important problems associated with exposure misclassification in air pollution epidemiology. Chapter 2 presents an epidemiological study of PM2.5 that used data from ambient monitoring stations in the Los Angeles basin to observe a decrease of 6.1 g (95% CI: 3.5, 8.7) in population mean birthweight following in utero exposure to the Southern California wildfires of 2003, but was otherwise limited by the sparsity of the empirical basis for exposure assessment. Chapter 3 demonstrates technical potential for remedying PM2.5 monitoring deficiencies, beginning with the generation of low-cost yet useful estimates of hourly and daily PM2.5 concentrations at a regulatory monitoring site. The context (an urban neighborhood proximate to a major goods-movement corridor) and the method (an off-the-shelf sensor costing approximately USD $10, combined with other low-cost, open-source, readily available hardware) were selected to have special significance among researchers and practitioners affiliated with contemporary communities of practice in public health and citizen science. As operationalized by correlation with 1h data from a Federal Equivalent Method (FEM) β-attenuation data, prototype instruments performed as well as commercially available equipment costing considerably more, and as well as another reference instrument under similar conditions at the same timescale (R2 = 0.6). Correlations were stronger when 24 h integrating times were used instead (R2 = 0.72).
Chapter 4 replicates and extends the results of Chapter 3, showing that similar calibrations may be reasonably exchangeable between near-roadway and background monitoring sites. Chapter 4 also employs triplicate sensors to obtain data consistent with near-field (< 50 m) observations of plumes from a major highway (I-880). At 1 minute timescales, maximum PM2.5 concentrations on the order of 100 μg m–3 to 200 μg m–3 were observed, commensurate with the magnitude of plumes from wildfires on longer timescales, as well as the magnitude of plumes that might be expected near other major highways on the same timescale. Finally, Chapter 4 quantifies variance among calibration parameters for a large sample of the sensors, as well as the error associated with the remote transfer of calibrations between two sufficiently large sets (± 10 % for n = 12). These findings suggest that datasets generated with similar sensors could also improve upstream scientific understandings of fluxes resulting from indoor and outdoor emissions, atmospheric transformations, and transport, and may also facilitate timely and empirical verification of interventions to reduce emissions and exposures, in many important contexts (e.g., the provision of improved cookstoves; congestion pricing; mitigation policies attached to infill development; etc.). They also demonstrate that calibrations against continuous reference monitoring equipment could be remotely transferred, within practical tolerances, to reasonably sized and adequately resourced participatory monitoring campaigns, with minimal risk of disruption to existing monitoring infrastructure (i.e., established monitoring sites). Given a collaborator with a short window of access to a reference monitoring site, this would overcome a nominally important barrier associated with non-gravimetric, in-situ calibration of continuous PM2.5 monitors. Progressive and disruptive prospects linked to a proliferation of comparable sensing technologies based on commodity hardware are discussed in Chapter 5.
39
Glaser, Tammy L. "A single-commodity mine transshipment problem". Thesis, Monterey, California. Naval Postgraduate School, 1991. http://hdl.handle.net/10945/28540.
Texto completo
40
OLIVEIRA, LUCIANO VEREDA. "COMMODITY PRICE SMOOTHING AND MACROECONOMIC STABILIZATION". PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2004. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=5959@1.
Texto completoResumen
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIORO objetivo principal do trabalho é avaliar as vantagens e desvantagens associadas à utilização, no âmbito de uma pequena economia aberta, de um mecanismo de intervenção sobre variações dos preços relativos domésticos de insumos intermediários comerciáveis. Esse mecanismo pode ser implementado por meio de uma combinação de tributos e subsídios às importações e exportações dos insumos comerciáveis, com alíquotas variáveis ao longo do tempo. Tal intervenção assume o papel de um instrumento auxiliar de estabilização que, ao ser manejado de forma coordenada com a taxa de juros nominal e os demais instrumentos convencionais de política monetária, pode vir a melhorar a resposta da economia aos choques que a atingem. Um exemplo concreto desse tipo de mecanismo é a CIDE (Contribuição de Intervenção sobre o Domínio Econômico), que tinha entre seus intuitos originais impedir que a volatilidade do preço do petróleo no mercado internacional se transmitisse integralmente aos preços domésticos dos derivados. O trabalho, portanto, destina-se a analisar e responder as seguintes questões: (i) determinar as circunstâncias nas quais a intervenção sobre os preços internacionais dos insumos pode se somar à manipulação da taxa de juros nominal na tentativa de melhor estabilizar a economia; (ii) investigar a natureza da intervenção ótima, ou seja, como o instrumento auxiliar e a taxa de juros nominal devem se movimentar conjuntamente em resposta aos choques; e (iii) medir os ganhos de bem estar que advêm da disponibilidade desse instrumento auxiliar de estabilização.
The main purpose of the current work is to evaluate the advantages and disadvantages of using a mechanism which intervenes in domestic relative prices of tradable intermediate goods. Such a mechanism can be implemented by a combination of taxes and subsidies to imports and exports of tradable intermediate goods, with rates that vary over time. This intervention performs as an auxiliary stabilization instrument that is managed in a coordinated fashion with more conventional ones, such as the nominal interest rate. In the end this work will look into the matters of (i) investigating the circumstances under which the intervention in international commodity prices, together with the nominal interest rate, might help in the task of stabilizing the economy; (ii) determining the optimal response of the available instruments to the shocks that hit the economy; and (iii) measuring the welfare consequences of the availability of this auxiliary stabilization instrument.
41
Chang, Pang-hua Kevin. "Commodity price shocks and international finance". Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/31012.
Texto completo
42
Nikkanen, A. (Antti). "Pairs trading the commodity futures curve". Master's thesis, University of Oulu, 2012. http://jultika.oulu.fi/Record/nbnfioulu-201211141056.
Texto completoResumen
Abstract. I create a pairs trade on the commodity futures curve, which captures the roll returns of commodity futures and minimizes the standard deviation of the returns. The end results is a strategy that has an annualized arithmetic return of 6,04% and an annualized standard deviation of 2,01%. Transaction costs and liquidity are also accounted for.
The goal was to create and backtest a trading strategy that tries to capture the roll return component of commodity futures returns. In order to reduce the very high spot price volatility of commodity returns a market neutral systematic arbitrage was introduced through a pairs trade. The pairs trade involves taking a counter position relative to the position that is designed to capture the roll return, with as small of a negative expected return as possible.
In practice capturing the roll return component means taking a long position into the largest dollar difference of a backwarded futures curve. And the pairs trade component is then a short position into the same curve, but with the smallest dollar difference. If the commodity futures curve was in contango, the procedure was reverts.
It can be concluded, that both of the targets of this research were reach; capturing the roll returns of the commodity futures and minimizing volatility through a statistical arbitrage pairs trade.
The trades designed to capture the roll returns of commodity futures returned 5,55% annually (which was 91,9% of the portfolios total return), compared to the annualized return of the benchmark index of 0,5%.
The pairs trade designed to minimize the standard deviation of these returns, lowered the annualized standard deviation of the portfolio’s returns from 6,37% to 2,01%, making it almost fully market neutral.
43
Chen, Songjiao. "Risk Management Strategies for Commodity Processors". Thesis, North Dakota State University, 2013. https://hdl.handle.net/10365/27237.
Texto completoResumen
Recent years have witnessed an increase in agricultural commodity price volatility. This thesis analyzes different models to derive optimal hedge strategies for commodity processors, with two components addressed. One is the dependence structure and joint distribution among inputs, outputs, and hedging instruments that impact hedging effectiveness. The second refers to different procurement and sales scenarios a processor may encounter. A domestic flour mill company is used to demonstrate alternative hedging strategies under different processing scenarios. Copula is a relatively new method used to capture flexible dependence structure and joint distribution among assets. The applications of copulas in the agricultural literature are recent. This thesis integrates the concept of copula and widely studied risk measurement Value at Risk (VaR) to derive the optimal risk management strategy. Mean-VaR with copula calculation is shown to be an efficient and confident approach to analyze empirical studies.
44
Ndzinge, Victoria. "Botswana's commodity concentration and export earnings". Master's thesis, University of Cape Town, 2003. http://hdl.handle.net/11427/14976.
Texto completoResumen
Includes bibliographical references.Commodity concentration has been regarded as a major factor contributing to short-term instability in export earnings experienced by developing countries. This paper investigates the degree of export instability in Botswana's exports. It also considers whether commodity concentration is a source of instability in Botswana's export earnings. Findings found that Botswana's export instability is relatively high compared to other countries. In addition commodity concentration was found not to be the main source of instability in export earnings for the case of Botswana.
45
Alam, Md Rafayet. "MACROECONOMIC ASPECTS OF COMMODITY PRICE DYNAMICS". OpenSIUC, 2016. https://opensiuc.lib.siu.edu/dissertations/1175.
Texto completoResumen
Fluctuation in commodity prices is a significant and timely issue to be studied. My first chapter examines the impact of monetary policy and other macroeconomic shocks on the dynamics of agricultural commodity prices. The major contributions of this study are twofold. First, unlike other studies that use indexes, this study analyzes the commodities individually, affording the inclusion of commodity-specific fundamentals such as the level of inventory -- an important determinant of commodity price -- in a structural VAR framework. Second, it exploits a rich dataset of agricultural commodity prices which includes commodities that are usually overlooked in the literature, and extracts a common factor using the dynamic factor model to understand the extent of co-movement of the prices and to gauge the extent to which macroeconomic shocks drive the ‘co-movement’ in a factor-augmented VAR (FAVAR) framework. The findings show that monetary policy, global economic conditions and the US dollar exchange rates play an important role in the dynamics of agricultural commodity prices. My second chapter examines the role played by Wal-Mart in price convergence among US cities. Despite the fact that market structure is an important determinant of price convergence and that US retail architecture has been changed over the past two decades by the expansion of big box stores and supercenters, the role played by such rapidly-expanding ‘big-box’ chain-stores like Wal-Mart in price convergence is completely over-looked in the literature. The possible symmetry in costs and mark-up among Wal-Mart stores, and their influence over the city level prices motivate us to test if their presence helps price convergence among US cities. After controlling for distance, local costs such as wage and rent, and city and time specific fixed effects this study finds that prices are significantly closer in two cities if they have Wal-Mart than if none or only one of them has Wal-Mart. Though the results are mostly robust to the analysis using disaggregate price data and sub-samples, they are more pronounced for grocery items than non-grocery items, within high income cities than low income cities. Moreover, our regional analysis uncovers the regional variations in the effect of Wal-Mart on price convergence, and Wal-Mart’s more prominent role in inter-region rather than intra-region price convergence. Since the presence of Wal-Mart accelerates the rate of price convergence and thus reduces the potential for misallocation of resources, our results suggest that the existence of a positive welfare impact of Wal-Mart cannot be overruled. My third chapter uses county level data to see the effect of Wal-Mart on local economic activities and revenue in Florida. The OLS estimation shows that the presence of Wal-Mart significantly increases total retail sales and decreases sales tax rate, but have no significant effect on total taxable retail sales and total revenue from sales tax. The instrumental variable (IV) estimation shows that presence of Wal-Mart significantly decreases sales tax rate but has no significant effect on total retail sales, total taxable retail sales and total revenue from sales tax. Thus, according to our analysis, Wal-Mart does not necessarily increase local economic activities and tax revenue. However, interestingly, Wal-Mart is found to play an important role in decreasing local sales-tax rate.
46
Lazzaro, João Guilherme Santos. "Sovereign default risk and commodity prices". reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18302.
Texto completoResumen
Submitted by João Guilherme Santos Lazzaro (jgslazzaro@gmail.com) on 2017-06-01T19:42:19Z
No. of bitstreams: 1
Dissertacao_Joao_Lazzaro.pdf: 438996 bytes, checksum: fa5de7c51b56f54e091b16462c9082ac (MD5)Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Boa tarde João Guilherme, Por favor, Nome da Fundação e Escola na cada, contra-cara tirar nome da fundação e escola, as palavras agradecimento, Abstract e resumo em caixa alta. Caso tenha dúvida verifique um trabalho de colega na biblioteca digital por favor. Grata. Suzi 3799-7876 on 2017-06-02T19:02:46Z (GMT)
Submitted by João Guilherme Santos Lazzaro (jgslazzaro@gmail.com) on 2017-06-05T13:07:03Z No. of bitstreams: 1 Dissertacao_ABNT.pdf: 439884 bytes, checksum: 2d9b6e834e25280ffe61b3eb1a936012 (MD5)
Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2017-06-05T13:31:02Z (GMT) No. of bitstreams: 1 Dissertacao_ABNT.pdf: 439884 bytes, checksum: 2d9b6e834e25280ffe61b3eb1a936012 (MD5)
Made available in DSpace on 2017-06-05T20:35:34Z (GMT). No. of bitstreams: 1 Dissertacao_ABNT.pdf: 439884 bytes, checksum: 2d9b6e834e25280ffe61b3eb1a936012 (MD5) Previous issue date: 2017-05-12
Country risk is known to be an important driver of emerging economies business cycles. Existing studies of macroeconomics effects of commodities prices on emerging economies' country risk assume an exogenous negative relation between these two variables. This work presents a model to explain endogenously this relation built upon the sovereign debt literature deriving from Arellano (2008). Our framework is then used to assess quantitatively the importance of the country risk effect of commodity prices on output volatility. We find that although this effect is negligible for economies with a high share of commodities on GDP but low indebtedness, the effect is important in indebted economies with a lower share of commodities in GDP.
O risco país é conhecido por ser um motor importante dos ciclos econômicos das economias emergentes. Os estudos existentes sobre os efeitos macroeconômicos dos preços das commodities sobre o risco país das economias emergentes assumem uma relação negativa exógena entre essas duas variáveis. Este trabalho apresenta um modelo para explicar endogenamente esta relação baseado na literatura de dívida soberana derivada de Arellano (2008). Este arcabouço é então utilizado para avaliar quantitativamente a importância efeito do risco país dos preços de commodities sobre a volatilidade do produto. Descobre-se que, embora este efeito seja insignificante para economias com uma alta proporção de commodities em relação ao PIB e baixo endividamento, o efeito é importante em economias endividadas com menor participação de commodities no PIB.
47
Pradkhan, Elina. "Essays on bond and commodity markets". Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2016. http://dx.doi.org/10.18452/17542.
Texto completoResumen
Die erste Studie analysiert den Einfluss von Gläubigerschutz auf die internationalen Anlageentscheidungen in Anleihemärkten. In den Ländern mit einem überdurchschnittlichen Gläubigerschutz wirkt ein verbesserter Gläubigerschutz im Heimatmarkt positiv auf die Nachfrage nach ausländischen Anleihen, reduziert jedoch den positiven Effekt des ausländischen Gläubigerschutzes auf die internationale Diversifikation. Die zweite Studie analysiert die Behavioral Finance Erklärungsansätze für Home Bias. Es wird gezeigt, dass Patriotismus und Intoleranz gegen Unsicherheit einen negativen Einfluss auf die internationale Diversifikation in Anleihemärkten haben. Die dritte Studie analysiert die Vorhersagekraft der Händlerpositionen auf die Renditen der Terminkontrakte für Agrarrohstoffe mittels Quantil-Regressionen. Dadurch können signifikante Granger-Kausalitäten zwischen Händlerpositionen und Renditen entdeckt werden, die nicht durch die traditionellen Granger-Kausalitätstests für den Mittelwert der Renditeverteilung aufgedeckt werden können. Die vierte Studie untersucht die kurz- und langfristigen Einflüsse der Spekulanten auf die Preisbildung in den Edelmetallterminmärkten. Es wird gezeigt, dass die kumulierten Änderungen in Händlerpositionen die Edelmetallterminpreise vorhersagen können. Die letzte Studie berücksichtigt die Nichtlinearitäten in der Vorhersagekraft der Handelsaktivität für Renditen in den Bullen- und Bärenmarktphasen der Edelmetallterminmärkte. Die Richtung der Granger-Kausalität zwischen Handelsaktivität und nachfolgenden Renditen ist oft asymmetrisch in den unterschiedlichen Marktphasen, was durch den unterschiedlichen Informationsgehalt der Transaktionen erklärt werden kann.The first study analyzes the relationship between domestic creditor protection and foreign investment in bond markets. For the investing countries with relatively high levels of domestic creditor protection, a high level of domestic creditor protection is associated with a higher international diversification in bond portfolios and reduces the sensitivity of foreign investment to the foreign creditor protection. The second study explores the behavioral determinants of home bias in debt markets. It shows that patriotism and uncertainty avoidance reduce international diversification. The third paper analyzes the relationship between financial activity and returns in twelve agricultural futures markets based on quantile regressions. Quantile regressions detect significant Granger-causal effects from trader positions to returns that would not have been unveiled while using the traditional "Granger causality in mean" approach. The fourth essay investigates long- and short-term effects of speculative activity on the price mechanism in precious metals futures markets and shows that accumulated changes in positions of speculators have the potential to forecast returns. The last study accounts for non-linearity in the predictive power of trading activity for precious metals futures returns in bull and bear market states. The direction of Granger causality from trading activity to subsequent returns is often asymmetric across bull and bear markets, which may be explained by the different informational content of trades.
48
Brandenberg, Romano Rodolfo. "Principal Components Analysis of Commodity Trading Advisors". St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02604577002/$FILE/02604577002.pdf.
Texto completo
49
Beltrán, Querol Vicenç. "Improving web server efficiency on commodity hardware". Doctoral thesis, Universitat Politècnica de Catalunya, 2008. http://hdl.handle.net/10803/6024.
Texto completoResumen
El ràpid creixement de la Web requereix una gran quantitat de recursos computacionals que han de ser utilitzats eficientment. Avui en dia, els servidors basats en hardware estendard son les plataformes preferides per executar els servidors web, ja que són les plataformes amb millor relació rendiment/cost. El treball presentat en aquesta tesi esta dirigit a millorar la eficàcia en la gestió de recursos dels servidors web actuals. Per assolir els objectius d'aquesta tesis s'ha caracteritzat el funcionament dels servidors web en diverses entorns representatius, per tal de identificar el problemes i coll d'ampolla que limiten el rendiment del servidor web. Amb l'estudi dels servidors web s'ha identificat dos problemes principals que disminueixen l'eficiència dels servidors web en la utilització dels recursos hardware disponibles. El primer problema identificat és la evolució del protocol HTTP per incorporar connexions persistents i seguretat, que disminueix el rendiment e incrementa la complexitat de configuració dels servidors web. El segon problema és la naturalesa de algunes aplicacions web, les quals estan limitades per la memòria física o l'ample de banda amb el disc, que impedeix la correcta utilització dels recursos presents en les maquines multiprocessadors. Per solucionar aquests dos problemes dels servidors web hem proposat dues tècniques. En primer lloc, l'arquitectura hibrida, una evolució de l'arquitectura multi-threaded que es pot implementar fàcilment el els servidor web actuals i que millora notablement la gestió de les connexions i redueix la complexitat de configuració de tot el sistema. En segon lloc, hem implementat en el kernel del sistema operatiu Linux un comprensió de memòria principal per millorar el rendiment de les aplicacions que tenen la memòria com ha coll d'ampolla, millorant així la utilització dels recursos disponibles. Els resultats d'aquesta tesis estan avalats per una avaluació experimental exhaustiva que ha provat la efectivitat i viabilitat de les nostres propostes. Cal destacar que l'arquitectura de servidor web hybrida proposada en aquesta tesis ha estat implementada recentment per coneguts servidors web com és el cas de Apache, Tomcat i Glassfish.The unstoppable growth of the World Wide Web requires a huge amount of computational resources that must be used efficiently. Nowadays, commodity hardware is the preferred platform to run web server systems because it is the most cost-effective solution. The work presented in this thesis aims to improve the efficiency of current web server systems, allowing the web servers to make the most of hardware resources. To this end, we first characterize current web server system and identify the problems that hinder web servers from providing an efficient utilization of resources. From the study of web servers in a wide range of situations and environments, we have identified two main issues that prevents web servers systems from efficiently using current hardware resources. The first is the extension of the HTTP protocol to include connection persistence and security, which dramatically impacts the performance and configuration complexity of traditional multi-threaded web servers. The second is the memory-bounded or disk-bounded nature of some web workloads that prevents the full utilization of the abundant CPU resources available on current commodity hardware. We propose two novel techniques to overcome the main problems with current web server systems. Firstly, we propose a Hybrid web server
architecture which can be easily implemented in any multi-threaded web server to improve CPU utilization so as to provide better management of client connections. And secondly, we describe a main memory compression technique implemented in the Linux operating system that makes optimum use of current multiprocessor's hardware, in order to improve the performance of memory bound web applications. The thesis is supported by an exhaustive experimental evaluation that proves the effectiveness and feasibility of our proposals for current systems. It is worth noting that the main concepts behind the Hybrid architecture have recently been implemented in popular web servers like Apache, Tomcat and Glassfish.
50
Swift, Michael M. "Improving the reliability of commodity operating systems /". Thesis, Connect to this title online; UW restricted, 2005. http://hdl.handle.net/1773/7019.
Texto completo