Advanced electronic trading systems, such as the third phase of the TELCOT system, provide a negotiation mechanism for traders. The purpose of such a negotiation mechanism is to make the trading procedure more flexible. In principle, an electronic trading system establishes an environment in which traders select their partners based on posted trading terms such as product bid/offer prices, prod...

With risk neutral traders and zero transactions costs, the expected value of the difference between the current forward price and the spot price of a commodity at the delivery date of the forward contract should be zero. Accounting for the transactions costs associated with trading in these two markets invalidates this result. We develop statistical tests of the null hypothesis that profitable ...

We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of trading or exchange of money and commodity proceeds, with local (in time) fluctuations in the price of the commodity. These distributions are studied in market...

We suppose that there are two countries trading two commodities, country 1 exporting commodity 1 to country 2, and that country 1 imposes a tariff on its import of commodity 2 while country 2 remains passive and does not retaliate. We assume that preferences in country 1 are identical and homothetic. A classic theorem, going back to Mill (1844), Torrens (1844), and Bickerdike (1907), states tha...

We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the necessity to posit a specific utility function to describe investor's preferences and it does not impo...

Mispricing of international trade in natural resources contributes to significant tax base erosion from developing countries but is difficult measure using aggregate statistics. In this paper, we apply a novel approach motivated by legal rules for and transfer mispricing estimate abnormal pricing gold cocoa exports Ghana, i.e., valued outside an assumed arm's length price range that indicates f...

The value chain for energy and other commodities entails physical conversions through refineries, power plants, storage facilities, and transportation and other capital-intensive infrastructure. When the operation of such commodity conversion assets occurs alongside liquid markets for the input and output commodities, the operating flexibility of conversion assets can be managed as real options...