Using market prices for crude-oil futures options and the prices of their underlying futures contracts, we estimate the volatility skew in two ways. As a benchmark for our theoretical model, on each date we first estimate a crosssectional polynomial structure for each maturity to demonstrate the strength and weaknesses of a purely-mechanical model. We then apply to the empirical data a Merton-s...

Market efficiency is at the center of the battle of standard finance versus behavioral finance versus investment professionals. But the battle is not joined because the term “market efficiency” has two meanings. One meaning is that investors cannot systematically beat the market. The other is that security prices are rational. Rational prices reflect only utilitarian characteristics, such as ri...

In this paper we provide a framework that explains how the market risk premium, defined as the difference between forward prices and spot forecasts, depends on the risk preferences of market players and the interaction between buyers and sellers. In commodities markets this premium is an important indicator of the behavior of buyers and sellers and their views on the market spanning between sho...

We show that every (random) assignment/allocation without transfers can be considered as a market outcome with personalized prices and an equal income. One can thus evaluate an assignment by investigating the prices and the induced opportunity sets. When prices are proportional across agents, the assignment is e¢ cient; when prices are common, the assignment is both e¢ cient and envy-free. More...

This study focuses on one of the most effective type of capacity markets named Capacity Subscription (CS) market which is predicted to be widely used in the upcoming smart grids. Despite variant researches done about the mechanism and structure of capacity markets, their performances have been rarely tested in the presence of network constraints. Considering this deficiency, we tried to propose...

The National Electricity Market is the centerpiece of the Australian restructured electricity industry. It is a spot market in which prices are determined on a five-minute basis but half-hour averages are used for commercial transactions. The five-minute prices are broadcast to participants so that the can respond while the prices are still avoidable. An approximate form of nodal pricing is

[1] Market prices contain information about supply and demand, the institutions that influence both these elements, and the operation of the market. Prices also allocate scarce resources to higher-valued uses. In this paper we analyze the price history of three water markets in the arid Southwest: Arizona’s Central Arizona Project, Colorado’s Colorado Big Thompson Project, and New Mexico’s Midd...

Fisheries worldwide continue to suffer greatly from the negative consequences of open access, despite numerous regulatory “solutions”. In 1986, New Zealand responded by establishing the most comprehensive market-based Individual Transferable Quota (ITQ) system for fisheries management, resulting in the creation of over 150 fishing quota markets differentiated by geographic region and species. W...

Using daily data from 182 spatially separated U.S. cash markets for the years 2006-2011, I investigate price discovery for corn. With a large number of cash markets available, I take into account explicitly the issue of market selection, which has been neglected in previous work. I find that empirical results concerning price discovery based on corn cash and futures markets vary with selection ...

This paper presents the results of tests on the weak form of Efficient Market Hypothesis applied to carbon efficient stock market indices of India, the United States of America (USA), Japan, and Brazil and their corresponding market indices which are used as their benchmark indices. In this study, Kolmogrov-Smirnov and Shapiro-Wilk tests are used to test the normality of data. Run test and auto...