Price Dynamics of the World Gold Market： A Model Incorporating Inventories

Gold is regarded as a strategic mineral in many countries and its price is a key indicator of global business confidence. There is need for dynamic modelling of the world gold market, which would enhance understanding of the world market conditions, especially the long-term tendency of world gold prices, and hence facilitate long-term planning. This study incorporates inventories into the world market model and uses simultaneous equation approaches to estimate the model. From this estimation, the paper derives the time-path for the world annual price of gold. Results show that the price time-path converges without oscillations, from below, towards an intertemporal equilibrium. This equilibrium is estimated at about US$105,000.00 per kilogram based on a projected average world income. If the assumption of average income is relaxed, the intertemporal equilibrium price becomes variable dependent on the actual values of world income at a given time, which however, does not alter its dynamic characteristics. The results, therefore, show that gold price is dynamically stable. Short-term fluctuations, which are sometimes extreme, have no long-term effect on gold attractiveness.

The Chaotic Monopoly Price Growth Model

Deterministic chaos refers to an irregular or chaotic motion that is generated by nonlinear systems. The chaotic behavior is not to quantum-mechanical-like uncertainty. Chaos theory is used to prove that erratic and chaotic fluctuations can indeed arise in completely deterministic models. Chaotic systems exhibit a sensitive dependence on initial conditions. Seemingly insignificant changes in the initial conditions produce large differences in outcomes. To maximize profit, the monopolist must first determine its costs and the characteristics of market demand. Given this knowledge, the monopoly firm must then decide how much to produce. The monopoly firm can determine price, and the quantity it will sell at that price follows from the market demand curve. The basic aim of this paper is to construct a relatively simple chaotic growth model of the monopoly price that is capable of generating stable equilibria, cycles, or chaos. A key hypothesis of this work is based on the idea that the coefficient,π=[m（a-1）（e-1）^-eb]plays a crucial role in explaining local stability of the monopoly price, where,b^the coefficient of the marginal cost function of the monopoly firm, m--the coefficient of the inverse demand function, e--the coefficient of the price elasticity of the monopoly demand, a--the coefficient.

The Impacts of Carbon Sequestration on Oil Production Projects Decision-Making： A Real Option Valuation Approach

A traditional real option model is applied to a simulation of an oil production project. This analysis includes a carbon sequestration structure cost and possible revenues from carbon credit markets. The evaluation focuses on the determination of an optimal timing for the investment in different scenarios, regarding the volatility of the uncertain variable, oil prices. Historical prices data from different moments are used to estimate different prices uncertainty scenarios and its impacts on the decision making on building a carbon sequestration structure. The results are compared between a real option model to the ones obtained using the traditional net present value evaluation. Trigger point of investments are defined for different scenarios with and without carbon sequestration. There is also an analysis of the effects on decision-making in different scenarios for carbon market prices. It is perceived an important difference in the decision making considering the different methods of economic analysis. The real option model is a fundamental valuation tool in periods of high price volatility and higher sunk costs added to a project such as the carbon sequestration structure. Greenhouse gas projects demand high oil prices, positive market trend expectation and volatility.

Effect of Trader Composition on Stock Market

In this study, we build a double auction market model, which contains two types of agent traders, i.e., the noise traders and fundamentalists, to investigate the effect of the trader composition on the stock market. It is found that, the non-trivial Hurst exponent and the fat-tailed distribution of transaction prices can be observed at any ratio of the noise traders. Analyses on the price variation properties, including the Hurst exponent and the price variation region, show that these properties are stable when the ratio is moderate. However, the non-price variation properties, including the trading volume and the profitability of the two kinds of agents, do not keep stable untrivially in any interval of the ratio of noise traders.

Primary Study of Power-Exchanging Trans- action Model Among Price-Varied Power Plants in Practical Conditions

At present, electricity price to grid of domestic power plants is priced by the national administration based on the policy of "one power plant with one electricity price to grid," which is difficult to realize real bidding for access to grid in practice in a short term. This paper presents one kind of power-exchanging transaction model among price-varied power plants, which will be beneficial to price-varied power plants without any loss of profits of them and guarantee state-owned assets profits in minimum loss with no promotion of average price limit by power plants. Under ideal conditions, the computation results showed the sufficiency and necessity of power-exchanging transaction and maximum similarity with the requirements of optimized resources disposition in economics. The presented model is shown to be full of practicability and has been used in some part of power market.

An electricity price model with consideration to load and gas price effects

Some characteristics of the electricity load and prices are studied, and the relationship between electricity prices and gas (fuel) prices is analyzed in this paper. Because electricity prices are strongly dependent on load and gas prices, the authors constructed a model for electricity prices based on the effects of these two factors; and used the Geometric Mean Reversion Brownian Motion (GMRBM) model to describe the electricity load process, and a Geometric Brownian Motion(GBM) model to describe the gas prices; deduced the price stochastic process model based on the above load model and gas price model. This paper also presents methods for parameters estimation, and proposes some methods to solve the model.

ON PRICING MODEL OF THE RESET OPTION WITH N PREDETERMINED LEVELS

Motivated by the reset option with n predetermined dates analyzed by W.Cheng, we consider a kind of reset option with uncertain dates by introducing N pie-specifiedbarrier levels. We claim this reset option consists of some standard knock-in and knock-out barrieroptions. The closed-form pricing formula is derived by means of a PDE's approach.