• Journal of Electrical Engineering and Technology
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• v.1 no.1
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• pp.1-7
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• 2006

In an electricity market, the spot market is normally integrated with a forward or future market. The advantage of the forward market is to allow the market participants to deal in a part or the whole trading portfolio at a fix price in advance and to avoid risk associated to the uncertain price of the spot market. Japan has introduced a continuous auction base forward market from April 2005. This paper analyzes the Japanese forward market rules and operations, and introduces a new algorithm that may improve the efficiency of the market itself. The proposed algorithm enables us to give consideration to the specific characteristics of the power system and to integrate them in the auction mechanism. The benefits of the proposed algorithm are verified on an electronic simulation platform and the results described in this paper.

• Proceedings of the KIEE Conference
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• summer
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• pp.701-703
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• 2004

Although the electricity market structure worldwide may be different in kinds, there generally exists long-term forward market and short-term spot market. Particularly, the bilateral contract in long-term forward market fixes the price between a genco and a customer so that the customer can avoid risks due to price-spike in spot market. The genco also can make an efficient risk-hedge strategy through this bilateral contract. In this paper, we propose a new mechanism for evaluating the optimal bilateral contract price using game theory. This mechanism makes a customer reveal his/her own willingness to purchase electricity so that a fair bilateral contract price can be derived.

• The Transactions of the Korean Institute of Electrical Engineers P
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• v.59 no.3
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• pp.263-267
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• 2010

Although electricity market structures may be different from each country, they have a long-term forward market and a short-term spot market in general. Particularly, a bilateral contract transacted at a long-term forward market fixes the electricity price between a genco and a customer so that the customer can avoid risk due to price-spike in the spot market. The genco also can make an efficient risk-hedging strategy through the bilateral contract. In this paper, we propose a new mechanism for deriving the optimal bilateral contract price using game theory. This mechanism can make the customer reveal his true willingness to purchase so that an adequate bilateral contract price is derived.

• Journal of Construction Engineering and Project Management
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• v.7 no.3
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• pp.15-25
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• 2017

The existence of material price volatility in construction projects puts forward substantial risks for all parties involved. Depending on the parties involved in the project, type of contracts, and state of the market various risk management strategies are practiced by contracting parties to manage project risks related to price volatility. Unfortunately, in many cases companies fail to select an adequate approach to better manage volatilities of material prices due to the lack of a decision support system to aid in the selection of an appropriate strategy based on the project characteristics. The aim of this study is to identify critical project factors and align them to documented strategies to manage price volatility based on an extensive literature review and industry interviews. This study found Integrated Project Delivery (IPD) as the ideal strategy with respect to project duration; quantitative risk management methods with respect to the cost; and Price Adjustment Clauses (PAC) with respect to the risk allocation, as the top price volatility management strategies.

• Journal of Internet Computing and Services
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• v.23 no.4
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• pp.45-55
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• 2022

The size of the cryptocurrency market is growing. For example, market capitalization of bitcoin exceeded 500 trillion won. Accordingly, many studies have been conducted to predict the price of cryptocurrency, and most of them have similar methodology of predicting stock prices. However, unlike stock price predictions, machine learning become best model in cryptocurrency price predictions, conceptually cryptocurrency has no passive income from ownership, and statistically, cryptocurrency has at least three times higher liquidity than stocks. Thats why we argue that a methodology different from stock price prediction should be applied to cryptocurrency price prediction studies. We propose Reverse Walk-forward Validation (RWFV), which modifies Walk-forward Validation (WFV). Unlike WFV, RWFV measures accuracy for Validation by pinning the Validation dataset directly in front of the Test dataset in time series, and gradually increasing the size of the Training dataset in front of it in time series. Train data were cut according to the size of the Train dataset with the highest accuracy among all measured Validation accuracy, and then combined with Validation data to measure the accuracy of the Test data. Logistic regression analysis and Support Vector Machine (SVM) were used as the analysis model, and various algorithms and parameters such as L1, L2, rbf, and poly were applied for the reliability of our proposed RWFV. As a result, it was confirmed that all analysis models showed improved accuracy compared to existing studies, and on average, the accuracy increased by 1.23%p. This is a significant improvement in accuracy, given that most of the accuracy of cryptocurrency price prediction remains between 50% and 60% through previous studies.

• Environmental and Resource Economics Review
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• v.15 no.2
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• pp.319-353
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• 2006

This paper shows how weather derivatives can be used to hedge against the price risk and volume risk of purchasing relatively large amounts of electricity. Our specific approach to designing new contracts for electricity is to focus on the return over a summer season rather than on the daily levels of demand and price. It is shown that correct market signals can be preserved in a contract and the associated financial risk can be offset by weather options. The advantage of combining a forward contract with a weather derivative is that the high prices on hot days or when the temperature is high reflect the underlying high cost of producing power when the load is high and that the combined contract with a weather derivative substantially reduces the volatility of the return.

• The Journal of Fisheries Business Administration
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• v.40 no.1
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• pp.51-74
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• 2009

The purpose of this study is to ascertain that how the futures market of the Japanese frozen shrimp that is the only fisheries asset all over the world can be efficient. Accordingly, this paper examines efficiency and information flow of the Japanese frozen shrimp market using data from Kansai Commodities Exchange frozen shrimp futures closing prices and spot prices. And then this paper estimates a forward price model using that data. From the model, risk premium is estimated and we could also analyse the future information flow into the futures market which reveals future spot prices. This thesis reached to conclusions as follows: First, the null of zero risk premium is rejected and the value of that is negative. Second, the time pattern of information flow into the futures market is that most of the information on future price arrives within a week and for the last week, most of relevant information is already incorporated. The result of this study contrasts with that of Stockman(1978) about currency futures market of U.S.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.45 no.4
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• pp.142-149
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• 2022

This study attempts to analyze the economic impact of the service robot industry using Input-Output analysis, which is conducted based on Demand-driven model, the Leontief price model, the Backward and Forward Linkage Effects, and the Exogenous Methods. In a Demand-driven model analysis, we can conclude that the service robot industry contains characteristics of both the manufacturing industry and the service industry, which causes a positive impact on the overall industry by compensating for the weaknesses of the two industries. The Leontief price analysis indicates when wages in the service robot industry increase, prices related to robot manufacturing also increase. Also, when profits in the service robot industry increase, prices related to service provision increase, too. The Backward and Forward Linkage Effects analysis shows that the service robot industry is highly sensitive to the current economic condition and has a great influence on the service industry. The service robot industry can highlight the aspect of service characteristics when the manufacturing industry is in recession and vice versa. In addition, the service robot industry can be regarded as a value-adding and domestic economy promoting industry which utilizes knowledge of information and communication technologies. It is important to foster the service robot industry in South Korea, which is in economic recession to provide an opportunity to stimulate the growth of both service and robot industries.

• Korean System Dynamics Review
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• v.13 no.2
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• pp.5-23
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• 2012

This paper studies dynamic relationship between cash market, forward market, and options market, from the perspective of systems thinking. It is shown that an exogenous shock to forward market can yield almost the same impact to the cash market, given a practically reasonable condition, but not vice versa. As far as options market is concerned, it matters what kind of options we deal with, who are long the option, and whether the option market maker performs dynamic hedging or not. In some cases, it is possible for the spot price to become unstable and diverge rather violently due to a strong negative feedback between the markets.

• East Asian Economic Review
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• v.19 no.1
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• pp.3-38
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• 2015

Fama's (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general equilibrium model, we show that near-random walk behaviors of both exchange rates and consumption, in response to monetary shocks, can be derived endogenously. Based on this approach, the paper provides quantitative results on Fama's volatility relations.