The Experts below are selected from a list of 13773 Experts worldwide ranked by ideXlab platform
Shouyang Wang - One of the best experts on this subject based on the ideXlab platform.
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supply option contracts with Spot Market and demand information updating
European Journal of Operational Research, 2018Co-Authors: Yingxue Zhao, Tsanming Choi, T C E Cheng, Shouyang WangAbstract:Abstract Motivated by the industrial practices, this paper develops a two-stage model to explore the supply option contract in a two-echelon supply chain, taking into account a stochastic Spot Market and demand information updating of general correlation. We develop a concept called EUOS (expected unit opportunity saving) by which to examine the expected benefit received per unit of the option under different Market scenarios. With the concept of EUOS, we develop intuitive analytical results to characterize the optimal strategies for portfolio procurement via the option contract and Spot Markets, and to design the appropriate option mechanism for supply chain coordination. Furthermore, we reveal that EUOS can be a viable alternative for real option pricing in the supply chain. Detailed comparisons between the mixed Market scenario (in which the Spot Market and the option contract Market co-exist) and the scenario with pure Spot Market or pure option contract Market are made, and thereby we analytically examine the effects of supply competition between the Spot Market and the option contract Market. Our paper contributes to the literature by developing intuitive characterizations for the option contract models and generating some new insights with respect to the use of supply option contracts in the supply chain in the presence of a stochastic Spot Market and demand information updating.
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optimal procurement of long term contracts in the presence of imperfect Spot Market
Omega-international Journal of Management Science, 2015Co-Authors: Jinpeng Xu, Gengzhong Feng, Wei Jiang, Shouyang WangAbstract:B2B Spot Market has grown rapidly and become an effective trading channel for commodity products. Besides long-term contract procurement from conventional suppliers (forward and option), a buyer can procure or sell commodities at any time in B2B Spot Market to adjust her inventory level. However, Spot prices are generally volatile and the Market is imperfect in the sense that Spot trading may be realized with uncertainty in a given period of time and often comes with extra transaction cost. This paper considers a commodity buyer who can order forward and option contracts in advance and trade in a B2B Spot Market when Spot price and demand are observed stochastically. Based on a single-period newsvendor model, we discuss three optimal order strategies and derive respective expected profits when the buyer is risk-neutral. The sensitivity of purchase costs, Market liquidity and transaction cost is investigated. We also compare the optimal expected profits for different strategies to illustrate the effects of the two long-term contracts in the presence of the B2B Spot Market. We then extend our model to a multi-period setting and derive the optimal strategy. Finally, we numerically compute the optimal order strategy for a risk-averse buyer and analyze the impact of Spot Market, risk aversion, as well as the correlation between customer demand and Spot price.
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ITQM - Intraday Volatility Spillovers between Index Futures and Spot Market: Evidence from China
Procedia Computer Science, 2014Co-Authors: Zhou Zhou, Huiyan Dong, Shouyang WangAbstract:Abstract This paper examined the volatility spillover effects between futures Market and Spot Market in China, using both VAR model and TVP-VAR model. This study found strong bi-directional volatility spillovers between CSI futures and Spot Markets, and the change of futures’ volatility decreased the change of Spot Market's volatility. This results support the hypothesis that the risk management function of the futures Market could calm the whole Market when new shock comes.The innovation of this paper is to capture the dynamic of the relationship by using the TVP-VAR model. The empirical results show that the influence of futures Market on Spot Market enlarged as time passed,especially at the third quarter of 2011. After that, the relationshipbecame stable.
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optimal ordering and pricing strategies in the presence of a b2b Spot Market
European Journal of Operational Research, 2012Co-Authors: Wei Xing, Shouyang WangAbstract:In the current paper, we examine the effect of a B2B Spot Market on the strategic behavior and the performance of a reseller who continues to use the traditional channel while participating in a B2B Spot Market. We analyze the case in which a risk-neutral reseller faces an additive or multiplicative demand function and identify sufficient conditions under which the optimal order quantity and retail price exist and are unique. We then analytically examine the case in which a risk-averse reseller participates in a fully liquid Spot Market. We also study numerically how varying liquidity, Spot price volatility, demand variability, and correlation coefficient affect a firm’s strategies and performance. We find that demand variability significantly affects both pricing and ordering strategies, whereas the Spot price volatility has less influence on pricing decisions. Our results also show that for a risk-averse reseller to charge a lower retail price when the Spot Market liquidity increases is desirable. We further show that a B2B Spot Market cannot always improve a reseller’s utility. These findings shed light on how resellers can adjust their procurement and pricing strategies to align with the new business environment created by the emergence of B2B Spot Markets, as well as have obvious implications for the development of a B2B Spot Market.
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an empirical study on information spillover effects between the chinese copper futures Market and Spot Market
Physica A-statistical Mechanics and Its Applications, 2008Co-Authors: Siwei Cheng, Shouyang Wang, Yongmiao Hong, Yi LiAbstract:This study employs a parametric approach based on TGARCH and GARCH models to estimate the VaR of the copper futures Market and Spot Market in China. Considering the short selling mechanism in the futures Market, the paper introduces two new notions: upside VaR and extreme upside risk spillover. And downside VaR and upside VaR are examined by using the above approach. Also, we use Kupiec’s [P.H. Kupiec, Techniques for verifying the accuracy of risk measurement models, Journal of Derivatives 3 (1995) 73–84] backtest to test the power of our approaches. In addition, we investigate information spillover effects between the futures Market and the Spot Market by employing a linear Granger causality test, and Granger causality tests in mean, volatility and risk respectively. Moreover, we also investigate the relationship between the futures Market and the Spot Market by using a test based on a kernel function. Empirical results indicate that there exist significant two-way spillovers between the futures Market and the Spot Market, and the spillovers from the futures Market to the Spot Market are much more striking.
M. Flores - One of the best experts on this subject based on the ideXlab platform.
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Integrated software platform to teach different electricity Spot Market architectures
IEEE Transactions on Power Systems, 2004Co-Authors: M. Madrigal, M. FloresAbstract:Electricity Spot Market architectures have rapidly evolved; their understanding, behavior, and redesign can be guided with the help of integrated simulation platforms. This paper presents a software platform for the integrated short-term simulation of different energy Spot Market architectures. The simulator considers three different architectures: i) decentralized Spot Markets (the separated Market and system operator approach), ii) centralized Spot Markets (whose basis is a unit commitment model for competition in the generation side), and iii) hybrid Spot Market architectures (that operate under a single operator and avoid unit-commitment complexities including demand response and bilateral contracts). The software platform integrates tools for data management and display as well as available solvers for mathematical programming problems. The platform is intended and has successfully been used to teach electricity Market courses at undergraduate and graduate levels at Morelia Institute of Technology in Mexico, and also in several special diploma programs on electricity Markets to more than a hundred engineers from the national energy control center and the energy regulatory commission in Mexico as well as five different system/Market operators of the central American countries.
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Unified software platform for simulating different electricity Spot Market architectures
2003 IEEE Bologna Power Tech Conference Proceedings, 2003Co-Authors: M. Flores, M. MadrigalAbstract:Electricity Spot Market architectures have rapidly evolve; its understanding, behavior and re-design can be guided with the help of unified simulation platforms. This paper presents a software platform for the unified simulation of different energy Spot Market architectures. The simulator considers three different architectures: (i) decentralized Spot Markets (the combined Market and system operator approach, as in the Spanish Market and the original architecture adopted in California); (ii) centralized Spot Markets (for Spot Markets whose basis is a unit commitment model) and (iii) hybrid Spot Market architectures (electricity Markets that operate under a single operator and avoid unit-commitment type of complexities). The software platform integrates tools for data management and display as well as available solvers for mathematical programming problems. The platform has successfully been used for basic training on electricity Markets to around fifty engineers of the national energy control center in Mexico, undergraduates and graduates on electrical engineering, personnel at the energy regulatory commission in Mexico and engineers of five different system/Market operators of the Central American countries.
M. Madrigal - One of the best experts on this subject based on the ideXlab platform.
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Integrated software platform to teach different electricity Spot Market architectures
IEEE Transactions on Power Systems, 2004Co-Authors: M. Madrigal, M. FloresAbstract:Electricity Spot Market architectures have rapidly evolved; their understanding, behavior, and redesign can be guided with the help of integrated simulation platforms. This paper presents a software platform for the integrated short-term simulation of different energy Spot Market architectures. The simulator considers three different architectures: i) decentralized Spot Markets (the separated Market and system operator approach), ii) centralized Spot Markets (whose basis is a unit commitment model for competition in the generation side), and iii) hybrid Spot Market architectures (that operate under a single operator and avoid unit-commitment complexities including demand response and bilateral contracts). The software platform integrates tools for data management and display as well as available solvers for mathematical programming problems. The platform is intended and has successfully been used to teach electricity Market courses at undergraduate and graduate levels at Morelia Institute of Technology in Mexico, and also in several special diploma programs on electricity Markets to more than a hundred engineers from the national energy control center and the energy regulatory commission in Mexico as well as five different system/Market operators of the central American countries.
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Unified software platform for simulating different electricity Spot Market architectures
2003 IEEE Bologna Power Tech Conference Proceedings, 2003Co-Authors: M. Flores, M. MadrigalAbstract:Electricity Spot Market architectures have rapidly evolve; its understanding, behavior and re-design can be guided with the help of unified simulation platforms. This paper presents a software platform for the unified simulation of different energy Spot Market architectures. The simulator considers three different architectures: (i) decentralized Spot Markets (the combined Market and system operator approach, as in the Spanish Market and the original architecture adopted in California); (ii) centralized Spot Markets (for Spot Markets whose basis is a unit commitment model) and (iii) hybrid Spot Market architectures (electricity Markets that operate under a single operator and avoid unit-commitment type of complexities). The software platform integrates tools for data management and display as well as available solvers for mathematical programming problems. The platform has successfully been used for basic training on electricity Markets to around fifty engineers of the national energy control center in Mexico, undergraduates and graduates on electrical engineering, personnel at the energy regulatory commission in Mexico and engineers of five different system/Market operators of the Central American countries.
Hani S. Mahmassani - One of the best experts on this subject based on the ideXlab platform.
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sourcing truckload capacity in the transportation Spot Market a framework for third party providers
Transportation Research Part A-policy and Practice, 2017Co-Authors: Christopher Lindsey, Hani S. MahmassaniAbstract:Due to uncertainty in supply chains and carrier networks stretched thin by demand, it is sometimes necessary for shippers to procure capacity for shipments on the transportation Spot Market. The transportation Spot Market is a mechanism by which unfulfilled and urgent demand is satisfied. Shipments are tendered one at a time on a load-by-load basis. Because of the often severe shortage of Spot Market capacity and its relatively high and volatile prices, shippers must actively as opposed to passively seek carrier capacity. Often, they turn to third parties. This research considers third party brokers (3PL, or non-asset carriers) operating in the Spot Market. On behalf of shippers, these brokers take responsibility for shipments and secure capacity for them. The paper proposes a behaviourally-based conceptual framework that uses 3PL broker data to improve the search for capacity on the Spot Market. It seeks to improve the effectiveness of the search process by combining (1) broker data on the availability of carrier capacity, (2) a priori information on a particular carrier’s likely response to various prices to service a load (the reservation price), and (3) the ability to source multiple loads simultaneously (bundling). These components are incorporated into a framework that enables brokers to better prioritize the carriers they contact, thereby improving outcomes in terms of lower carrier costs and reduced search effort.
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Measuring Carrier Reservation Prices for Truckload Capacity in the Transportation Spot Market: Choice Experiment
Transportation Research Record, 2015Co-Authors: Christopher Lindsey, Hani S. MahmassaniAbstract:An important element of the U.S. motor carrier industry is the transportation Spot Market. The transportation Spot Market consists of shipments handled on a one-time, load-by-load basis and exists to facilitate urgent or unfulfilled demand. This Market is characterized by price volatility and uncertainty in the availability of capacity. These aspects of the Spot Market make it challenging for shippers who rely on it. Because of the severe shortage of Spot Market capacity and the relatively high and volatile prices, shippers must actively seek carrier capacity (i.e., conduct traditional transportation auctions). Often, shippers employ the help of third parties. This research yields insight into the Spot Market by presenting some results of a hypothetical field experiment on Spot Market transactions for truckload shipments. The assumption was that a shipper’s efforts to secure truckload capacity could be improved with better information on how carriers valued potential transactions differently. The research...
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CARRIER RESERVATION PRICES FOR TRUCKLOAD CAPACITY ON THE Spot Market: A STATED CHOICE EXPERIMENT
2015Co-Authors: Hani S. Mahmassani, Christopher LindseyAbstract:An important element of the U.S. motor carrier industry is the transportation Spot Market. The transportation Spot Market consists of shipments handled on a one time load-by-load basis and exists to facilitate urgent or unfulfilled demand. It is characterized by price volatility and uncertainty in the availability of capacity. These aspects of the Spot Market make it very challenging for shippers who rely on it. Because of the severe shortage of Spot Market capacity and its relatively high and volatile prices, shippers must actively as opposed to passively (i.e. conduct traditional transportation auctions) seek carrier capacity. Often, they employ the help of third parties. This research yields insight into carrier behavior underlying their acceptance of shipper loads tendered on the Spot Market by presenting results of a hypothetical field experiment on Spot Market transactions for truckload shipments in which truckload carriers evaluated Spot Market shipment offers. Participating carriers’ responses are analyzed using the random parameter mixed logit model for panel data. The discrete choice analysis results were used to estimate carrier reservation prices for the hypothetical truckload Spot Market shipments. Furthermore, the study explores the practice of sourcing multiple Spot Market loads simultaneously, also known as bundling. Offering bundled shipments in hope of securing capacity for those shipments more quickly and at better rates is a common industry practice. However, estimating reservation prices in the case of bundled shipments is more complicated than for single shipments. The paper presents an approach for that problem. The results reflect the fact that reservation prices can vary over carriers in the same lane in a measurable fashion. The speculative nature of the Spot Market introduces to it considerable behavioral dynamics. Accounting for these dynamics in operational and revenue management strategies can lead to better decision-making, particularly for shippers and their representatives. Keywords: Freight carriers behavior, truckload trucking, Spot Market, repeated decisions
Zhiyong Wang - One of the best experts on this subject based on the ideXlab platform.
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A Novel Evaluation Method of Transmission Grid Performance in Power Spot Market
IEEE Access, 2019Co-Authors: Zhiyong WangAbstract:Power Spot Market reform has been the focus of China's electric power industry restructuring initiative in recent years. The pace of introducing power Spot Markets in a number of provinces are now being accelerated. In power Spot Market, the transaction clearing results are closely coupled with power grid dispatching operations, and the power grid structure could deeply affect Market members' earnings. Therefore, there is an urgent need for a method for evaluating transmission power grid performance in the context of power Spot Market. To this end, this paper presents a novel method for evaluating the operation efficiency of a transmission grid based on locational marginal prices (LMP). Firstly, the main characteristics of power Spot Market is introduced and the influence mechanism of transmission power grid on the Market clearing outcomes is analyzed. The Market operation efficiency of the transmission grid is calculated by comparing the Market clearing results with or without considering the operational constraints of the transmission grid. Besides, an efficient computing method based on reinforcement learning is proposed to calculate the index. Finally, a case study based on the IEEE-33 bus system shows that this method can quantify the influence of transmission grid operational constraints on the transaction clearing results in Spot Market. The transmission grid performance index could be useful both in power Market trading information disclosure and as a reference index for transmission expansion planning.
