is there private information in the fx market the tokyo experiment it is a common view that private information in the foreign exchange market does not exist we provide evidence against this view the evidence comes from the introduction of trading in tokyo over the lunch hour lunch re turn variance doubles with the introduction of trading which cannot be due to public information since the flow of public information did not change with the trading rules having eliminated public information as the cause we exploit the volatility pattern over the whole day to discriminate between the two alternatives private information and pricing errors three key re sults support the predictions of private information models first the vola tility u shape flattens greater revelation over lunch leaves a smaller share for the morning and afternoon second the u shape tilts upward an impli cation of information whose private value is transitory finally the morning exhibits a clear u shape when tokyo closes over lunch and it disappears when trading is introduced

heterogeneous information arrivals and return volatility dynamics uncovering the long run in high frequency returns recent empirical evidence suggests that the interdaily volatility clustering for most speculative returns are best characterized by a slowly mean reverting fractionally integrated process meanwhile much shorter lived volatility dynamics are typically observed with high frequency intradaily returns the present article demonstrates that by interpreting the volatility as a mixture of numerous heterogeneous short run information arrivals the observed volatility process may exhibit long run dependence as such the long memory characteristics constitute an intrinsic feature of the return generating process rather than the manifestation of occasional structural shifts these ideas are confirmed by our analysis of a one year time series of fiveminute deutschemark u s dollar exchange rates among the most puzzling issues is the behavior of volatility while the general properties of volatility remain elusive perhaps the most intriguing feature revealed by empirical work on volatility is its long persistence such behavior has sparked a search almost akin to that for the holy grail for the perfect garch model but the underlying question of why such volatility persistence endures remains unanswered we conjecture that the ability to analyze higher frequency data may be particularly useful in pursuing this issue goodhart and o hara 1997 the pronounced volatility clustering is arguably one of the most striking features of financial price series recorded at daily or weekly intervals and a large body of literature seeking to characterize this aspect of speculative returns has emerged over the past decade 1 at the same time convincing theoretical explanations for the underlying sources of long run persistence in volatility remain elusive the recent advent of comprehensive high frequency andersen is from the j l kellogg graduate school of management of northwestern university bollerslev is from the university of virginia and is a research associate at the national bureau of economic research we gratefully acknowledge the financial support provided by a research grant from the institute for quantitative research in finance the q group special thanks are due to olsen and associates for making the intradaily exchange rate quotes and reuter s news tape available we have received valuable comments from wake epps clive w j granger stephen f gray j huston mcculloch as well as seminar participants at the december 1996 triangle econometrics workshop the 1997 afa meetings in new orleans academia sinica the wharton school usc and georgetown and york universities we remain fully responsible for the content 1 see bollerslev chou and kroner 1992 for a survey of this literature using arch type

scheduling the production of several items with random demands in a single facility consider the problem of scheduling the production of several items in a single facility that can produce only one item at a time this problem occurs since it is often economic to produce several items in a single facility the objective is to reduce the long run average holding backorder and setup costs we assume that demands are random with constant expected rates we allow backorders and charge holding and backlogging costs at linear time weighted rates items are produced at continuous constant rates setup times and setup costs are item dependent constants these parameters however are independent of the order of setups a real time scheduling tool is developed in three steps first with demands replaced by their expectations we compute an optimal or near optimal target cyclic schedule next we study the problem of scheduling the facility after a single disruption perturbs the inventories the goal is to recover the target cyclic schedule at minimal excess over the average cost of the cyclic schedule we formulate this as a control problem and obtain a linear recovery policy that is optimal for a large configuration of disruptions finally we select safety stocks to minimize the long run average cost of following the target schedule with the recovery policy we show that optimal safety stocks are unique and have the property that in the long run the proportion of time that an item is in stock is the ratio of backorder to holding plus backorder cost we present an example that integrates the cyclic schedule the control policy and the safety stocks

determination of safety stocks for cyclic schedules with stochastic demands abstract this paper considers the problem of scheduling the production of multiple items each with random demand on a single facility we show how the variance in demand during lead time can be estimated and present a model for determination of safety stocks and order up to levels for a fixed cyclic sequence both with and without idle time for systems with idle time we present a control model to make the decision to produce next item in sequence or idle the facility the performance of the model is tested in a simulation study

sources of meteor showers and heat waves in the foreign exchange market abstract we examine the role that news and heterogeneous expectations play in the persistence of exchange rate volatility or so called meteor shower effects our empirical focus is on the u s trade balance news which is shown to have a significant and persisting effect on the exchange rate and its conditional variance furthermore the impact of u s trade balance news is not isolated to the u s foreign exchange market the degree to which u s trade balance news affects other geographical market locations is functionally related to heterogeneous priors

economic news exchange rates and interest rates the paper esamines the post october 1979 response of exchange rates and interest rates to the new information contained in the first announcement of fifteen us macroeconomic series illarkets respond primarily to monetary news but also to news about the trade deficit domestic inflation and variables that reflect the state of the business cycle for all fifteen macroeconomic variables an increase decrease in interest rates is accompanied by an appreciation depreciation of the dollar which is consistent with models that stress price rigidity and absence of purchasing power parity the effect of economic news on asset prices has received increasing attention in the economic literature because an outcome of the efficient markets rational expectations hypothesis is that flesible asset prices change the moment new information about future fundamentals arrives in the market in the exchange rate literature the role of news has gained importance because structural models have failed to predict most of the variation in exchange rates during the 1970s see imeese and rogoff 1983 researchers were naturally led to investigate the types of news that make exchange rates so volatile and to utilize news in order to test which model of exchange rate determination is consistent with the floating eschange rate experience notable studies are those of dornbusch 1980 frenkel 1981 edwards 1982a b 1983 copeland 1984 and rose 1984 in this paper i also examine the effects of macroeconomic news on eschange rates but i adopt a different more direct strategy one that complements previous work avoids some of its shortcomings and promises interesting conclusions i examine the instantaneous response of exchange rates the moment a piece of economic news hits the market if one can isolate the exact time during a business day when news arrives it is straightforward to examine the response of exchange rates because financial data are continuously available the advantages of the present methodology are many first it is possible to identify the exact types of economic news and how they affect exchange rates second the simultaneity bias which plagues the previous literature on exchange rates and news is not present here the independent variables that represent news can be interpreted as causal the paper was presented at the 1985 meeting ofthe american economic association the author wishes to thank sebastian edwards r w hafer nicholas karamouzis andrew rose and two anonymous referees for helpful comments kim rupert of the money market services for providing the survey data soo kounne for able research assistance and barnard college for research support

international transmission of information evidence from the euroyen and eurodollar futures markets abstract this paper examines the information transmission between japan and the us by using the tokyo euroyen and chicago eurodollar futures these two interest rate futures markets provide a better understanding of international information transmission than stock markets which have been shown to exhibit nonsynchronous trading and market segmentation the results show that traders in tokyo chicago use information that is revealed overnight in chicago tokyo the bivariate egarch t model provides no evidence of volatility spillovers in either direction suggesting that the opening price rapidly reflects foreign information the overall results support the hypothesis that the domestic market efficiently adjusts to foreign news the results are also broadly consistent with the covered interest arbitrage effects

the statistical properties of daily foreign exchange rates 1974 1983 abstract this paper examines the statistical properties of daily rates of change of five foreign currencies from 1974 to 1983 the main purpose is to discriminate between two competing explanations for the observed heavy tails of the distribution that the data are independently drawn from a heavy tail distribution which remains fixed over time and that the data come from distributions which vary over time evidence point to the rejection of the first hypothesis further investigations show that the rejection can be attributed to changing means and variances in the data which can be described by a simple statistical model

the effects of macroeconomic news on high frequency exchange rate behavior this paper studies the high frequency reaction of the dem usd exchange rate to publicly announced macroeconomic information emanating from germany and the u s by us ing data sampled at a five minute frequency we are able to identify significant impacts of most announcements on the exchange rate change in the 15 minutes post announcement although the significance of these effects decreases rapidly as the interval over which the post announcement change in exchange rates is increased the direction of the exchange rate response conforms in general with a reaction function interpretation whereby reac tions to macroeconomic news are driven by the likely operations of monetary authorities in domestic money markets further we detect influences of german monetary policy deci sions on the reaction of the exchange rate and also differences between u s and german announcements in the exchange rate reaction time pattern i introduction this paper studies the high frequency reaction of the dem usd exchange rate to macroeconomic information emanating from germany and the u s specif ically we utilize exchange rate data covering the period 1 1 92 to 31 12 94 sam pled at a five minute frequency to investigate how the major monthly macroe conomic releases from these two countries impact the dem usd the infor mation contained in announcements over this three year period is extracted via a set of market expectation series supplied by money market services interna tional mms 1 our analysis improves on previous work in this area in two main respects first our study is conducted using very high frequency data whereas most earlier work has used exchange rate data sampled at a frequency of a number of hours or more this allows us to construct a very precise characterization of

informational linkages across trading regions evidence from foreign exchange markets abstract using a new high frequency data set from electronic broking services ebs this paper examines informational linkages in the euro dollar and dollar yen exchange rates across five trading regions asia pacific the asia europe overlap europe the europe america overlap and america information is proxied by exchange rate return direction of return volatility trading activity and order flow we find that informational linkages are statistically significant at both own region and inter region levels but own region spillovers dominate in economic significance especially for volatility and trading activity in addition order flow spillovers from the europe america overlap trading region are the most important source of spillovers to other trading regions for both currency pairs

a stochastic multi layer agent based model to study electricity market participants behavior this paper presents a new stochastic multi layer agent based model to study the behavior of electricity market participants the wholesale market players including renewable power producers are modeled in the first layer of the proposed multi agent environment the players optimize bidding offering strategies to participate in the electricity markets in the second layer responsive customers including plug in electric vehicle pev owners and consumers who participate in demand response dr programs are modeled as independent agents the objective of the responsive customers is to increase their benefit while retaining welfare the interaction between market players in day ahead and real time markets is modeled using an incomplete information game theory algorithm due to the uncertainties of resources and customers behavior the model is developed using a stochastic framework a case study containing wind power producers wpps pev aggregators and retailers providing dr is considered to demonstrate the usefulness and proficiency of the proposed multi layer agent based model

cyclical schedules vs dynamic sequencing replenishment dynamics and inventory efficiency abstract this paper addresses the efficiency of fixed sequence cyclical scheduling systems relative to that of dynamically sequenced order point methods of production control the criterion for comparison is the aggregate inventory required to achieve a target fill rate taking into account the alternative replenishment dynamics arising under the respective systems a simulation analysis demonstrates that cyclical scheduling may have smaller aggregate inventory requirement when the production process is highly utilized and when this utilization is due to demand for a small number of items having large setup times

economic lot scheduling heuristic for random demands abstract an extension to the economic lot scheduling problem is given for a single machine multi product line under random demands the goal is to find the length of production cycles that minimizes the sum of setup and inventory holding costs per unit of time and satisfies the demand for each product at the required service level first the single product finite replenishment inventory model is extended to the case of random demand then a heuristic procedure uses this extension to determine the production cycles for the multi product case computational results and comparisons with other models are reviewed

currency downside risk liquidity and financial stability abstract we estimate volatility and quantile depreciation based spillovers across 20 global currencies against the us dollar in so doing we reveal significant asymmetries in the propagation of risk across global currency markets the quantile based statistic reacts more significantly to events that have a sizable impact on fx markets e g brexit vote and the fx crash following the subprime crisis which are missed by the volatility based statistic as such our tail spillover estimates constitute a new financial stability index for the fx market this index has the advantages of being easy to build of not requiring intraday data and of being more informative about currency crises and pressures than traditional spillover statistics based on volatilities finally we also document differences in the relation between liquidity and volatility quantile spillovers

balance of trade announcements and movements in exchange rates there is a growing literature on the effect of economic news on foreign exchange rates the effects of weekly money supply announcements on exchange rates have been empirically investigated by a number of researchers over a variety of periods 1 2 3 4 7 11 12 13 the response of foreign exchange rates to other types of economic information has also been studied for example dornbusch 5 uses innovations in the current account cyclical factors and interest rates frenkel 10 uses innovations in interest rate differentials edwards 6 uses innovations in money real output and real interest rates most recently hardouvelis 14 studies the market response of three interest rates and seven exchange rates to economic news on fifteen economic aggregates including monetary announcements inflation rate announcements and announcements reflecting the stage of the business cycle this paper studies short run movements in foreign exchange rates to the commerce department s monthly announcements of the u s balance of merchandise trade it extends previous studies of foreign exchange response to economic news in three ways first by studying the response to the trade announcement which occurs two months after the month to which the announcement refers the paper provides a more precise measure of the response to the news content of trade related announcements than earlier studies this for instance is an improvement over dornbusch s 5 definition of current account news as the innovation in the actual oecd organization for economic co operation and development biannual current account estimates second the paper studies not only movements in spot rates to the announcement but calculates the movements in forward premiums to this information by studying the response in forward premiums to the merchandise trade announcements the paper examines whether the information in the announcements implies effects that operate through capital flows and interest rates in addition to responses that operate through the flow of merchandise trade

quasi fixed cyclic production schemes for multiple products with stochastic demand abstract in this paper we present an approach to generate cyclic production schemes for multiple products with stochastic demand to be produced on a single production unit this scheme specifies a fixed and periodic production sequence called a cycle where each product may occur more than once in the sequence in order to stabilize the cycle length alternative control strategies are introduced these strategies keep the cycle length close to a target length by means of adding idle time to the cycle cutting production short or overproduction on basis of the selected control strategy as well as a base stock policy target inventory levels are determined for each production run in the cycle demand can be backlogged but a certain service level is required setup times are sequence dependent and the storage is capacitated employing the developed strategies we investigate the tradeoff between stability of cycle length and total cost induced by the production schedule in a computational study based on both real world data and random test instances

deutsche mark dollar volatility intraday activity patterns macroeconomic announcements and longer run dependencies this paper provides a detailed characterization of the volatility in the deutsche mark dollar foreign exchange market using an annual sample of five minute returns the approach captures the intraday activity patterns the macroeconomic announcements and the volatility persistence arch known from daily returns the different features are separately quantified and shown to account for a substantial fraction of return variability both at the intraday and daily level the implications of the results for the interpretation of the fundamental driving forces behind the volatility process is also discussed the efficient market hypothesis contends that financial asset prices provide rational assessments of fundamental values and future payoffs by implication price changes should reflect the arrival and processing of all relevant new information however the proportion of return variability that can be ascribed to public news announcements is low for example cutler poterba and summers 1989 find that even the largest daily price changes in the stock market generally cannot be associated with any significant economic news 1 moreover proxies for the flow of public information e g the number of news items released by reuter s news service berry and hiowe 1994 or dow jones company mitchell and mulherin 1994 explain little of the overall variation thus if private information is ruled out proponents of rational price formation have to assert the existence of important news items

the impact of macroeconomic surprises on spot and forward foreign exchange markets abstract this paper evaluates the effects of surprises in 23 types of macroeconomic announcements on foreign exchange rates and on the forward premium several findings emerge first as in the balance of payment framework announcements that convey a decline in consumer demand increase foreign exchange rates second the ppp hypothesis is rejected in favor of portfolio balance effects in determining exchange rates third the behavior of forward premiums is consistent with covered interest rate parity fourth exchange rates respond to announcements related to consumer demand inflation and interest rates but not to the announcements directly related to the general strength of the economy finally among the news releases considered surprises in the treasury budget trade balance and capacity utilization have the strongest influence in the currency market

strategic behavior of multi energy players in electricity markets as aggregators of demand side resources using a bi level approach the coordination of various energy vectors under the concept of multi energy system mes has introduced new sources of operational flexibility to system managers in this paper the behavior of multi energy players mep who can trade with more than one energy carrier to maximize their profits and mitigate their operational risks has been investigated the mes is represented based on a multilayer structure namely the energy market mep the local energy system les and multi energy demand in such environment an mep aggregates les and participates in the wholesale electricity market simultaneously to maximize its profit the decision making conflict of the mep with other energy players for the aggregation of les and participation in the electricity market is modeled based on a bilevel approach numerical results show the behavior of the mep as a prosumer in the electricity market to produce smoother demand and price profiles results reveal a mutual effect of local and wholesale equilibrium prices by increasing the share of the mep

the global configuration of a speculative trading operation an empirical study of foreign exchange trading this paper proposes a theory of firm boundaries based on fore knowledge development and exploitation in speculative or informed trading foreign exchange trading provides this study s empirical context from research on information economics we suggest optimal speculative trading operations are multiunit and globally dispersed alternatively transaction cost economics suggests atomistic actors prevail in the market for fungible commodities like currencies we also develop competing hypotheses about information technology s effects on foreign exchange trading operations speculation arguments predict that the global scope of trading operations will expand after the introduction of generic information technologies transaction cost economics proposes that when atomistic actors do not prevail trading operations will contract after this introduction we test competing predictions with models of the expansion contraction and net change in a firm s global dispersion we estimate these models with data from the population of banks worldwide engaged in interbank foreign exchange currency fx trading from 1974 to 1993 our results uncover two types of firms those that approach the atomistic actor of transaction cost economics and those that resemble the globally dispersed multiunit configuration from our speculation discussion these results encourage reflection on how the theory of the firm differs when firms trade to produce versus speculate

the strategic use of capacity slack in the economic lot scheduling problem with random demand growing interest in designing systems with capacity slack as one form of flexibility raises many questions about its use and its usefulness in the framework of the economic lot scheduling problem with stochastic demand we develop on optimization based model that considers capacity slack safety stock and overtime explicitly and has the objective of minimizing the expected cost per unit time of inventory overtime and where applicable setup costs the solution is a continuous time production plan that consists of a time dependent inventory trajectory for each of the parts including the placement of planned idle time in the schedule we consider schedule stability to be desirable because of potential effects on upstream and downstream operations in multistage production settings thus the plan also has certain characteristics that contribute to achieving stability our results on the relative merits of capacity slack and safety stock indicate that capacity slack in the form of planned idle time is

trade balance news and exchange rates is there a policy signal abstract contrary to earlier studies surprisingly large us trade deficits are shown to have a significant effect on exchange rates throughout the 1980s three possible reasons for the time varying effect are considered the evidence presented yields the following inference deficit news is likely to have changed expectations of fed intervention that moved exchange rates deficit news probably has an effect on revisions of future deficit expectations and exchange rates change as a result and deficit news may change expectations regarding us trade policy that is reflected in exchange rates

a bilevel model for electricity retailers participation in a demand response market environment abstract demand response programmes are seen as one of the contributing solutions to the challenges posed to power systems by the large scale integration of renewable power sources mostly due to their intermittent and stochastic nature among demand response programmes real time pricing schemes for small consumers are believed to have significant potential for peak shaving and load shifting thus relieving the power system while reducing costs and risk for energy retailers this paper proposes a game theoretical model accounting for the stackelberg relationship between retailers leaders and consumers followers in a dynamic price environment both players in the game solve an economic optimisation problem subject to stochasticity in prices weather related variables and must serve load the model allows the determination of the dynamic price signal delivering maximum retailer profit and the optimal load pattern for consumers under this pricing the bilevel programme is reformulated as a single level milp which can be solved using commercial off the shelf optimisation software in an illustrative example we simulate and compare the dynamic pricing scheme with fixed and time of use pricing we find that the dynamic pricing scheme is the most effective in achieving load shifting thus reducing retailer costs for energy procurement and regulation in the wholesale market additionally the redistribution of the saved costs between retailers and consumers is investigated showing that real time pricing is less convenient than fixed and time of use price for consumers this implies that careful design of the retail market is needed finally we carry out a sensitivity analysis to analyse the effect of different levels of consumer flexibility

the global transmission of volatility in the foreign exchange market volatility spillovers of the dm and exchange rate across regional markets are examined using the integrated volatility of high frequency data an analysis of quoting patterns reveals five distinct regions asia asia europe overlap europe europe america overlap and america after reviewing theoretical foundations for persistence of volatility in dealership markets regional volatility models are constructed where volatility in one region is a function of yesterday s volatility in that region heat wave effect and volatility in other regions meteor shower effect evidence of statistically significant effects is found for both own region and interregional spillovers but the economic significance of own region spillovers indicates that heat waves are more important than meteor showers

the multiple family elsp with safety stocks the multiple family economic lot scheduling problem with safety stocks mfelsp ss with normally distributed time stationary demand is considered in a manufacturing setting where the relevant costs include family setup costs item setup costs and inventory holding costs for both cycle and safety stocks a family is a subset of the items that share a common family setup with its associated setup cost and setup time each item within the family may have its own setup time and setup cost the families form a partition of the set of items manufactured on a single facility the safety stock level for any item is a function of the time interval between production runs for the item the service level specified and the variance of its demand we consider safety stocks explicitly in the formulation as their holding costs vary nontrivially with the models decision variables the mfelsp ss differs from multilevel inventory models with family setups in that the former assumes noninstantaneous inventory replenishment and considers the cost of holding safety stocks the latter assumes instantaneous replenishment and does not directly assess the impact of safety stock levels on the total cost an efficient solution procedure is developed for this model properties of the nonconvex feasible space are identified and used in the solution approach the solution to the mathematical model comprises the basic period length the family multipliers and the item multipliers that give the lowest total cost of setups and carrying inventory the family multipliers and item multipliers are restricted to integer powers of two

the market microstructure of central bank intervention abstract how quickly do central bank intervention operations impact the foreign exchange market and do intra daily market conditions influence the effectiveness of central bank interventions this paper uses high frequency intra daily data to examine the relationship between the efficacy of intervention operations and the state of the market at the moment that the operation is made public the results indicate that some traders typically know that the fed is intervening at least 1 h prior to the public release of the information in newswire reports also the evidence suggests that the timing of intervention operations matters interventions that occur during heavy trading volume that are closely timed to scheduled macro announcements and that are coordinated with another central bank are the most likely to have large effects

score driven models of stochastic seasonality in location and scale an application case study of the indian rupee to usd exchange rate abstractwe estimate the stochastic seasonality of the indian rupee inr to united states dollar usd exchange rate by using new dynamic conditional score dcs specifications we use the dcs skew gen t dcs skewed generalized t distribution and dcs nig dcs normal inverse gaussian distribution models which are alternatives to the dcs t dcs student s t distribution and dcs egb2 dcs exponential generalized beta distribution of the second kind models from the literature dcs models are robust to outliers and such models effectively disentangle the local level seasonality and irregular components for the latter we apply dcs egarch dcs exponential generalized autoregressive conditional heteroscedasticity scale dynamics and we use new dcs models with seasonal volatility we use inr usd data for the period of 1 january 1982 to 7 july 2017 we find that the dcs skew gen t and dcs nig models are superior to the dcs t and dcs egb2 models respectively the amplitude of the inr usd seasonality is rel

meteor showers or heat waves heteroskedastic intra daily volatility in the foreign exchange market this paper seeks to explain the causes of volatility clustering in exchange rates careful examination of intra daily exchange rates provides a test of two hypotheses heat waves and meteor showers the heat wave hypothesis is that the volatility has only country specific autocorrelation alternatively the meteor shower is a phenomenon of intra daily volatility spillovers from one market to the next using the garch model to specify the heteroskedasticity across intra daily market segments we find that the empirical evidence is generally against the null hypothesis of the heat wave using a volatility type of vector autoregression we examine the impact of news in one market on the time path of per hour volatility in other markets

the optimality of hedging point policies for stochastic two product flexible manufacturing systems this paper studies the stochastic two item periodic review single facility flexible manufacturing systems where stochasticity comes from random demands or and unreliable production process based on a notion called difference monotone introduced in this paper we prove that the hedging point policy is optimal to the systems in general for both finite and infinite horizon cases of the problems this result is demand distribution free and does not require strict convexity or even differentiability of the one period expected cost function a general characterization of the hedging point policy together with monotone switching curves is provided

where does the meteor shower come from the role of stochastic policy coordination abstract this paper examines the intra daily volatility of the yen dollar exchange rate over three different regimes from 1979 to 1988 which correspond to different degrees of international policy coordination in each regime we test for heat wave vs meteor shower effects the heat wave hypothesis assumes that volatility has only country specific autocorrelations while the meteor shower hypothesis allows volatility spillovers across markets meteor shower showers can be caused by stochastic policy coordination or by gradual release of private information the rejection of the heat wave hypothesis in the early 1980s discredits the stochastic policy coordination interpretation

flexible exchange rates a closer look abstract the stochastic properties of flexible exchange rates are investigated by looking at a sample of intradaily sfr quotes for 231 trading days in 1983 estimated moments of the distribution of returns over five minute intervals often exhibit large changes which are mostly unpredictable even from one day to the next autocorrelation in returns is generally absent even inside a given day specific days of the week do not exhibit any special characteristics during a single day both relative changes in exchange rates as well as their volatility show some distinct patterns

the stochastic economic lot scheduling problem cyclical base stock policies with idle times in this paper we discuss stochastic economic lot scheduling problems elsp i e settings where several items need to be produced in a common facility with limited capacity under significant uncertainty regarding demands production times setup times or combinations thereof we propose a class of production inventory strategies for stochastic elsps and describe how a strategy which minimizes holding backlogging and setup costs within this class can be effectively determined and evaluated the proposed class of strategies is simple but rich and effective when the facility is assigned to a given item production continues until either a specific target inventory level is reached or a specific production batch has been completed the different items are produced in a given sequence or rotation cycle possibly with idle times inserted between the completion of an item s production batch and the setup for the next item an optimal strategy within the class can be determined and all relevant performance measures can be evaluated in just a few cpu seconds using a 486 based pc we also derive a number of easily computable lower bounds for the optimal cost value and establish a comparison with deterministic elsps

stochastic multiobjective market clearing of joint energy and reserves auctions ensuring power system security in this paper a stochastic multiobjective framework is proposed for day ahead joint market clearing the proposed multiobjective framework can concurrently optimize competing objective functions including augmented generation offer cost and security indices overload index voltage drop index and voltage stability margin besides system uncertainties including generating units and branches contingencies and load uncertainty are explicitly considered in the stochastic market clearing scheme the solution methodology consists of two stages which firstly employs roulette wheel mechanism and monte carlo simulation mcs for random adaptive 24 h scenario generation wherein the stochastic multiobjective market clearing procedure is converted into its respective deterministic equivalents scenarios in the second stage for each deterministic scenario a multiobjective mathematical programming mmp formulation based on the epsiv constrained approach is implemented for provision of spinning reserve sr and nonspinning reserve nsr as well as energy the mmp formulation of the market clearing process is optimized while meeting ac power flow constraints and expected interruption cost eic the ieee 24 bus reliability test system rts 24 bus is used to demonstrate the performance of the proposed method

lot sizes in a capacity constrained facility a simulation study of stationary stochastic demand abstract this paper considers the scheduling of several different items on a single machine in literature known as the economic lot scheduling problem elsp one of the characteristics of this problem is that the demand rate is deterministic and constant however in a practical situation demand usually varies in this paper we examine if a deterministic model can be used if demand is stationary stochastic a dynamic programming approach from bomberger manage sci 12 11 1966 778 and a heuristic method from segerstedt int j production econom 59 1 3 1999 469 are used to calculate lot sizes for four items the production of these items is simulated with different variations in demand rates our conclusion is that a deterministic model of this kind can be used in a practical situation where the demand rate is stationary stochastic but the models must be complemented by a decision rule which item to produce and when to produce it in our tests the heuristic method and the dynamic programming approach perform rather similarly with respect to costs and inventory levels but the dynamic programming approach results in more backorders when there is small variation in demand rates this study indicates that the model used for determination of lot sizes is of less importance than the decision rule used for identification of the item to produce and when to produce it

determination of an order up to policy in the stochastic economic lot scheduling model we consider a production inventory problem with compound renewal item demand the model consists of stockpoints one for each item controlled according to r s policies and one machine which replenishes them the replenishment orders are produced with a fixed rate on the machine with significant setup times and costs which are stochastic and sequence dependent the time between the release and the production of the replenishment order is called the waiting time we develop analytical approximations for the first two moments of this waiting time the order up to levels and the average physical inventory levels for all stockpoints given the target fill rates these analytical approximations allows for a quick evaluation of the waiting time which is important when optimization of the system is considered

the price variability volume relationship on speculative markets this paper concerns the relationship between the variability of the daily price change and the daily volume of trading on the speculative markets our work extends the theory of speculative markets in two ways first we derive from economic theory the joint probability distribution of the price change and the trading volume over any interval of time within the trading day and second we determine how this joint distribution changes as more traders enter or exit from the market the model s parameters are estimated by fiml using daily data from the 90 day t bills futures market the results of the estimation can reconcile a conflict between the price variability volume relationship for this market and the relationship obtained by previous investigators for other speculative markets this paper concerns the relationship between the variability of the daily price change and the volume of trading on speculative markets previous empirical studies 2 3 6 12 14 16 of both futures and equity markets always find a positive association between price variability as measured by the squared price change ap2 and the trading volume 2 there are two explanations for the relationship clark s 2 explanation which is secondary to his effort to explain why the probability distribution of the daily price change is leptokurtic emphasizes randomness in the number of within day transactions in clark s model the daily price change is the sum of a random number of within day price changes the variance of the daily price change is thus a random variable with a mean proportional to the mean number of daily transactions clark argues that the trading volume is related positively to the number of within day transactions and so the trading volume is related positively to the variability of the price change the second explanation is due to epps and epps 6 their model examines the mechanics of within day trading the change in the market price on each within day transaction or market clearing is the average of the changes in all of the traders reservation prices epps and epps assume there is a positive relationship between the extent to which traders disagree when they revise their reservation prices and the absolute value of the change in the market price that is an increase in the extent to which traders disagree is associated with a larger absolute price change the price variability volume relationship arises then because the volume of trading is positively related to the extent to which traders disagree when they revise their reservation prices

news from the u s and japan which moves the yen dollar exchange rate abstract intra daily movements in the yen dollar exchange rate are examined in four non overlapping segments within each business day from january 1980 to september 1985 the results indicate that the dollar tended to appreciate in the new york segment and depreciate in the european segment in three of the four subsamples considered the tokyo segment made virtually no contribution to annual yen dollar rate movements the volatility of the exchange rate also differed across markets finally in examining the relative effects of news from the u s and japan explicitly u s money announcement surprises had the most consistent effects

intra day and inter market volatility in foreign exchange rates four foreign exchange spot rate series recorded on an hourly basis for a six month period in 1986 are examined a seasonal garch model is developed to describe the time dependent volatility apparent in the percentage nominal return of each currency hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worlds major markets robust lm tests designed to deal with the extreme leptokurtosis in the data fails to uncover any evidence of misspecification or the presence of volatility spillover effects between the currencies or across markets

stock returns and volatility most asset pricing models postulate a positive relationship between a stock portfolio s expected returns and risk which is often modeled by the variance of the asset price this paper uses garch in mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation after estimating a variety of models from daily and monthly portfolio return data we conclude that any relationship between mean returns and own variance or standard deviation is weak the results suggest that investors consider some other risk measure to be more important than the variance of portfolio returns

conditional variance and the risk premium in the foreign exchange market abstract we investigate the existence of a risk premium in the foreign exchange market based on the conditional variance of market forecast errors the forecast errors are assumed to follow the arch process introduced by engle 1982 estimation and diagnostic testing of the model are discussed and results are presented for the currencies of the united kingdom france germany japan and switzerland