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Record W122619009 · doi:10.15173/esr.v14i1.485

The Dynamics of Risk Premiums in Nord Pool's Futures Market

2006· article· en· W122619009 on OpenAlexvenueno aff
Erling Mork

Bibliographic record

VenueEnergy Studies Review · 2006
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicCapital Investment and Risk Analysis
Canadian institutionsnot available
Fundersnot available
KeywordsNormal backwardationConvenience yieldFutures contractSpot contractArbitrageEconomicsContangoYield (engineering)Financial economicsCommodityRisk premiumMicroeconomicsFinance

Abstract

fetched live from OpenAlex

The existence of premiums in futures prices has been the subject of much debate. This debate has centered around two views: the no-arbitrage model or theory of storage, and the equilibrium approach, sometimes called the theory of normal backwardation. The no-arbitrage approach equates the futures price to the spot price, storage cost and convenience yield. One can see immediately that it is difficult at best to apply this approach to electricity markets, where the underlying commodity is non-storable. Storage costs and convenience yield either become infinite or lose their meaning. It is of particular interest, then, to examine these prices from the equilibrium approach, which splits futures prices into an expected spot price component and a risk premium component. (Fama and French, 1987)

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.001
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: none
GenreCandidate signal: Review · Consensus signal: Review
Teacher disagreement score0.757
Threshold uncertainty score0.924

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0010.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.017
GPT teacher head0.234
Teacher spread0.217 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one teacher head, not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designTheoretical or conceptual
Domainnot available
GenreReview

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations7
Published2006
Admission routes1
Has abstractyes

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