This project aims to examine recent developments in commodity derivatives markets. The changed industrial organization and the financialization of these markets are major phenomena, both of which call for changes in regulation.
Organized from March to November 2015, the thematic semester will include an opening conference, a series of thematic seminars, a summer school and a closing conference.
Link to the Thematic Semester’s webpage
26-27 March 2015 – Institut Henri Poincaré (IHP), Paris
To launch the thematic semester, the opening conference will aim to show the state of the art and especially to identify new research problems. Special emphasis will be given to the identification of unsolved problems.
Program, practical information and online registration
A Course by Professor Alessio Porretta
From March 9th to April 16th 2015
Institut Henri Poincaré (IHP), Paris
Mean field games theory was initiated by J.-M. Lasry and P.-L. Lions since 2006 in order to describe control processes with large number of agents (say, a population of identical individuals) whose strategy is influenced by the overall distribution of the agents. The macroscopic description, suggested as an asymptotic regime of Nash equilibria of N-players games when N goes to infinity, is given in terms of a new system of PDEs, where a backward Hamilton-Jacobi-Bellman equation (describing the individual strategy) is coupled with a forward Kolmogorov-Fokker-Planck equation (describing the evolution of the distribution law). The goal of this course is to present several problems and methods recently developed in the study of those systems, addressing questions such as the long time behavior and its connection with the turnpike property of controlled systems, the optimal transport of the distribution law, the well-posedness of weak theories and other possible related directions of research.
Further information on the FSMP Website
June 10-12 2015,
Paris (Institut Henri Poincare)
The meeting will be a continuation of the workshops on Mean Fields Games and Related Topics, held in Rome (May 12-13 2011) and Padova (September 4-6 2013).
Further information on the Conference website
The conference is supported by:
The “Finance and Sustainable Development”Chair
The CEREMADE, Université Paris-Dauphine
The Laboratoire Jacques-Louis Lions
The Institut Louis Bachelier
The Projet ANR ISOTACE
The Institut Henri Poincaré
by Delphine Lautier, Franck Raynaud & Michel A. Robe
We apply the concepts of conditional entropy, information transfers and directed graphs to investigate empirically the propagation of price fluctuations across a futures term structure. We focus on price relationships for North American crude oil futures because this key market experienced several structural changes between 2000 and 2014: financialization (starting in 2003), infrastructure limitations (in 2008-2011) and regulatory changes (in 2012-2014) in addition to big demand and supply shocks in the underlying asset market. We find large variations over time in the amount of information shared by contracts with different maturities. Although on average short-dated contracts (up to 6 months) emit more information than backdated ones, a dynamic analysis reveals that, after 2012, similar amounts of information flow backward and forward along the futures maturity curve. The mutual information share increased substantially starting in 2004 but fell back sharply in 2012-2014. In the crude oil space, our findings point to a puzzling re-segmentation of the futures market by maturity in 2012-2014. More broadly, they have implications for the Samuelson effect and raise questions about the causes of market segmentation.
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by Delphine Lautier, Julien Ling and Franck Raynaud
We examine the impact of two financial crises on commodity derivative markets: the subprime crisis and the bankruptcy of Lehman Brothers. These crises are “external” to the commodity markets because they occurred in the financial sphere. Still, because commodity markets are now highly integrated with each other and with other financial markets, such events could have had an impact. In order to fully comprehend this possible impact, we rely on tools inspired by the graph theory that allow for the study of large databases. We examine the daily price fluctuations recorded in 14 derivative markets from 2000 to 2009 in three dimensions: the observation time, the space dimension – the same underlying asset can be traded simultaneously in two different places – and the maturity of the transactions. We perform an event study in which we first focus on the efficiency of the price shock’s transmission to the commodity markets during the crises. Then we concentrate on whether the paths of shock transmission are modified. Finally, relying on the measure proposed by Bonacich (1987) for social networks, we focus on whether the centrality of the price system changes.
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More working papers
Publié dans Agathe Euzen, Laurence Eymard, Françoise Gaill (dirs). Le développement durable à découvert. CNRS Editions. 2013.
La question du développement est au cœur de la théorie économique. Malthus (1766-1834) a clairement identifié les deux limites, que la nature pose à la croissance de la population : la famine et la maladie. La révolution industrielle et scientifique a fait sauter ces deux barrières, et depuis, la population humaine et son niveau de vie sont engagés dans un processus de croissance exponentielle, de l’ordre de 3 % par an…
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by Ivar Ekeland, Yiming Long & Qinglong Zhou
In economic theory, and in optimal control, it has been customary to discount future gains at a constant rate δ > 0 (…). That future gains should be discounted is well grounded in fact. On the one hand, humans prefer to enjoy goods sooner than later (and to suffer bads later than sooner), as every child-rearing parent knows. On the other hand, it is also a reflection of our own mortality: 10 years from now, I may simply no longer be around to enjoy whatever I have been promised. These are two good reasons why people are willing to pay a little bit extra to hasten the delivery date, or will require compensation for postponement, which is the essence of discounting. On the other hand, there is no reason why the discount rate should be constant, i.e. why the discount factor should be an exponential e−δt.
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More working papers
Conférence Les Nouveaux Outils du Développement Durable : Méthodes Quantitatives pour l’Economie et la Finance de l’Energie et des Ressources Naturelles
Université Paris Dauphine – Salle Raymond Aron – 24 & 25 octobre 2013
L’objectif de cette conférence est de faire le point sur les travaux réalisés depuis 7 ans au sein de la Chaire et au sein des « Initiatives de recherche », projets de recherche parrainés par la Chaire et ciblés sur des sujets plus précis (assurance récolte, microstructure des marchés financiers, finance des marchés de l’énergie…).
Autour de conférences invitées, six ateliers seront organisés sur 2 jours portant sur des méthodologies novatrices (jeux à champ moyen) ou des thèmes ciblés (les outils de la micro assurance pour les agriculteurs des pays en développement, la finance des marchés de l’énergie, etc). On alternera les présentations de chercheurs senior et les présentations de jeunes chercheurs.
Plus d’informations sur le site de la Conférence
Available at www.amazon.fr
This book brings together the lecture notes from the seminars held at the Finance and Sustainable Development Chair from 2007 to 2009. The first part is concerned with climate change policies, with particular emphasis on the relevance of traditional economic theories. The second part deals with economic concepts and methodologies associated with sustainable development. It presents the precautionary principle, discusses the concept of externalities and introduces the methodology of mean field games. The third part is devoted to models and empirical applications in various fields, such as water resources, gas emissions, and a sustainable development path. The fourth part deals with carbon markets, along with their theoretical justification and historical development. The last part focuses on socially responsible investment and gives insights in regard to its definition, its links with sustainable development, and the way it could be used for investment strategies.
Jean-Michel Lasry, Delphine Lautier & Damien Fessler (editors), The Economics of Sustainable Development, Economica, 2010