How Market Structure Drives Commodity Prices
| Autor: | Li, Bin, Wong, K. Y. Michael, Chan, Amos H. M., So, Tsz Yan, Heimonen, Hermanni, Wei, Junyi, Saad, David |
|---|---|
| Rok vydání: | 2015 |
| Předmět: | |
| Zdroj: | J. Stat. Mech. (2017) 113405 |
| Druh dokumentu: | Working Paper |
| Popis: | We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own resource level and a couple of macroscopic parameters that emerge naturally from the analysis, akin to mean-field parameters in statistical mechanics. When resources are scarce prices rise sharply below a turning point that marks the disappearance of excess producers. To compare the model with real empirical data, we study the relations between commodity prices and stock-to-use ratios of a range of commodities such as agricultural products and metals. By introducing an elasticity parameter to mitigate noise and long-term changes in commodities data, we confirm the trend of rising prices, provide evidence for turning points, and indicate yield points for less essential commodities. Comment: 17 pages, 5 figures, 1 table, 15 pages of Supporting Information |
| Databáze: | arXiv |
| Externí odkaz: |
|