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The sensitivity of commodity markets to exchange operations such as swing

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  • A pricing model for the simplest commodity markets is considered. The model describes the behavior of the Order Book, consisting of orders from producers, consumers and speculators. The paper explores the external impact on this model in the form of large operations by new market participants, who at high speeds begin to push forward their orders, for example, first bids and then asks. Such strategies are called swings. This paper investigates a single cycle of one simple trading strategy of the swing type. Found a particular model case of pricing potentiality price relative to swing operation. An example is given, that shows that the simplest commodity markets with producers and consumers have the internal property that they are potentially vulnerable to external influences. The swinging of prices through large purchases and sales leads to systematic profits of the entrants at the expense of the traditional market participants.

    Mathematics Subject Classification: Primary:91B26;Secondary:91B74.


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  • Figure 1.  Impact of third player in the case of stable supply and demand intensities

    Figure 2.  Impact of the exchange operations such as swings

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