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Arbitrage in economics and elsewhere – facts well known and less known (three papers on arbitrage ideas, modeling and pricing – yesterday, today and tomorrow) – introduction to the series

100%
Rybicki W.
Mathematical Economics
|
2011
|
issue 7 (14)
169-172
XX
The presented series of articles on arbitrage theories and their methodological aspects consist of three papers entitled as follows: I. The Primer on Arbitrage Conceptions in Economics: Their Logics, Roots and Some Formal Models (Historical and Bibliographical Notes). II. Mathematics of Financial Arbitrage: From Algebraic Geometry at the Turn of the 19th and 20th Centuries to Modern Martingale (Generalized) Considerations III. The Arbitrage in Stochastic Finance, Social Choice Theory and Macroeconomics. The articles are devoted to present – in a historical perspective – the basic ideas and “metamorphoses” of the notion and role of an arbitrage (originated as a kind of clever and rational speculation – the last word is used in a “neutral”, not pejorative sense) as well as to point out its various, important connotations (not merely in finance or even economics) and to demonstrate some mathematical inevitable technicalities, reflecting, in fact, the logical essence and the modern view of the arbitrage (and non arbitrage) conditions.
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APT Model for Electricity Prices on the Day Ahead Market of the Polish Power Exchange

84%
Ganczarek A., University of Economics in Katowice D. o. S.
Acta Universitatis Lodziensis. Folia Oeconomica
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2005
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vol. 194
PL
W pracy przedstawiliśmy model zależności zmiany ceny energii elektrycznej od czynników makroekonomicznych, takich jak zmiany: kursu dolara, kursu marki, inflacji, bezrobocia, cen produkcji w górnictwie, kopalnictwie oraz przetwórstwie przemysłowym, wydobyciu węgla kamiennego oraz czynników pogodowych. Przedmiotem badań jest empiryczna weryfikacja modelu ceny na RDN Giełdy Energii SA w 2001 r. z wykorzystaniem metody głównych składowych. Otrzymane wyniki skonfrontowaliśmy z wynikami uzyskanymi dla modelu APT, w którym do doboru składowych modelu zastosowaliśmy metodę analizy grafów i metodę optymalnego wyboru predyktant zaproponowanych przez Z. Hellwiga. Celem tej pracy jest wyłonienie modelu efektywniej opisującego kształtowanie się cen na RDN.
EN
In this paper we presented the model of the dependence of the electricity price on macroeconomic factors such as changes in the dollar price, the Deutsche mark price, the rate of inflation, the rate of unemployment, price changes in the mining industry, the production of the manufacturing sector, the output of the mining industry and weather conditions. The aim of this article was the empirical verification of the price model on the Day Ahead Market (DAM) of the Polish Power Exchange in 2001 based on the principal components method. The results were compared with the results for the APT model, selected by means of the graph analysis method and the optimum choice method proposed by Z. Hellwig. The aim of this work was to choose the best model for the description of price trends on the DAM.
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