主办单位：管理学院
报告题目：Competitive Trading in Forward and Spot Markets Under Yield Uncertainty
报告人：吴肖乐教授
报告时间：6月7日下午14：00-16：00
腾讯会议号：458-784-553
主讲人简介：
吴肖乐，复旦大学管理学院教授、博士生导师。2006年本科毕业于清华大学工业工程系，2011年博士毕业于圣路易斯华盛顿大学奥林商学院。主要研究供应链管理、风险管理、可持续运营、运营和其他领域的交叉问题。其研究工作发表于Management Science, MSOM, POM, Decision Sciences, Energy Economics, EJOR等期刊。研究工作曾获华人学者管理科学与工程协会最佳论文一等奖，中国管理科学与工程学会供应链与运营管理分会优秀论文一等奖，上海市第十三届哲学社会科学优秀成果二等奖等。2017年获中国管理学青年奖，2020年获国家自然科学基金杰青项目资助。入选上海市巾帼建功标兵（2022），上海市教育系统三八红旗手（2021），上海市曙光人才计划（2016）。目前担任管理科学学报部门编辑、Production and Operations Management的Senior Editor、Naval Research Logistics和Service Science等的Associate Editor，获2016 MSOM Meritorious Service Award。担任2019 POMS Conference FOM Track Chair、中国管理现代化研究会理事、中国管理现代化研究会风险管理专业委员会秘书长、中国运筹学会随机服务与运作管理分会常务理事等。
主讲内容简介：
Many agricultural commodities are traded in both forward and spot markets. This paper studies the interplay of random yield and forward market in a hybrid market with spot and forward transactions. We examine two main questions: (a) How does yield uncertainty (yield risk and yield correlation) affect the equilibrium outcome in this hybrid market? (b) How does the existence of a forward market influence the firms' strategic behaviors and spot price volatility, and how does yield uncertainty mediate the role of the forward market? In our baseline model that considers two firms and no withholding behavior by the firms, it is found that as yield risk increases, firms may sell less in the forward market, and counterintuitively, higher yield risk may benefit firms and make the spot price less volatile. The existence of a forward market leads to greater spot price volatility; that is, a forward market destabilizes spot price. We identify a mitigating effect of yield variability, but an enhancing effect of yield correlation, on the role of the forward market. Finally, we extend our baseline model to the case with more than two firms and the setting where the firms may withhold some products, and demonstrate that some of the key results in the baseline model carry over to these extensions. Nevertheless, the firms' withholding behavior represents a new driving force that changes some results. For example, the decreasing trend of spot price volatility in yield risk disappears in the withholding model.
欢迎有兴趣的教师、博士生、硕士生参加。
管理学院科研管理办公室
2022年05月27日
