Knowledge Discovery to Support WTI Crude Oil Price Risk Management

Abstract

The high volatility of commodity prices and various problems that the energy sector has to deal with in the era of COVID-19 have significantly increased the risk of oil price changes. These changes are of the main concern of companies for which oil is the main input in the production process, and therefore oil price determines the production costs. The main goal of this paper is to discover decision rules for a buyer of American WTI (West Texas Intermediate) crude oil call options. The presented research uses factors characterizing the option price, such as implied volatility and option sensitivity factors (delta, gamma, vega, and theta, known as “Greeks”). The performed analysis covers the years 2008–2022 and options with an exercise period up to three months. The decision rules are discovered using association analysis and are evaluated in terms of the three investment efficiency indicators: total payoff, average payoff, and return on investment. The results show the existence of certain ranges of the analyzed parameters for which the mentioned efficiency indicators reached particularly high values. The relationships discovered and recorded in the form of decision rules can be effectively used or adapted by practitioners to support their decisions in oil price risk management.

Optimizing Last-Mile Delivery: A Multi-Criteria Approach with Automated Smart Lockers, Capillary Distribution and Crowdshipping

“…This research focuses on common-carrier automated smart lockers for parcels and other delivery items, which contain automated multi-compartment storage systems that allow couriers to appropriately dispose of things and temporarily and securely store online purchases until they are picked up by clients [96]. These storage systems are commonly found in residential structures, stores, petrol stations and community centers, where they serve groups of people [97,98]. Correos has had automated smart lockers called "Citypaq" since 2015, with over 4200 automated smart lockers in Spain.…”