Dissertations / Theses: 'Price fixing – Mathematical models'

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Thai, Doan Hoang Cau Australian Graduate School of Management Australian School of Business UNSW. "Analysing tacit collusion in oligopolistic electricity markets using a co-evolutionary approach." Awarded by:University of New South Wales. Australian Graduate School of Management, 2005. http://handle.unsw.edu.au/1959.4/22478.

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Wholesale electricity markets now operate in many countries around the world. These markets determine a spot price for electricity as the clearing price when generators bid in energy at various prices. As the trading in a wholesale electricity market can be seen as a dynamic repeated game, it would be expected that profit maximising generators learn to engage in tacit collusion to profitably increase spot market prices. This thesis investigates this tacit collusion of generators in oligopolistic electricity markets. We do not follow the approach of previous work in game theory that presupposes firms' collusive strategies to enforce collusion in an oligopoly. Instead, we develop a co-evolutionary approach (extending previous work in this area) using a genetic algorithm (GA) to co-evolve strategies for all generators in some stylised models of an electricity market. The bidding strategy of each generator is modelled as a set of bidding actions, one for each possible discrete state of the state space observed by the generator. The market trading interactions are simulated to determine the fitness of a particular strategy. The tacitly collusive outcomes and strategies emerging from computational experiments are thus obtained from the learning or evolutionary process instead of from any pre-specification. Analysing many of those emergent collusive outcomes and strategies. we are able to specify the mechanism of tacit collusion and investigate how the market environment can affect it. We find that the learned collusive strategies are similar to the forgiving trigger strategies of classical supergame theory (Green and Porter, 1984). Also using computational experiments, we can determine which characteristics of the market environment encourage or hinder tacit collusion. The findings from this thesis provide insights on tacit collusion in an oligopoly and policy implications from a learning perspective. With modelling flexibility, our co-evolutionary approach can be extended to study strategic behaviour in an oligopoly considering many other market characteristics.

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Yang, Kangle, and 楊康樂. "A uniform-price method for contract auctions." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B32003067.

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關惠貞 and Wai-ching Josephine Kwan. "Trend models for price movements in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211513.

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Kwong, Sunny Kai-Sun. "Price-sensitive inequality measurement." Thesis, University of British Columbia, 1985. http://hdl.handle.net/2429/25807.

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The existing inequality indexes in the economics literature (including the more sophisticated indexes of Muellbauer (1974) and Jorgenson-Slesnick (1984)), are found to be insensitive to relative price changes or are unjustifiable in terms of social evaluation ethics or both. The present research fills this gap in the literature by proposing a new index, named the Individual Equivalent Income (IEI) index. A household indirect utility function is hypothesized which incorporates certain attribute parameters in the form of equivalence scales. These attributes are demographic and environmental characteristics specific to a given household. This indirect utility function gives a number which represents the utility of each member of the household. A particular level of interpersonal comparison of utilities is assumed which gives rise to an exact individual utility indicator named equivalent income. A distribution of these equivalent incomes forms the basis of a price-sensitive relative inequality index. This index can be implemented in the Canadian context. Preferences are assumed to be nonhomothetic translog and demand data are derived from cross-section surveys and time-series aggregates. Based on demand data, the translog equivalent income function can be estimated and equivalent incomes imputed to all individuals in society. An Atkinson index of equivalent incomes is then computed to indicate the actual degree of inequality in Canada. The new IEI index is compared with other indexes based on a common data set. The main findings are: conventional indexes give bad estimates of the true extent of inequality and the IEI index, while providing a more accurate estimate, indicates distributive price impact in a predictable manner, i.e., food price inflation aggravates while transportation price inflation ameliorates the inequality problem.
Arts, Faculty of
Vancouver School of Economics
Graduate

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Cheng, Lap-yan, and 鄭立仁. "Extension of price-trend models with applications in finance." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B37428408.

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Lu, Zhen Cang. "Price forecasting models in online flower shop implementation." Thesis, University of Macau, 2017. http://umaclib3.umac.mo/record=b3691395.

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Cao, Min, and 曹敏. "Models for delivery and price equilibrium and statistical quality control in supply chains." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B38576090.

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Alsolami, Majdi. "Mathematical modelling of mid-term options price of Ijārah Sukūk." Thesis, University of Sussex, 2018. http://sro.sussex.ac.uk/id/eprint/77864/.

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The main aim of this thesis is to study the pricing of options of Ijārah Sukūk for lifespan. The pricing formulae of mid-term call and put options are derived by computing the expected value under the risk neutral measure and using an appropriate condition of exercising the option at mid-term. The mid-term option prices with continuous Ijārah obtained using these formulae are compared with the prices of European and American options with dividend for lifespan. The comparison is done both analytically and numerically. The same analysis is done for callable and puttable Sukūk with Ijārah and compared with the prices of European and American callable and puttable bond with coupon for lifespan. We also study the relationship between callable Sukūk price and Ijārah rate by computing the duration and convexity of the callable Sukūk price. The same analysis is done for puttable Sukūk.

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Jin, Zengxiang, and 金增祥. "Price discovery in the property forward and spot markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B38957759.

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Ma, Chi, and 馬芷. "Properties of real estate price indices." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B31240707.

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Ma, Chin-wan Raymond, and 馬展雲. "A study on the beta coefficients of securities in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1989. http://hub.hku.hk/bib/B31976050.

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Lee, Seonah. "Study of demand models and price optimization performance." Diss., Georgia Institute of Technology, 2011. http://hdl.handle.net/1853/42914.

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Accurately representing the price-demand relationship is critical for the success of a price optimization system. This research first uses booking data from 28 U.S. hotels to investigate the validity of two key assumptions in hotel revenue management. The assumptions are: 1) customers who book later are willing to pay higher rates than customers who book earlier; and, 2) demand is stronger during the week than on the weekend. Empirical results based on an analysis of booking curves, average paid rates, and occupancy rates for group, restricted retail, unrestricted retail, and negotiated demand segments challenge the validity of these assumptions. The combination of lower utilization rates and greater product differentiation suggests that hotels should apply different approaches than simply matching competitor rates to avoid losing market share. On days when inventory is near capacity, traditional yield management tactics deliver tremendous value, but these should be augmented by incorporating price response of demand and competition effects. On days when demand is soft and occupancy is projected to be low, price and competition based strategies should dominate. The hotel price optimization problem with linear demand model is a quadratic programming problem with prices of products that utilize multiple staynight rooms as the decision variable. The optimal solution of the hotel price optimization problems has unique properties that enables us to develop an alternative optimization algorithm that does not require solving quadratic optimization problem. Using the well known least norm problem as a subroutine, the optimization problem can be solved as finding a minimum distance between a polyhedron defined by non-negative demand and capacity constraints. This algorithm is efficient when only a few of the staynights are highly constrained. In practice, the choice of a demand model is largely driven by the ease of estimation and model fit statistics such as R2 and mean absolute percentage error (MAPE). These metrics provide measures of statistical validity of the model, however, they do not measure how well the price optimization will perform which is the ultimate interest of the practitioners. In order to measure the impact of demand models on price optimization performance, we first investigate the goodness of fit of linear demand models with different driver variables using actual data from 23 U.S. hotels representing multiple brands and location types. We find that hotels within the same location types (such as urban, suburban, airport) share similar driver variables. Airport and suburban hotels have simpler model specifications with less drivers compared to the urban hotels. The airport hotel demand models are different from other location hotels in that the airport hotel demand level does not differ by day of week. We then measure the impact of demand model misrepresentation on the performance of price optimization through simulation experiments, which are performed for different levels of demand and forecast accuracy to represent various market environments that hotels operate in. We find that using models with missing driver variables can reduce the potential revenue by 13%∼53% and using the wrong functional form 5%∼43% under our simulation environment. The findings from our research imply that correctly representing the demand model in price optimization is crucial to its success. In order for hotels to realize the maximum potential revenue through pricing, efforts should be focused on identifying the major driver variables influencing demand including the ones that we found to be significant.

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Kwok, Ho King Calvin Actuarial Studies Australian School of Business UNSW. "Energy price modelling and risk management." Awarded by:University of New South Wales. Actuarial Studies, 2007. http://handle.unsw.edu.au/1959.4/40602.

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This thesis focuses on the development of a forecasting model for short- to medium-term electricity spot prices, based on modelling the dynamics of the supply and demand functions. It is found that the equilibrium assumption frequently adopted in electricity price models does not always hold; to overcome this problem, a notional demand process derived from the market clearing condition is proposed. Not only is this demand process able to capture all the price-affecting factors in one variable, but it also allows the equilibrium assumption to be satisfied and a spot price model to be built, using any appropriate form of hypothetical supply function. In addition, this thesis presents a model for approximating and modelling the bid stacks by capturing the points that govern their shape and location. Integrating these two models provides a realistic model that has a mean absolute percentage error of approximately 19% and 24% for week- and month-ahead forecasts respectively, when applied to the New South Wales (NSW) half-hourly electricity spot prices. Additionally, the density forecasting evaluation method proposed by Diebold et al. (1998) is employed in the thesis to assess the performance of the model. Besides the development of a spot price model, a two-part empirical study is made of the prices of NSW electricity futures contracts. The first part of the study develops a method based on the principle of certainty equivalence, which enables the market utility function to be recovered from a set of futures market quotes. The method is tested with two different sets of simulated data and works as expected. However, it is unable to obtain useful results from the NSW market quotes due to the poor data quality. The second part uses a regression method to investigate the relationship between futures prices and the descriptive statistics of the underlying spot prices. The result suggests that futures prices in NSW are linear combinations of the median and volatility of the final payoff.

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Haidar, Imad. "Short-term forecasting model for crude oil price based on artificial neural networks /." Access document online, 2008. http://archimedes.ballarat.edu.au:8080/vital/access/HandleResolver/1959.17/5946.

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Thesis (Masters) -- University of Ballarat, 2008.
Submitted in total fulfillment of the requirements for Masters of Computing, School of Information Technology and Mathematical Sciences. Bibliography: leaves cxxii-cxxvii.

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Chen, Qiming, and 陈启明. "Statistical inference for the APGARCH and threshold APGARCH models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2011. http://hub.hku.hk/bib/B4598511X.

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Venter, Rudolf Gerrit. "Pricing options under stochastic volatility." Diss., Pretoria : [s.n.], 2003. http://upetd.up.ac.za/thesis/available/etd09052005-120952.

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Wong, Chun-mei May, and 王春美. "The statistical tests on mean reversion properties in financial markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31211975.

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Alfeus, Mesias. "Heath–Jarrow–Morton models with jumps." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96783.

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Thesis (MSc)--Stellenbosch University, 2015.
ENGLISH ABSTRACT : The standard-Heath–Jarrow–Morton (HJM) framework is well-known for its application to pricing and hedging interest rate derivatives. This study implemented the extended HJM framework introduced by Eberlein and Raible (1999), in which a Brownian motion (BM) is replaced by a wide class of processes with jumps. In particular, the HJM driven by the generalised hyperbolic processes was studied. This approach was motivated by empirical evidence proving that models driven by a Brownian motion have several shortcomings, such as inability to incorporate jumps and leptokurticity into the price dynamics. Non-homogeneous Lévy processes and the change of measure techniques necessary for simplification and derivation of pricing formulae were also investigated. For robustness in numerical valuation, several transform methods were investigated and compared in terms of speed and accuracy. The models were calibrated to liquid South African data (ATM) interest rate caps using two methods of optimisation, namely the simulated annealing and secant-Levenberg–Marquardt methods. Two numerical valuation approaches had been implemented in this study, the COS method and the fractional fast Fourier transform (FrFT), and were compared to the existing methods in the context. Our numerical results showed that these two methods are quite efficient and very competitive. We have chose the COS method for calibration due to its rapidly speed and we have suggested a suitable approach for truncating the integration range to address the problems it has with short-maturity options. Our calibration results provided a nearly perfect fit, such that it was difficult to decide which model has a better fit to the current market state. Finally, all the implementations were done in MATLAB and the codes included in appendices.
AFRIKAANSE OPSOMMING : Die standaard-Heath–Jarrow–Morton-raamwerk (kortom die HJM-raamwerk) is daarvoor bekend dat dit op die prysbepaling en verskansing van afgeleide finansiële instrumente vir rentekoerse toegepas kan word. Hierdie studie het die uitgebreide HJM-raamwerk geïmplementeer wat deur Eberlein en Raible (1999) bekendgestel is en waarin ’n Brown-beweging deur ’n breë klas prosesse met spronge vervang word. In die besonder is die HJM wat deur veralgemeende hiperboliese prosesse gedryf word ondersoek. Hierdie benadering is gemotiveer deur empiriese bewyse dat modelle wat deur ’n Brown-beweging gedryf word verskeie tekortkominge het, soos die onvermoë om spronge en leptokurtose in prysdinamika te inkorporeer. Nie-homogene Lévy-prosesse en die maatveranderingstegnieke wat vir die vereenvoudiging en afleiding van prysbepalingsformules nodig is, is ook ondersoek. Vir robuustheid in numeriese waardasie is verskeie transformmetodes ondersoek en ten opsigte van spoed en akkuraatheid vergelyk. Die modelle is vir likiede Suid-Afrikaanse data vir boperke van rentekoerse sonder intrinsieke waarde gekalibreer deur twee optimiseringsmetodes te gebruik, naamlik die gesimuleerde uitgloeimetode en die sekans-Levenberg–Marquardt-metode. Twee benaderings tot numeriese waardasie is in hierdie studie gebruik, naamlik die kosinusmetode en die fraksionele vinnige Fourier-transform, en met bestaande metodes in die konteks vergelyk. Die numeriese resultate het getoon dat hierdie twee metodes redelik doeltreffend en uiters mededingend is. Ons het op grond van die motiveringspoed van die kosinus-metode daardie metode vir kalibrering gekies en ’n geskikte benadering tot die trunkering van die integrasiereeks voorgestel ten einde die probleem ten opsigte van opsies met kort uitkeringstermyne op te los. Die kalibreringsresultate het ’n byna perfekte passing gelewer, sodat dit moeilik was om te besluit watter model die huidige marksituasie die beste pas. Ten slotte is alle implementerings in MATLAB gedoen en die kodes in bylaes ingesluit.

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Yang, Boye, and 扬博野. "Online auction price prediction: a Bayesian updating framework based on the feedback history." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2009. http://hub.hku.hk/bib/B43085830.

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Coetzee, G. J. "A comparison of the Philips price earnings multiple model and the actual future price earnings multiple of selected companies listed on the Johannesburg stock exchange." Thesis, Stellenbosch : Stellenbosch University, 2000. http://hdl.handle.net/10019.1/51561.

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Thesis (MBA)--Stellenbosch University, 2000.
ENGLISH ABSTRACT: The price earnings multiple is a ratio of valuation and is published widely in the media as a comparative instrument of investment decisions. It is used to compare company valuation levels and their future growth/franchise opportunities. There have been numerous research studies done on the price earnings multiple, but no study has been able to design or derive a model to successfully predict the future price earnings multiple where the current stock price and following year-end earnings per share is used. The most widely accepted method of share valuation is to discount the future cash flows by an appropriate discount rate. Popular and widely used stock valuation models are the Dividend Discount Model and the Gordon Model. Both these models assume that future dividends are cash flows to the shareholder. Thomas K. Philips, the chief investment officer at Paradigm Asset Management in New York, constructed a valuation model at the end of 1999, which he published in The Journal of Portfolio Management. The model (Philips price earnings multiple model) was derived from the Dividend Discount Model and calculates an implied future price earnings multiple. The Philips price earnings multiple model includes the following independent variables: the cost of equity, the return on equity and the dividend payout ratio. Each variable in the Philips price earnings multiple model is a calculated present year-end point value, which was used to calculate the implied future price earnings multiple (present year stock price divided by following year-end earnings per share). This study used a historical five year (1995-2000) year-end data to calculate the implied and actual future price earnings multiple. Out of 225, Johannesburg Stock Exchange listed companies studied, only 36 were able to meet the criteria of the Philips price earnings multiple model. Correlation and population mean tests were conducted on the implied and constructed data sets. It proved that the Philips price earnings multiple model was unsuccesful in predicting the future price earnings multiple, at a statistical 0,20 level of significance. The Philips price earnings multiple model is substantially more complex than the Discount Dividend Model and includes greater restrictions and more assumptions. The Philips price earnings multiple model is a theoretical instrument which can be used to analyse hypothetical (with all model assumptions and restrictions having been met) companies. The Philips price earnings multiple model thus has little to no applicability in the practical valuation of stock price on Johannesburg Stock Exchange listed companies.
AFRIKAANSE OPSOMMING: Die prysverdienste verhouding is 'n waarde bepalingsverhouding en word geredelik gepubliseer in die media. Hierdie verhouding is 'n maatstaf om maatskappye se waarde vlakke te vergelyk en om toekomstige groei geleenthede te evalueer. Daar was al verskeie navorsingstudies gewy aan die prysverdiensteverhouding, maar nog geen model is ontwikkel wat die toekomstige prysverdiensteverhouding (die teenswoordige aandeelprys en toekomstige jaareind verdienste per aandeel) suksesvol kon modelleer nie. Die mees aanvaarbare metode vir waardebepaling van aandele is om toekomstige kontantvloeie te verdiskonteer teen 'n toepaslike verdiskonteringskoers. Van die vernaamste en mees gebruikte waardeberamings modelle is die Dividend Groei Model en die Gordon Model. Beide modelle gebruik die toekomstige dividendstroom as die toekomstige kontantvloeie wat uitbetaal word aan die aandeelhouers. Thomas K. Philips, die hoof beleggingsbeampte by Paradigm Asset Management in New York, het 'n waardeberamingsmodel ontwerp in 1999. Die model (Philips prysverdienste verhoudingsmodei) was afgelei vanaf die Dividend Groei Model en word gebruik om 'n geïmpliseerde toekomstige prysverdiensteverhouding te bereken. Die Philips prysverdienste verhoudingsmodel sluit die volgende onafhanklike veranderlikes in: die koste van kapitaal, die opbrengs op aandeelhouding en die uitbetalingsverhouding. Elke veranderlike in hierdie model is 'n berekende teenswoordige jaareinde puntwaarde, wat gebruik was om die toekomstige geïmpliseerde prysverdiensteverhouding (teenswoordige jaar aandeelprys gedeel deur die toekomstige verdienste per aandeel) te bereken. In hierdie studie word vyf jaar historiese jaareind besonderhede gebruik om die geïmpliseerde en werklike toekomstige prysverdiensteverhouding te bereken. Van die 225 Johannesburg Effektebeurs genoteerde maatskappye, is slegs 36 gebruik wat aan die vereistes voldoen om die Philips prysverdienste verhoudingsmodel te toets. Korrelasie en populasie gemiddelde statistiese toetse is op die berekende en geïmpliseerde data stelle uitgevoer en gevind dat die Philips prysverdienste verhoudingsmodel, teen 'n statistiese 0,20 vlak van beduidenheid, onsuksesvol was om die toekomstige prysverdiensteverhouding vooruit te skat. Die Philips prysverdienste verhoudingsmodel is meer kompleks as die Dividend Groei Model met meer aannames en beperkings. Die Philips prysverdienste verhoudingsmodel is 'n teoretiese instrument wat gebruik kan word om hipotetiese (alle model aannames en voorwaardes is nagekom) maatskappye te ontleed. Dus het die Philips prysverdienste verhoudingsmodel min tot geen praktiese toepassingsvermoë in die werkilke waardasie van aandele nie.

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Cheng, Xixin, and 程細辛. "Mixture time series models and their applications in volatility estimation and statistical arbitrage trading." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40988053.

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周煒強 and Wai-keung Chow. "The pricing of Hong Kong wattants: an empirical study of the performance of the Kassouf, Black-Scholes andconstant elasticity variance option pricing models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1993. http://hub.hku.hk/bib/B31977297.

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Tsakou, Katina. "Essays on financial volatility forecasting." Thesis, University of Stirling, 2016. http://hdl.handle.net/1893/25403.

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The accurate estimation and forecasting of volatility is of utmost importance for anyone who participates in the financial market as it affects the whole financial system and, consequently, the whole economy. It has been a popular subject of research with no general conclusion as to which model provides the most accurate forecasts. This thesis enters the ongoing debate by assessing and comparing the forecasting performance of popular volatility models. Moreover, the role of key parameters of volatility is evaluated in improving the forecast accuracy of the models. For these purposes a number of US and European stock indices is used. The main contributions are four. First, I find that implied volatility can be per se forecasted and combining the information of implied volatility and GARCH models predict better the future volatility. Second, the GARCH class of models are superior to the stochastic volatility models in forecasting the one-, five- and twenty two-days ahead volatility. Third, when the realised volatility is modelled and forecast directly using time series, I find that the HAR model performs better than the ARFIMA. Finally, I find that the leverage effect and implied volatility significantly improve the fit and forecasting performance of all the models.

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Cheng, Xin. "Three essays on volatility forecasting." HKBU Institutional Repository, 2010. http://repository.hkbu.edu.hk/etd_ra/1183.

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Irvine, John B. "Geographic price spreads in world wheat trade." Thesis, Kansas State University, 1985. http://hdl.handle.net/2097/9852.

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Law, Ka-chung, and 羅家聰. "A comparison of volatility predictions in the HK stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1999. http://hub.hku.hk/bib/B30163535.

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Petkovic, Alexandre. "Three essays on exotic option pricing, multivariate Lévy processes and linear aggregation of panel models." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210357.

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This thesis is composed of three chapters that form two parts. The first part is composed of two chapters and studies problems related to the exotic option market. In the first chapter we are interested in a numerical problem. More precisely we derive closed-form approximations for the price of some exotic options in the Black and Scholes framework. The second chapter discusses the construction of multivariate Lévy processes with and without stochastic volatility. The second part is composed of one chapter. It deals with a completely different issue. There we will study the problem of individual and temporal aggregation in panel data models.
Doctorat en sciences économiques, Orientation économie
info:eu-repo/semantics/nonPublished

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Kışınbay, Turgut. "Predictive ability or data snopping? : essays on forecasting with large data sets." Thesis, McGill University, 2004. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=85018.

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This thesis examines the predictive ability of models for forecasting inflation and financial market volatility. Emphasis is put on evaluation of forecasts and the usage of large data sets. Variety of models are used to forecast inflation, including diffusion indices, artificial neural networks, and traditional linear regressions. Financial market volatility is forecast using various GARCH-type and high-frequency based models. High-frequency data are also used to obtain ex-post estimates of volatility, which is then used to evaluate forecasts. All forecast are evaluated using recently proposed techniques that can account for data snooping bias, nested, and nonlinear models.

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Effertz, Cary Marshall. "A Reference Price Model of Sugar Consumption with Implications on Obesity." Thesis, North Dakota State University, 2007. https://hdl.handle.net/10365/29853.

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Obesity has increased dramatically in the past 25 years. The consumption of added sugar has increased significantly during the same time period. Previous research indicates a direct correlation between the consumption of added sugar and the prevalence of obesity. Sugar has been identified in multiple studies as having addictive or opiate-like qualities. Unquestionably, added sugar consumption has contributed to the current obesity epidemic. Here, we apply a reference price economic model to attempt to describe sugar consumption. Using consumption and price data from the Economic Research Service of the United States Department of Agriculture, we made a reference price estimation of domestic refined sugar (sucrose) consumption. Using time-series econometric techniques, we tested the effects of internal and external reference prices, in the form of first differenced own price and price of other nutrient classes, respectively, on sugar demand. Results indicate that internal and, particularly, external reference prices do indeed play a role in consumption decisions. However, the model lacks socioeconomic variables that may help to provide a more complete consumption picture.

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Drakenward, Ellinor, and Emelie Zhao. "Modeling risk and price of all risk insurances with General Linear Models." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-275696.

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Denna kandidatexamen ligger inom området matematisk statistik. I samarbete med försäkringsbolaget Hedvig syftar denna avhandling till att utforska en ny metod för hantering av Hedvigs försäkringsdata genom att bygga en prissättningsmodell för alla riskförsäkringar med generaliserade linjära modeller. Två generaliserade linjära modeller byggdes, där den första förutspår frekvensen för ett anspråk och den andra förutspår svårighetsgraden. De ursprungliga uppgifterna delades in i 9 förklarande variabler. Båda modellerna inkluderade fem förklarande variabler i början och reducerades sedan. Minskningen resulterade i att fyra av fem egenskaper var förklarande signifikanta i frekvensmodellen och endast en av de fem var förklarande signifikanta i svårighetsmodellen. Var och en av modellerna erhöll relativa risker för nivåerna av deras förklarande variabler. De relativa riskerna resulterade i en total risk för varje nivå. Genom multiplicering av en skapad basnivå med en uppsättning kombination av riskparametrar kan premien för en vald kund erhållas.
Det här kandidatexamensarbetet ligger inom ämnet matematisk statistik. Jag samarbete med försäkringsbolaget Hedvig, avser uppsatsen att undersöka en ny metod att hantera Hedvigs försäkringsdata genom att bygga en prissättningsmodell för drulleförsäkring med hjälp av generaliserade linjära modeller. Två modeller skapades varav den första förutsättningen frekvensen av ett försäkringsanspråk och den andra förutsäger storleken. Originaldatan var indelad i 9 förklarande variabler. Båda modellerna innehöll till en början fem förklarande variabler, vilka sedan reducerades till fyra respektive en variabler i de motsvarande modellerna. Från varje modell kunde sedan de relativa riskerna tas fram för varje kategori av de förklarande variablerna. Tillsammans bildades sedan totalrisken för alla grupper.

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31

Yiu, Fu-keung, and 饒富強. "Time series analysis of financial index." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1996. http://hub.hku.hk/bib/B31267804.

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32

Figueroa-Lopez, Jose Enrique. "Nonparametric estimation of Levy processes with a view towards mathematical finance." Diss., Georgia Institute of Technology, 2004. http://hdl.handle.net/1853/5261.

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Model selection methods and nonparametric estimation of Levy densities are presented. The estimation relies on the properties of Levy processes for small time spans, on the nature of the jumps of the process, and on methods of estimation for spatial Poisson processes. Given a linear space S of possible Levy densities, an asymptotically unbiased estimator for the orthogonal projection of the Levy density onto S is found. It is proved that the expected standard error of the proposed estimator realizes the smallest possible distance between the true Levy density and the linear space S as the frequency of the data increases and as the sampling time period gets longer. Also, we develop data-driven methods to select a model among a collection of models. The method is designed to approximately realize the best trade-off between the error of estimation within the model and the distance between the model and the unknown Levy density. As a result of this approach and of concentration inequalities for Poisson functionals, we obtain Oracles inequalities that guarantee us to reach the best expected error (using projection estimators) up to a constant. Numerical results are presented for the case of histogram estimators and variance Gamma processes. To calibrate parametric models,a nonparametric estimation method with least-squares errors is studied. Comparison with maximum likelihood estimation is provided. On a separate problem, we review the theoretical properties of temepered stable processes, a class of processes with potential great use in Mathematical Finance.

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33

Fan, Qin. "Hedonic Price Model for Light-Duty Vehicles: Consumers' Valuations of Automotive Fuel Economy." Fogler Library, University of Maine, 2009. http://www.library.umaine.edu/theses/pdf/FanQ2009.pdf.

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34

Hakim, Abdul. "Modelling the interactions across international stock, bond and foreign exchange markets." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0202.

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[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging markets which have different characteristics from the developed ones. Addressing the issues, the thesis intends to investigate the nature of volatility, conditional correlations, and the impact of currency risks in international portfolio, both in developed and emerging markets. Chapter 2 provides literature review on volatility spillovers, conditional correlations, and forecasting both VaR and conditional correlations using GARCH-type models. Attention is made on the estimated models, type of assets, regions of markets, and tests of forecasts. Chapter 3 investigates the nature of volatility spillovers across intemational assets, which is important in determining the nature of portfolio's volatility when most assets are seems to be connected. ... The impacts of incorporating volatility spillovers and asymmetric effect on the forecast performance of conditional correlation will also be examined in this thesis. The VARMA-AGARCH of McAleer, Hoti and Chan (2008) and the VARMA-GARCH model of Ling and McAleer (2003) will be estimated to accommodate volatility spillovers and asymmetric effect. The CCC model of Bollerslev (1990) will also be estimated as benchmark as the model does not incorporate both volatility spillovers and asymmetric effects. Given the information about the nature of conditional correlations resulted from the forecasts using a rolling window technique, Section 2 of Chapter 4 investigates the nature of conditional correlations by estimating two multivariate GARCH models allowing for time-varying conditional correlations, namely the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). Chapter 5 conducts VaR forecast considering the important role of VaR as a standard tool for risk management. Especially, the chapter investigates whether volatility spillovers and time-varying conditional correlations discussed in the previous two chapters are of helps in providing better VaR forecasts. The BEKK model of Engle and Kroner (1995) and the DCC model of Engle (2002) will be estimated to incorporate volatility spillovers and conditional correlations, respectively. The DVEC model of Bollerslev et al. (1998) and the CCC model of Bollerslev (1990) will be estimated to serve benchmarks, as both models do not incorporate both volatility spillovers and timevarying conditional correlations. Chapter 6 concludes the thesis and lists somc possible future research.

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Louw, Jan Paul. "Evidence of volatility clustering on the FTSE/JSE top 40 index." Thesis, Stellenbosch : Stellenbosch University, 2008. http://hdl.handle.net/10019.1/5039.

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Thesis (MBA (Business Management))--Stellenbosch University, 2008.
ENGLISH ABSTRACT: This research report investigated whether evidence of volatility clustering exists on the FTSE/JSE Top 40 Index. The presence of volatility clustering has practical implications relating to market decisions as well as the accurate measurement and reliable forecasting of volatility. This research report was conducted as an in-depth analysis of volatility, measured over five different return interval sizes covering the sample in non-overlapping periods. Each of the return interval sizes' volatility were analysed to reveal the distributional characteristics and if it violated the normality assumption. The volatility was also analysed to identify in which way, if any, subsequent periods are correlated. For each of the interval sizes one-step-ahead volatility forecasting was conducted using Linear Regression, Exponential Smoothing, GARCH(1,1) and EGARCH(1,1) models. The results were analysed using appropriate criteria to determine which of the forecasting models were more powerful. The forecasting models range from very simple to very complex, the rationale for this was to determine if more complex models outperform simpler models. The analysis showed that there was sufficient evidence to conclude that there was volatility clustering on the FTSE/JSE Top 40 Index. It further showed that more complex models such as the GARCH(1,1) and EGARCH(1,1) only marginally outperformed less complex models, and does not offer any real benefit over simpler models such as Linear Regression. This can be ascribed to the mean reversion effect of volatility and gives further insight into the volatility structure over the sample period.
AFRIKAANSE OPSOMMING: Die navorsingsverslag ondersoek die FTSE/JSE Top 40 Indeks om te bepaal of daar genoegsame bewyse is dat volatiliteitsbondeling teenwoordig is. Die teenwoordigheid van volatiliteitsbondeling het praktiese implikasies vir besluite in finansiele markte en akkurate en betroubare volatiliteitsvooruitskattings. Die verslag doen 'n diepgaande ontleding van volatiliteit, gemeet oor vyf verskillende opbrengs interval groottes wat die die steekproef dek in nie-oorvleuelende periodes. Elk van die opbrengs interval groottes se volatiliteitsverdelings word ontleed om te bepaal of dit verskil van die normaalverdeling. Die volatiliteit van die intervalle word ook ondersoek om te bepaal tot watter mate, indien enige, opeenvolgende waarnemings gekorreleer is. Vir elk van die interval groottes word 'n een-stap-vooruit vooruitskatting gedoen van volatiliteit. Dit word gedoen deur middel van Lineêre Regressie, Eksponensiële Gladstryking, GARCH(1,1) en die EGARCH(1,1) modelle. Die resultate word ontleed deur middel van erkende kriteria om te bepaal watter model die beste vooruitskattings lewer. Die modelle strek van baie eenvoudig tot baie kompleks, die rasionaal is om te bepaal of meer komplekse modelle beter resultate lewer as eenvoudiger modelle. Die ontleding toon dat daar genoegsame bewyse is om tot die gevolgtrekking te kom dat daar volatiliteitsbondeling is op die FTSE/JSE Top 40 Indeks. Dit toon verder dat meer komplekse vooruitskattingsmodelle soos die GARCH(1,1) en die EGARCH(1,1) slegs marginaal beter presteer het as die eenvoudiger vooruitskattingsmodelle en nie enige werklike voordeel soos Lineêre Regressie bied nie. Dit kan toegeskryf word aan die neiging van volatiliteit am terug te keer tot die gemiddelde, wat verdere insig lewer oor volatiliteit gedurende die steekproef.

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Foucart, Renaud. "Essays in product diversity and urban transportation." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209677.

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This dissertation is about games with a continuum of players and horizontal differentiation. The first chapter explains how price dispersion can be a feature of a competitive market with homogenous information and production costs. The second chapter extends the study to group consumption. The third chapter is about multiple equilibria in urban transportation.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

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Lawrence, Gerald D. "Stumpage price expectations: an empirical analysis of nonindustrial private landowners in the Mid-Atlantic states." Thesis, Virginia Polytechnic Institute and State University, 1985. http://hdl.handle.net/10919/51894.

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Numerous empirical studies outside of forestry have analyzed the role of price expectations in different decision processes. Empirical studies using price expectations in forestry research is a relatively new field of endeavor. Past studies have typically ignored or given cursory treatment to the role of price expectations. This study provides a review of studies in forestry that have attempted to incorporate price expectations into model formulations. Models are then developed to explain the short-run harvest, and long-run regeneration expenditure decisions by the non-industrial private forest owner, incorporating different distributed lag formulations to account for price expectations. The estimated models for the short-run harvest decision, using cross sectional non-aggregated data, indicates that price expectations play a significant role in this decision process. Therefore, price expectations should be incorporated in some form, (i.e. different forms of distributed lags), to properly specify models. Estimated models for the long-run regeneration expenditure decision indicates a weak link between economic variables and the regeneration decision. For both types of models, estimated coefficients for personal characteristics of landowners are in general considered insignificant, indicating the lack of influence that personal characteristics have on these decision processes
Master of Science

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38

Shao, Haimei. "Price discovery in the U.S. bond market trading strategies and the cost of liquidity." Doctoral diss., University of Central Florida, 2011. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/5032.

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The world bond market is nearly twice as large as the equity market. The goal of this dissertation is to study the dynamics of bond price. Among the liquidity risk, interest rate risk and default risk, this dissertation will focus on the liquidity risk and trading strategy. Under the mathematical frame of stochastic control, we model price setting in U.S. bond markets where dealers have multiple instruments to smooth inventory imbalances. The difficulty in obtaining the optimal trading strategy is that the optimal strategy and value function depend on each other, and the corresponding HJB equation is nonlinear. To solve this problem, we derived an approximate optimal explicit trading strategy. The result shows that this trading strategy is better than the benchmark central symmetric trading strategy.
ID: 029809224; System requirements: World Wide Web browser and PDF reader.; Mode of access: World Wide Web.; Thesis (Ph.D.)--University of Central Florida, 2011.; Includes bibliographical references (p. 101-103).
Ph.D.
Doctorate
Mathematics
Sciences

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39

Lu, Qunfang Flora. "Bayesian forecasting of stock prices via the Ohlson model." Link to electronic thesis, 2005. http://www.wpi.edu/Pubs/ETD/Available/etd-050605-155155/.

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Caley, Jeffrey Allan. "A Survey of Systems for Predicting Stock Market Movements, Combining Market Indicators and Machine Learning Classifiers." PDXScholar, 2013. https://pdxscholar.library.pdx.edu/open_access_etds/2001.

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In this work, we propose and investigate a series of methods to predict stock market movements. These methods use stock market technical and macroeconomic indicators as inputs into different machine learning classifiers. The objective is to survey existing domain knowledge, and combine multiple techniques into one method to predict daily market movements for stocks. Approaches using nearest neighbor classification, support vector machine classification, K-means classification, principal component analysis and genetic algorithms for feature reduction and redefining the classification rule were explored. Ten stocks, 9 companies and 1 index, were used to evaluate each iteration of the trading method. The classification rate, modified Sharpe ratio and profit gained over the test period is used to evaluate each strategy. The findings showed nearest neighbor classification using genetic algorithm input feature reduction produced the best results, achieving higher profits than buy-and-hold for a majority of the companies.

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41

Queiroz, Leonardo Mendonça Oliveira de. "Estimação e analise das perdas tecnicas na distribuição de energia eletrica." [s.n.], 2010. http://repositorio.unicamp.br/jspui/handle/REPOSIP/260679.

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Orientadores: Christiano Lyra Filho, Celso Cavellucci
Tese (doutorado) - Universidade Estadual de Campinas, Faculdade de Engenharia Eletrica e de Computação
Made available in DSpace on 2018-08-15T22:07:38Z (GMT). No. of bitstreams: 1 Queiroz_LeonardoMendoncaOliveirade_D.pdf: 3480667 bytes, checksum: 8aad553487af6ac62325d7f0f0893d60 (MD5) Previous issue date: 2010
Resumo: Este trabalho estuda a estimação de perdas técnicas na distribuição de energia elétrica e apresenta uma análise para a definição dos níveis adequados dessas perdas. Ambas as abordagens são focadas na regulação. É apresentada uma metodologia de estimação das perdas técnicas de energia baseada no valor médio e na variância dos pontos da curva de carga. Essa metodologia pode ser aplicada alternativamente aos métodos baseados na perda de potência máxima, que inserem imprecisões desnecessárias para a estimativa das perdas de energia. Foram desenvolvidos modelos de regressão para a estimação das perdas técnicas em redes de distribuição de média e baixa tensão, objetivando utilizar o mínimo de informações possíveis para uma precisão adequada. Uma metodologia de geração de redes foi desenvolvida para o estudo desses modelos, de forma a disponibilizar redes com características semelhantes às redes reais. Também são propostos aprimoramentos na estimativa das perdas em transformadores e ramais de ligação. Adicionalmente, é apresentada uma análise dos níveis adequados de perdas técnicas na distribuição, utilizando-se técnicas de engenharia e benchmarking. As propostas deste trabalho sugerem aprimoramentos na regulação das perdas técnicas, tornando o método de estimação das perdas mais preciso e introduzindo a análise de eficiência das distribuidoras.
Abstract: This work studies technical losses estimation in power distribution systems and analyses the adequacy of the losses. Both approaches are carried in a regulatory perspective. It is presented a methodology to estimate energy losses from the mean and the variance of the load curve points. This methodology can be applied in substitution of methods based on maximum power losses, which inserts unnecessary inaccuracy to the procedure. Regression models were developed to estimate technical losses in medium and low voltage distribution networks, aiming to require less information as possible to meet an appropriate accuracy. A methodology of networks generation was developed to make available networks with characteristics similar to the ones presented by real networks. Improvements in transformers and service conductors losses estimation were also proposed. Engineering and benchmarking techniques were applied to analyze technical losses adequacy. The proposals presented in this work may improve technical losses regulation, making the estimation of losses more accurate and introducing efficiency analysis of power distribution companies.
Doutorado
Automação
Doutor em Engenharia Elétrica

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42

Raciborski, Rafal. "Topics in macroeconomics and finance." Doctoral thesis, Universite Libre de Bruxelles, 2014. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209211.

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The thesis consists of four chapters. The introductory chapter clarifies different notions of rationality used by economists and gives a summary of the remainder of the thesis. Chapter 2 proposes an explanation for the common empirical observation of the coexistence of infrequently-changing regular price ceilings and promotion-like price patterns. The results derive from enriching an otherwise standard, albeit stylized, general equilibrium model with two elements. First, the consumer-producer interaction is modeled in the spirit of the price dispersion literature, by introducing oligopolistic markets, consumer search costs and heterogeneity. Second, consumers are assumed to be boundedly-rational: In order to incorporate new information about the general price level, they have to incur a small cognitive cost. The decision whether to re-optimize or act according to the obsolete knowledge about prices is itself a result of optimization. It is shown that in this economy, individual retail prices are capped below the monopoly price, but are otherwise flexible. Moreover, they have the following three properties: 1) An individual price has a positive probability of being equal to the ceiling. 2) Prices have a tendency to fall below the ceiling and then be reset back to the cap value. 3) The ceiling remains constant for extended time intervals even when the mean rate of inflation is positive. Properties 1) and 2) can be associated with promotions and properties 1) and 3) imply the emergence of nominal price rigidity. The results do not rely on any type of direct costs of price adjustment. Instead, price stickiness derives from frictions on the consumers’ side of the market, in line with the results of several managerial surveys. It is shown that the developed theory, compared to the classic menu costs-based approach, does better in matching the stylized facts about the reaction of individual prices to inflation. In terms of quantitative assessment, the model, when calibrated to realistic parameter values, produces median price ceiling durations that match values reported in empirical studies.

The starting point of the essay in Chapter 3 is the observation that the baseline New-Keynesian model, which relies solely on the notion of infrequent price adjustment, cannot account for the observed degree of inflation sluggishness. Therefore, it is a common practice among macro- modelers to introduce an ad hoc additional source of persistence to their models, by assuming that price setters, when adjusting a price of their product, do not set it equal to its unobserved individual optimal level, but instead catch up with the optimal price only gradually. In the paper, a model of incomplete adjustment is built which allows for explicitly testing whether price-setters adjust to the shocks to the unobserved optimal price only gradually and, if so, measure the speed of the catching up process. According to the author, a similar test has not been performed before. It is found that new prices do not generally match their estimated optimal level. However, only in some sectors, e.g. for some industrial goods and services, prices adjust to this level gradually, which should add to the aggregate inflation sluggishness. In other sectors, particularly food, price-setters seem to overreact to shocks, with new prices overshooting the optimal level. These sectors are likely to contribute to decreasing the aggregate inflation sluggishness. Overall, these findings are consistent with the view that price-setters are boundedly-rational. However, they do not provide clear-cut support for the existence of an additional source of inflation persistence due to gradual individual price adjustment. Instead, they suggest that general equilibrium macroeconomic models may need to include at least two types of production sectors, characterized by a contrasting behavior of price-setters. An additional finding stemming from this work is that the idiosyncratic component of the optimal individual price is well approximated by a random walk. This is in line with the assumptions maintained in most of the theoretical literature.

Chapter 4 of the thesis has been co-authored by Julia Lendvai. In this paper a full-fledged production economy model with Kahneman and Tversky’s Prospect Theory features is constructed. The agents’ objective function is assumed to be a weighted sum of the usual utility over consumption and leisure and the utility over relative changes of agents’ wealth. It is also assumed that agents are loss-averse: They are more sensitive to wealth losses than to gains. Apart from the changes in the utility, the model is set-up in a standard Real Business Cycle framework. The authors study prices of stocks and risk-free bonds in this economy. Their work shows that under plausible parameterizations of the objective function, the model is able to explain a wide set of unconditional asset return moments, including the mean return on risk-free bonds, equity premium and the Sharpe Ratio. When the degree of loss aversion in the model is additionally assumed to be state-dependent, the model also produces countercyclical risk premia. This helps it match an array of conditional moments and in particular the predictability pattern of stock returns.
Doctorat en Sciences économiques et de gestion
info:eu-repo/semantics/nonPublished

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43

Thupayagale, Pako. "Essays in long memory : evidence from African stock markets." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/883.

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44

Doran, James Stephen. "On the market price of volatility risk." Thesis, 2004. http://hdl.handle.net/2152/1951.

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45

"Housing price dispersion: an empirical investigation." 2002. http://library.cuhk.edu.hk/record=b5891113.

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Leong Chan Fai.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2002.
Includes bibliographical references (leaves 100-105).
Abstracts in English and Chinese.
Abstract --- p.i-ii
Acknowledgements --- p.iii
Table of Contents --- p.iv
List of Tables --- p.v
List of Figures --- p.vi
Chapter Section 1 --- Introduction --- p.1
Chapter Section 2 --- Literature Review --- p.5
Chapter Section 3 --- Data Description --- p.13
Chapter 3.1 --- Transaction Prices --- p.13
Chapter 3.2 --- Macroeconomic Variables --- p.15
Chapter Section 4 --- Methodology --- p.19
Chapter 4.1 --- Hedonic Pricing --- p.21
Chapter 4.2 --- Measurements --- p.22
Chapter 4.3 --- Stationarity --- p.24
Chapter 4.4 --- Vector Autoregressive Model and Granger Causality --- p.27
Chapter Section 5 --- Hypothesis Testing --- p.31
Chapter Section 6 --- Empirical Results --- p.35
Chapter 6.1 --- Hedonic Pricing Models --- p.35
Chapter 6.2 --- Real Housing Price Dispersion Indicators and Macro Variables --- p.36
Chapter 6.3 --- Stationary Tests --- p.37
Chapter 6.4 --- Results from the Ordinary Least Square Regressions --- p.37
Chapter 6.5 --- Results from the Vector Auto Regressive Models --- p.40
Summary and Conclusion --- p.46
Appendix 1 Tables --- p.49
Appendix 2 Figures --- p.80
Reference --- p.100

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46

Lemieux, James Michael. "A dynamic model of asymmetric price negotiation." Thesis, 2005. http://hdl.handle.net/2152/1610.

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47

"A simple model of price competition between chain stores." 2011. http://library.cuhk.edu.hk/record=b5894766.

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Lam, Wing Tung.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2011.
Includes bibliographical references (leaves 43-45).
Abstracts in English and Chinese.
Chapter 1. --- Introduction --- p.1
Chapter 2. --- Literature Review --- p.3
Chapter 3. --- Model Setting --- p.8
Chapter 4. --- Equilibria of Price Competition --- p.12
Chapter 5. --- Equilibrium number of outlets --- p.20
Chapter 5.1 --- Equilibrium number of outlets when almost all consumers are naive --- p.22
Chapter 5.2 --- Equilibrium number of outlets when almost all consumers are sophisticated --- p.23
Chapter 6. --- Incentive for Obfuscation --- p.26
Chapter 7. --- Conclusions --- p.27
Chapter A. --- Appendix --- p.28
Chapter A.1 --- An Example of Equilibrium with a Disproportional Pricing Strategy --- p.28
Chapter A.2 --- An Example in which a Pure Strategy Equilibrium does not exist for Stage 1 --- p.29
Chapter A.3 --- Formal Proofs --- p.31

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Galane, Lesiba Charles. "Properties and calculus on price paths in the model-free approach to the mathematical finance." Thesis, 2021. http://hdl.handle.net/10386/3354.

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Thesis (Ph.D. (Applied Mathematics)) -- University of Limpopo, 2021
Vovk and Shafer, [41], introduced game-theoretic framework for probability in mathematical finance. This is a new trend in financial mathematics in which no probabilistic assumptions on the space of price paths are made. The only assumption considered is the no-arbitrage opportunity widely accepted by the financial mathematics community. This approach rests on game theory rather than measure theory. We deal with various properties and constructions of quadratic variation for model-free càdlàg price paths and integrals driven by such paths. Quadratic variation plays an important role in the analysis of price paths of financial securities which are modelled by Brownian motion and it is sometimes used as the measure of volatility (i.e. risk). This work considers mainly càdlàg price paths rather than just continuous paths. It turns out that this is a natural settings for processes with jumps. We prove the existence of partition independent quadratic variation. In addition, following assumptions as in Revuz and Yor’s book, the existence and uniqueness of the solutions of SDEs with Lipschitz coefficients, driven by model-free price paths is proven.
National Research Foundation (NRF)

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Du, Yingjuan. "Bargaining, searching and price dispersion in consumption good markets." 2008. http://hdl.handle.net/2152/18067.

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In consumption goods markets, we observe both bargaining and searching. However, in this literature, very little work has been done to incorporate both features into one model. This study addresses this problem. In my first chapter, I add a bargaining parameter to a traditional sequential search model and solve for the new equilibrium in this set-up. Then, I do some comparative statics, changing the distribution of the bargaining parameter to see what happens to the equilibrium. Finally, I use the model to explain two seemingly contradicting empirical works in the literature of discrimination in the auto market. Ayres and Siegelman (1995), using data they collected from a controlled experiment, found that the initial offers for the minorities are higher. Yet Goldberg (1996), using consumer expenditure survey data (CES), reported that there is no significant difference between the final prices for minorities and non-minorities. My model reconciles these two results and shows that if minorities have a more dispersed bargaining parameter distribution and if the final transaction prices are the same at the mean level, then the initial offer distribution for the minorities first-order stochastically dominates that for the non-minorities. In my second chapter, I investigate how the bargaining process affects firms’ offer distribution and thus the final price distribution. Based on Varian (1980), I add a bargaining parameter into the model, and solve for the new equilibrium in this set up. Then, I do some comparative statics, changing the distribution of the bargaining parameter to see what would happen to the equilibrium. This model yields the same results as the first chapter. In the third chapter, I applied my theoretical model to the automobile market, and empirically test the model. I used CES data, and my findings support the theoretical model. The minority dummies are not significant in determining the mean level of consumers’ bargaining ability distribution, but are significantly positive in determining the variance of the distribution.
text

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50

"A hedonic price model for commodity housing in Guang Zhou, China." 2001. http://library.cuhk.edu.hk/record=b5890742.

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Yu Qing.
Thesis submitted in: November 2000.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2001.
Includes bibliographical references (leaves 65-68).
Abstracts in English and Chinese.
Acknowledgements --- p.i
Abstract --- p.ii
摘要 --- p.iii
Table of Contents --- p.iv
List of Tables --- p.vi
List of Figures --- p.vi
Chapter Chapter 1 --- Introduction --- p.1
Chapter Chapter 2 --- Literature Review --- p.4
Chapter 2.1 --- Theoretical Model --- p.4
Chapter 2.2 --- Empirical Investigation --- p.9
Chapter 2.2.1 --- Choice of The Functional Form --- p.9
Chapter 2.2.2 --- Choice of Variables --- p.13
Chapter 2.2.3 --- Estimation of Supply and Demand Functions --- p.16
Chapter 2.2.4 --- Test of Heteroskedasticity --- p.17
Chapter 2.2.5 --- Test of Multicollinearity --- p.18
Chapter 2.2.6 --- Application of The Hedonic Price Model to Developing Countries --- p.20
Chapter 2.3 --- Concluding Remarks --- p.21
Chapter Chapter 3 --- Introduction of The Housing Market in Guang Zhou --- p.23
Chapter 3.1 --- Development and Current Situation --- p.23
Chapter 3.2 --- Some Caveats --- p.26
Chapter Chapter 4 --- Empirical Results --- p.30
Chapter 4.1 --- The Data --- p.30
Chapter 4.1.1 --- Dependent Variable --- p.34
Chapter 4.1.2 --- Locational Variables --- p.34
Chapter 4.1.3 --- Structural Variables --- p.35
Chapter 4.1.4 --- Neighbourhood Variables --- p.37
Chapter 4.2 --- The Results --- p.38
Chapter 4.2.1 --- Regression Results and Possible Interpretation --- p.40
Chapter 4.2.2 --- Test of Multicollinearity --- p.48
Chapter 4.2.3 --- Test of Heteroscedasticity --- p.50
Chapter 4.2.4 --- Test of Alternative Functional Forms --- p.55
Chapter 4.3 --- Possible Sources of Estimation Bias --- p.57
Chapter 4.4 --- Concluding Remarks --- p.59
Chapter Chapter 5 --- Conclusion --- p.61
References --- p.65

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