Journal articles: 'Price paths'

1

Jangam, Bhushan Praveen, and Vaseem Akram. "DO PRICES CONVERGE AMONG INDONESIAN CITIES? AN EMPIRICAL ANALYSIS." Buletin Ekonomi Moneter dan Perbankan 22, no. 3 (October 31, 2019): 239–62. http://dx.doi.org/10.21098/bemp.v22i3.1152.

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We investigate consumer price convergence for 82 Indonesian cities using monthly data from 2014 to 2019. To do so, we employ recent techniques of club convergence and weak sigma convergence. The results reveal, first, consumer price divergence, implying price rigidities across the cities. Second, we find four clubs, suggesting that Indonesian cities converge along four unique transition paths. Third, we find weak evidence of consumer price convergence, suggesting that prices among Indonesian cities adjust, but not freely. Policy should therefore consider unique convergence paths for each club to promote stronger consumer price convergence.

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Daniel, Kent D., Robert B. Litterman, and Gernot Wagner. "Declining CO2 price paths." Proceedings of the National Academy of Sciences 116, no. 42 (October 1, 2019): 20886–91. http://dx.doi.org/10.1073/pnas.1817444116.

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Pricing greenhouse-gas (GHG) emissions involves making trade-offs between consumption today and unknown damages in the (distant) future. While decision making under risk and uncertainty is the forte of financial economics, important insights from pricing financial assets do not typically inform standard climate–economy models. Here, we introduce EZ-Climate, a simple recursive dynamic asset pricing model that allows for a calibration of the carbon dioxide (CO2) price path based on probabilistic assumptions around climate damages. Atmospheric CO2 is the “asset” with a negative expected return. The economic model focuses on society’s willingness to substitute consumption across time and across uncertain states of nature, enabled by an Epstein–Zin (EZ) specification that delinks preferences over risk from intertemporal substitution. In contrast to most modeled CO2 price paths, EZ-Climate suggests a high price today that is expected to decline over time as the “insurance” value of mitigation declines and technological change makes emissions cuts cheaper. Second, higher risk aversion increases both the CO2 price and the risk premium relative to expected damages. Lastly, our model suggests large costs associated with delays in pricing CO2 emissions. In our base case, delaying implementation by 1 y leads to annual consumption losses of over 2%, a cost that roughly increases with the square of time per additional year of delay. The model also makes clear how sensitive results are to key inputs.

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Gu, Guangtong, and Bing Xu. "Housing Market Hedonic Price Study Based on Boosting Regression Tree." Journal of Advanced Computational Intelligence and Intelligent Informatics 21, no. 6 (October 20, 2017): 1040–47. http://dx.doi.org/10.20965/jaciii.2017.p1040.

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Based on the purchase price data of new real estate markets three cities in China, Beijing, Shanghai, and Guangzhou, including architectural features, neighborhood property features, and location features, in this study a boosting regression tree model was built to study the factors and the influence path of housing prices from the microcosmic perspective. First, a classical hedonic price model was constructed to analyze and compare the significant effect factors on housing prices in the market segments of the three cities. Second, the gradient boosting regression tree method that is proposed in this paper was applied to the three markets in combination to analyze the influence paths and factors and the importance of the type of housing hedonic price. The influence paths of housing hedonic prices and decision tree rules are visualized. The significant housing features are effectively extracted. Finally, we present three main conclusions and several suggestions for policy makers to improve urban functions while stabilizing real estate prices.

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Bogin, Alexander N., William M. Doerner, and William D. Larson. "Local House Price Paths: Accelerations, Declines, and Recoveries." Journal of Real Estate Finance and Economics 58, no. 2 (December 23, 2017): 201–22. http://dx.doi.org/10.1007/s11146-017-9643-y.

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Abstract Mortgage credit risk measurement hinges on the choice of a house price stress path, which is used to project loan losses and determine financial capital requirements. House price paths are commonly constructed at national or state levels and shock scenarios are created to mimic historical adverse market conditions. We provide evidence that this level of geographic aggregation is not granular enough in many cases—collateral risk often varies within cities. Using local house price indices that cover the United States from 1975 to 2016, we focus on house price performance in the years immediately following sustained periods of rapid acceleration. Price accelerations tend to exhibit temporal clustering and occur with greater frequency in large versus small cities. We exploit within-city variation in price dynamics to provide evidence that price initially overshoot sustainable levels but, in some areas, dynamics may reflect positive underlying economic fundamentals and can be sustained. After accelerating, price reach their trough after 4 or 5 years. Small cities show uniform declines whereas large cities exhibit greater price decreases farther away from city centers. These findings suggest differential collateral risk exists in large cities, financial losses can be predictable based on real estate location theory, and localized house price paths could aid credit risk management.

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Benth, F. E., and L. Vos. "Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets." Advances in Applied Probability 45, no. 02 (June 2013): 545–71. http://dx.doi.org/10.1017/s0001867800006431.

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Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. The second-order structure and stationarity of the model are analyzed in detail. A simulation method for Monte Carlo generation of price paths is introduced and a numerical example is presented.

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Benth, F. E., and L. Vos. "Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets." Advances in Applied Probability 45, no. 2 (June 2013): 545–71. http://dx.doi.org/10.1239/aap/1370870129.

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Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. The second-order structure and stationarity of the model are analyzed in detail. A simulation method for Monte Carlo generation of price paths is introduced and a numerical example is presented.

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Huang, Yi Ling. "The Fluctuation Mechanism of International Oil Price and Chinese Energy Security Strategy." Advanced Materials Research 869-870 (December 2013): 573–78. http://dx.doi.org/10.4028/www.scientific.net/amr.869-870.573.

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Oil as a strategic resource, its price trend related to the development of national economy, so the study of the international oil price has important theoretical and practical significance. This paper will interpret the international oil price fluctuation mechanism from the perspective of international political economy. In addition, we will reveal some elements of influence on international oil prices, such as oil supply and demand pattern, geopolitical game, monetary, financial futures market. Then we try to put forward the some paths for the construction of energy security strategy in china.

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8

Birch, John, and Mark Sunderman. "Estimating Price Paths for Residential Real Estate." Journal of Real Estate Research 25, no. 3 (January 1, 2003): 277–300. http://dx.doi.org/10.1080/10835547.2003.12091115.

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9

Santoso, Teguh, and Maruto Umar Basuki. "FROM FACTOR PRICES EQUALIZATION TO OUTPUT PRICES EQUALIZATION." JURNAL DINAMIKA EKONOMI PEMBANGUNAN 1, no. 1 (February 8, 2012): 43. http://dx.doi.org/10.14710/jdep.1.1.43-49.

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This paper is addresses to see how the impact of the factor price equalization in product pricesequalization. According to Heckser-Ohlin (H-O) model, trade in goods will cause the absolute and relativeprices of factor between counties to move toward equality. If free trade occurs, factor prices between countrieswill not different when countries producing the same mix of product with the same technologies and the sameproduct price must have the same factor prices. Product prices equalization will occur when the countrieshave same set unit value isoquant (UVI) and, as well under CRS condition MPL and MPk are constant alongexpansion paths of each industries

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10

Hu, Jin, Xuelei Xiong, Yuanyuan Cai, and Feng Yuan. "The Ripple Effect and Spatiotemporal Dynamics of Intra-Urban Housing Prices at the Submarket Level in Shanghai, China." Sustainability 12, no. 12 (June 22, 2020): 5073. http://dx.doi.org/10.3390/su12125073.

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The ripple effect of housing price movements between cities has been extensively investigated, but there are relatively few studies on this topic within a metropolitan context, especially at the submarket level. This paper describes the use of ripple effect theory to examine the diffusion process and convergence of intra-urban housing prices at the submarket level in Shanghai, an emerging global city in China. The analysis is based on directed acyclic graphs, local indicators of spatial association time-paths, and a recently developed convergence test. The empirical results of grouping analysis identify 25 submarkets in Shanghai, and the diffusion of housing prices between these submarkets is found to be caused by both geographical and economic proximities. There is also a complex recursive process of price spillovers from high- to low-priced submarkets, and vice versa, which contributes to the spiraling local housing prices. Housing prices diverge across all submarkets, and the whole market can be divided into three convergence clubs. Finally, these convergence clubs have a circular structure with a degree of continuity. This study broadens our knowledge of the price interrelationship among housing submarkets at the intra-urban level. These findings have profound implications for urban planners, policy makers, and local residents.

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11

SCHOUTENS, WIM, and STIJN SYMENS. "THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY." International Journal of Theoretical and Applied Finance 06, no. 08 (December 2003): 839–64. http://dx.doi.org/10.1142/s0219024903002249.

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Recently, stock price models based on Lévy processes with stochastic volatility were introduced. The resulting vanilla option prices can be calibrated almost perfectly to empirical prices. Under this model, we will price exotic options, like barrier, lookback and cliquet options, by Monte–Carlo simulation. The sampling of paths is based on a compound Poisson approximation of the Lévy process involved. The precise choice of the terms in the approximation is crucial and investigated in detail. In order to reduce the standard error of the Monte–Carlo simulation, we make use of the technique of control variates. It turns out that there are significant differences with the classical Black–Scholes prices.

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12

Slade, Margaret E. "Noninformative trends in natural resource commodity prices: U-shaped price paths exonerated." Journal of Environmental Economics and Management 12, no. 2 (June 1985): 181–92. http://dx.doi.org/10.1016/0095-0696(85)90028-2.

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13

Janda, Karel, and Ladislav Krištoufek. "The Relationship Between Fuel and Food Prices: Methods and Outcomes." Annual Review of Resource Economics 11, no. 1 (October 5, 2019): 195–216. http://dx.doi.org/10.1146/annurev-resource-100518-094012.

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We review the fuel-food price linkage model—time-series, structural, and general or partial equilibrium models, with most attention devoted to the time-series literature. Our assessment is nested in both the discussion of general commodity prices comovement and the prediction of the most likely development of biofuel policies and production. We show that the introduction of significant biofuels policies around 2005 increased the price transmission between fossil fuels and food commodities, illustrating the intuitively expected leading role of fuel prices over food prices. Particular price linkages dynamically evolve over time, depending on the particular market under consideration. The econometric results show that owing to policy-induced trade barriers, there is no evidence of a sufficiently integrated international biofuels market with the US, European, and Brazilian markets and that biofuel policies in these countries follow separate paths.

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14

ARGUIN, LOUIS-PIERRE, NIEN-LIN LIU, and TAI-HO WANG. "MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS." International Journal of Theoretical and Applied Finance 21, no. 05 (August 2018): 1850029. http://dx.doi.org/10.1142/s0219024918500292.

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This paper addresses the problem of approximating the price of options on discrete and continuous arithmetic averages of the underlying, i.e. discretely and continuously monitored Asian options, in local volatility models. A “path-integral”-type expression for option prices is obtained using a Brownian bridge representation for the transition density between consecutive sampling times and a Laplace asymptotic formula. In the limit where the sampling time window approaches zero, the option price is found to be approximated by a constrained variational problem on paths in time-price space. We refer to the optimizing path as the most-likely path (MLP). An approximation for the implied normal volatility follows accordingly. The small-time asymptotics and the existence of the MLP are also rigorously recovered using large deviation theory.

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15

Adhikari, Bishwa B., Chen Zhen, Jennifer W. Kahende, Joshua Goetz, and Brett Loomis. "Price Responsiveness of Cigarette Demand in US: Retail Scanner Data (1994–2007)." Economics Research International 2012 (September 2, 2012): 1–10. http://dx.doi.org/10.1155/2012/148702.

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This paper investigates the changes in cigarette demand in response to the changes in cigarette prices; smokeless tobacco prices; adoption of clean indoor air laws (CIALs). We used an error-correction econometric method to estimate the cigarette sales adjustment path in response to changes in prices and CIAL coverage in the United States by utilizing scanner data from supermarkets. Finding from this study indicates that smokeless tobaccos are not perfect substitutes for cigarettes, but increases in the price of cigarettes are associated with an increase in smokeless tobacco sales. The error-correction econometric method suggest that the demand for cigarettes and smokeless tobacco is related to each other; a price increase in either product leads to an increase in demand for the other product. However, the adjustment paths are quite different; an increase in cigarette prices lowers cigarette sales in relatively faster rate than decreases in smokeless tobacco prices or adoption of smoke-free laws. Changes in cigarette demand in response to changes in cigarette prices occur relatively quickly; but the full effects of smokeless tobacco price change and the adoption of 100% smoke-free laws on cigarette demand take a longer time.

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16

Jeitschko, Thomas D. "Equilibrium price paths in sequential auctions with stochastic supply." Economics Letters 64, no. 1 (July 1999): 67–72. http://dx.doi.org/10.1016/s0165-1765(99)00066-x.

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17

Coutinho, Paulo C. "On competitive price systems associated with efficient growth paths." Journal of Economic Theory 53, no. 1 (February 1991): 206–11. http://dx.doi.org/10.1016/0022-0531(91)90150-3.

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18

Beenstock, Michael, and Valerie Brasse. "Using options to price maturity guarantees." Journal of the Institute of Actuaries 113, no. 1 (June 1986): 151–66. http://dx.doi.org/10.1017/s0020268100042335.

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The discussion on Maturity Guarantees, as applied to unit linked life assurance policies, has followed two quite distinct paths—the conventional or mainstream approach, as exemplified by Benjamin (1976) and endorsed by the Maturity Guarantees Working Party (MGWP 1980) on the one hand, and those who seek to reduce the risks associated with maturity guarantees by using an immunization strategy on the other (Brennan & Schwartz, 1976).

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19

Bogin, Alexander N., William M. Doerner, and William D. Larson. "Correction to: Local House Price Paths: Accelerations, Declines, and Recoveries." Journal of Real Estate Finance and Economics 61, no. 4 (November 7, 2019): 732–33. http://dx.doi.org/10.1007/s11146-019-09726-8.

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The article Local House Price Paths: Accelerations, Declines, and Recoveries written by Alexander N. Bogin, William M. Doerner and William D. Larson was originally published electronically on the publisher’s internet portal (currently SpringerLink) on December 2017 without open access.

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20

de Sousa Gabriel, Vítor Manuel, María Mar Miralles-Quirós, and José Luis Miralles-Quirós. "Shades between Black and Green Investment: Balance or Imbalance?" Sustainability 13, no. 9 (April 29, 2021): 5024. http://dx.doi.org/10.3390/su13095024.

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This paper analyses the links established between environmental indices and the oil price adopting a double perspective, long-term and short-term relationships. For that purpose, we employ the Bounds Test and bivariate conditional heteroscedasticity models. In the long run, the pattern of behaviour of environmental indices clearly differed from that of the oil prices, and it was not possible to identify cointegrating vectors. In the short-term, it was possible to conclude that, in contemporaneous terms, the variables studied tended to follow similar paths. When the lag of the oil price variable was considered, the impacts produced on the stock market sectors were partially of a negative nature, which allows us to suppose that this variable plays the role of a risk factor for environmental investment.

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21

Akgiray, Vedat, and Geoffrey Booth. "STOCK PRICE PROCESSES WITH DISCONTINUOUS TIME PATHS: AN EMPIRICAL EXAMINATION." Financial Review 21, no. 2 (May 1986): 163–84. http://dx.doi.org/10.1111/j.1540-6288.1986.tb01117.x.

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22

Yu, Xisheng. "Risk-Neutrality of RND and Option Pricing within an Entropy Framework." Entropy 22, no. 8 (July 30, 2020): 836. http://dx.doi.org/10.3390/e22080836.

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This article constructs an entropy pricing framework by incorporating a set of informative risk-neutral moments (RNMs) extracted from the market-available options as constraints. Within the RNM-constrained entropic framework, a unique distribution close enough to the correct one is obtained, and its risk-neutrality is deeply verified based on simulations. Using this resultant risk-neutral distribution (RND), a sample of risk-neutral paths of the underlying price is generated and ultimately the European option’s prices are computed. The pricing performance and analysis in simulations demonstrate that this proposed valuation is comparable to the benchmarks and can produce fairly accurate prices for options.

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23

AVELLANEDA, MARCO, ROBERT BUFF, CRAIG FRIEDMAN, NICOLAS GRANDECHAMP, LUKASZ KRUK, and JOSHUA NEWMAN. "WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS." International Journal of Theoretical and Applied Finance 04, no. 01 (February 2001): 91–119. http://dx.doi.org/10.1142/s0219024901000882.

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A general approach for calibrating Monte Carlo models to the market prices of benchmark securities is presented. Starting from a given model for market dynamics (price diffusion, rate diffusion, etc.), the algorithm corrects price-misspecifications and finite-sample effects in the simulation by assigning "probability weights" to the simulated paths. The choice of weights is done by minimizing the Kullback–Leibler relative entropy distance of the posterior measure to the empirical measure. The resulting ensemble prices the given set of benchmark instruments exactly or in the sense of least-squares. We discuss pricing and hedging in the context of these weighted Monte Carlo models. A significant reduction of variance is demonstrated theoretically as well as numerically. Concrete applications to the calibration of stochastic volatility models and term-structure models with up to 40 benchmark instruments are presented. The construction of implied volatility surfaces and forward-rate curves and the pricing and hedging of exotic options are investigated through several examples.

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Bowlus, Audra J., and Chris Robinson. "Human Capital Prices, Productivity, and Growth." American Economic Review 102, no. 7 (December 1, 2012): 3483–515. http://dx.doi.org/10.1257/aer.102.7.3483.

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Separate identification of the price and quantity of human capital has important implications for understanding key issues in economics. Price and quantity series are derived for four education levels. The price series are highly correlated and they exhibit a strong secular trend. Three resulting implications are explored: the rising college premium is found to be driven more by relative quantity than relative price changes, life-cycle wage profiles are readily interpretable as reflecting optimal human capital investment paths using the estimated price series, and adjusting the labor input for quality increases dramatically reduces the contribution of MFP to growth. (JEL D91, I20, J24, J31, O47)

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25

Libman, Emiliano. "Tobin (1975) meets rational expectations." Review of Keynesian Economics 8, no. 1 (January 22, 2020): 102–18. http://dx.doi.org/10.4337/roke.2020.01.08.

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In his 1975 paper, Tobin formalizes one of the main lessons from Keynes's General Theory: the idea that price flexibility is destabilizing. We propose a modified model à la Tobin by including rational expectations and staggered price setting, to show that under some conditions (a strong Tobin effect), there exist an infinite number of equilibrium paths that converge to equilibrium. Tobin was right: the most problematic assumption of modern macroeconomics is not rational expectations per se, but rather price flexibility and continuous market clearing.

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26

Earl, John H. "Identifying Investor Sentiment from Price Paths: The Case of Football Betting." CFA Digest 30, no. 2 (May 2000): 51–53. http://dx.doi.org/10.2469/dig.v30.n2.670.

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Avery, Christopher, and Judith Chevalier. "Identifying Investor Sentiment from Price Paths: The Case of Football Betting." Journal of Business 72, no. 4 (October 1999): 493–521. http://dx.doi.org/10.1086/209625.

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28

Bejger, Sylwester. "Competition in a Wholesale Fuel Market—The Impact of the Structural Changes Caused by COVID-19." Energies 14, no. 14 (July 12, 2021): 4211. http://dx.doi.org/10.3390/en14144211.

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Liquid fuels obtained in refining crude oil are one of the most important energies in economic activity. The domestic wholesale market for liquid fuels is of decisive importance for price formation in the national economy. The noncompetitive behavior of the market players at this level of the distribution chain can significantly affect all downstream price levels and the producer–consumer surplus balance. Therefore, the competitiveness of this market should be screened and assessed regularly, especially when significant external factors change. This article attempts to evaluate the impact of structural changes on the global market of crude oil and energy products after the outbreak of the COVID-19 pandemic on the competitiveness of the wholesale fuel market in Poland. Using asymmetry of the reaction of product prices to changes in the prices of inputs as a marker of noncompetitive behavior and the NARDL model as a test specification, the price paths of market players before and after the occurrence of structural changes in the inputs’ processes were examined. Significant changes in the competitive behavior of players were revealed after the occurrence of structural changes at the beginning of the pandemic period in the year 2020. These changes may indicate enhanced competition and mitigation of potential market power abuse.

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Hayes, Dermot, Bruce Babcock, Jacinto Fabiosa, Simla Tokgoz, Amani Elobeid, Tun-Hsiang Yu, Fengxia Dong, et al. "Biofuels: Potential Production Capacity, Effects on Grain and Livestock Sectors, and Implications for Food Prices and Consumers." Journal of Agricultural and Applied Economics 41, no. 2 (August 2009): 465–91. http://dx.doi.org/10.1017/s1074070800002935.

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We examined four evolution paths of the biofuel sector using a partial equilibrium world agricultural sector model in CARD that includes the new RFS in the 2007 EISA, a two-way relationship between fossil energy and biofuel markets, and a new trend toward corn oil extraction in ethanol plants. At one extreme, one scenario eliminates all support to the biofuel sector when the energy price is low, while the other extreme assumes no distribution bottleneck in ethanol demand growth when the energy price is high. The third scenario considers a pure market force driving ethanol demand growth because of the high energy price, while the last is a policy-induced shock with removal of the biofuel tax credit when the energy price is high. Standard results hold where the biofuel sector expands with higher energy price, raising the prices of most agricultural commodities through demand side adjustment channels for primary feedstocks and supply side adjustment channels for substitute crops and livestock. On the other hand, the biofuel sector shrinks coupled with opposite impacts on agricultural commodities with the removal of all support including the tax credit. Also, we find that given distribution bottlenecks, cellulosic ethanol crowds marketing channels resulting in a corn-based ethanol price that is discounted. The blenders' credit and consumption mandates provide a price floor for ethanol and for corn. Finally, the tight linkage between the energy and agricultural sectors resulting from the expanding biofuel sector may raise the possibility of spillover effects of OPEC's market power on the agricultural sector.

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LO, HARRY, and ALEKSANDAR MIJATOVIĆ. "VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS." International Journal of Theoretical and Applied Finance 14, no. 07 (November 2011): 1159–93. http://dx.doi.org/10.1142/s0219024911006656.

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It is well documented that a model for the underlying asset price process that seeks to capture the behaviour of the market prices of vanilla options needs to exhibit both diffusion and jump features. In this paper we assume that the asset price process S is Markov with càdlàg paths and propose a scheme for computing the law of the realized variance of the log returns accrued while the asset was trading in a prespecified corridor. We thus obtain an algorithm for pricing and hedging volatility derivatives and derivatives on the corridor-realized variance in such a market. The class of models under consideration is large, as it encompasses jump-diffusion and Lévy processes. We prove the weak convergence of the scheme and describe in detail the implementation of the algorithm in the characteristic cases where S is a CEV process (continuous trajectories), a variance gamma process (jumps with independent increments) or an infinite activity jump-diffusion (discontinuous trajectories with dependent increments).

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Sheng, Pengfei, Yaowu Dong, and Marek Vochozka. "Analysis of Cost-Effective Methods to Reduce Industrial Wastewater Emissions in China." Water 12, no. 6 (June 4, 2020): 1600. http://dx.doi.org/10.3390/w12061600.

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To reduce industrial wastewater emissions, likely scenarios involve saving water in the production process or treating the emissions that are discharged. In this regard, our paper aims to evaluate the costs of these two paths and then analyze whether the industrial sector has made a good trade-off. In particular, we measured costs of the two paths by shadow prices of water use and wastewater emissions, and then we built a non-parametric input–output model to produce the estimates. For 2015, the shadow price of water use was 37.85 RMB/ton at the national level, which indicated the marginal cost of saving each ton of water was 37.864 RMB and that of wastewater emissions was 141.759 RMB/ton, which meant that the marginal cost of abating each ton of wastewater emissions was 141.759 RMB. Over the period 2004–2015, both shadow prices exhibited an upward trend at the national and regional levels, which suggested there was an increased cost to reduce emissions. However, the two shadow prices did not follow a common trend, but deviated from each other in most of China’s provinces, which resulted in a bad trade-off between the two scenarios. As a result, the bad trade-off not only lowered the efficiency to reduce emissions, but it was also linked to a high cost.

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Fotakis, Dimitris. "Congestion Games with Linearly Independent Paths: Convergence Time and Price of Anarchy." Theory of Computing Systems 47, no. 1 (March 14, 2009): 113–36. http://dx.doi.org/10.1007/s00224-009-9205-7.

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Ma, Shuzhong, Birong Zhang, and Yi Qu. "Global Biofuel Use and China's Food Security: Price and Policy Transmission Paths." Energy & Environment 26, no. 4 (August 2015): 651–57. http://dx.doi.org/10.1260/0958-305x.26.4.651.

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Galane, Lesiba Charles, Rafał Marcin Łochowski, and Farai Julius Mhlanga. "On the quadratic variation of the model-free price paths with jumps." Lithuanian Mathematical Journal 58, no. 2 (April 2018): 141–56. http://dx.doi.org/10.1007/s10986-018-9395-2.

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Ortobelli Lozza, Sergio, Filomena Petronio, and Sebastiano Vitali. "Price and market risk reduction for bond portfolio selection in BRICS markets." Investment Management and Financial Innovations 15, no. 1 (February 20, 2018): 120–31. http://dx.doi.org/10.21511/imfi.15(1).2018.11.

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This paper focuses on classical portfolio strategies applied to five countries, which are Brazil, Russia, India, China and South Africa. These five countries form the so-called BRICS group. In particular, the authors investigate their corporate and sovereign bond market and evaluate whether these markets can represent a profitable investment for non-satiable and risk-averse investors. Two-step optimization is proposed to control price risk and market risk. For price risk management, classical immunization strategies and are obtained funds of bond are obtained that share the same risk measure. For market risk control, the previously found funds are used and a performance measure optimization commonly used in stock markets is applied to define the best portfolio of funds. Therefore, the resulting optimal portfolio controls the price risk and jointly maximizes a desired performance measure that includes the market risk. Finally, the authors propose an empirical analysis to evaluate the profitability of the suggested two-step optimization for the five BRICS countries and compare the ex-post sample paths of the obtained portfolios for testing the stochastic dominance relations.

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Paun, Cristian. "Monetary policy as a source of risk in international business financings and investments." Proceedings of the International Conference on Business Excellence 11, no. 1 (July 1, 2017): 660–68. http://dx.doi.org/10.1515/picbe-2017-0070.

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Abstract This paper aims at explaining the volatility of two main macroeconomic variables (interest rate and exchange rate) that impact the cost of international capital and, consequently, the international financing decision. Firstly, the main economic theories are called to illustrate the relevant determinants of these variables from the perspective of demand and supply of capital sides. The state intervention through monetary policy is introduced to emphasize the alteration of these prices (the price of capital, the price of foreign currencies). The paper is presenting the role of these prices in international financing decision (based on the theoretical model used to estimate cost of international capital), their impact on the foreign direct investment decision and on the international portfolio investment decision. Finally, the paper describe the economic consequences of the monetary public intervention on the financing and investment decision in direct connection with the business cycle theory. The paper associates the monetary policy to the business cycles. The paper comments the unsound solutions proposed against the economic crises and that continued to harm negatively these prices generating the seeds for next international economic recession. The paper is a theoretical one, containing some very interesting research hypothesis and opening the paths for presumable further empirical researches.

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Blaseio, Benedikt, and Colin Jones. "Regional economic divergence and house prices: a comparison of Germany and the UK." International Journal of Housing Markets and Analysis 12, no. 4 (August 5, 2019): 722–35. http://dx.doi.org/10.1108/ijhma-08-2018-0055.

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Purpose Increasing regional wealth disparities have been explained by the role of agglomeration economies and the concentration of skilled mobile human capital. This paper aims to draw out the role of the housing market by considering the differential experience of Germany and the UK. Design/methodology/approach The empirical analysis is based on the comparison of regional house price trends in Germany and UK-based annual data from 1991 to 2015. Findings Regional house price inequality is found to have increased in both countries with the spatial concentration of skilled human capital. However, the main conclusion is that there are differential paths to regional house price inequality explained by the parameters of each country’s housing market. Originality/value The research is the first to compare and explain differential regional house price trends across countries.

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CHEN, YUNGUANG, and MARC A. C. HAFSTEAD. "USING A CARBON TAX TO MEET US INTERNATIONAL CLIMATE PLEDGES." Climate Change Economics 10, no. 01 (February 2019): 1950002. http://dx.doi.org/10.1142/s2010007819500027.

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The United States is currently on pace to fall well short of its promises to reduce greenhouse gas emissions by 26–28%, relative to 2005, by 2025, under the UN Framework and Convention on Climate Change (UNFCCC) Paris Agreement, even if President Trump did not eliminate most Obama-era climate regulations. However, there still exists interest in reducing emissions, especially from some members of Congress, and there are a number of federal policy options to reduce greenhouse gas emissions if Congress (or a new administration in 2021) so chooses. In this paper, we show that a federal economy-wide carbon tax on US carbon dioxide emissions could significantly contribute to the reductions necessary to fulfill the US international climate commitments. Using a detailed multi-sector computable general equilibrium (CGE) model, we predict the carbon price paths that would be necessary to meet the 28% emissions target and show the economic costs of such carbon-pricing policies. We then demonstrate how both the price paths and associated costs change if action is delayed.

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Shen, Neng, Yuqing Zhao, and Rumeng Deng. "A review of carbon trading based on an evolutionary perspective." International Journal of Climate Change Strategies and Management 12, no. 5 (October 5, 2020): 739–56. http://dx.doi.org/10.1108/ijccsm-11-2019-0066.

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Purpose This paper aims to review the literature on carbon trading from the perspective of evolution, finds out the evolution path of these literatures and gives out the future research hotspots in this field. Design/methodology/approach Uses visualization tools (CiteSpace and HistCite) to systematically categorize the literature on carbon-trading schemes in the Web of Science core collection from 1998 to 2018, comprehensively analyzes carbon-trading schemes from four dimensions, namely, discipline evolution, keyword evolution, citation cluster evolution and citation path evolution. Findings Research on carbon-trading schemes has a specific development and evolution path along four dimensions, namely, in the discipline dimension, the largest change lies in the mathematics pointed to by at least four different disciplines; the keyword evolution dimension shows a gradual deepening emphasis on coordinated development; citation clusters identify three major clusters – carbon prices, China’s carbon trading, carbon market and supply chain; and citation paths identify three major evolutionary paths, the most important of which shows that “What affects carbon price?” has changed to “What is the impact of carbon prices?” Originality/value Reveals the evolution path of carbon trading research studies and proposes four possible development directions for carbon-trading scheme research, which is helpful for future carbon trading-related research and serves as a reference for the promotion of and improvements in carbon-trading schemes.

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Pereira, Manoel, and Alvaro Veiga. "Nonparametric Estimation of Risk-Neutral Distribution via the Empirical Esscher Transform." Brazilian Review of Finance 15, no. 2 (June 18, 2018): 167. http://dx.doi.org/10.12660/rbfin.v15n2.2017.65655.

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This paper introduces an empirical version of the Esscher transform for nonparametric option pricing. Traditional parametric methods require the formulation of an explicit risk-neutral model and are operational only for a few probability distributions for the returns of the underlying asset. In our proposal, we make only mild assumptions on the price kernel and there is no need for the formulation of the risk-neutral model. First, we simulate sample paths for the returns under the physical measure P. Then, based on the empirical Esscher transform, the sample is reweighted, giving rise to a risk-neutralized sample from which derivative prices can be obtained by a weighted sum of the options’ payoffs in each path. We analyze our proposal in experiments with artificial and real data.

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Santos, Edson Bastos e., and Nelson Ithiro Tanaka. "Cópulas Dinâmicas de Lévy e suas Aplicações no Apreçamento de Opções Multidimensionais com Dependência na Trajetória." Brazilian Review of Finance 6, no. 1 (July 21, 2008): 69. http://dx.doi.org/10.12660/rbfin.v6n1.2008.1234.

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This article presents an alternative to modeling multidimensional options, where the payoffs depend on the paths of the trajectories of the underlying-asset prices. The proposed technique considers Lévy processes, a very ample class of stochastic processes that allows the existence of jumps (discontinuities) in the price process of financial assets, and as a particular case, comprises the Brownian motion. To describe the dependence among Lévy processes, extending the static concepts of the ordinary copulas to the Lévy processes context, considering the Lévy measure, which characterizes the jumps behavior of these processes. A comparison between the Clayton and the Frank dynamic copulas and their impact in asset pricing of Asian type derivatives contracts is studied, considering gamma processes and Monte Carlo simulation procedures.

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Andreas, April K., J. Cole Smith, and Simge Küçükyavuz. "Branch-and-price-and-cut algorithms for solving the reliable h-paths problem." Journal of Global Optimization 42, no. 4 (October 30, 2007): 443–66. http://dx.doi.org/10.1007/s10898-007-9254-x.

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Galinis, Arvydas, Linas Martišauskas, Jaakko Jääskeläinen, Ville Olkkonen, Sanna Syri, Georgios Avgerinopoulos, and Vidas Lekavičius. "Implications of carbon price paths on energy security in four Baltic region countries." Energy Strategy Reviews 30 (July 2020): 100509. http://dx.doi.org/10.1016/j.esr.2020.100509.

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Gligorić, Zoran, Miloš Gligorić, Dževdet Halilović, Čedomir Beljić, and Katarina Urošević. "Hybrid Stochastic-Grey Model to Forecast the Behavior of Metal Price in the Mining Industry." Sustainability 12, no. 16 (August 13, 2020): 6533. http://dx.doi.org/10.3390/su12166533.

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Accurate metal price forecasting is the precondition for optimal and sustainable mine production planning. This paper combined two methods for time series analysis. The developed model represents the combination of the Grey System Theory and a Stochastic differential equation. More precisely, we added stochastic term to the first-order whitenization differential equation. Solution of this equation represents the time response function which is capable of creating artificial evolving paths of the metal price. The simulation process resulted in a distribution and adequate expected value at every single point. Further, model efficiency was increased by adding residuals modeled by the Singular Spectrum Analysis method. The model was tested on the monthly lead metal price series. Mean absolute percentage error is 4.37% and the model can be classified as a high-performance model.

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Roth, Stefan, Vincent Kalchschmid, and Gunther Reinhart. "Development and evaluation of risk treatment paths within energy-oriented production planning and control." Production Engineering 15, no. 3-4 (March 14, 2021): 413–30. http://dx.doi.org/10.1007/s11740-021-01043-5.

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AbstractProduction planning and control pursues high delivery reliability and short delivery time of the production system at the lowest possible costs. Especially in energy-intensive industries, energy cost account for a significant amount of manufacturing costs. The consideration of variable electricity market prices using energy-flexibility measures facilitates reduced costs by adapting the load profile of production to an electricity price forecast. However, it also increases the production planning and control system’s complexity by additional input variables and possible risks due to the influence of flexibility measures on the production system. In the case of unexpected events, such as failure of machines or faulty materials, it is difficult to adapt the complex production system to the new situation quickly. There is a risk of high additional costs by various causes, such as delays in deadlines or load peaks. Therefore, this paper presents an approach for developing and evaluating risk treatment paths, which include possible combinations of risks and measures for the mitigation of risk effects. The advantage of these paths compared to a situational reaction is that all effects and possible further interactions can be considered and thus overall cost-efficient solutions can be found. The approach is based on the determination of interactions through interpretive structural modelling and the calculation of conditional probabilities using Bayesian Networks. The approach was implemented in MATLAB® and applied using real order and energy data from a foundry. The results show that the presented approach enables structured and data-based comparison of risk treatment paths.

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Vera, Jorge. "Two paths to customer loyalty: the moderating effect of the differentiation level strategy in the performance-satisfaction-value-intentions relationship." Journal of Product & Brand Management 25, no. 2 (April 18, 2016): 171–83. http://dx.doi.org/10.1108/jpbm-01-2015-0789.

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Purpose This paper aims to show how consumers process information differently under two dissimilar types of brand strategies. By analysing data from dishwashing detergent consumers who evaluated two different brands, one with a high differentiated/performance/price brand (HB) strategy and other with a low differentiated/cost/price brand (LB) strategy, it is shown how the structural relationship between some constructs differ under each price brand strategy. With a structural path analysis, the product performance, customer satisfaction, customer perceived value and behavioural intentions relationship are assessed. Additionally, the moderating effect of the brand strategy in this structural relationship is tested. Design/methodology/approach Data of a sample of n = 273 Mexican dishwashing detergent users were analysed. Respondents evaluated two brands of dishwashing detergent. One brand followed a high differentiated/performance/price strategy (Axion) and the other used a low differentiated/cost/price strategy (Roma). Participants had to have been consumers of both brands of detergents. A structural path analysis to show the moderating effect of the brand strategy was implemented. A nested comparison invariance test for structural weights to corroborate differences was used, as well. Findings Results confirm structural differences between both brand strategies in the constructs relationship. The HB strategy showed that both satisfaction and perceived value have a mediating effect between product performance and brand intentions; on the other hand, the LB strategy showed that only satisfaction has a mediating effect between these two constructs. The explanation amount for dependent latent variables was higher for the HB strategy than for the LB strategy. Originality/value This study offers a distinct view of the differentiated/quality brand strategy – low cost/price brand strategy duality. It provides a theoretical-empirical explanation of the cognitive processes that both strategies involve for a customer. As well, this study conceptually relates the generic strategies theory with the use of specific brand strategies.

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Leithwood, Kenneth, Jingping Sun, and Randall Schumacker. "How School Leadership Influences Student Learning: A Test of “The Four Paths Model”." Educational Administration Quarterly 56, no. 4 (October 8, 2019): 570–99. http://dx.doi.org/10.1177/0013161x19878772.

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Purpose: This study tested a set of variables mediating school leadership’s influence on students referred to as “The four paths model.” Each path in the model includes variables with significant direct effects on student learning and which are malleable to practices included in an integrated model of effective school leadership. Research Design: Evidence for the study were responses to a survey by 1,779 teachers in 81 Texas elementary schools about the status of school leadership and all 13 variables on the four paths. Student achievement data were provided by results of state tests combining all subjects and all grades, while the count and percentage of students eligible for free or reduced-price lunch was used to estimate socioeconomic status. Confirmatory factor analysis, regression analysis, and structural equation modeling were used to analyze the data. Findings: Results uncovered a more nuanced and complex set of relationships among the four paths and their component variables than was specified in the original version of the model. School leadership significantly influenced student learning only through variables on one path, while variables on the other three paths influenced student learning only through their contribution to variables on that one path. Conclusions: Results point to the value of future research about the relationships among variables on the four paths, as well as efforts to identify latent variables among the observed variables in the study. Results of the study can be used by school leaders to more productively focus their school improvement efforts.

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BILÒ, VITTORIO. "THE PRICE OF NASH EQUILIBRIA IN MULTICAST TRANSMISSION GAMES." Journal of Interconnection Networks 11, no. 03n04 (September 2010): 97–120. http://dx.doi.org/10.1142/s0219265910002751.

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We consider the problem of sharing the cost of multicast transmissions in non-cooperative undirected networks where a set of receivers R wants to be connected to a common source s. The set of choices available to each receiver r ∈ R is represented by the set of all (s, r)-paths in the network. Given the choices performed by all the receivers, a public known cost sharing method determines the cost share to be charged to each of them. Receivers are selfish agents aiming to obtain the transmission at the minimum cost share and their interactions create a non-cooperative game. Devising cost sharing methods yielding games whose price of anarchy (price of stability), defined as the worst-case (best-case) ratio between the cost of a Nash equilibrium and that of an optimal solution, is not too high is thus of fundamental importance in non-cooperative network design. Moreover, since cost sharing games naturally arise in socio-economical contests, it is convenient for a cost sharing method to meet some constraining properties. In this paper, we first define several such properties and analyze their impact on the prices of anarchy and stability. We also reconsider all the methods known so far by classifying them according to which properties they satisfy and giving the first non-trivial lower bounds on their price of stability. Finally, we propose a new method, namely the free-riders method, which admits a polynomial time algorithm for computing a pure Nash equilibrium whose cost is at most twice the optimal one. Some of the ideas characterizing our approach have been independently proposed in Ref. 10.

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Xu, Chang Xin, Jian Ting Lin, and Yin Lu. "Analysis of Stakeholders’ Behaviors in the Development of China’s Wind Power Industry." Advanced Materials Research 1070-1072 (December 2014): 187–92. http://dx.doi.org/10.4028/www.scientific.net/amr.1070-1072.187.

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Based on the background of structural overcapacity in wind power industry, this paper analyzes the stakeholders’ motivations and behaviors. With game theory, wind power feed-in, tax concessions and other key issues are discussed. Then this paper puts forward some optimal paths from government strategy, determination and allocation price policy and incentive policy, which provide theoretical guidance and practical value to achieve the overall development of wind power industry.

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Lau, Lawrence J. "Price independence of output elasticities of input demand, nonlinear expansion paths, and factor substitution." Economics Letters 38, no. 3 (March 1992): 309–12. http://dx.doi.org/10.1016/0165-1765(92)90076-b.

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Journal articles on the topic 'Price paths'

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