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Siu, Tak Kuen. « A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk ». International Journal of Stochastic Analysis 2010 (5 décembre 2010) : 1–18. http://dx.doi.org/10.1155/2010/870516.
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We investigate a Markov, regime-switching, marked point process for the short-term interest rate in a market. The intensity of the marked point process is a bounded, predictable process and is modulated by two observable factors. One is an economic factor described by a diffusion process, and another one is described by a Markov chain. The states of the chain are interpreted as different rating categories of corporate credit ratings issued by rating agencies. We consider a general pricing kernel which can explicitly price economic, market, and credit risks. It is shown that the price of a pure discount bond satisfies a system of coupled partial differential-integral equations under a risk-adjusted measure.
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Tardelli, Paola. « UTILITY MAXIMIZATION IN A PURE JUMP MODEL WITH PARTIAL OBSERVATION ». Probability in the Engineering and Informational Sciences 25, no 1 (2 novembre 2010) : 29–54. http://dx.doi.org/10.1017/s0269964810000239.
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This article considers the asset price movements in a financial market when risky asset prices are modeled by marked point processes. Their dynamics depend on an underlying event arrivals process—a marked point process having common jump times with the risky asset price process. The problem of utility maximization of terminal wealth is dealt with when the underlying event arrivals process is assumed to be unobserved by the market agents using, as the main tool, backward stochastic differential equations. The dual problem is studied. Explicit solutions in a particular case are given.
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Gerardi, Anna, et Paola Tardelli. « RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS ». Probability in the Engineering and Informational Sciences 24, no 1 (21 décembre 2009) : 47–76. http://dx.doi.org/10.1017/s0269964809990131.
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This article considers the asset price movements in a financial market when risky asset prices are modeled by marked point processes. Their dynamics depend on an underlying event arrivals process, modeled again by a marked point process. Taking into account the presence of catastrophic events, the possibility of common jump times between the risky asset price process and the arrivals process is allowed. By setting and solving a suitable control problem, the characterization of the minimal entropy martingale measure is obtained. In a particular case, a pricing problem is also discussed.
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Tardelli, P. « Partially informed investors : hedging in an incomplete market with default ». Journal of Applied Probability 52, no 3 (septembre 2015) : 718–35. http://dx.doi.org/10.1239/jap/1445543842.
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In a defaultable market, an investor trades having only partial information about the behavior of the market. Taking into account the intraday stock movements, the risky asset prices are modelled by marked point processes. Their dynamics depend on an unobservable process, representing the amount of news reaching the market. This is a marked point process, which may have common jump times with the risky asset price processes. The problem of hedging a defaultable claim is studied. In order to discuss all these topics, in this paper we examine stochastic control problems using backward stochastic differential equations (BSDEs) and filtering techniques. The goal of this paper is to construct a sequence of functions converging to the value function, each of these is the unique solution of a suitable BSDE.
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Tardelli, P. « Partially informed investors : hedging in an incomplete market with default ». Journal of Applied Probability 52, no 03 (septembre 2015) : 718–35. http://dx.doi.org/10.1017/s0021900200113397.
Texte intégralRésumé :
In a defaultable market, an investor trades having only partial information about the behavior of the market. Taking into account the intraday stock movements, the risky asset prices are modelled by marked point processes. Their dynamics depend on an unobservable process, representing the amount of news reaching the market. This is a marked point process, which may have common jump times with the risky asset price processes. The problem of hedging a defaultable claim is studied. In order to discuss all these topics, in this paper we examine stochastic control problems using backward stochastic differential equations (BSDEs) and filtering techniques. The goal of this paper is to construct a sequence of functions converging to the value function, each of these is the unique solution of a suitable BSDE.
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Agnihotri, Shalini, et Kanishk Chauhan. « Modeling tail risk in Indian commodity markets using conditional EVT-VaR and their relation to the stock market ». Investment Management and Financial Innovations 19, no 3 (7 juillet 2022) : 1–12. http://dx.doi.org/10.21511/imfi.19(3).2022.01.
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Investment in commodity markets in India accelerated after 2007; this was accompanied by large price variability, hence, it becomes imperative to measure commodity price risk precisely. It becomes equally important to study the relationship between commodity price variability and the stock market. Hence, this study aims to calculate the tail risk of highly traded Indian commodity futures returns using the conditional EVT-VaR method for risk measurement. Secondly, the linkage between commodity markets and the stock market is also studied using the Delta CoVaR method. Results highlight the following points. There is risk transfer from the extreme increase/decrease in crude oil futures returns to the Nifty Index returns. Both extreme price increase or decrease of crude oil futures driven either by financial or a combination of financial and economic shocks affect the stock market. Zinc and Natural gas futures are not linked to the stock market, which means they can be useful in portfolio diversification. The findings suggest that, in Indian commodity markets, EVT-VaR is a useful tool for measuring risk. Only Crude oil futures shocks affect the stock market, and extreme integration between them becomes more prominent when oil shocks are driven by financial factors. Commodities other than Crude oil are not integrated with stock markets in India.
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Wu, Chunyan, Li Yang, Zai Luo et Wensong Jiang. « Linear Laser Scanning Measurement Method Tracking by a Binocular Vision ». Sensors 22, no 9 (7 mai 2022) : 3572. http://dx.doi.org/10.3390/s22093572.
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The 3D scanning of a freeform structure relies on the laser probe and the localization system. The localization system, determining the effect of the point cloud reconstruction, will generate positioning errors when the laser probe works in complex paths with a fast speed. To reduce the errors, in this paper, a linear laser scanning measurement method is proposed based on binocular vision calibration. A simple and effective eight-point positioning marker attached to the scanner is proposed to complete the positioning and tracking procedure. Based on this, the method of marked point detection based on image moment and the principle of global coordinate system calibration are introduced in detail. According to the invariance principle of space distance, the corresponding points matching method between different coordinate systems is designed. The experimental results show that the binocular vision system can complete localization under different light intensities and complex environments, and that the repeated translation error of the binocular vision system is less than 0.22 mm, while the rotation error is less than 0.15°. The repeated error of the measurement system is less than 0.36 mm, which can meet the requirements of the 3D shape measurement of the complex workpiece.
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Riley, Christopher, Barbara Summers et Darren Duxbury. « Capital Gains Overhang with a Dynamic Reference Point ». Management Science 66, no 10 (octobre 2020) : 4726–45. http://dx.doi.org/10.1287/mnsc.2019.3404.
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Financial models incorporating a reference point, such as the Capital Gains Overhang (CGO) model, typically assume it is fixed at the purchase price. Combining experimental and market data, this paper examines whether such models can be improved by incorporating reference-point adjustment. Using real stock prices over horizons from 6 months to 5 years, experimental evidence demonstrates that a number of salient points in the prior share price path are key determinants of the reference point, in addition to the purchase price. Market data testing is then undertaken by using the CGO model. We show that composite CGO variables, created by using a mix of salient points with weights determined in the experiment, have greater predictive power than the traditional CGO variable in both cross-sectional U.S. equity-return analysis and when analyzing the performance of double-sorted portfolios. In addition, future trading volume is more sensitive to changes in the composite CGO variables than to the traditional CGO, further emphasizing the importance of adjusting reference points. This paper was accepted by Tyler Shumway, Finance.
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Kumar Inani, Sarveshwar, Harsh Pradhan, R. Prasanth Kumar et Ajay Kumar Singal. « Do daily price extremes influence short-term investment decisions ? Evidence from the Indian equity market ». Investment Management and Financial Innovations 19, no 4 (7 novembre 2022) : 122–31. http://dx.doi.org/10.21511/imfi.19(4).2022.10.
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For short-term investments in equity markets, investors use price points, candlestick patterns, moving averages, support and resistance levels, trendlines, price patterns, relative strength index, and moving average convergence-divergence as reference(s) for making decisions. This study investigates whether investors use daily price extremes (highest and lowest prices for the day) for making short-term investments or trading decisions in the context of the Indian equity market. Using 6,902 observations of daily data of the NIFTY 50 index since its launch, it is observed that daily price extremes (high or low) have no impact on opening returns of the next trading day. Based on the dummy regression analysis, next-day opening returns were found to be statistically significant, which implies the presence of momentum behavior. However, insignificant coefficients for high or low-price extremes of the day mean that investors do not use them as an anchor or reference point for decisions. Results are consistent over time and robust to the rising or falling markets. Further, opening returns were seen to be more volatile than closing returns in the first half of the sample, and they are less volatile in the second half, implying that markets have become more efficient in the last few years.
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Iwayama, Koji, Yoshito Hirata et Kazuyuki Aihara. « Nonlinear time series analysis of marked point process data ». IEICE Proceeding Series 2 (17 mars 2014) : 189–92. http://dx.doi.org/10.15248/proc.2.189.
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CECI, CLAUDIA, et ANNA GERARDI. « PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION : ENTROPY APPROACH ». International Journal of Theoretical and Applied Finance 12, no 02 (mars 2009) : 179–207. http://dx.doi.org/10.1142/s0219024909005191.
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The problem of the arbitrage-free pricing of a European contingent claim B is considered in a general model for intraday stock price movements in the case of partial information. The dynamics of the risky asset price is described through a marked point process Y, whose local characteristics depend on some unobservable jump diffusion process X. The processes Y and X may have common jump times, which means that the trading activity may affect the law of X and could be also related to the presence of catastrophic events. Risk-neutral measures are characterized and in particular, the minimal entropy martingale measure is studied. The problem of pricing under restricted information is discussed, and the arbitrage-free price of the claim B w.r.t. the minimal entropy martingale measure is computed by using filtering techniques.
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Love, Brian, et Christian Helmers. « Are Market Prices for Patent Licenses Observable ? » Science and Technology Law Review 24, no 1 (2 janvier 2023) : 55–105. http://dx.doi.org/10.52214/stlr.v24i1.10454.
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Despite the pervasiveness of patent licensing in many industries, there is a dearth of publicly available information on licensing transactions. Notably, information on price—i.e., the royalty agreed upon by licensor and licensee—is purposefully kept secret. We assess to what extent “market prices” on patent licenses are observable by assembling all publicly available information on royalty amounts associated with the licensing of 4G and 5G standard essential patents (SEPs). Our data come from a range of sources including court verdicts and litigation settlements, arbitration awards, public announcements, and published licensing agreements. We show that even for a highly visible technology such as mobile broadband, the available price points are few and far between. Moreover, any comparison of the available data points, let alone their aggregation, is extremely challenging due to largely unobservable heterogeneity in the terms and scope of the underlying licensing agreements. Our results point to a lack of transparency in the market for patent licensing that might adversely affect market participants and competition more broadly.
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Fitria, Vivi Aida, et Yudistira Arya Sapoetra. « Stability Analysis of Finance System Model with Information Effect ». Jurnal Matematika "MANTIK" 6, no 1 (30 mai 2020) : 13–19. http://dx.doi.org/10.15642/mantik.2020.6.1.13-19.
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Indonesia's participation in investing in the capital market is still very low, one of the causes is the lack of information. So this study discusses the analysis of stability in the financial system if influenced by information. We find that the model has two equilibrium point, that are point without interest rates and the price index of financial instruments and then the existing point of interest rates, the level of investment demand, price indexes and the influence of control input the information. The results of the local stability analysis of the equilibrium points are stable with certain conditions. The analytical result are confirmed by numerical simulations.
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Micić, Ivana, et Jelena Krstić-Ranđić. « The process of globalization : Good and bad sides ». Ekonomski pogledi 23, no 2 (2021) : 99–109. http://dx.doi.org/10.5937/ekopogl2102099m.
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The purpose of the paper is to point out the factual state of the globalization process, the positive and negative aspects of this process, which relate to the aspirations of world powers to shape the world in technological, economic, informational, political and cultural terms. Globalization encourages the spread of integration, market openness, capital transfer, but at the same time the emergence of spiritual and material superficialities and gaps. Therefore, many point out the downsides of this process. On the other hand, globalization has a multiple impact on the economy of all countries, and it concerns foreign direct investment and the movement of people and capital from country to country. As production at the global level is rationalized and new technologies spread, countries can increase production, and thus the level of wages and living standards, and due to the unification of various regulations between countries, trade becomes easier and more useful for all participating countries. For this and similar reasons, some authors point out the advantages of globalization over disadvantages. The aim of the paper is to point out that the advantages should not be denied, but the greater presence of disadvantages should be noticed.
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FREY, RÜDIGER, et WOLFGANG J. RUNGGALDIER. « A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA ». International Journal of Theoretical and Applied Finance 04, no 02 (avril 2001) : 199–210. http://dx.doi.org/10.1142/s021902490100095x.
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In this paper we consider a nonlinear filtering approach to the estimation of asset price volatility. We are particularly interested in models which are suitable for high frequency data. In order to describe some of the typical features of high frequency data we consider marked point process models for the asset price dynamics. Both jump-intensity and jump-size distribution of this marked point process depend on a hidden state variable which is closely related to asset price volatility. In our setup volatility estimation can therefore be viewed as a nonlinear filtering problem with marked point process observations. We develop efficient recursive methods to compute approximations to the conditional distribution of this state variable using the so-called reference probability approach to nonlinear filtering.
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Gao, Bingyuan, et Yueping Du. « Equilibrium Further Studied for Combined System of Cournot and Bertrand : A Differential Approach ». Complexity 2020 (27 février 2020) : 1–11. http://dx.doi.org/10.1155/2020/3160658.
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In general, quantity competition and price competition exist simultaneously in a dynamic economy system. Whether it is quantity competition or price competition, when there are more than three companies in one market, the equilibrium points will become chaotic and are very difficult to be derived. This paper considers generally dynamic equilibrium points of combination of the Bertrand model and Cournot model. We analyze general equilibrium points of the Bertrand model and Cournot model, respectively. A general equilibrium point of the combination of the Cournot model and Bertrand model is further investigated in two cases. The theory of spatial agglomeration and intermediate value theorem are introduced. In addition, the stability of equilibrium points is further illustrated on celestial bodies motion. The results show that at least a general equilibrium point exists in combination of Cournot and Bertrand. Numerical simulations are given to support the research results.
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Su, Chi-Wei, Lu Liu, Ran Tao et Oana-Ramona Lobonţ. « Do natural rubber price bubbles occur ? » Agricultural Economics (Zemědělská ekonomika) 65, No. 2 (27 février 2019) : 67–73. http://dx.doi.org/10.17221/151/2018-agricecon.
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In this paper, we employ the Generalized Supremum Augmented Dickey-Fuller test in order to identify the existence of multiple bubbles in natural rubber. This approach is practical for the using of time series and identifies the beginning and end points of multiple bubbles. The results reveal that there are five bubbles, where exist the divergences between natural rubber prices and their basic values on account of market fundamentals. The five bubbles are related to imbalance between supply and demand, inefficiencies of smallholders market, oil prices, exchange rate and climatic changes through analyses. Thus, the corresponding authorities are supposed to identify bubbles and consider their evolutions, which is beneficial to the stability of natural rubber price.
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Pathak, Hari Prasad, et Sweta Gupta. « Rights Offering and Its Effect on Share Price Movement : A Study of Commercial Banks ». Journal of Nepalese Business Studies 11, no 1 (31 décembre 2018) : 1–13. http://dx.doi.org/10.3126/jnbs.v11i1.24195.
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This paper examines the effect of rights share issue on share price movement in the banking sector covering the period 2007/08 to 2016/17. In order to find out the share price movement in different selected points of time, pre and post right issue and price relatives were calculated considering the price of 90 days before the right announcement date as the beginning index. Five different points of time were selected to observe the share price movements assuming the announcement date as the reference point of time. Stock price data were obtained from the website of NEPSE. The paper uses correlation coefficient to examine whether the overall market movement has any relationship with the individual share price change. Coefficient of determination is used to identify what proportion of the variation in the share price is explained by the event of right share issue. The result shows that right offering announcements have the signaling effect, but it is negative. The share price of Nepalese commercial banks decreases after the announcement of right in spite of the increase in the market index in the corresponding period. The results highlight the information asymmetry behavior which induces a negative change in share price after the rights announcements. The implication of the result is that investors can anticipate the nature of change in share price after rights issue announcements and develop strategic plans to improve the trading activity.
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Magdalena, Magdalena. « Pengaruh Tingkat Suku Bunga Dan Nilai Tukar Terhadap Indeks Harga Properti Residensial (IHPR) di Indonesia Tahun 2002-2013 ». ULTIMA Management 7, no 1 (1 juin 2015) : 1–13. http://dx.doi.org/10.31937/manajemen.v7i1.919.
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This study aimed to analyze the macroeconomic factors such as exchange rate and interest rate in effect on the market price of the property and real estate in Indonesia (IHPR) during the years 2002-2013. Through the application of e-views, the causal relationship was found in time series data. VAR analysis and Granger Causality Test did not find any relationship between SBI and IHPR. However SBI affects EXCHANGE positively, and EXCHANGE affects IHPR. Every 1 point weakening of IDR in the previous period, assuming the IDR in the two previous periods fixed, the IHPR in year-t will increase by 0.004003 points. If IDR in two previous periods depreciated by 1 point with the assumption that the IDR at the previous period remains, then IHPR in year-t will increase by 0.007219 points. Keywords: SBI interest rates, IDR exchange rates, price of property, VAR, Granger Causality Test
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Ejaz, Lalarukh, Amber Gul Rashid et Khadija Bari. « The Express Tribune : touching the tricky price point ». Emerald Emerging Markets Case Studies 5, no 3 (22 juin 2015) : 1–6. http://dx.doi.org/10.1108/eemcs-04-2014-0087.
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Subject area Economics, entrepreneurship, pricing and marketing strategy, print industry in Pakistan. Study level/applicability Undergraduate and first-year graduate level. Case overview The main theme of the case revolves around decision-making by the publisher, Bilal Lakhani, as he operates in conditions of an oligopolistic market. The case focuses on the set-up of a major English-language newspaper, The Express Tribune, in conjunction with the internationally branded and well-regarded International Herald Tribune by a well-known business group of Pakistan. The group already has a major Urdu newspaper, which has been operational for 15 years, and three television channels, as well as a host of other non-media-related businesses. The case tries to go behind the reasons for setting up an English-language newspaper in a market which already has at least five major existing ones and where literacy is not that widespread. Also, experience in much of the rest of the world would suggest that newspapers – i.e. the print media – are in decline, especially because of the rise of the Internet and social media as means for providing news, information and entertainment. The case is set in Karachi, Pakistan's media capital and, in particular, in an organization that has been involved in the business of media for several years. It currently runs the country's second most-circulated Urdu newspaper, Daily Express. Specifically, the time period is three weeks after the paper, The Express Tribune, was launched into a market with a few competitors and high brand loyalty for existing competitors. The publisher of the paper, Bilal Lakhani, is questioning his pricing decision right after the launch of the paper and there are a series of reasons he is looking into on how he set the original price and why should he reduce the price of the paper now. Expected learning outcomes Students should be able to see, understand and analyze: challenges faced by entrepreneurs of starting an initiative which has a largely unreliable and untested audience; the extent of interdependence in an oligopolistic industry and how it influences the current and future decision-makings of an entrepreneur or any other firm for that matter, especially in a developing economy; the personnel, financial production and regulation issues involved in setting up assembly/ delivery systems that deliver a product for mass use, i.e. a newspaper; and the pricing and marketing strategies involved in the launch and subsequent successful operation of a product, in this case, a newspaper. Supplementary materials Teaching notes are available for educators only. Please contact your library to gain login details or email support@emeraldinsight.com to request teaching notes.
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Vatansever, Metin, İbrahim Demir et Ali Hepşen. « Cluster and forecasting analysis of the residential market in Turkey ». International Journal of Housing Markets and Analysis 13, no 4 (23 janvier 2020) : 583–600. http://dx.doi.org/10.1108/ijhma-11-2019-0110.
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Purpose The main purpose of this study is to detect homogeneous housing market areas among 196 districts of 5 major cities of Turkey in terms of house sale price indices. The second purpose is to forecast these 196 house sale price indices. Design/methodology/approach In this paper, the authors use the monthly house sale price indices of 196 districts of 5 major cities of Turkey. The authors propose an autoregressive (AR) model-based fuzzy clustering approach to detect homogeneous housing market areas and to forecast house price indices. Findings The AR model-based fuzzy clustering approach detects three numbers of homogenous property market areas among 196 districts of 5 major cities of Turkey where house sale price moves together (or with similar house sales dynamic). This approach also provides better forecasting results compared to standard AR models by higher data efficiency and lower model validation and maintenance effort. Research limitations/implications In this study, the authors could not use any district-based socioeconomic and consumption behavioral indicators and any discrete geographical and property characteristics because of the data limitation. Practical implications The finding of this study would help property investors for establishing more effective property management strategies by taking different geographical location conditions into account. Social implications From the government side, knowing future rises, falls and turning points of property prices in different locations can allow the government to monitor the property price changes and control the speculation activities that cause a dramatic change in the market. Originality/value There is no previous research paper focusing on neighborhood-based clusters and forecasting house sale price indices in Turkey. At this point, it is the first academic study.
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Lusk, Edward J. « A Benchmarked Evaluation of a Selected CapitalCube Interval-Scaled Market Performance Variable ». Accounting and Finance Research 8, no 2 (5 mars 2019) : 1. http://dx.doi.org/10.5430/afr.v8n2p1.
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Context In this fifth analysis of the CapitalCube™ Market Navigation Platform[CCMNP], the focus is on the CaptialCube Closing Price Latest [CCPL] which, is an Interval Scaled Market Performance [ISMP] variable that seems, a priori, the key CCMNP information for tracking the price of stocks traded on the S&P500. This study follows on the analysis of the CCMNP’s Linguistic Category MPVs [LCMPV] where it was reported that the LCMPV were not effective in signaling impending Turning Points [TP] in stock prices. Study Focus As the TP of an individual stock is the critical point in the Panel and was used previously in the evaluation of the CCMNP, this study adopts the TP as the focal point in the evaluation montage used to determine the market navigation utility of the CCPL. This study will use the S&P500 Panel in an OLS Time Series [TS] two-parameter linear regression context: Y[S&P500] = X[TimeIndex] as the Benchmark for the performance evaluation of the CCPL in the comparable OLS Regression: Y[S&P500] = X[CCPL]. In this regard, the inferential context for this comparison will be the Relative Absolute Error [RAE] using the Ergodic Mean Projection [termed the Random Walk[RW]] of the matched-stock price forecasts three periods after the TP. Results Using the difference in the central tendency of the RAEs as the effect-measure, the TS: S&P Panel did not test to be different from the CCPL-arm of the study; further neither outperformed the RW; all three had Mean and Median RAEs that were greater than 1.0—the standard cut-point for rationalizing the use of a particular forecasting model. Additionally, an exploratory analysis used these REA datasets blocked on: (i) horizons and (ii) TPs of DownTurns & UpTurns; this analysis identified interesting possibilities for further analyses.
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Yu, Xinpeng, et Dagang Li. « Important Trading Point Prediction Using a Hybrid Convolutional Recurrent Neural Network ». Applied Sciences 11, no 9 (28 avril 2021) : 3984. http://dx.doi.org/10.3390/app11093984.
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Stock performance prediction plays an important role in determining the appropriate timing of buying or selling a stock in the development of a trading system. However, precise stock price prediction is challenging because of the complexity of the internal structure of the stock price system and the diversity of external factors. Although research on forecasting stock prices has been conducted continuously, there are few examples of the successful use of stock price forecasting models to develop effective trading systems. Inspired by the process of human stock traders looking for trading opportunities, we propose a deep learning framework based on a hybrid convolutional recurrent neural network (HCRNN) to predict the important trading points (IPs) that are more likely to be followed by a significant stock price rise to capture potential high-margin opportunities. In the HCRNN model, the convolutional neural network (CNN) performs convolution on the most recent region to capture local fluctuation features, and the long short-term memory (LSTM) approach learns the long-term temporal dependencies to improve stock performance prediction. Comprehensive experiments on real stock market data prove the effectiveness of our proposed framework. Our proposed method ITPP-HCRNN achieves an annualized return that is 278.46% more than that of the market.
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Schäufele, Isabel, et Ulrich Hamm. « Wine consumers’ reaction to prices, organic production and origins at the point of sale : an analysis of household panel data ». Renewable Agriculture and Food Systems 35, no 3 (5 novembre 2018) : 261–73. http://dx.doi.org/10.1017/s174217051800056x.
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AbstractPrice premiums are considered as major purchase barriers for organic products and therefore may prevent organic market growth. For wine, however, prices take a double and conflicting effect: they also serve as quality signal for consumers. Therefore, it is of high relevance to examine if price is a major barrier for organic wine as well.Even though many studies already examined price behavior for organic wine through surveys and experiments, it is still to be clarified how consumers’ react to price changes in a real market context. So far, no study analyzed consumer preferences for organic labeled wine in daily shopping situations. Through the analysis of the GfK household panel—a high-frequency data set of extensive population coverage—implications for price setting and price promotions in different market segments can be given.In contrast to previous studies, consumers’ overall price sensitivity was found to be low for organic wine and consumers’ preferred organic over conventional wine. The effect of price as quality cue or purchase barrier and the effect of an organic label on consumers’ behavior varied between price categories. Organic wine was valued highest in the low-price category, whereas no price premium for the organic label was examined in the high-price segment. Price sensitivity was extremely high for organic wine in the low-price segment, while price functioned as quality signal in the premium segment for organic and conventional wine similarly.This study verified previous stated preference studies on organic wine through the analysis of actual purchase data. Moreover, new insights for price setting in different price categories were generated through the examination of a large amount of disaggregated data on single consumer purchases.
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Stávková, J., L. Stejskal et Z. Procházková. « Application of behavioural economy principles in the grocery market ». Agricultural Economics (Zemědělská ekonomika) 55, No. 7 (6 août 2009) : 314–20. http://dx.doi.org/10.17221/52/2009-agricecon.
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The article presents the contribution to the research of questions concerning the price concepts from the point of view of the behavioural economy. According to this scientific discipline, contrary to the neo-classical economy, price is not always the most important factor determining the consumer’s purchase decision. The traditional spheres of behavioural approach to price perception have long been the analyses of the purchase processes of electronics and financial market products. Against this conception, the authors propose their own thesis on the possibilities of the behavioural approach utilization in the grocery market. Foodstuff is specific in many aspects, which is given by the fact that food products very often satisfy the very basic human needs. The thesis is backed up by the results of the primary inquiry of 3 520 respondents which has unveiled the fact that the consumer’s price perception of grocery products should be more likely examined by the means of behavioural economy than the classical theory of rational choice (homo oeconomicus). The conducted survey showed that the price is surprisingly the least important attribute of food products. Furthermore, after divisioning the addressed consumers into groups by their age or by the achieved education level, the percentage share of those who answered that price is very important when choosing grocery products was very fluctuating. The traditional neo-classical approach assumes a consistent or eventually increasing importance (in the case we accept the presumption that the consumer’s ability to decide rationally increases with a higher education level achieved). All findings of the primary inquiry then showed to be inconsistent with the traditional theory and in the author’s opinion, the behavioural research in the field of food markets has proven to be highly relevant.
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TUOMISTO, J. « Contract production as a method to reduce welfare loss caused by market uncertainty of seed potato ». Agricultural and Food Science 16, no 1 (4 décembre 2008) : 3. http://dx.doi.org/10.2137/145960607781635868.
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The aim of this study is to show whether contract production between seed and food potato producers lessens market uncertainty, reduce welfare losses for both parties and increase efficiency in the entire potato chain. These problems were approached from the point of view of the principal-agent theory combined with different contract models. Results indicate that no contract model provided seed potato producers with average positive net profits, and profitability ratios for seed potato farms stayed below one. The results indicate that seed potato producers trading on a fixed-price and pre-emptive market could sell their seed potato for 13 per cent less than on a transaction market, but with equal net profits. The more consistent supply chain leads to less market uncertainty. If the food potato producer was not party to the contract, there was no marked decrease in market uncertainty. With contract production the needs of contract parties could be controlled, but it will be up to the objectives of the party offering the contract, which party in the potato chain most benefits from the contract production.;
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O'Connor, Philip, et Feng Zhou. « THE TRADESPORTS NFL PREDICTION MARKET : AN ANALYSIS OF MARKET EFFICIENCY, TRANSACTION COSTS, AND BETTOR PREFERENCES ». Journal of Prediction Markets 2, no 1 (14 décembre 2012) : 45–71. http://dx.doi.org/10.5750/jpm.v2i1.435.
Texte intégralRésumé :
We investigated 1,587 Tradesports point spread contracts for NFL games during the 2005/06 season. Differing point spreads create differing odds, meaning we could test for the traditional favorite long shot bias in NFL betting. We found that there was no favorite long shot bias. However, the market underestimated the chances of the favored team winning by about 10% across all odds categories, and this bias persisted throughout the season. We found relatively low transaction costs. For a price-taker, the Tradesports “Vegas-line” point spread had a 2.2% total takeout including exchange fees, about half of the 4.55% takeout of traditional legal bookmakers. Contracts with a price around 50, creating even money returns to bets on both teams, and higher volume contracts, had lower transaction costs. Participants were found to prefer the Las Vegas line point spread contract followed by the straight-up contract. Trading volume during the game (in-running) was about twice the trading volume leading up to the game. Teams with better season records and from cities with larger populations generated a higher volume of trades. Sunday night and Monday night games generated about four times more volume than regular Sunday games.Helpful comments were provided by Adi Schnytzer and participants of the 2007 University of California-Riverside Growth of Gambling and Prediction Markets Conference, and an excellent anonymous referee. We thank Jared Hunt for computer assistance.
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Li, Zhicheng, et Haipeng Xing. « High-Frequency Quote Volatility Measurement Using a Change-Point Intensity Model ». Mathematics 10, no 4 (18 février 2022) : 634. http://dx.doi.org/10.3390/math10040634.
Texte intégralRésumé :
Quote volatility is important in determining the cost of demand in a high frequency (HF) order market. This paper proposes a new model to measure quote volatility based on the point process and price-change duration. Specifically, we built a change-point intensity (CPI) model to describe the dynamics of price-change events for a given level of threshold. The instantaneous volatility of quote price can be calculated at any time according to price-change intensities. Based on this, we can quantify the cost of demanding liquidity for traders with different trading latency by using integrated variances. Furthermore, we use the autoregressive conditional intensity (ACI) model proposed by Russell (1999) as a benchmark comparison. The results suggest that our model has better performance of both in-sample fitness and out-of-sample prediction.
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Peng, Zhao, Li Yue et Ning Xiao. « Simultaneous Wood Defect and Species Detection with 3D Laser Scanning Scheme ». International Journal of Optics 2016 (2016) : 1–6. http://dx.doi.org/10.1155/2016/7049523.
Texte intégralRésumé :
Wood grading and wood price are mainly connected with the wood defect and wood species. In this paper, a wood defect quantitative detection scheme and a wood species qualitative identification scheme are proposed simultaneously based on 3D laser scanning point cloud. First, an Artec 3D scanner is used to scan the wood surface to get the 3D point cloud. Each 3D point contains its X, Y, and Z coordinate and its RGB color information. After preprocessing, the Z coordinate value of current point is compared with the set threshold to judge whether it is a defect point (i.e., cavity, worm tunnel, and crack). Second, a deep preferred search algorithm is used to segment the retained defect points marked with different colors. The integration algorithm is used to calculate the surface area and volume of every defect. Finally, wood species identification is performed with the wood surface’s color information. The color moments of scanned points are used for classification, but the defect points are not used. Experiments indicate that our scheme can accurately measure the surface areas and volumes of cavity, worm tunnel, and crack on wood surface with measurement error less than 5% and it can also reach a wood species recognition accuracy of 95%.
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Gu, En-Guo. « On the Price Dynamics of a Two-Dimensional Financial Market Model with Entry Levels ». Complexity 2020 (7 août 2020) : 1–23. http://dx.doi.org/10.1155/2020/3654083.
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This paper aims to extend the model developed by Tramontana et al. By adding trend followers who pay attention to the most recent observed price trend, we formulate a financial market model driven by a new two-dimensional discontinuous piecewise linear (PWL) map with three branches. The dynamic behavior of the mapping system is studied in two cases according to different trend followers’ expectation of the stock price. The existence and stability conditions of periodic attractors and other bounded attractors are derived by using qualitative and quantitative methods, theoretical analysis, and numerical simulation. When trend followers are neutral on the stock market, we present that the basin of locally attracting fixed points can be determined by the preimages of two borderlines. We also prove that one of its surprising features is that model simulations may appear to be chaotic, although only regular dynamics can emerge. When trend followers are bullish or bearish on the stock market, we present the existence conditions of attracting coexistence fixed point, globally and locally attracting fixed point, and periodic and other bounded attractors. The transversal homoclinic theory of flip saddle periodic point is applied to prove the existence of chaotic attractor. We also give the calculation methods of border collision bifurcation (BCB) curves. This paper advances our knowledge of discontinuous PWL systems and reveals the endogenous evolution of bubbles and crashes and excessive volatility in financial markets from a new perspective with new methods.
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Reddy Lokesh, Rhea. « The Anti-Competitive Effect of Price Controls : Study of the Indian Pharmaceutical Industry ». World Competition 43, Issue 2 (1 juin 2020) : 283–300. http://dx.doi.org/10.54648/woco2020014.
Texte intégralRésumé :
The objective behind imposing price controls on essential medicines is to ensure that the masses have access to these essential goods and services without prejudice. However, the prices of these medicines have significantly increased under price controls, defeating the purpose of the ceilings’ implementation. In this article, the author examines the reasons behind these price increases. In particular, the article examines whether price ceilings facilitate collusion in the pharmaceutical market of India. The scope of examination considers the effect of the ceiling on prices both before and after it was implemented. This is important because prices become significantly higher in a cartelized market, thereby preventing the masses from being able to access essential, life-saving medicines. After examining studies of individual drugs and common market tendencies, the author concluded that price ceilings do facilitate anti-competitive practices. This is due to the marketbased price ceilings providing a focal point for tacit collusion. This is especially true in pharmaceutical markets with market-based price ceilings due to the presence of strong intermediary association and monitoring, evidence of communication, and underutilization of capacity. Similar collusive behaviour has been observed in markets across China, the United States, and the United Kingdom. At the end of the article, suggestions to mitigate the effects of price ceilings and prevent the consumers from being harmed further have been enumerated. Tacit Collusion, Signalling, Cartelization, Pharmaceutical, India, Focal Point, Price Control, Ceiling, Market-based, Price-fixing
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Amemiya, Yuki, Hiroshi Kitamura et Jun Oshiro. « Market-Share Contracts with Vertical Externalities ». Asian Journal of Law and Economics 5, no 1-2 (1 janvier 2014) : 1–15. http://dx.doi.org/10.1515/ajle-2013-0002.
Texte intégralRésumé :
AbstractWe construct a model of market-share contracts with vertical externalities. When a dominant supplier offers a linear wholesale price to a retailer, vertical externalities, well-recognized as double-marginalization problems, arise in the vertical relation. The dominant supplier facing vertical externalities charges a wholesale price that is excessively high for both the vertical relation and social welfare. Under market-share contracts, the retailer can commit to increase the sales of goods produced by the dominant supplier for a lower wholesale price. We point out that this induces the vertical relation to engage in market-share contracts even in the absence of exclusionary effects in the upstream market. We also show that such contracts mitigate vertical externalities and improve social welfare.
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Xin, He, et Zhang Guofu. « Dynamic Nonlinear Correlation Studies on Stock and Oil Market Based on Copula ». Open Petroleum Engineering Journal 8, no 1 (15 septembre 2015) : 405–9. http://dx.doi.org/10.2174/1874834101508010405.
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Employing the dataset of WTI oil spot price and stock price index in China，Brazil, India, US, German, France, UK and Japan, this paper obtains five subintervals of whole sample range through a nonparametric multiple change point algorithms. Furthermore, it analyzes dependence between oil spot price and stock price index through copula model and computes the value of VaR and ES based on simulation for every subinterval. It reveals that dependence between oil spot price and stock price index during financial crisis is an asymmetric tail dependence. The value of VaR and ES of the oil spot price and stock price index shows irregular fluctuation.
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CH’NG, KEAN SIANG, et SUET LENG KHOO. « MARKET MECHANISMS TO ALLOCATE HERITAGE CONSERVATION FUND : AN EXPERIMENTAL STUDY ». Singapore Economic Review 60, no 05 (décembre 2015) : 1550024. http://dx.doi.org/10.1142/s0217590815500241.
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The under-provision of efforts in built heritage conservation was due to market failure to allocate cost and benefit efficiently. Conservation agency could facilitate conservation effort, which was considered not beneficial from the point of view of the private owners of the heritage houses, by providing conservation subsidy. In this paper, we conducted three different experimental auctions, namely, (i) discriminative price auction, (ii) uniform price auction, and (iii) random nth price auction to investigate bidding behaviors and efficiency levels in allocating conservation subsidies. Both uniform and random nth price auctions were able to encourage cost revealing bids. Random nth price auction was able to engage the off-margin bidders. However, discriminative price auction was more cost efficient compared to the other two auctions.
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McNew, Kevin. « Spatial Market Integration : Definition, Theory, and Evidence ». Agricultural and Resource Economics Review 25, no 1 (avril 1996) : 1–11. http://dx.doi.org/10.1017/s1068280500000010.
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A point-space model of interregional trade is used to define market integration and to explore its implications for modeling spatial price relationships. This analysis indicates that spatial prices are related nonlinearly, contrary to much of the work on spatial price analysis which uses linear models. As an empirical example, corn market integration along the Mississippi River is examined during the Midwest flood of 1993. Higher transport costs during this period significantly reduced the extent of integration and thereby decreased excess demand shock transference across regions.
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Anisimova, Marina, Nadezhda Yurchenko et Nataliia Kopytets. « Improving antitrust instruments for food security ». E3S Web of Conferences 282 (2021) : 01005. http://dx.doi.org/10.1051/e3sconf/202128201005.
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The study aims to substantiate the fact that the development of agro-industrial complex imposes new requirements for the formation of anti-monopoly regulation tools. The authors point out the threat of cartelization of the industry to food security. It is shown that the cartel violations are systemic in the markets of agroindustrial complex. New features typical of cartel behavior of companies have been identified. It was found that the emergence of new software algorithms greatly facilitates collusion on the market, opens up the possibility of changing the nature of competition, which imposes new requirements for the formation of antitrust regulation tools. It has been marked that it is difficult to suppress anticompetitive practices to develop a complex of measures in order to counteract the cartels: modern technologies of data analysis, application of mathematical modeling methods, economic analysis and also prohibition for development and distribution of price algorithms, their use for establishing of price control.
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Xu, Wen-Juan, et Li-Xin Zhong. « Market impact shapes competitive advantage of investment strategies in financial markets ». PLOS ONE 17, no 2 (3 février 2022) : e0260373. http://dx.doi.org/10.1371/journal.pone.0260373.
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The formation of an efficient market depends on the competition between different investment strategies, which accelerates all available information into asset prices. By incorporating market impact and two kinds of investment strategies into an agent-based model, we have investigated the coevolutionary mechanism of different investment strategies and the role of market impact in shaping a competitive advantage in financial markets. The coevolution of history-dependent strategies and reference point strategies depends on the levels of market impact and risk tolerance. For low market impact and low risk tolerance, the majority-win effect makes the trend-following strategies become dominant strategies. For high market impact and low risk tolerance, the minority-win effect makes the trend-rejecting strategies coupled with trend-following strategies become dominant strategies. The coupled effects of price fluctuations and strategy distributions have been investigated in depth. A U-shape distribution of history-dependent strategies is beneficial for a stable price, which is destroyed by the existence of reference point strategies with low risk tolerance. A δ-like distribution of history-dependent strategies leads to a large price fluctuation, which is suppressed by the existence of reference point strategies with high risk tolerance. The strategies that earn more in an inefficient market lose more in an efficient market. Such a result gives us another explanation for the principle of risk-profit equilibrium in financial markets: high return in an inefficient market should be coupled with high risk in an efficient market, low return in an inefficient market should be coupled with low risk in an efficient market.
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POITRAS, GEOFFREY, et JOHN HEANEY. « "HOW IS THE STOCK MARKET DOING?" USING ABSENCE OF ARBITRAGE TO MEASURE STOCK MARKET PERFORMANCE ». Annals of Financial Economics 04, no 01 (juin 2008) : 0850001. http://dx.doi.org/10.1142/s2010495208500012.
Texte intégralRésumé :
This paper provides a methodology for measuring stock market performance based on the restrictions provided by absence of arbitrage in security prices. Under the null hypothesis that the aggregate cumulative dividend-price process follows a geometric Brownian motion, a closed form related to the inter-temporal marginal rate of substitution is derived and empirically evaluated. The stock market performance measure is based on the level of risk adjustment required to compare the value of the stock index at the starting point with the cumulative interest rate deflated value at any given point in the time series. The paper concludes with empirical tests for the martingale property of the performance measure.
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Knittel, Christopher R., et Victor Stango. « Price Ceilings as Focal Points for Tacit Collusion : Evidence from Credit Cards ». American Economic Review 93, no 5 (1 novembre 2003) : 1703–29. http://dx.doi.org/10.1257/000282803322655509.
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We test whether a nonbinding price ceiling may serve as a focal point for tacit collusion, using data from the credit card market during the 1980’s. Our empirical model can distinguish instances when firms match a binding ceiling from instances when firms tacitly collude at a nonbinding ceiling. The results suggest that tacit collusion at nonbinding state-level ceilings was prevalent during the early 1980’s, but that national integration of the market reduced the sustainability of tacit collusion by the end of the decade. The results highlight a perverse effect of price regulation.
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Zhang, Wensi, Jinlin Li et Lun Ran. « Price Increasing Timing of Competitive Perishable Products ». Journal of Systems Science and Information 2, no 1 (25 février 2014) : 29–37. http://dx.doi.org/10.1515/jssi-2014-0029.
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AbstractDynamic pricing has been proven to be an effective tool to increase revenue in many industries. We discuss the optimal time point to increase price of perishable products under duopoly competition in revenue management. We propose a game-theoretic model to describe the price increasing timing problem of competitive perishable products in the same market. By solving this problem, we show the existence of Stackelberg equilibrium point and Cournot equilibrium point when choosing the optimal price switching time. To illustrate our results, we also present a numerical example. Our results are applicable for decision makers to determine the optimal time to stop discounting.
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Chai, Jian, et Ying Jin. « The Dynamic Impacts of Oil Price on China’s Natural Gas Consumption under the Change of Global Oil Market Patterns : An Analysis from the Perspective of Total Consumption and Structure ». Energies 13, no 4 (17 février 2020) : 867. http://dx.doi.org/10.3390/en13040867.
Texte intégralRésumé :
In recent years, China’s energy structure has been adjusted unceasingly, where the proportion of natural gas has been increasing year by year, and its external dependence has also been increasing. Therefore, it is necessary to discuss the correlation between China’s natural gas market and the international energy market. This paper studies the dynamic relationship between China’s total natural gas consumption, consumption structure, and the international price of oil from the perspectives of mutation and time-variance, using the cointegration test with regime shifts and a state space model. The results show that during the global financial crisis in 2008, the cointegration relationship between China’s total natural gas consumption and the international oil price has undergone structural changes. January 2012 and March 2015 are potential structural mutation points. After the structural mutation, the impact of the international price of oil on China’s total natural gas consumption has weakened. From a structural point of view, urban gas and power generation gas have both been greatly affected by the change of oil price, while industrial gas and chemical gas are less affected. The conclusion here will provide an important empirical reference for optimizing the structure of natural gas consumption and maintaining energy security in China.
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Tzanis, A. « Critical-point behaviour in self-organizing systems : the September 1999 Athens earthquake and Stock Market correction ». Bulletin of the Geological Society of Greece 40, no 3 (5 juin 2018) : 1292. http://dx.doi.org/10.12681/bgsg.16881.
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A quorum of observational and theoretical evidence indicates that seismogenesis is a critical phenomenon culminating with a large event that corresponds to some critical point: large earthquakes are preceded by the self-organization of the fault network and power-law acceleration of the seismic release rates. The stock market is not very different: the (interaction of the traders is usually irreversible and determines the value of the stock, which determines the actions of other traders etc. Thus, the stock market becomes a self-organizing system and exhibits strong analogies with other self-organizing systems, such as earthquakes. Positive feed-back is also important and may lead to trend-chasing and rapid escalation of stock price. There is ample evidence that market crashes and large corrections are often preceded by speculative bubbles with power law acceleration of the market price. In diabolic coincidence, both such crises were observed in Athens during the September of 1999. On 7/9 a moderate (M5.9) but destructive earthquake; around 22/9 the Athens Stock Exchange rally of the past few months crashed. Both phenomena were preceded by characteristic power-law acceleration, respectively in crustal deformation and market growth. Two very different complex dynamic systems are shown to exhibit similar collective behaviour, pointing out the apparent universality of natural order.
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Teresienė, Deimantė. « LITHUANIAN STOCK MARKET ANALYSIS USING A SET OF GARCH MODELS ». Journal of Business Economics and Management 10, no 4 (31 décembre 2009) : 349–60. http://dx.doi.org/10.3846/1611-1699.2009.10.349-360.
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This article analyses the main factors that influence stock price volatility. The author offers a three‐stage system for explaning a set of stock price volatility factors. The main point is to pay attention to investor's psychology as the main factor of price volatility. For practical analysis the returns of the OMXV index and stock prices of the Lithuanian stock market are taken and applied to a set of GARCH models. The main idea is to choose the best of the general autoregressive conditional heteroskedasticity models (GARCH) for OMXV index and all sectors. All models are ranged according to their ability to model stock price return. The main tendencies of the Lithuanian stock market are also analysed in this article by highlighting the leverage effect.
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Juliati Nasution, Yenni Samri. « Mekanisme Pasar Dalam Perspektif Ekonomi Islam ». AT-TAWASSUTH : Jurnal Ekonomi Islam 3, no 1 (3 juillet 2018) : 1. http://dx.doi.org/10.30821/ajei.v3i1.1695.
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The market is a mechanism for the exchange of goods and services that nature. The market price is formed by a variety of factors which later formed the demand and supply of goods and services. Consumer demand is influenced by many factors, such as price, consumer income, tastes, expectations and level <em>mashlahah</em>. Quote manufacturers also influenced by many factors, such as<em> mashlahah</em>, profits, and prices. Interaction of supply and demand will establish the balance point can be changed from the demand side or the supply, either due to the deviation of structured and unstructured deviation. Perfectly competitive market can generate a fair price for the seller and the buyer. Therefore, if the market mechanism is interrupted, then the fair price will not be achieved. Islam puts the market at an important position in the economy. And very concerned about the concept of a fair price and perfect market mechanism. So, the role of government is very important to better ensure the activities of market mechanisms as perfect as taking a policy of price intervention that is based on justice.
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LYNCH, CHRISTOPHER, et BENJAMIN MESTEL. « CHANGE-POINT ANALYSIS OF ASSET PRICE BUBBLES WITH POWER-LAW HAZARD FUNCTION ». International Journal of Theoretical and Applied Finance 22, no 07 (novembre 2019) : 1950033. http://dx.doi.org/10.1142/s021902491950033x.
Texte intégralRésumé :
We present a methodology to identify change-points in financial markets where the governing regime shifts from a constant rate-of-return, i.e. normal growth, to a superexponential growth described by a power-law hazard rate. The latter regime corresponds, in our view, to financial bubbles driven by herding behavior of market participants. Assuming that the time series of log-price returns of a financial index can be modeled by arithmetic Brownian motion, with an additional jump process with power-law hazard function to approximate the superexponential growth, we derive a threshold value of the hazard-function control parameter, allowing us to decide in which regime the market is more likely to be at any given time. An analysis of the Standard & Poors 500 index over the last 60 years provides evidence that the methodology has merit in identifying when a period of herding behavior begins, and, perhaps more importantly, when it ends.
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Docters, Robert G. « The real mission of pricing : beyond numbers to management partner ». Journal of Business Strategy 37, no 3 (16 mai 2016) : 12–21. http://dx.doi.org/10.1108/jbs-02-2015-0023.
Texte intégralRésumé :
Purpose The purpose of this paper is to point out that most pricing organizations are not forward looking, rather they are focused on outdated price points and reviewing past negotiations. For the greatest return, pricing organizations must be strategic, and this will boost returns from 1-2 per cent (which may represent the “Hawthorne Effect”) to 5-10+% revenue growth. Design/methodology/approach The author examines best practices in the airline, hi-tech, software, chemical, diagnostic testing and manufacturing industries. Case studies show that sales and other line organizations are highly adept at subverting pricing rules not compatible with market dynamics. Findings Pricing organizations must be designed with broader scope of influence and situated so as to work closely with other functions. Pricing organizations require “analytic horsepower” to correctly anticipate the market, and be credible within company. The head of pricing must be sufficiently senior (VP or SVP) to be part of top-management dialogues for sufficient results. Research limitations/implications This paper is based on examination of 20+ industries only. Practical implications The author offers guidance on organizational structure, resources and return on building a world-class pricing function, and highlights common mis-steps and best practices. Social implications The paper also details the differences between a narrow “transactional” approval function and a strategic market-oriented function. Social implication is moving from focus on increasing price level to increasing revenues and better price structures which address needs. Originality/value This paper offers a new perspective on pricing functions within companies. Most managers are not aware that pricing organizations are focused on the past. The papers’ value is to shift management focus to future pricing challenges, new structures, price points, discounting rules and competitors.
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STOIKOV, SASHA F. « PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER ». International Journal of Theoretical and Applied Finance 09, no 08 (décembre 2006) : 1245–66. http://dx.doi.org/10.1142/s0219024906004049.
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This paper is a contribution to the pricing and hedging of options in a market where the volatility is stochastic. The new concept of relative indifference pricing is further developed. This relative price is the price at which an option trader is indifferent to trade in an additional option, given that he is currently holding and dynamically hedging a portfolio of options. We find that the appropriate volatility risk premium depends on the trader's risk aversion coefficient and his portfolio position before selling or buying the additional option. We suggest two asymptotic expansions which relate the volatility risk premium to the Vega of the option portfolio. This approach provides a tool for traders to (i) integrate option pricing with risk management and (ii) quote competitive prices that depend on their aggregate risk exposure.
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Zhang, Xiao-Bing, Yinxin Fei, Ying Zheng et Lei Zhang. « Price ceilings as focal points to reach price uniformity : Evidence from a Chinese gasoline market ». Energy Economics 92 (octobre 2020) : 104950. http://dx.doi.org/10.1016/j.eneco.2020.104950.
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Bublyk, Yevhen, Oleksandra Kurbet et Roman Yukhymets. « Price convergence on the national gas markets of the Eastern European region ». Problems and Perspectives in Management 20, no 4 (30 décembre 2022) : 612–23. http://dx.doi.org/10.21511/ppm.20(4).2022.47.
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Establishing institutional arrangements for regulating gas markets toward price convergence is one of the crucial integrational factors. The strategy of the firm and economic development management depends on it. The paper aims to assess the characteristics of price convergence on the natural gas markets of the Eastern European region. This region is relevant for Ukraine in a number of parameters. The assessment was made based on Eurostat data for different groups of consumers, excluding taxes, using the standard deviation detection method of price convergence for 15 countries in 2007–2020. Despite the revealed generally positive price convergence on the natural gas markets in the considered countries after 2014, obtained results showed three points that highlight the heterogeneous structure of the process. First, an even movement toward a single price is detected in groups of large households (the standard price deviation of the price decreased in 2014–2020 from 2.7 to 1.9 euro per Giga Joule or 1.5 times) and medium industrial enterprises (the standard deviation decreased from 1.0-1.7 to 0.6-1.1 or 1.5-1.8 times). Second, the prices for the largest industrial enterprises in considered countries approached the fastest (the deviation decreased from 2.0 to 0.5). Third, in the segment of small enterprises, the deviation even increased from 2.1 to 2.2 (1.05 times). This result highlights the gap in the institutional mechanisms of European integration and sources of uncertainty for the small firms’ management. AcknowledgmentThe paper was funded as a part of the “Determination of institutional conditions for the development of the exchange segment of the gas market” research project (No. 0122U002205), conducted at the State Institution Institute for Economics and Forecasting of the NAS of Ukraine.
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Popov, Sergei P., et Darya V. Maksakova. « One approach to the study of gas pricing based on gas supply systems modelling (the case of Northeast Asia) ». E3S Web of Conferences 114 (2019) : 02004. http://dx.doi.org/10.1051/e3sconf/201911402004.
Texte intégralRésumé :
The article deals with the approach to gas pricing analysis based on the use of optimization models of gas supply systems. The object of the study is the Northeast Asian gas market. The model of the excessive gas supply system in Northeast Asia is described. The primal problem of the model is to minimize the sum of gas production and transportation costs under the infrastructure constraints. The solutions to the primal problem are the volumes of gas produced in each production point and transported via each route. The solutions to the dual problem (dual variables or shadow prices) are node prices in the points of gas supply system, the producers’ rent and the transporters’ rent. It is highlighted that the dual analysis plays an important role. It allows evaluating price relations between the points of gas supply system, identifying export routs characterized by the highest rent, evaluating the competitiveness of suppliers in the different scenarios of technological development, energy policy and market environment. The analytical capacities of the dual analysis are illustrated by the study of the impact of “unconventional” gas development in the importing countries on the Northeast Asian gas market environment. When the costs of unconventional gas production rise, gas trade patterns change, more competitive players enter the market, and gas prices in all consumption points as well as producers’ rents increase. It is concluded that if importers seek to lower import dependency while keeping the same price level, they have to lower the costs of unconventional gas production by technological development and/or to subsidize the industry to make it more competitive.