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Dissertations / Theses on the topic 'Dynamic Pricing Models'

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Published: 7 June 2025

Last updated: 2 August 2025

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1

Davis, Michael C. "Dynamic models of price changes /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2001. http://wwwlib.umi.com/cr/ucsd/fullcit?p3026374.

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2

Kachani, S. (Soulaymane). "Dynamic travel time models for pricing and route guidance : a fluid dynamics approach." Thesis, Massachusetts Institute of Technology, 2002. http://hdl.handle.net/1721.1/8527.

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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2002.<br>Includes bibliographical references (leaves 193-201).<br>This thesis investigates dynamic phenomena that arise in a variety of systems that share similar characteristics. A common characteristic of particular interest in this work is travel time. We wish to address questions of the type: How long does it take a driver to traverse a route in a transportation network? How long does a unit of product remain in inventory before being sold? As a result, our goal is not only to develop models for travel time

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3

Chu, Kai-cheung, and 朱啟祥. "The effects of mean reversion on dynamic corporate finance and asset pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B47752762.

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This thesis aims to investigate the effects of mean reversion on dynamic corporate finance decisions and stock pricing. In Chapter 1, a continuous-time real option model of mature firm that produces product with exogenous mean reverting price is developed to study the firm’s optimal exit and leverage policies. Simulation results show that both liquidation and bankruptcy triggers are negatively related to the long run price levels, while the speed of mean reversion interacts with the long run price level to affect the firm’s exit decisions in two opposite directions depending on the l

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4

Karam, Philippe Doumit. "Dynamic asset pricing models with incomplete markets and market frictions." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq22471.pdf.

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5

Kachani, Soulaymane, and Georgia Perakis. "A Fluid Model of Dynamic Pricing and Inventory Management for Make-to-Stock Manufacturing Systems." Massachusetts Institute of Technology, Operations Research Center, 2002. http://hdl.handle.net/1721.1/5137.

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In this paper, we introduce a fluid model of dynamic pricing and inventory management for make-to-stock manufacturing systems. Instead of considering a traditional model that is based on how price affects demand, we consider a model that relies on how price and level of inventory affect the time a unit of product remains in inventory. Our motivation is based on the observation that in inventory systems, a unit of product incurs a delay before being sold. This delay depends on the unit price of the product, prices of competitors, and the level of inventory of this product. Moreover, delay data

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6

GONZATO, LUCA. "Application of Sequential Monte Carlo Methods to Dynamic Asset Pricing Models." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2020. http://hdl.handle.net/10281/295144.

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In questa tesi si considera l’applicazione di metodi Monte Carlo sequenziali per modelli di asset pricing di tipo dinamico. Il primo capitolo della tesi presenta una panoramica generale sui metodi Monte Carlo sequenziali. Nello specifico, partendo da metodi Monte Carlo standard si giunge fino allo stato dell’arte per quanto riguarda i metodi Monte Carlo sequenziali. Il secondo capitolo costituisce una review della letteratura sui metodi di simulazione esatta per processi di Hawkes. Dall’analisi svolta si evince che lo schema proposto da Dassios e Zaho (2013) performa meglio degli altri algorit

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7

Schlosser, Rainer. "Six essays on stochastic and deterministic dynamic pricing and advertising models." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2014. http://dx.doi.org/10.18452/16973.

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Die kumulative Dissertation beschäftigt sich mit stochastischen und deterministischen dynamischen Verkaufsmodellen für langlebige sowie verderbliche Güter. Die analysierten dynamischen Modelle sind durch die Möglichkeit der simultanen Variation von Preis und Werbung in stetiger Zeit charakterisiert und folgen den aktuellen Entwicklungen der Dynamischen Preissetzung. Dabei steht die Berücksichtigung und Analyse von (i) Zeitinhomogenitäten, (ii) Adoptionseffekten, (iii) Oligopolwettbewerb und (iv) der Risikoaversion des Entscheiders im Zentrum der Arbeit. Für die Spezialfälle isoelastischer u

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8

Heinzl, Thomas. "Dynamic hedging strategies and option pricing in bond market models with transaction costs /." Bamberg, 2000. http://aleph.unisg.ch/hsgscan/hm00006553.pdf.

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9

Weber, Martin. "Optimal inventory control in the presence of dynamic pricing and dynamic advertising." Doctoral thesis, Humboldt-Universität zu Berlin, 2015. http://dx.doi.org/10.18452/17339.

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Diese Dissertation analysiert das optimale Zusammenspiel dynamischer Preissetzung, dynamischer Werbung und Bestandsmanagement. Wir betrachten verschiedene Optimierungsprobleme für einen monopolistischen Händler bei gegebener zeitabhängiger deterministischer Nachfrage. In Kapitel 2 erweitern wir das Modell von Rajan et al. (1992). Der Händler darf einen dynamischen Preis, eine dynamische Werberate und die Lagergröße bei fester Verkaufsdauer wählen, so dass der Barwert von Umsatz minus Lager-, Einkaufs- und (nichtlinearen) Werbekosten maximiert wird; zusätzlich zerfällt der Lagerbestand mit expo

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10

Fox, David. "Dynamic demand modelling and pricing decision support systems for petroleum." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/dynamic-demand-modelling-and-pricing-decision-support-systems-for-petroleum(2ce6efed-a7eb-4d10-b325-4d4590ba57ad).html.

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Pricing decision support systems have been developed in order to help retail companies optimise the prices they set when selling their goods and services. This research aims to enhance the essential forecasting and optimisation techniques that underlie these systems. This is first done by applying the method of Dynamic Linear Models in order to provide sales forecasts of a higher accuracy compared with current methods. Secondly, the method of Support Vector Regression is used to forecast future competitor prices. This new technique aims to produce forecasts of greater accuracy compared with th

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11

Jonsson, Niclas, and Tommie Lindkvist. "Pricing Models for Customers in Active Houses with Load Management." Thesis, Uppsala universitet, Tillämpad kärnfysik, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-143652.

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In the new residential area, called Stockholm Royal Seaport (SRS), the customers will be living in Active Houses with Load Management. This implies that some balancing of the grid is shifted from the production to the consumption. To give the customer incentives to participate in the Load Management, new more dynamic pricing models needs to be implemented. At the same time, profits for the investors are needed to motivate an implementation of similar residential areas. To achieve this, an analysis of the electricity markets and an implementation of dynamic pricing models in a MATLAB simulation

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12

Lu, Chung-Cheng. "Multi-criterion dynamic traffic assignment models and algorithms for road pricing applications with heterogeneous users." College Park, Md. : University of Maryland, 2007. http://hdl.handle.net/1903/7019.

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Thesis (Ph. D.) -- University of Maryland, College Park, 2007.<br>Thesis research directed by: Civil Engineering. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.

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Abou, Zeid Maya 1979. "Models and algorithms for the optimization of traffic flows and emissions using dynamic routing and pricing." Thesis, Massachusetts Institute of Technology, 2003. http://hdl.handle.net/1721.1/29567.

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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering, 2003.<br>Includes bibliographical references (p. 181-189).<br>The research documented in this thesis is centered on the development and evaluation of models and algorithms for the optimization of traffic flows and emissions via routing and pricing in dynamic traffic networks. A set of problems that arise in this context are studied. These include: (1) the development of a probabilistic approach to model acceleration, (2) the study of the dynamic capacitated minimum cost flow problem, (3) an expe

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14

Zhang, Hua 1962. "The dynamic behaviour of the term structure of interest rates and its implication for interest-rate sensitive asset pricing." Thesis, McGill University, 1993. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=41168.

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This thesis investigates the fundamental assumptions made in recent continuous-time equilibrium models of the term structure of interest rates. It finds that the number and the stochastic processes of state variables are strikingly different from those assumed in the literature. It develops a three-factor empirical term structure model, based on 22 years of cross-maturity time series data. The results show that the price differences, between the well-known Vasicek, and Cox, Ingersoll and Ross models and the three-factor empirical model, for interest-rate sensitive securities are of substantial

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Schlosser, Rainer [Verfasser], Kurt [Akademischer Betreuer] Helmes, and Michael C. [Akademischer Betreuer] Burda. "Six essays on stochastic and deterministic dynamic pricing and advertising models / Rainer Schlosser. Gutachter: Kurt Helmes ; Michael C. Burda." Berlin : Humboldt Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2014. http://d-nb.info/1052060617/34.

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16

LUCCHESE, Gianfranco. "Multivariate hedonic models for heterogeneous product prices in dynamic supply chains." Doctoral thesis, Università degli studi di Bergamo, 2012. http://hdl.handle.net/10446/26713.

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Identifying parameters for state-space models in high dimensioned cases requires a complex methodology. We offer an example of application for hedonic prices and the hyper-parameter estimation for dynamic supply chains. An algorithm is created based on the Kalman filter-smoother and Expectation-Maximization procerures. Stopping rules for the algorithm are analyzed and compared. We detected the best stopping rule for our environment. In this way, the hedonic prices estimated can be used for any decision process. The thesis point to an application in forecast analysis for product prices. Accura

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17

Pagliarani, Stefano. "Portfolio optimization and option pricing under defaultable Lévy driven models." Doctoral thesis, Università degli studi di Padova, 2014. http://hdl.handle.net/11577/3423519.

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In this thesis we study some portfolio optimization and option pricing problems in market models where the dynamics of one or more risky assets are driven by Lévy processes, and it is divided in four independent parts. In the first part we study the portfolio optimization problem, for the logarithmic terminal utility and the logarithmic consumption utility, in a multi-defaultable Lévy driven model. In the second part we introduce a novel technique to price European defaultable claims when the pre-defaultable dynamics of the underlying asset follows an exponential Lévy process. In the third

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18

Jagadeesan, Nair Vineet. "Estimation of cumulative prospect theory-based passenger behavioral models for dynamic pricing & transactive control of shared mobility on demand." Thesis, Massachusetts Institute of Technology, 2021. https://hdl.handle.net/1721.1/130826.

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Thesis: S.M. in Computational Science and Engineering, Massachusetts Institute of Technology, Department of Mechanical Engineering, February, 2021<br>Cataloged from the official version of thesis.<br>Includes bibliographical references (pages 147-155).<br>This thesis studies the optimal design of large-scale shared mobility on demand services (SMoDS) in urban settings. Specifically, we build upon previous work done in the Active-Adaptive Control Lab lab on the dynamic pricing and routing of ride sharing services. We develop and characterize a novel passenger behavioral model based on Cumulativ

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19

Zhu, Liyu. "Discrete Brand Choice Models: Analysis and Applications." Diss., Available online, Georgia Institute of Technology, 2007, 2007. http://etd.gatech.edu/theses/available/etd-07102007-142035/.

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Thesis (Ph. D.)--Industrial and Systems Engineering, Georgia Institute of Technology, 2008.<br>Esogbue, Augustine, Committee Chair ; Griffin, Paul, Committee Member ; Lu, Jye-Chyi (JC), Committee Member ; Li, MinQiang, Committee Member ; McCarthy, Patrick, Committee Member.

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20

Bates, Brandon. "Essays in Financial Economics and Econometrics." Thesis, Harvard University, 2011. http://dissertations.umi.com/gsas.harvard:10419.

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In the first essay, I study the power of predictive regressions in a world of forecastable returns and find it to be quite poor. Using a simple model, I investigate the properties of short- and long-horizon regressions. The mechanisms biasing coefficients in short-horizon regressions differ from those affecting longer horizons. Further, I demonstrate that R\(^2s\) are biased and give an estimable bias correction. A calibration exercise shows sample lengths will be insufficient to determine what predicts asset returns until beyond the year 2100. The problem is not isolated to highly persistent

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21

Xu, Shunan S. M. Massachusetts Institute of Technology. "Development and test of dynamic congestion pricing model." Thesis, Massachusetts Institute of Technology, 2009. http://hdl.handle.net/1721.1/47759.

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Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering, 2009.<br>Includes bibliographical references (p. 129-137).<br>Dynamic congestion pricing is an approach to control the traffic flow on the network by setting variable tolls that are adjusted with time based on the traffic condition. Different models have been developed and tested in the past. However, most of these models are based on deterministic network equilibrium rather than stochastic choices of travelers, and case studies on complex networks are rare. These disadvantages limit the use of

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22

Royer, Julien. "Processus ARCH d'ordre infini, Bêtas dynamiques et applications financières." Electronic Thesis or Diss., Institut polytechnique de Paris, 2022. http://www.theses.fr/2022IPPAG012.

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La modélisation des séries temporelles financières est rendue difficile par la présence de faits stylisés. Ces propriétés statistiques empiriques rendent nécessaires l'utilisation de modèles non-linéaires hétéroscédastiques. Les modèles ARCH d'ordre infini ont été introduits afin de permettre une modélisation plus fine de ces faits stylisés, et en particulier le phénomène de forte persistance des chocs de volatilités. Nous présentons de nouvelles extensions à ces modèles flexibles et étudions leur inférence. En premier lieu, nous considérons un modèle ARCH d'ordre infini asymétrique. Nous démo

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23

Mboussa, Anga Gael. "Calibration and Model Risk in the Pricing of Exotic Options Under Pure-Jump Lévy Dynamics." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/98030.

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Thesis (MSc)--Stellenbosch University, 2015<br>AFRIKAANSE OPSOMMING : Die groeiende belangstelling in kalibrering en modelrisiko is ’n redelik resente ontwikkeling in finansiële wiskunde. Hierdie proefskrif fokusseer op hierdie sake, veral in verband met die prysbepaling van vanielje-en eksotiese opsies, en vergelyk die prestasie van verskeie Lévy modelle. ’n Nuwe metode om modelrisiko te meet word ook voorgestel (hoofstuk 6). Ons kalibreer eers verskeie Lévy modelle aan die log-opbrengs van die S&P500 indeks. Statistiese toetse en grafieke voorstellings toon albei aan dat suiwer sprongm

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24

Narayan, Padmini Venkat. "'Public sector pricing' : theoretical analysis in a dynamic macroeconomic model." Thesis, London School of Economics and Political Science (University of London), 1990. http://etheses.lse.ac.uk/2426/.

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This thesis examines the role of public policy, with specific reference to public sector pricing, in an economy where all markets do not necessarily clear. The discussion focuses on three non-Walrasian market situations termed, in the nomenclature of Malinvaud and others, as: Keynesian Unemployment, Classical Unemployment and Repressed Inflation. In chapter 1, there is a brief summary of the literature in this area. The framework of the model used, is described in some detail in chapter 2. In chapter 3, the role of the traditional instruments of taxation and public expenditures is analysed in

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Phan, Thao Kim. "A model-based dynamic toll pricing strategy for controlling highway traffic." Thesis, Massachusetts Institute of Technology, 2015. http://hdl.handle.net/1721.1/101488.

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Thesis: S.M., Massachusetts Institute of Technology, Department of Mechanical Engineering, 2015.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (pages 40-42).<br>A model-based approach to dynamic toll pricing has been developed to provide a systematic method for determining optimal freeway pricing schemes. A novel approach is suggested for alleviating traffic congestion, which utilizes identified models of driver behavior and traffic flow, as well as optimization of the target density to maximize throughput. Real-time traffic information from on-road sensors is

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26

Hamada, Mahmoud Actuarial Studies Australian School of Business UNSW. "Dynamic portfolio optimization & asset pricing : Martingale methods and probability distortion functions." Awarded by:University of New South Wales. School of Actuarial Studies, 2001. http://handle.unsw.edu.au/1959.4/18232.

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This dissertation consist of three contributions to financial and insurance mathematics. The first part considers numerical methods for dynamic portfolio optimisation in the expected utility model. The aim is to compare the risk-neutral computational approach (RNCA) also known as the martingale approach to stochastic dynamic programming (SDP) in a discrete-time setting. The main idea of the RNCA is to use the completeness and the arbitrage free properties of the market to compute the optimal consumption rules and then determine the trading strategy that finance this optimal consumption. In co

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Löndahl, Ted, and Johan Wermstedt. "Revenue Management in the Manufacturing Industry : a model for capacity and pricing strategies in a manufacturing multinational." Thesis, Högskolan Kristianstad, Sektionen för hälsa och samhälle, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:hkr:diva-10964.

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Revenue management is a concept aimed to maximize capacity utilization and through that maximize revenues. It originated in the airline industry in the 70’s and due to its effectiveness quickly spread to other sectors of the service industry. Today it is used in several industries like hotels, television and radio broadcasters, and energy transition companies to name a few. Since revenue management was developed in and for the service industry, most studies on revenue management are done on the service industry, creating a rather large research cap. Recently this concept has spread to the man

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28

Angkola, Francisca. "A generalized fractal dynamics option pricing model with transaction costs." Thesis, Curtin University, 2016. http://hdl.handle.net/20.500.11937/56426.

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Since the introduction of classical Black-Scholes model, option pricing is an area which has been studied by many researchers worldwide with the prospect to develop a better, more realistic model than the existing ones. We improve the existing model to capture long memory in the financial market by considering generalized fractal dynamics and transaction costs. The influences and relevance of various additional parameters on the real financial market are also investigated in this work.

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Cheriyan, Vinod. "Models of human behavior with applications to finance and pricing." Diss., Georgia Institute of Technology, 2014. http://hdl.handle.net/1853/52310.

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This thesis presents two classes of models of boundedly rational decision makers - one with application to finance and the other to pricing. It consists of three parts. The first part of the thesis investigates the impact of investors' boundedly rational forecasting on asset price bubbles. We present a class of models, called extrapolation-correction models, of boundedly rational investor behavior. That is, the investors in our model, quite reasonably, use data available to them, i.e. past price data, to form forecasts about future prices. We relate the model parameters to various behavioral

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Gaunersdorfer, Andrea, and Cars H. Hommes. "Nonlinear adaptive beliefs and the dynamics of financial markets. The role of the evolutionary fitness measure." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2001. http://epub.wu.ac.at/434/1/document.pdf.

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We introduce a simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical traders. Traders update their beliefs according to past performance and to market conditions. The model generates endogenous price fluctuations and captures some stylized facts observed in real returns data, such as excess volatility, fat tails of returns distributions, volatility clustering, and long memory. We show that the results are quite robust w.r.t. to different choices for the performance measure. (author's abstract)<br>Series: Report Series SFB "Adaptive Information

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31

Zhitlukhin, Mikhail Valentinovich. "Stochastic dynamics of financial markets." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/stochastic-dynamics-of-financial-markets(4eb80d2a-e90a-4ab0-b9e2-ad930c8a4d94).html.

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This thesis provides a study on stochastic models of financial markets related to problems of asset pricing and hedging, optimal portfolio managing and statistical changepoint detection in trends of asset prices. Chapter 1 develops a general model of a system of interconnected stochastic markets associated with a directed acyclic graph. The main result of the chapter provides sufficient conditions of hedgeability of contracts in the model. These conditions are expressed in terms of consistent price systems, which generalise the notion of equivalent martingale measures. Using the general result

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Dushimimana, Jean Claude. "Pricing multi-asset options with levy copulas." Thesis, Stellenbosch : University of Stellenbosch, 2011. http://hdl.handle.net/10019.1/6699.

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Thesis (MSc (Mathematical Sciences))--University of Stellenbosch, 2011.<br>Imported from http://etd.sun.ac.za<br>ENGLISH ABSTRACT: In this thesis, we propose to use Levy processes to model the dynamics of asset prices. In the first part, we deal with single asset options and model the log stock prices with a Levy process. We employ pure jump Levy processes of infinite activity, in particular variance gamma and CGMY processes. We fit the log-returns of six stocks to variance gamma and CGMY distributions and check the goodness of fit using statistical tests. It is observed that the variance

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Mbakwe, Chidinma. "Model risk for barrier options when priced under different lévy dynamics." Thesis, Stellenbosch : Stellenbosch University, 2011. http://hdl.handle.net/10019.1/17810.

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Thesis (MSc)--Stellenbosch University, 2011.<br>ENGLISH ABSTRACT: Barrier options are options whose payoff depends on whether or not the underlying asset price hits a certain level - the barrier - during the life of the option. Closed-form solutions for the prices of these path-dependent options are available in the Black-Scholes framework. It is well{known, however, that the Black-Scholes model does not price even the so-called vanilla options correctly. There are a number of popular asset price models based on exponential Lévy dynamics which are all able to capture the volatility smile

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Kaehler, Juergen. "Stochastic models of exchange-rate dynamics and their implications for the pricing of foreign-currency options." Thesis, London School of Economics and Political Science (University of London), 1995. http://etheses.lse.ac.uk/1402/.

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The aim of this study is to find a suitable approach to model econometrically exchange-rate dynamics. In the first chapter, I examine the empirical properties of four exchange rates. The data used are daily, weekly, monthly and quarterly exchange rates of the German mark, the British pound, the Swiss franc, and the Japanese yen against the U.S. dollar from July 1974 to December 1987.1 study the moment properties and time-series properties of these exchange rates and find in daily and weekly data leptokurtosis and heteroskedasticity. On the other hand, the hypotheses of no serial correlation, o

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Mönch, Emanuel. "Essays on financial markets and the macroeconomy." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2006. http://dx.doi.org/10.18452/15564.

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Diese Arbeit besteht aus vier Essays, die empirische und methodische Beiträge zu den Gebieten der Finanzmarktökonomik und der Makroökonomik liefern. Der erste Essay beschäftigt sich mit der Spezifikation der Investoren verfügbaren Informationsmenge in Tests bedingter Kapitalmarktmodelle. Im Speziellen schlägt es die Verwendung dynamischer Faktoren als Instrumente vor. Diese fassen per Konstruktion die Information in einer Vielzahl von Variablen zusammen und stellen daher intuitive Maße für die Investoren zur Verfügung stehenden Informationen dar. Es wird gezeigt, dass so die Schätzfehler bedin

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Haboub, Ahmad. "Essays on equity valuation and accounting conservatism for insurance companies." Thesis, Brunel University, 2017. http://bura.brunel.ac.uk/handle/2438/15823.

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This thesis contributes to the literature in the finance and accounting field throughout its three empirical chapters. The first empirical chapter contributes to the literature on accounting conservatism in several ways; first, it investigates the accounting conservatism of US insurance companies using four measures, namely, non-operating accruals, skewness of earnings and cash flows, book to market ratio and asymmetric timeliness measures. Second, this paper compares these four measures in order to determine the association and differences between them. Finally, the level of accounting conser

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McKenna, Eoghan. "Demand response of domestic consumers to dynamic electricity pricing in low-carbon power systems." Thesis, Loughborough University, 2013. https://dspace.lboro.ac.uk/2134/12120.

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The ability for domestic consumers to provide demand response to dynamic electricity pricing will become increasingly valuable for integrating the high penetrations of renewables that are expected to be connected to electricity networks in the future. The aim of this thesis is to investigate whether domestic consumers will be willing and able to provide demand response in such low-carbon futures. A broad approach is presented in this thesis, with research contributions on subjects including data privacy, behavioural economics, and battery modelling. The principle argument of the thesis is that

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Gharaibeh, Omar Khlaif. "Essays in Industry Cost of Equity and Return Dynamics." Thesis, Griffith University, 2014. http://hdl.handle.net/10072/365919.

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Industry-level equity research is a relatively small but rapidly growing area of interest to finance academics. Costs of equity estimation as well as investigations into various anomalies such as the momentum, contrarian, value and size effects have mostly focused on individual stock returns rather than industry returns. Using a sample of U.S. industry returns, this thesis investigates two broad areas: industry cost of equity estimation and aspects of industry return predictability. This thesis presents three empirical chapters that cover industry cost of equity estimation, an examination of t

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Sim, Min Kyu. "Empirical findings in asset price dynamics revealed by quantitative modelling." Diss., Georgia Institute of Technology, 2014. http://hdl.handle.net/1853/54302.

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This dissertation addresses the fundamental question of what factors drive equity prices and investigates the mechanisms through which the drivers influence the price dynamics. The studies are based on the two different frequency levels of financial data. The first part aims to identify what systematic risk factors affect the expected return of stocks based on historical data with frequency being daily or monthly. The second part aims to explain how the hidden supply-demand of a stock affects the stock price dynamics based on market data observed at frequency levels generally between a mill

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Thurner, Stefan, Engelbert J. Dockner, and Andrea Gaunersdorfer. "Asset Price Dynamics in a Model of Investors Operating on Different Time Horizons." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2002. http://epub.wu.ac.at/786/1/document.pdf.

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We present a dynamic asset pricing model based on a heterogenous class of traders. These traders are homogenous in the sense that they are fundamentalists who base their investment decisions on an exogenoulsy given fundamental value. They are heterogenous in the sense that each trader is working with a different frequency of the underlying price data. As a result we have a system of interacting investors who together influence the market price. We derive a system that characterizes out-of-equilibrium dynamics of prices in this market which is structurally equivalent to the Nosé-Hoover thermost

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Huclová, Alena. "Optimalizační modely v logistice." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2010. http://www.nusl.cz/ntk/nusl-229027.

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The thesis is focused on the optimization of models of transportation and transshipment problem with random demand, additional edges, and dynamic pricing. The theoretical part of the thesis introduces mathematical models of transportation. The software GAMS, which is used for the solution, is all so described. The practical part is a split among chapters and implements the described models by using real data.

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Singh, Aryan, Omar Eyad, and Shaheen Mohammad. "How Market Intelligence Helps With Pricing : A qualitative study on Systemair Group." Thesis, Mälardalens högskola, Akademin för ekonomi, samhälle och teknik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-54436.

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ABSTRACT Date: 2021-06-03 Level: Bachelor Thesis in Business Administration, 15 cr Institution: School of Business, Society and Engineering, Mälardalen University Authors: Aryan Singh Omar Eyad Shaheen Mohammad Title: How Market Intelligence Helps With Pricing Tutor: Ali Farashah Keywords: Digitalization, Business Intelligence (BI), Market Intelligence (MI), Competitive Intelligence (CI), Pricing, Decision Making, Dynamic Pricing Model, Price Authority Research Question: How does MI help in pricing decisions of the European market in Systemair Purpose: The purpose of this research is t

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Gunnarsson, Tomas, and Alfred Lindén. "The Swedish Gambling Monopoly : Impacts from Internet competition on Svenska Spel’s prices and advertising expenses." Thesis, Jönköping University, JIBS, Economics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-1200.

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<p>With the fast progress of the Internet the Swedish gambling monopoly is no longer able to control the market. Gambling companies licensed in foreign countries can compete with Svenska Spel via the Internet offering lower prices. The authors investigated whether the competition has lead Svenska Spel to lower their prices. Focus has been put on the years 2000-2006 and on Svenska Spel’s sports betting section Oddset since competition here is high. To help analysing Svenska Spel’s pricing behaviour the dynamic limit pricing model of optimal pricing when faced with entry was used.</p><p>The effe

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Štork, Zbyněk. "Term Structure of Interest Rates: Macro-Finance Approach." Doctoral thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-125158.

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Thesis focus on derivation of macro-finance model for analysis of yield curve and its dynamics using macroeconomic factors. Underlying model is based on basic Dynamic Stochastic General Equilibrium DSGE approach that stems from Real Business Cycle theory and New Keynesian Macroeconomics. The model includes four main building blocks: households, firms, government and central bank. Log-linearized solution of the model serves as an input for derivation of yield curve and its main determinants -- pricing kernel, price of risk and affine term structure of interest rates -- based on no-arbitrage ass

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Wagner, Nicolas. "Dynamic equilibrium on a transportation network : mathematical porperties and economic application." Thesis, Paris Est, 2012. http://www.theses.fr/2012PEST1050.

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Cette thèse porte sur les modèles d'équilibre dynamique sur un réseau de transport et de leurs applications à l'affectation de trafic. Elle vise à proposer une formulation à la fois générale, mathématiquement rigoureuse et microéconomiquement cohérente de l'équilibre dynamique. Une attention toute particulière est accordée à la représentation de la demande de transport et plus spécifiquement à la modélisation des hétérogénéités dans les préférences des usagers du réseau, ainsi que de leurs stratégies de choix d'horaires dans leurs déplacements. Tout d'abord nous exprimons l'équilibre dynamique

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Runsewe, Olubisi A. "A Novel Cloud Broker-based Resource Elasticity Management and Pricing for Big Data Streaming Applications." Thesis, Université d'Ottawa / University of Ottawa, 2019. http://hdl.handle.net/10393/39251.

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The pervasive availability of streaming data from various sources is driving todays’ enterprises to acquire low-latency big data streaming applications (BDSAs) for extracting useful information. In parallel, recent advances in technology have made it easier to collect, process and store these data streams in the cloud. For most enterprises, gaining insights from big data is immensely important for maintaining competitive advantage. However, majority of enterprises have diﬃculty managing the multitude of BDSAs and the complex issues cloud technologies present, giving rise to the incorporation o

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Karlsson, Viktor, and Emil Nygren. "Beating the Swedish Market : A dynamic approach to Value Investing using Modern Portfolio Theory." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16465.

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Previous research has confirmed the existence of a value premium in a wide array of markets and using this value stock anomaly has yielded superior performance. This thesis investigates if one could take advantage of the existence of a value premium to deploy a dynamic investment strategy on the Swedish stock market (OMXS30) with focus on minimizing risk to achieve higher risk adjusted performance than the stock market index. The investment strategy implemented use Market-to-Book-Value to screen for both entry and exit signals and Modern Portfolio Theory, using the minimum-variance portfolio w

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Cha, Paulo Yun. "Estratégias de preço na difusão de inovação: simulação baseada em agentes aplicado ao mercado brasileiro de carros elétricos." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/100/100132/tde-20042016-121243/.

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No contexto dos sistemas complexos, o presente trabalho investiga 3 estratégias de precificação:(1)desnatação,(2) penetração e (3)aprendizado, na difusão de carros elétricos em diferentes contextos.Por meio da modelagem baseada em agentes com 100.000 entidades autônomas, o primeiro modelo testa três situações relacionados à demanda energética:(1)desabastecimento,(2)estabilidade e (3)crescimento moderado da demanda.A forte escassez de energia estimulou a rápida migração dos agentes aos carros elétricos. As três estratégias de precificação exibiram resultados similares em termos de faturamento e

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Li, Bo. "Supply Chain Inventory Management with Multiple Types of Customers: Motivated by Chinese Pharmaceutical Supply Chains among Others." University of Toledo / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1371136834.

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Sanchis, Cano Ángel. "Economic analysis of wireless sensor-based services in the framework of the Internet of Things. A game-theoretical approach." Doctoral thesis, Universitat Politècnica de València, 2018. http://hdl.handle.net/10251/102642.

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El mundo de las telecomunicaciones está cambiando de un escenario donde únicamente las personas estaban conectadas a un modelo donde prácticamente todos los dispositivos y sensores se encuentran conectados, también conocido como Internet de las cosas (IoT), donde miles de millones de dispositivos se conectarán a Internet a través de conexiones móviles y redes fijas. En este contexto, hay muchos retos que superar, desde el desarrollo de nuevos estándares de comunicación al estudio de la viabilidad económica de los posibles escenarios futuros. En esta tesis nos hemos centrado en el estudio de la

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