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Journal articles on the topic 'Marked point proce'

Author: Grafiati

Published: 11 March 2023

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1

Siu, Tak Kuen. "A Markov Regime-Switching Marked Point Process for Short-Rate Analysis with Credit Risk." International Journal of Stochastic Analysis 2010 (December 5, 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

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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 (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, and Paola Tardelli. "RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS." Probability in the Engineering and Informational Sciences 24, no. 1 (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 (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

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Tardelli, P. "Partially informed investors: hedging in an incomplete market with default." Journal of Applied Probability 52, no. 03 (2015): 718–35. http://dx.doi.org/10.1017/s0021900200113397.

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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

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Agnihotri, Shalini, and 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 (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 follo

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Wu, Chunyan, Li Yang, Zai Luo, and Wensong Jiang. "Linear Laser Scanning Measurement Method Tracking by a Binocular Vision." Sensors 22, no. 9 (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 b

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Riley, Christopher, Barbara Summers, and Darren Duxbury. "Capital Gains Overhang with a Dynamic Reference Point." Management Science 66, no. 10 (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 sh

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Kumar Inani, Sarveshwar, Harsh Pradhan, R. Prasanth Kumar, and 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 (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 extrem

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Iwayama, Koji, Yoshito Hirata, and Kazuyuki Aihara. "Nonlinear time series analysis of marked point process data." IEICE Proceeding Series 2 (March 17, 2014): 189–92. http://dx.doi.org/10.15248/proc.2.189.

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CECI, CLAUDIA, and ANNA GERARDI. "PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH." International Journal of Theoretical and Applied Finance 12, no. 02 (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 entro

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12

Love, Brian, and Christian Helmers. "Are Market Prices for Patent Licenses Observable?" Science and Technology Law Review 24, no. 1 (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 an

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Fitria, Vivi Aida, and Yudistira Arya Sapoetra. "Stability Analysis of Finance System Model with Information Effect." Jurnal Matematika "MANTIK" 6, no. 1 (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 certai

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Micić, Ivana, and 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,

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FREY, RÜDIGER, and 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 (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 poin

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Gao, Bingyuan, and Yueping Du. "Equilibrium Further Studied for Combined System of Cournot and Bertrand: A Differential Approach." Complexity 2020 (February 27, 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 furt

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17

Su, Chi-Wei, Lu Liu, Ran Tao, and Oana-Ramona Lobonţ. "Do natural rubber price bubbles occur?" Agricultural Economics (Zemědělská ekonomika) 65, No. 2 (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

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18

Pathak, Hari Prasad, and Sweta Gupta. "Rights Offering and Its Effect on Share Price Movement: A Study of Commercial Banks." Journal of Nepalese Business Studies 11, no. 1 (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 correla

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19

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 (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.

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20

Ejaz, Lalarukh, Amber Gul Rashid, and Khadija Bari. "The Express Tribune: touching the tricky price point." Emerald Emerging Markets Case Studies 5, no. 3 (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

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21

Vatansever, Metin, İbrahim Demir, and Ali Hepşen. "Cluster and forecasting analysis of the residential market in Turkey." International Journal of Housing Markets and Analysis 13, no. 4 (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 de

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22

Lusk, Edward J. "A Benchmarked Evaluation of a Selected CapitalCube Interval-Scaled Market Performance Variable." Accounting and Finance Research 8, no. 2 (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

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23

Yu, Xinpeng, and Dagang Li. "Important Trading Point Prediction Using a Hybrid Convolutional Recurrent Neural Network." Applied Sciences 11, no. 9 (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 oppor

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Schäufele, Isabel, and 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 (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 org

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Stávková, J., L. Stejskal, and Z. Procházková. "Application of behavioural economy principles in the grocery market." Agricultural Economics (Zemědělská ekonomika) 55, No. 7 (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 u

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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 (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-empt

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O'Connor, Philip, and Feng Zhou. "THE TRADESPORTS NFL PREDICTION MARKET: AN ANALYSIS OF MARKET EFFICIENCY, TRANSACTION COSTS, AND BETTOR PREFERENCES." Journal of Prediction Markets 2, no. 1 (2012): 45–71. http://dx.doi.org/10.5750/jpm.v2i1.435.

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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, abou

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Li, Zhicheng, and Haipeng Xing. "High-Frequency Quote Volatility Measurement Using a Change-Point Intensity Model." Mathematics 10, no. 4 (2022): 634. http://dx.doi.org/10.3390/math10040634.

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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 vari

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Peng, Zhao, Li Yue, and 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.

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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, an

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Gu, En-Guo. "On the Price Dynamics of a Two-Dimensional Financial Market Model with Entry Levels." Complexity 2020 (August 7, 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 n

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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 (2020): 283–300. http://dx.doi.org/10.54648/woco2020014.

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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 afte

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Amemiya, Yuki, Hiroshi Kitamura, and Jun Oshiro. "Market-Share Contracts with Vertical Externalities." Asian Journal of Law and Economics 5, no. 1-2 (2014): 1–15. http://dx.doi.org/10.1515/ajle-2013-0002.

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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

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Xin, He, and Zhang Guofu. "Dynamic Nonlinear Correlation Studies on Stock and Oil Market Based on Copula." Open Petroleum Engineering Journal 8, no. 1 (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 a

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CH’NG, KEAN SIANG, and SUET LENG KHOO. "MARKET MECHANISMS TO ALLOCATE HERITAGE CONSERVATION FUND: AN EXPERIMENTAL STUDY." Singapore Economic Review 60, no. 05 (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 un

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McNew, Kevin. "Spatial Market Integration: Definition, Theory, and Evidence." Agricultural and Resource Economics Review 25, no. 1 (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, and 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

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Xu, Wen-Juan, and Li-Xin Zhong. "Market impact shapes competitive advantage of investment strategies in financial markets." PLOS ONE 17, no. 2 (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

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POITRAS, GEOFFREY, and JOHN HEANEY. ""HOW IS THE STOCK MARKET DOING?" USING ABSENCE OF ARBITRAGE TO MEASURE STOCK MARKET PERFORMANCE." Annals of Financial Economics 04, no. 01 (2008): 0850001. http://dx.doi.org/10.1142/s2010495208500012.

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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

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Knittel, Christopher R., and Victor Stango. "Price Ceilings as Focal Points for Tacit Collusion: Evidence from Credit Cards." American Economic Review 93, no. 5 (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, and Lun Ran. "Price Increasing Timing of Competitive Perishable Products." Journal of Systems Science and Information 2, no. 1 (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 a

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Chai, Jian, and 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 (2020): 867. http://dx.doi.org/10.3390/en13040867.

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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. Th

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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 (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-o

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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 (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

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Juliati Nasution, Yenni Samri. "Mekanisme Pasar Dalam Perspektif Ekonomi Islam." AT-TAWASSUTH: Jurnal Ekonomi Islam 3, no. 1 (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 str

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LYNCH, CHRISTOPHER, and BENJAMIN MESTEL. "CHANGE-POINT ANALYSIS OF ASSET PRICE BUBBLES WITH POWER-LAW HAZARD FUNCTION." International Journal of Theoretical and Applied Finance 22, no. 07 (2019): 1950033. http://dx.doi.org/10.1142/s021902491950033x.

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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

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Docters, Robert G. "The real mission of pricing: beyond numbers to management partner." Journal of Business Strategy 37, no. 3 (2016): 12–21. http://dx.doi.org/10.1108/jbs-02-2015-0023.

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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 ad

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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 (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 re

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Zhang, Xiao-Bing, Yinxin Fei, Ying Zheng, and Lei Zhang. "Price ceilings as focal points to reach price uniformity: Evidence from a Chinese gasoline market." Energy Economics 92 (October 2020): 104950. http://dx.doi.org/10.1016/j.eneco.2020.104950.

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Bublyk, Yevhen, Oleksandra Kurbet, and Roman Yukhymets. "Price convergence on the national gas markets of the Eastern European region." Problems and Perspectives in Management 20, no. 4 (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. De

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Popov, Sergei P., and 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.

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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 pri

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