The estimation of time-varying risks in asset pricing modelling using B-Spline method

NASA Astrophysics Data System (ADS)

Nurjannah; Solimun; Rinaldo, Adji

2017-12-01

Asset pricing modelling has been extensively studied in the past few decades to explore the risk-return relationship. The asset pricing literature typically assumed a static risk-return relationship. However, several studies found few anomalies in the asset pricing modelling which captured the presence of the risk instability. The dynamic model is proposed to offer a better model. The main problem highlighted in the dynamic model literature is that the set of conditioning information is unobservable and therefore some assumptions have to be made. Hence, the estimation requires additional assumptions about the dynamics of risk. To overcome this problem, the nonparametric estimators can also be used as an alternative for estimating risk. The flexibility of the nonparametric setting avoids the problem of misspecification derived from selecting a functional form. This paper investigates the estimation of time-varying asset pricing model using B-Spline, as one of nonparametric approach. The advantages of spline method is its computational speed and simplicity, as well as the clarity of controlling curvature directly. The three popular asset pricing models will be investigated namely CAPM (Capital Asset Pricing Model), Fama-French 3-factors model and Carhart 4-factors model. The results suggest that the estimated risks are time-varying and not stable overtime which confirms the risk instability anomaly. The results is more pronounced in Carhart’s 4-factors model.

Centrales au gaz et Energies renouvelables: comparer des pommes avec des pommes

DOE Office of Scientific and Technical Information (OSTI.GOV)

Bolinger, Mark; Wiser, Ryan; Golove, William

2003-10-20

The fundamental conclusion that we draw from this analysis is that one should not to base itself blindly on forecasts prices of natural gas when one compare contracts at price fixes with producers of renewable energy with contracts at variable prices with promoters power stations with gas. Indeed, forecasts of the prices of gas do not succeed not to enter the associated costs with the covering of the risk, that they are connected to the negative pressure against the cover, with the CAPM, with costs of transaction or with unspecified combination of three. Thus, insofar as price stability to lengthmore » term is developed, better way of comparing the two choices would be to have recourse to the data on the prices in the long term natural gas, and not with forecasts of the prices. During three last years at least, the use of these prices in the long term would have besides license to correct a methodological error who, obviously, seem to have supported unduly, and of relatively important way, power stations with natural gas compared to their competitors of renewable energies.« less

Self-consistent asset pricing models

NASA Astrophysics Data System (ADS)

Malevergne, Y.; Sornette, D.

2007-08-01

We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain. As already reported in several articles, self-consistency implies correlations between the return disturbances. As a consequence, the alphas and betas of the factor model are unobservable. Self-consistency leads to renormalized betas with zero effective alphas, which are observable with standard OLS regressions. When the conditions derived from internal consistency are not met, the model is necessarily incomplete, which means that some sources of risk cannot be replicated (or hedged) by a portfolio of stocks traded on the market, even for infinite economies. Analytical derivations and numerical simulations show that, for arbitrary choices of the proxy which are different from the true market portfolio, a modified linear regression holds with a non-zero value αi at the origin between an asset i's return and the proxy's return. Self-consistency also introduces “orthogonality” and “normality” conditions linking the betas, alphas (as well as the residuals) and the weights of the proxy portfolio. Two diagnostics based on these orthogonality and normality conditions are implemented on a basket of 323 assets which have been components of the S&P500 in the period from January 1990 to February 2005. These two diagnostics show interesting departures from dynamical self-consistency starting about 2 years before the end of the Internet bubble. Assuming that the CAPM holds with the self-consistency condition, the OLS method automatically obeys the resulting orthogonality and normality conditions and therefore provides a simple way to self-consistently assess the parameters of the model by using proxy portfolios made only of the assets which are used in the CAPM regressions. Finally, the factor decomposition with the self-consistency condition derives a risk-factor decomposition in the multi-factor case which is identical to the principal component analysis (PCA), thus providing a direct link between model-driven and data-driven constructions of risk factors. This correspondence shows that PCA will therefore suffer from the same limitations as the CAPM and its multi-factor generalization, namely lack of out-of-sample explanatory power and predictability. In the multi-period context, the self-consistency conditions force the betas to be time-dependent with specific constraints.

A Study on Improving Defense Acquisition through the Application of Defense Acquisition Workforce Improvement Act (DAWIA) Concept to Defense Industry Workforce

DTIC Science & Technology

2009-09-01

Executive CAIV Cost As an Independent Variable CAP Critical Acquisition Position CAPM Certified Associate in Project Management CCCM Certified...Professionals (PMP)............................33 b. Certified Associate in Project Management ( CAPM )............34 c. Program Management...34 Table 6. CAPM Requirements (After PMI CAPM , 2009). ...........................................34 Table 7

Air Force Energy Plan 2010

DTIC Science & Technology

2009-11-24

production on Air Bases  Field the Critical Asset Prioritization Methodology ( CAPM ) tool  Manage costs  Provide energy leadership throughout the Air...residing on military installations • Field the Critical Asset Prioritization Methodology ( CAPM ) tool. This CAPM tool will allow prioritization of Air...fielding of the Critical Asset Prioritization Methodology ( CAPM ) tool and the adoption of financial standards to enable transparency across Air

JTF CapMed Warrior Transition Division

DTIC Science & Technology

2011-01-25

The Quadruple Aim: Working Together, Achieving Success 2011 Military Health System Conference JTF CapMed Warrior Transition Division 25 January 2011...Colonel Julia Adams 1 Military Health System Conference Joint Task Force National Capital Region Medical (JTF CapMed ) Report Documentation Page Form...DATES COVERED 00-00-2011 to 00-00-2011 4. TITLE AND SUBTITLE JTF CapMed Warrior Transition Division 5a. CONTRACT NUMBER 5b. GRANT NUMBER 5c

Unified Medical Command and Control in the Department of Defense

DTIC Science & Technology

2012-03-22

This is the Joint Task Force – Capital Medical (JTF CAPMED ) model, in which organizations, resources, and personnel are aligned under a single...This was demonstrated in the formation of the JTF- CAPMED , designed as a 3-star level command controlling military medical activities in the National...used ground vehicles, helicopters and fixed wing aircraft for strategic casualty evacuation (CASEVAC). Enroute care is standard and critical in

JTF CapMed Initial Outfitting and Transition (IO&T) - History, Process, Benefits

DTIC Science & Technology

2011-01-26

Sharing Knowledge: Achieving Breakthrough Performance 2010 Military Health System Conference JTF CapMed 26 January, 2011 CAPT Russell Pendergrass...The Quadruple Aim: Working Together, Achieving Success 2011 Military Health System Confer nce JTF CapMed Initial Outfitting and Transition (IO&T...number. 1. REPORT DATE 26 JAN 2011 2. REPORT TYPE 3. DATES COVERED 00-00-2011 to 00-00-2011 4. TITLE AND SUBTITLE JTF CapMed Initial Outfitting

Securitization product design for China's environmental pollution liability insurance.

PubMed

Pu, Chengyi; Addai, Bismark; Pan, Xiaojun; Bo, Pangtuo

2017-02-01

The environmental catastrophic accidents in China over the last three decades have triggered implementation of myriad policies by the government to help abate environmental pollution in the country. Consequently, research into environmental pollution liability insurance and how that can stimulate economic growth and the development of financial market in China is worthwhile. This study attempts to design a financial derivative for China's environmental pollution liability insurance to offer strong financial support for significant compensation towards potential catastrophic environmental loss exposures, especially losses from the chemical industry. Assuming the risk-free interest rate is 4%, the market portfolio expected return is 12%; the financial asset beta coefficient is 0.5, by using the capital asset pricing model (CAPM) and cash flow analysis; the principal risk bond yields 9.4%, single-period and two-period prices are 103.85 and 111.58, respectively; the principal partial-risk bond yields 10.09%, single-period and two-period prices are 103.85 and 111.58, respectively; and the principal risk-free bond yields 8.94%, single-period and two-period prices are 107.99 and 115.83, respectively. This loss exposure transfer framework transfers the catastrophic risks of environmental pollution from the traditional insurance and reinsurance markets to the capital market. This strengthens the underwriting capacity of environmental pollution liability insurance companies, mitigates the compensation risks of insurers and reinsurers, and provides a new channel to transfer the risks of environmental pollution.

Air Force Energy Program Policy Memorandum

DTIC Science & Technology

2009-06-16

Critical Asset Prioritization Methodology ( CAPM ) tool Manage costs. 3.4.2.5. Metrics Percentage of alternative/renewable fuel used for aviation fuel...supporting critical assets residing on military installations Field the Critical Asset Prioritization Methodology ( CAPM ) tool by Spring 2008. This CAPM ...Increase the number of flexible fuel systems • Identify/develop privately financed/operated energy production on Air Bases • Field the Critical

Joint Task Force National Capital Region Medical: Integration of Education, Training, and Research

DTIC Science & Technology

2009-05-01

Defense established the Joint Task Force National Capital Region Medical (JTF CapMed ) on the National Naval Medical Center campus in Bethesda, Maryland in...transfor- mation of military health services in the National Capital Area including education, training, and research activities. JTF CAPMED ...BACKGROUND JTF CapMed was established to lead the integration of mili- tary health care in the National Capital Region. The Command is charged with overseeing

TLINES: A Computer Program for Circuits of Transmission Lines.

DTIC Science & Technology

1983-12-01

of various lengths are handled by stringing together many short lines, with the assumption that each of the longer lines has a length approximated as...expressed in terms of transmission lines numbered from 2 through CAPM , connected in numerical sequence as in figure 3. Line 1 is a dummy element disconnected...from line 2 and the rest of the circuit. Lines 2 through CAPM can each be set to any impedance the user desires. Line CAPM +1 is a zero-impedance line

Misleading Betas: An Educational Example

ERIC Educational Resources Information Center

Chong, James; Halcoussis, Dennis; Phillips, G. Michael

2012-01-01

The dual-beta model is a generalization of the CAPM model. In the dual-beta model, separate beta estimates are provided for up-market and down-market days. This paper uses the historical "Anscombe quartet" results which illustrated how very different datasets can produce the same regression coefficients to motivate a discussion of the…

Cyber-intrusion Auto-response and Policy Management System (CAPMS)

DOE Office of Scientific and Technical Information (OSTI.GOV)

Lusk, Steve; Lawrence, David; Suvana, Prakash

The Cyber-intrusion Auto-response and Policy Management System (CAPMS) project was funded by a grant from the US Department of Energy (DOE) Cybersecurity for Energy Delivery Systems (CEDS) program with contributions from two partner electric utilities: Southern California Edison (SCE) and Duke Energy. The goal of the project was to demonstrate protecting smart grid assets from a cyber attack in a way that “does not impede critical energy delivery functions.” This report summarizes project goals and activities for the CAPMS project and explores what did and did not work as expected. It concludes with an assessment of possible benefits and valuemore » of the system for the future.« less

Gene expression and enzymatic activity of pectin methylesterase during fruit development and ripening in Coffea arabica L.

PubMed

Cação, S M B; Leite, T F; Budzinski, I G F; dos Santos, T B; Scholz, M B S; Carpentieri-Pipolo, V; Domingues, D S; Vieira, L G E; Pereira, L F P

2012-09-03

Coffee quality is directly related to the harvest and post harvest conditions. Non-uniform maturation of coffee fruits, combined with inadequate harvest, negatively affects the final quality of the product. Pectin methylesterase (PME) plays an important role in fruit softening due to the hydrolysis of methylester groups in cell wall pectins. In order to characterize the changes occurring during coffee fruit maturation, the enzymatic activity of PME was measured during different stages of fruit ripening. PME activity progressively increased from the beginning of the ripening process to the cherry fruit stage. In silico analysis of expressed sequence tags of the Brazilian Coffee Genome Project database identified 5 isoforms of PME. We isolated and cloned a cDNA homolog of PME for further characterization. CaPME4 transcription was analyzed in pericarp, perisperm, and endosperm tissues during fruit development and ripening as well as in other plant tissues. Northern blot analysis revealed increased transcription of CaPME4 in the pericarp 300 days after flowering. Low levels of CaPME4 mRNAs were observed in the endosperm 270 days after flowering. Expression of CaPME4 transcripts was strong in the branches and lower in root and flower tissues. We showed that CaPME4 acts specifically during the later stages of fruit ripening and possibly contributes to the softening of coffee fruit, thus playing a significant role in pectin degradation in the fruit pericarp.

Project Air Force, Annual Report 2003

DTIC Science & Technology

2003-01-01

to Simulate Personnel Retention The CAPM system is based on a simple assumption about employee retention: A rational individual faced with the...analysis to certain parts of the force. CAPM keeps a complete record of the assumptions , policies, and data used for each scenario. Thus decisionmakers...premises and assumptions . Instead, the Commission concluded that space is a separate oper- ating arena equivalent to the air, land, and maritime

Maintaining the Balance Between Manpower, Skill Levels, and PERSTEMPO

DTIC Science & Technology

2006-01-01

requirement processes. Models and tools that integrate these dimensions would help crys- tallize issues, identify embedded assumptions , and surface...problems will change if the planning assumptions are incorrect or if the other systems are incapable of making the nec- essary adjustments. Static...Carrillo, Background and Theory Behind the Compensations, Accessions, and Personnel ( CAPM ) Model, Santa Monica, Calif.: RAND Corporation, MR-1667

2009 Strategic Plan, Air Force District of Washington (AFDW)

DTIC Science & Technology

2009-09-11

JTF CapMed . As the Air Force single voice for Joint matters in the NCR, AFDW has a critical responsibility to protect and enhance the Air...and its surrounding counties, is a critical Area of Responsibility (AOR) for US military organizations. It is the central hub of US political and...NCR and worldwide. Furthermore, AFDW presents forces to Joint Task Force-National Capital Region Medical Command (JTF CapMed ) and, through the

Improving child and adolescent psychiatry education for medical students: an inter-organizational collaborative action plan.

PubMed

Fox, Geraldine S; Stock, Saundra; Briscoe, Gregory W; Beck, Gary L; Horton, Rita; Hunt, Jeffrey I; Liu, Howard Y; Partner Rutter, Ashley; Sexson, Sandra; Schlozman, Steven C; Stubbe, Dorothy E; Stuber, Margaret L

2012-11-01

A new Child and Adolescent Psychiatry in Medical Education (CAPME) Task Force, sponsored by the Association for Directors of Medical Student Education in Psychiatry (ADMSEP), has created an inter-organizational partnership between child and adolescent psychiatry (CAP) educators and medical student educators in psychiatry. This paper outlines the task force design and strategic plan to address the long-standing dearth of CAP training for medical students. The CAPME ADMSEP Task Force, formed in 2010, identified common challenges to teaching CAP among ADMSEP's CAPME Task Force members, utilizing focus-group discussions and a needs-assessment survey. The Task Force was organized into five major sections, with inter-organizational action plans to address identified areas of need, such as portable modules and development of benchmark CAP competencies. The authors predict that all new physicians, regardless of specialty, will be better trained in CAP. Increased exposure may also improve recruitment into this underserved area.

Concept of Operations for the Establishment of the Joint Pathology Center

DTIC Science & Technology

2008-12-19

the Joint Task Force National Capital Region Medical (JTF CapMed ) in collaboration with the Uniformed Services University of Health Sciences (USUHS...Medical Examiner (OAFME). The Board deems the identification of appropriate support for the OAFME as critical , since with the disestablishment of...the DoD. The establishment of the JPC within JTF CapMed is a logical choice to the extent that JTF Cap Med is a joint medical organization and can

Joint Task Force National Capital Region Medical: Where The Nation Heals Its Heroes

DTIC Science & Technology

2011-01-25

Military Health System Conference JTF CapMed Report Documentation Page Form ApprovedOMB No. 0704-0188 Public reporting burden for the collection of...Casualty Care is JTF CapMed’s number one priority 2011 MHS Conference JTF CapMed Relationships 3 JTF SECRETARY OF DEFENSE DEPUTY SECRETARY OF DEFENSE...11 March‐11 Complete Modular Furniture Initial Eq Outfitting  Critical  Areas 15 Jun 2011 Construction Furniture & Initial Outfitting LANAvailable Blds

Exercise CAPITAL SHIELD Towards Medical Response Integration in the National Capital Region

DTIC Science & Technology

2011-01-24

provided JTF the authority to develop Interagency partnerships  CY09/10: JTF CapMed executed (12) DSCA missions with Fed/State/Local partners...incident site at Lorton Youth Detention Center, VA – admin medical support 4-5 days  FY10, JTF CapMed inserted two-day MASCAL training (onsite only...Use exercise as test-bed for structure/tools: – Joint Critical Care ATLS Team: Modification of ATLS Team w/ attached triage and evac sections

A Theoretical Investigation of Acoustic Cavitation.

DTIC Science & Technology

1985-07-15

program generates. One needs to know what fraction of the bubble’s volume reaches the critical temperature for free radical formation and how long it...MACH-UST/C DRIVER=PFPO*( 1 .O.EPS*SIN(T+DT+RST/DUME)) DUM1=1 .O+(DT/(2 .Q*RST*( 1.0-MACH)) )*(l1.5*UST*( 1 .- MACH/3 .O)+CAPP* 1(1 .O+MACH)* CAPM /RST...UPR--1 .5*U*U*(1 .-MACH/3. )+CAPP*( (P-DRIVER-(CAPW+ CAPM *U)/R) 1*(1. O+MACH )+( 1. 0+0 .0 )*R*PPR/C)/R*( 1. 0-MACH) ) UTL=U+DT*UPR * PTLPR=3.O*(GM1

[National strategy in the battle against scorpion stings and envenomations. Application and evaluation].

PubMed

Soulaymani Bencheikh, R; Faraj, Z; Semlali, I; Ouammi, L; Badri, M

2003-11-01

Scorpion stings represent the first cause of poisoning with an incidence of 30 to 50% of all declared cases in the Centre Anti Poison of Morocco (CAPM). Aware of this increasing problem, the CAPM paid special attention to this pathology. Thanks to its retrospective and prospective studies, the scorpion species mapping has been determined as well as the demographic features of stung patients, the nature and the chronology of clinical events in scorpion envenimation, and the epidemiological, clinical and therapeutical factors of severity. On this basis, the CAPM worked out a national strategy to struggle against scorpion stings whose aim was to decrease the morbidity and mortality caused by stings of scorpion as well as to rationalise economic expenses. The components of this strategy were based on the training of the medical and paramedical staff, on information, education, communication involving different sectors, on identification of needs and on follow-up and assessment. A nationwide campaign was implemented to change the population and health-care staff's behaviour regarding this pathology. Its evaluation permitted to improve the compilation of cases with census of 14104 cases, to reduce lethality rate and to rationalise expenses while banishing some medicines and avoiding useless hospitalization.

Snakebites notified to the poison control center of Morocco between 2009 and 2013.

PubMed

Chafiq, Fouad; El Hattimy, Faiçal; Rhalem, Naima; Chippaux, Jean-Philippe; Soulaymani, Abdelmajid; Mokhtari, Abdelrhani; Soulaymani-Bencheikh, Rachida

2016-01-01

Snakebites cause considerable death and injury throughout the globe, particularly in tropical regions, and pose an important yet neglected threat to public health. In 2008, the Centre Anti Poison et de Parmacovigilance du Maroc (CAPM) started to set up a specific strategy for the control of snakebites that was formalized in 2012. The aim of the present study is to describe and update the epidemiological characteristics of snakebites notified to CAPM between 2009 and 2013. This retrospective five-year study included all cases of snakebites notified to CAPM by mail or phone. During the study period, 873 snakebite cases were reported to CAPM, an average incidence of 2.65 cases per 100,000 inhabitants with 218 cases each year. The highest incidence was found in Tangier-Tetouan region with 357 cases (40.9 %) followed by Souss Massa Draa region with 128 cases (14.6 %). The average age of patients was 26.8 ± 17.2 years. The male to female sex ratio was 1.67:1 and 77 % of cases occurred in rural areas. The bites occurred mainly in spring (44 %) followed by summer (42 %). Snake species was identified in 54 cases (6.2 %): colubrids represented 31 % (n = 18) and vipers 67 % (n = 36), mainly Daboia mauritanica, Bitis arietans and Cerastes cerastes. In 311 cases (35.6 %), the patients showed viper syndrome. Thrombocytopenia was observed in 23.5 % of viper syndrome cases, whereas, compartment syndrome was observed in 7.6 % patients. FAV-Afrique® was administered in 41 patients (5 %). In patients treated with antivenom, 38 patients recovered and three died. Twenty-seven deaths were reported (3.9 %). Despite specific efforts to better understand the epidemiology of snakebites in Morocco (incidence, severity, snake species involved), it remains underestimated. Therefore, further work is still necessary to ensure accessibility of appropriate antivenom against venomous species and to improve the management of envenomation in Morocco.

Caspian games: A dynamic bargaining game

NASA Astrophysics Data System (ADS)

Michaud, Dennis Wright

This Dissertation was written under the direction of Professor P.Terrence Hopmann. In this work, the author seeks to identify the independent variables affecting the outcome of three key decisions required of the international consortiums constructing Caspian oil export pipelines. The first of involves whether or not the enterprises developing the pipelines to export Kazakh oil, the Caspian Pipeline Consortium ("CPC"), and Azeri oil, the Azerbaijan International Operating Consortium ("CPC"), cooperate by utilizing the same route or utilize separate energy export corridors. Second, I analyzed how the actual Main Export Pipeline route ("MEP") for Azeri oil was selected by the AIOC. Finally, I tried to understand the factors driving the residual equity positions in each consortium. I was particularly interested in the equity position of Russian state and commercial interests in each consortium. I approached the puzzle as a multilevel bargaining problem. Hence, the preferences of each relevant actor (state and corporate levels) were assessed. The covering theory utilized was rational choice. An application of game theoretic modeling, particularly Bayesian analysis (used as a metaphor), accounted for the learning process resulting from the strategic interaction between actors. I sought to understand greater the refinement of each actor's perception of counterpart preferences. Additionally, the Gordon Constant Growth Model ("CGM") and the Sharp's Capital Asset Pricing Model ("CAPM") were utilized to relate multinational actors preferences, achieving a cost of capital based hurdle rate, to political risk. My end findings demonstrate this interrelationship and provide a clear argument for great power states to persuade newly developing Caspian states to adopt a more transparent, and credible approach to corporate governance. This revised state strategy will reduce multinationals' perception of political risk, lower firms' cost of capital (hurdle rate), and increase the funding of major energy development projects, which will stimulate economic and political development.

Downside Risk analysis applied to the Hedge Funds universe

NASA Astrophysics Data System (ADS)

Perelló, Josep

2007-09-01

Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out to this problem while keeping the CAPM simplicity is the so-called Downside Risk analysis. One important benefit lies in distinguishing between good and bad returns, that is: returns greater or lower than investor's goal. We revisit most popular Downside Risk indicators and provide new analytical results on them. We compute these measures by taking the Credit Suisse/Tremont Investable Hedge Fund Index Data and with the Gaussian case as a benchmark. In this way, an unusual transversal lecture of the existing Downside Risk measures is provided.

Studies on the in vitro and in vivo hydrolysis and intramolecular aminolysis of L-aspartyl-l-phenylalanine methyl ester

DOE Office of Scientific and Technical Information (OSTI.GOV)

Bouvette, R.E.

The disposition and metabolism of L-aspartyl-L-(/sup 14/C-phenyl) alanine methyl ester (/sup 14/C-APM) was studied in male Sprague-Dawley rats after a single intragastric injection. Plasma levels of /sup 14/C-activity increased slowly within the first four hours after a 5 ..mu..Ci dose. Within 2 hours after injection 90% of the /sup 14/C-activity observed in the plasma was incorporated into precipitated proteins. HPLC analysis of the deproteinated plasma showed the /sup 14/C-activity present to be in the form of phenylalanine Disposition studies of /sup 14/C-APM 4 hours after a single intragastric dose showed the highest organs of /sup 14/C-accumulation to be the blood,more » liver, stomach, and small intestine. The molecular form of the /sup 14/C-activity in the tissues was not determined.« less

Information Placement and Retrieval Through NHIN (InfoPRN)

DTIC Science & Technology

2011-05-01

and FISMA.  Dr. Steffensen will contact NMDS (Captain Bensic), JTF CapMed , and perhaps Kaiser Permanente to ascertain their interest in...activities, project stakeholders, critical project deliverables and milestones were defined and agreed upon. Therefore, the Integrated Master

A critique of the exposure assessment in the epidemiologic study of benzene-exposed workers in China conducted by the Chinese Academy of Preventive Medicine and the US National Cancer Institute.

PubMed

Wong, O

1999-12-01

As reviewed in some detail in the present paper, workers employed in a wide variety of industries were included in the Chinese benzene study, and were exposed to not only benzene but also a wide range of other industrial chemicals. To attribute any or all health effects observed in the exposed cohort to benzene without examining other concomitant exposures is not appropriate. Although it was stated that one of the major objectives of the expanded study was to examine the effects of other risk factors, no such examination was made in any of the analyses in the expanded CAPM-NCI study. The CAPM-NCI study suffered from a number of limitations. One of the most serious limitations of the study involved the exposure estimates developed by the US NCI team. Comparing the assumptions used in the development of estimates and the exposure estimates themselves to actual data reported previously by the Chinese investigators revealed numerous inconsistencies and, in many cases, large discrepancies. It appeared that the exposure estimates were consistently lower than the actual exposure data. The so-called indirect validation conducted by the NCI team served no useful purpose, since by definition it could not validate the absolute values of the estimates. NCI was fully aware of some of the inadequacies of its exposure estimates. Although in a 1994 paper, the NCI team recognized that little confidence could be attached to the estimated (e.g., only 2% of the estimates for the time interval 1949-1959 and only 6% of the estimates prior to 1975 were rated in the high confidence category), the inadequacy of the estimates was never mentioned or discussed in any subsequent analyses or in the latest report (Hayes et al., 1998). Instead, the exposure of the workers was hailed as "well characterized" (Hayes et al., 1998). In conclusion both CAPM and NCI have made substantial efforts in studying the relationship between benzene exposure and various malignancies. Unfortunately, there were many inherent problems in the data as well as serious limitations in the exposure estimates. Because of these unresolved problems and limitations, many of the results in the CAPM-NCI study are unreliable. Therefore, the conclusions of the study, particularly those involving exposure estimates, are not justified.

Why Downside Beta Is Better: An Educational Example

ERIC Educational Resources Information Center

Chong, James T.; Jennings, William P.; Phillips, G. Michael

2013-01-01

An educational example is presented that is an effective teaching illustration to help students understand the difference between traditional CAPM beta and downside (or down-market) beta and why downside beta is a superior measure for use in personal financial planning investment policy statements.

Human Capital Challenges: Taking Us Into the 21st Century

DTIC Science & Technology

2011-01-24

Defense Health Headquarters (DHHQ)  JTF CapMed and related joint initiatives  Federal workers paid too much?  NSPS Repeal 2010 Military Health...For Succession Planning  Workforce planning (Mission Critical Occs) – Competency Development  “Growing Our Own” – Legislative Initiatives

Stirling Engine External Heat System Design with Heat Pipe Heater.

DTIC Science & Technology

1986-07-01

Figure 10. However, the evaporator analysis is greatly simplified by making the conservative assumption of constant heat flux. This assumption results in...number Cold Start Data * " ROM density of the metal, gr/cm 3 CAPM specific heat of the metal, cal./gr. K ETHG effective gauze thickness: the

77 FR 66980 - Federal Reserve Bank Services

Federal Register 2010, 2011, 2012, 2013, 2014

2012-11-08

... premium. To implement the CAPM, the risk-free rate is based on the three-month Treasury bill; the beta is... clearing balances in 2012 was limited to three-month Treasury bills (with no additional imputed constant... on a portfolio of investments, over the three- month Treasury bill rate and applied this investment...

Improving Child and Adolescent Psychiatry Education for Medical Students: An Inter-Organizational Collaborative Action Plan

ERIC Educational Resources Information Center

Fox, Geraldine S.; Stock, Saundra; Briscoe, Gregory W.; Beck, Gary L.; Horton, Rita; Hunt, Jeffrey I.; Liu, Howard Y.; Rutter, Ashley Partner; Sexson, Sandra; Schlozman, Steven C.; Stubbe, Dorothy E.; Stuber, Margaret L.

2012-01-01

Objective: A new Child and Adolescent Psychiatry in Medical Education (CAPME) Task Force, sponsored by the Association for Directors of Medical Student Education in Psychiatry (ADMSEP), has created an inter-organizational partnership between child and adolescent psychiatry (CAP) educators and medical student educators in psychiatry. This paper…

A Satellite Architecture for Operationally Responsive Space

DTIC Science & Technology

2009-03-01

is 482 Whr , which, based on the power available during eclipse (E), can be determined from )/()( effDODPECap ⋅⋅= (22) Given a battery...can store 50 Whr /kg the battery mass of 9.6 kg from storbattery CapM ρ/= (23) The regulator and power usage is estimated to be 123.2W, according

Design of a Sixteen Bit Pipelined Adder Using CMOS Bulk P-Well Technology.

DTIC Science & Technology

1984-12-01

node’s current value. These rules are based on the assumption that the event that was last calculated reflects the latest configuraticn of the network...Lines beginning with - are treated as ll comment. The parameter names and their default values are: ;configuration file for ’standard’ MPC procem capm .2a

Engineering Decisions Under Risk-Averseness

DTIC Science & Technology

2013-12-13

Y (x′) may be different, especially in the critical upper tail. For example, if Y (x) = g(x,V ) = 100− xV1 − (1− x)V2, where V1 is normally...Econometrica, 47:263–291, 1979. [16] K. Kalinchenko, S. Uryasev, and R.T. Rockafellar. Calibrating risk preferences with generalized CAPM based on mixed

Mobilization and Defense Management Technical Reports Series. Rail Capability to Move People and Material during National Emergencies

DTIC Science & Technology

1983-04-01

SLJBMITTED MTOE T!;7CJLTv- FU-FILLM OF M RESEEARH ISEMUCH -SUPEWMSR: CAPM ~N TISE EY7 M, UJSN na. _LZ FTEVMI-rE Api 18 -ý69B ý41-__ // DISLAIMER-ABg...and specific action. CHAPTERI: 1fh O3TION In a brief introduction, the basis for the study is discussed. Given the assumption that the railroads will

[Pesticide poisoning in Moroccan children: epidemiological and prognostic aspects (1990-2008)].

PubMed

Achour, Sanae; Khattabi, Asmae; Rhalem, Naïma; Ouammi, Lahcen; Mokhtari, Abdelrhani; Soulaymani, Abdelmajid; Bencheikh, Rachida Soulaymani

2011-01-01

The purpose of this paper is to describe the epidemiological profile of acute pesticide poisoning in children (APP) treated by the Moroccan Poison Control Center (CAPM) and to analyze death cases in order to determine factors predictive of severity. the study is based on a retrospective study of all cases of APP collected by the CAPM over a period of eighteen years (January 1990 to December 2008). Univariate analysis was performed to identify risk factors. 2,672 cases of childhood poisoning by pesticide were collected. The mean age was 5.6 ± 4.57 years. The sex ratio was 1.12. The cause of poisoning was accidental in 87.1% of cases, followed by attempted suicide (12.1%). Organophosphates were the most frequent poison (50.7%), followed by alpha-chloralose (26.5%). The case fatality rate was 3.3%. Mortality was attributed to organophosphates in 30 cases, followed by inorganic derivatives (7 cases) and carbamates (6 cases). A univariate analysis comparing survivors and groups who died showed that rural origin (p = 0.04), voluntary circumstances (p = 0.001), and the type of chemical class of pesticide (p < 0.001) significantly influence fatal poisoning. Acute pesticide poisoning among children is a reality in Morocco. Preventive measures may be needed.

Changes in the Perceived Risk of Climate Change: Evidence from Sudden Climatic Events

NASA Astrophysics Data System (ADS)

Anttila-Hughes, J. K.

2009-12-01

In the course of the past two decades the threat of anthropogenic climate change has moved from a scientific concern of relative obscurity to become one of the largest environmental and public goods problems in history. During this period public understanding of the risk of climate change has shifted from negligible to quite large. In this paper I propose a means of quantifying this change by examining how sudden events supporting the theory of anthropogenic climate change have affected carbon intensive companies' stock prices. Using CAPM event study methodology for companies in several carbon-intensive industries, I find strong evidence that markets have been reacting to changes in the scientific evidence for climate change for some time. Specifically, the change in magnitude of response over time seems to indicate that investors believed climate change was a potentially serious risk to corporate profits as early as the mid 1990s. Moreover, market reaction dependence on event type indicates that investors are differentiating between different advances in the scientific knowledge. Announcements by NASA GISS that the previous year was a “record hot year” for the globe are associated with negative excess returns, while news of ice shelf collapses are associated with strong positive excess returns. These results imply that investors are aware of how different aspects of climate change will affect carbon intensive companies, specifically in terms of the link between warming in general and polar ice cover.

Analysis of Department of Defense Organic Depot Maintenance Capacity Management and Facility Utilization Factors

DTIC Science & Technology

1991-09-01

System ( CAPMS ) in lieu of using DODI 4151.15H. Facility utilization rate computation is not explicitly defined; it is merely identified as a ratio of...front of a bottleneck buffers the critical resource and protects against disruption of the system. This approach optimizes facility utilization by...run titled BUFFERED BASELINE. Three different levels of inventory were used to evaluate the effect of increasing the inventory level on critical

Assessment of Chiropractic Treatment for Low Back Pain, Military Readiness and Smoking Cessation in Military Active Duty Personnel

DTIC Science & Technology

2016-03-01

personnel as a special service of the Physical Therapy Department. Chiropractic services have been available at NMCSD since 2003. A single DC provides...man- agement. Physical therapy and referral to a pain clinic may also be prescribed as a component of UMC. UMC providers report prescription medication...Reed National Military Medical Center. www.wrnmmc. capmed.mil/SitePages/home.aspxl. Accessed 18 Jun 2015. 33. An American Physical Therapy

Warrior Transition Command Information Briefing to 2011 AMEDD Pre-Command Course: Soldier Success Through Focused Commitment

DTIC Science & Technology

2011-02-22

JTF CAPMED Veterans Affairs – Veterans Health Administration – Veterans Benefits Administration – Federal Recovery Coordinators – Polytrauma...investment of families is critical • Initial interview should reveal services that the Soldier and Family needs • Increased Social Workers exposure for...Soldier has his/her own unique set of challenges • Early involvement and investment of Families is critical • We cannot do enough for the Families of

Modeling spot markets for electricity and pricing electricity derivatives

NASA Astrophysics Data System (ADS)

Ning, Yumei

Spot prices for electricity have been very volatile with dramatic price spikes occurring in restructured market. The task of forecasting electricity prices and managing price risk presents a new challenge for market players. The objectives of this dissertation are: (1) to develop a stochastic model of price behavior and predict price spikes; (2) to examine the effect of weather forecasts on forecasted prices; (3) to price electricity options and value generation capacity. The volatile behavior of prices can be represented by a stochastic regime-switching model. In the model, the means of the high-price and low-price regimes and the probabilities of switching from one regime to the other are specified as functions of daily peak load. The probability of switching to the high-price regime is positively related to load, but is still not high enough at the highest loads to predict price spikes accurately. An application of this model shows how the structure of the Pennsylvania-New Jersey-Maryland market changed when market-based offers were allowed, resulting in higher price spikes. An ARIMA model including temperature, seasonal, and weekly effects is estimated to forecast daily peak load. Forecasts of load under different assumptions about weather patterns are used to predict changes of price behavior given the regime-switching model of prices. Results show that the range of temperature forecasts from a normal summer to an extremely warm summer cause relatively small increases in temperature (+1.5%) and load (+3.0%). In contrast, the increases in prices are large (+20%). The conclusion is that the seasonal outlook forecasts provided by NOAA are potentially valuable for predicting prices in electricity markets. The traditional option models, based on Geometric Brownian Motion are not appropriate for electricity prices. An option model using the regime-switching framework is developed to value a European call option. The model includes volatility risk and allows changes in prices and volatility to be correlated. The results show that the value of a power plant is much higher using the financial option model than using traditional discounted cash flow.

Modeling stock prices in a portfolio using multidimensional geometric brownian motion

NASA Astrophysics Data System (ADS)

Maruddani, Di Asih I.; Trimono

2018-05-01

Modeling and forecasting stock prices of public corporates are important studies in financial analysis, due to their stock price characteristics. Stocks investments give a wide variety of risks. Taking a portfolio of several stocks is one way to minimize risk. Stochastic process of single stock price movements model can be formulated in Geometric Brownian Motion (GBM) model. But for a portfolio that consist more than one corporate stock, we need an expansion of GBM Model. In this paper, we use multidimensional Geometric Brownian Motion model. This paper aims to model and forecast two stock prices in a portfolio. These are PT. Matahari Department Store Tbk and PT. Telekomunikasi Indonesia Tbk on period January 4, 2016 until April 21, 2017. The goodness of stock price forecast value is based on Mean Absolute Percentage Error (MAPE). As the results, we conclude that forecast two stock prices in a portfolio using multidimensional GBM give less MAPE than using GBM for single stock price respectively. We conclude that multidimensional GBM is more appropriate for modeling stock prices, because the price of each stock affects each other.

Distributed Tactical Decision Support by Using Real-Time Database System

DTIC Science & Technology

1987-11-01

appendix A and detailed in depth in the Advanced Combat Direction System Specification (reference 5). The assumption is that ’ ime 0 (TO) of any contact...CONSTELLATION LAUNCH I F14A CAPM 330 350 10000 STOP At simulated engagement minute 30. the following orders are next submitted to the event generator...time of contact (ETC). There is the assumption in the ETC calculation that COURSE will change such that the new report would be on a dead- reckoning

Low Altitude Near-the-Horizon Propagation: A Comparison Between RPO and M-Layer

DTIC Science & Technology

1993-12-01

scaling based on the assumption that a single mode contributes to the complete field strength (Ref. 31, output from M-Layer [Ref. 4, 5] in the over-the...PE. The parabolic equation approximation to the Maxwell wave equations is developed under the optical assumption that the operating frequency is so...profile data are specified (an array) capm zim profile data (modified index of refraction; an array) (a) RPO: from I to n/evs; M-Layer from 0 to nzlayr

Changes in the Perceived Risk of Climate Change: Evidence from Sudden Climatic Events

NASA Astrophysics Data System (ADS)

Anttila-Hughes, J. K.

2009-12-01

In the course of the past two decades the threat of anthropogenic climate change has moved from a scientific concern of relative obscurity to become one of the largest environmental and public goods problems in history. During this period public understanding of the risk of climate change has shifted from negligible to quite large. In this paper I propose a means of quantifying this change by examining how sudden events supporting the theory of anthropogenic climate change have affected carbon intensive companies' stock prices. Using CAPM event study methodology for companies in several carbon-intensive industries, I find strong evidence that markets have been reacting to changes in the scientific evidence for climate change for some time. Specifically, the change in magnitude of response over time seems to indicate that investors believed climate change was a potentially serious risk to corporate profits as early as the mid 1990s. Moreover, market reaction dependence on event type indicates that investors are differentiating between different advances in the scientific knowledge. Announcements by NASA GISS that the previous year was a “record hot year” for the globe are associated with negative excess returns, while news of ice shelf collapses are associated with strong positive excess returns. These results imply that investors are aware of how different aspects of climate change will affect carbon intensive companies, specifically in terms of the link between warming in general and polar ice cover. This implies that policy choices based on observable public opinion have lagged actual private concern over climate change's potential threat.

The mismatch between conventional house price modeling and regulated markets: insights from The Netherlands.

PubMed

Tu, Qi; de Haan, Jan; Boelhouwer, Peter

2017-01-01

House price modeling has been frequently used to investigate the dynamics of housing markets, especially competitive markets; yet less attention has been given to markets that have experienced considerable interventions. The aim of this study is to demonstrate a mismatch between conventional house price models and the case of the Netherlands and to provide reasons of such mismatch. We first describe and classify the conventional house price models into asset-pricing house price model, stock-flow model, multi-period utility model, and repayment model. These models are subsequently applied to the Netherlands, where considerable government interventions took place. As expected, the empirical results are unsatisfactory to explain the Dutch house price development. The degree of mismatch of the repayment model and the multi-period utility model, however, seems to be fairly limited.

Statistical field theory of futures commodity prices

NASA Astrophysics Data System (ADS)

Baaquie, Belal E.; Yu, Miao

2018-02-01

The statistical theory of commodity prices has been formulated by Baaquie (2013). Further empirical studies of single (Baaquie et al., 2015) and multiple commodity prices (Baaquie et al., 2016) have provided strong evidence in support the primary assumptions of the statistical formulation. In this paper, the model for spot prices (Baaquie, 2013) is extended to model futures commodity prices using a statistical field theory of futures commodity prices. The futures prices are modeled as a two dimensional statistical field and a nonlinear Lagrangian is postulated. Empirical studies provide clear evidence in support of the model, with many nontrivial features of the model finding unexpected support from market data.

Tiered Pricing: Implications for Library Collections

ERIC Educational Resources Information Center

Hahn, Karla

2005-01-01

In recent years an increasing number of publishers have adopted tiered pricing of journals. The design and implications of tiered-pricing models, however, are poorly understood. Tiered pricing can be modeled using several variables. A survey of current tiered-pricing models documents the range of key variables used. A sensitivity analysis…

Oil shocks in New Keynesian models: Positive and normative implications

NASA Astrophysics Data System (ADS)

Chang, Jian

Chapter 1 investigates optimal monetary policy response towards oil shocks in a New Keynesian model. We find that optimal policy, in general, becomes contractionary in response to an adverse oil shock. However, the optimal policy rule and the inflation-output trade-off depend on the specific structure of the model. The benchmark economy consists of a flexible-price energy sector and a sticky-price manufacturing sector where energy is used as an intermediate input. We show that optimal policy is to stabilize the sticky (core) price level. We then show that after incorporating a less oil-dependent sticky-price service sector, the model exhibits a trade-off in stabilizing prices and output gaps in the different sticky-price sectors. It predicts that central bank should not try to stabilize the core price level, and the economy will experience higher inflation and rising output gaps, even if central banks respond optimally. Chapter 2 addresses the observed volatility and persistence of real exchange rates and the terms of trade. It contributes to the literature with a quantitative study on the U.S. and Canada. A two-country New Keynesian model consisting of traded, non-traded, and oil production sectors is proposed to examine the time series properties of the real exchange rate, the terms of trade and the real oil price. We find that after incorporating several realistic features (namely oil price shocks, sector specific labor, non-traded goods, asymmetric pricing decisions of exporters and asymmetric consumer preferences over tradables), the benchmark model broadly matches the volatilities of the relative prices and some business cycle correlations. The model matches the data more closely after adding real demand shocks, suggesting their importance in explaining the relative price movements between the US and Canada. Chapter 3 explores several sources and transmission channels of international relative price movements. In particular, we elaborate on the role of imperfect labor mobility, pricing decisions of exporting firms, oil price shocks and asymmetric consumer preferences over tradables. Our results suggest that: Incorporating both producer currency pricing and local currency pricing assumptions produces more reasonable relative price movements. A model with imperfect labor mobility generates larger relative price volatility. Oil price shocks only contribute to terms of trade variability when oil is modeled as part of the traded basket. And asymmetric consumer preferences contribute to the volatility of the real exchange rate.

Mixed integer nonlinear programming model of wireless pricing scheme with QoS attribute of bandwidth and end-to-end delay

NASA Astrophysics Data System (ADS)

Irmeilyana, Puspita, Fitri Maya; Indrawati

2016-02-01

The pricing for wireless networks is developed by considering linearity factors, elasticity price and price factors. Mixed Integer Nonlinear Programming of wireless pricing model is proposed as the nonlinear programming problem that can be solved optimally using LINGO 13.0. The solutions are expected to give some information about the connections between the acceptance factor and the price. Previous model worked on the model that focuses on bandwidth as the QoS attribute. The models attempt to maximize the total price for a connection based on QoS parameter. The QoS attributes used will be the bandwidth and the end to end delay that affect the traffic. The maximum goal to maximum price is achieved when the provider determine the requirement for the increment or decrement of price change due to QoS change and amount of QoS value.

Simulated Models Suggest That Price per Calorie Is the Dominant Price Metric That Low-Income Individuals Use for Food Decision Making123

PubMed Central

2016-01-01

Background: The price of food has long been considered one of the major factors that affects food choices. However, the price metric (e.g., the price of food per calorie or the price of food per gram) that individuals predominantly use when making food choices is unclear. Understanding which price metric is used is especially important for studying individuals with severe budget constraints because food price then becomes even more important in food choice. Objective: We assessed which price metric is used by low-income individuals in deciding what to eat. Methods: With the use of data from NHANES and the USDA Food and Nutrient Database for Dietary Studies, we created an agent-based model that simulated an environment representing the US population, wherein individuals were modeled as agents with a specific weight, age, and income. In our model, agents made dietary food choices while meeting their budget limits with the use of 1 of 3 different metrics for decision making: energy cost (price per calorie), unit price (price per gram), and serving price (price per serving). The food consumption patterns generated by our model were compared to 3 independent data sets. Results: The food choice behaviors observed in 2 of the data sets were found to be closest to the simulated dietary patterns generated by the price per calorie metric. The behaviors observed in the third data set were equidistant from the patterns generated by price per calorie and price per serving metrics, whereas results generated by the price per gram metric were further away. Conclusions: Our simulations suggest that dietary food choice based on price per calorie best matches actual consumption patterns and may therefore be the most salient price metric for low-income populations. PMID:27655757

Simulated Models Suggest That Price per Calorie Is the Dominant Price Metric That Low-Income Individuals Use for Food Decision Making.

PubMed

Beheshti, Rahmatollah; Igusa, Takeru; Jones-Smith, Jessica

2016-11-01

The price of food has long been considered one of the major factors that affects food choices. However, the price metric (e.g., the price of food per calorie or the price of food per gram) that individuals predominantly use when making food choices is unclear. Understanding which price metric is used is especially important for studying individuals with severe budget constraints because food price then becomes even more important in food choice. We assessed which price metric is used by low-income individuals in deciding what to eat. With the use of data from NHANES and the USDA Food and Nutrient Database for Dietary Studies, we created an agent-based model that simulated an environment representing the US population, wherein individuals were modeled as agents with a specific weight, age, and income. In our model, agents made dietary food choices while meeting their budget limits with the use of 1 of 3 different metrics for decision making: energy cost (price per calorie), unit price (price per gram), and serving price (price per serving). The food consumption patterns generated by our model were compared to 3 independent data sets. The food choice behaviors observed in 2 of the data sets were found to be closest to the simulated dietary patterns generated by the price per calorie metric. The behaviors observed in the third data set were equidistant from the patterns generated by price per calorie and price per serving metrics, whereas results generated by the price per gram metric were further away. Our simulations suggest that dietary food choice based on price per calorie best matches actual consumption patterns and may therefore be the most salient price metric for low-income populations. © 2016 American Society for Nutrition.

Adaptation of warrant price with Black Scholes model and historical volatility

NASA Astrophysics Data System (ADS)

Aziz, Khairu Azlan Abd; Idris, Mohd Fazril Izhar Mohd; Saian, Rizauddin; Daud, Wan Suhana Wan

2015-05-01

This project discusses about pricing warrant in Malaysia. The Black Scholes model with non-dividend approach and linear interpolation technique was applied in pricing the call warrant. Three call warrants that are listed in Bursa Malaysia were selected randomly from UiTM's datastream. The finding claims that the volatility for each call warrants are different to each other. We have used the historical volatility which will describes the price movement by which an underlying share is expected to fluctuate within a period. The Black Scholes model price that was obtained by the model will be compared with the actual market price. Mispricing the call warrants will contribute to under or over valuation price. Other variables like interest rate, time to maturity date, exercise price and underlying stock price are involves in pricing call warrants as well as measuring the moneyness of call warrants.

Modelling world gold prices and USD foreign exchange relationship using multivariate GARCH model

NASA Astrophysics Data System (ADS)

Ping, Pung Yean; Ahmad, Maizah Hura Binti

2014-12-01

World gold price is a popular investment commodity. The series have often been modeled using univariate models. The objective of this paper is to show that there is a co-movement between gold price and USD foreign exchange rate. Using the effect of the USD foreign exchange rate on the gold price, a model that can be used to forecast future gold prices is developed. For this purpose, the current paper proposes a multivariate GARCH (Bivariate GARCH) model. Using daily prices of both series from 01.01.2000 to 05.05.2014, a causal relation between the two series understudied are found and a bivariate GARCH model is produced.

Energy risk in the arbitrage pricing model: an empirical and theoretical study

DOE Office of Scientific and Technical Information (OSTI.GOV)

Bremer, M.A.

1986-01-01

This dissertation empirically explores the Arbitrage Pricing Theory in the context of energy risk for securities over the 1960s, 1970s, and early 1980s. Starting from a general multifactor pricing model, the paper develops a two factor model based on a market-like factor and an energy factor. This model is then tested on portfolios of securities grouped according to industrial classification using several econometric techniques designed to overcome some of the more serious estimation problems common to these models. The paper concludes that energy risk is priced in the 1970s and possibly even in the 1960s. Energy risk is found tomore » be priced in the sense that investors who hold assets subjected to energy risk are paid for this risk. The classic version of the Capital Asset Pricing Model which posits the market as the single priced factor is rejected in favor of the Arbitrage Pricing Theory or multi-beta versions of the Capital Asset Pricing Model. The study introduces some original econometric methodology to carry out empirical tests.« less

A Non-Gaussian Stock Price Model: Options, Credit and a Multi-Timescale Memory

NASA Astrophysics Data System (ADS)

Borland, L.

We review a recently proposed model of stock prices, based on astatistical feedback model that results in a non-Gaussian distribution of price changes. Applications to option pricing and the pricing of debt is discussed. A generalization to account for feedback effects over multiple timescales is also presented. This model reproduces most of the stylized facts (ie statistical anomalies) observed in real financial markets.

EOQ model for perishable products with price-dependent demand, pre and post discounted selling price

NASA Astrophysics Data System (ADS)

Santhi, G.; Karthikeyan, K.

2017-11-01

In this article we introduce an economic order quantity model for perishable products like vegetables, fruits, milk, flowers, meat, etc.,with price-dependent demand, pre and post discounted selling price. Here we consider the demand is depending on selling price and deterioration rate is constant. Here we developed mathematical model to determine optimal discounton the unit selling price to maximize total profit. Numerical examples are given for illustrated.

Construction of Discrete Time Shadow Price

DOE Office of Scientific and Technical Information (OSTI.GOV)

Rogala, Tomasz, E-mail: rogalatp@gmail.com; Stettner, Lukasz, E-mail: stettner@impan.pl

2015-12-15

In the paper expected utility from consumption over finite time horizon for discrete time markets with bid and ask prices and strictly concave utility function is considered. The notion of weak shadow price, i.e. an illiquid price, depending on the portfolio, under which the model without bid and ask price is equivalent to the model with bid and ask price is introduced. Existence and the form of weak shadow price is shown. Using weak shadow price usual (called in the paper strong) shadow price is then constructed.

Palm oil price forecasting model: An autoregressive distributed lag (ARDL) approach

NASA Astrophysics Data System (ADS)

Hamid, Mohd Fahmi Abdul; Shabri, Ani

2017-05-01

Palm oil price fluctuated without any clear trend or cyclical pattern in the last few decades. The instability of food commodities price causes it to change rapidly over time. This paper attempts to develop Autoregressive Distributed Lag (ARDL) model in modeling and forecasting the price of palm oil. In order to use ARDL as a forecasting model, this paper modifies the data structure where we only consider lagged explanatory variables to explain the variation in palm oil price. We then compare the performance of this ARDL model with a benchmark model namely ARIMA in term of their comparative forecasting accuracy. This paper also utilize ARDL bound testing approach to co-integration in examining the short run and long run relationship between palm oil price and its determinant; production, stock, and price of soybean as the substitute of palm oil and price of crude oil. The comparative forecasting accuracy suggests that ARDL model has a better forecasting accuracy compared to ARIMA.

Software Technology for Adaptable, Reliable Systems (STARS)

DTIC Science & Technology

1994-03-25

Tmeline(3), SECOMO(3), SEER(3), GSFC Software Engineering Lab Model(l), SLIM(4), SEER-SEM(l), SPQR (2), PRICE-S(2), internally-developed models(3), APMSS(1...3 " Timeline - 3 " SASET (Software Architecture Sizing Estimating Tool) - 2 " MicroMan 11- 2 * LCM (Logistics Cost Model) - 2 * SPQR - 2 * PRICE-S - 2

Adaptive hidden Markov model with anomaly States for price manipulation detection.

PubMed

Cao, Yi; Li, Yuhua; Coleman, Sonya; Belatreche, Ammar; McGinnity, Thomas Martin

2015-02-01

Price manipulation refers to the activities of those traders who use carefully designed trading behaviors to manually push up or down the underlying equity prices for making profits. With increasing volumes and frequency of trading, price manipulation can be extremely damaging to the proper functioning and integrity of capital markets. The existing literature focuses on either empirical studies of market abuse cases or analysis of particular manipulation types based on certain assumptions. Effective approaches for analyzing and detecting price manipulation in real time are yet to be developed. This paper proposes a novel approach, called adaptive hidden Markov model with anomaly states (AHMMAS) for modeling and detecting price manipulation activities. Together with wavelet transformations and gradients as the feature extraction methods, the AHMMAS model caters to price manipulation detection and basic manipulation type recognition. The evaluation experiments conducted on seven stock tick data from NASDAQ and the London Stock Exchange and 10 simulated stock prices by stochastic differential equation show that the proposed AHMMAS model can effectively detect price manipulation patterns and outperforms the selected benchmark models.

Valuing options in shot noise market

NASA Astrophysics Data System (ADS)

Laskin, Nick

2018-07-01

A new exactly solvable option pricing model has been introduced and elaborated. It is assumed that a stock price follows a Geometric shot noise process. An arbitrage-free integro-differential option pricing equation has been obtained and solved. The new Greeks have been analytically calculated. It has been shown that in diffusion approximation the developed option pricing model incorporates the well-known Black-Scholes equation and its solution. The stochastic dynamic origin of the Black-Scholes volatility has been uncovered. To model the observed market stock price patterns consisting of high frequency small magnitude and low frequency large magnitude jumps, the superposition of two Geometric shot noises has been implemented. A new generalized option pricing equation has been obtained and its exact solution was found. Merton's jump-diffusion formula for option price was recovered in diffusion approximation. Despite the non-Gaussian nature of probability distributions involved, the new option pricing model has the same degree of analytical tractability as the Black-Scholes model and the Merton jump-diffusion model. This attractive feature allows one to derive exact formulas to value options and option related instruments in the market with jump-like price patterns.

Scaling and Multiscaling in Financial Time Series

DTIC Science & Technology

2005-01-07

stable process (Mandelbrot, Fama , 1963) The return process X(t) satisfies: dX(t) = µ dt + σ dLα(t) where Lα(t) is an α-stable Levy process. The returns r...year Future JY/USD 7.104 0.02 6 months Nikkei 225 7.104 0.030 1.5 year Future Nikkei 7.104 0.02 6 months Japanese Yen 7.104 0.022 1.0 year French index...the horizon) - Optimal portfolios are stable by linear superposition. → CAPM : Relates the mean return of some asset to its covariance with the

Real-Time Environmental Artic Monitoring (R-TEAM).

DTIC Science & Technology

1987-11-01

critical points of the mooring. Tension, tilt, pressure and temperature data are recorded on solid state memory for the duration of the deployment. Two...To iUe Tna£ LA6aksIIorZ. Um DESCaiPTiow r oj.t.TAK 2ALUMINUM PIPE -ob.I’ -WALL. 5e1 . Sm IVI IlSdh7 Z BOT’TOM END CAPME G,15473 (5 2 R.OD 3__ MX 306 as...described in Reference 2. Each instrument, located at a critical point of the mooring, measures and records in solid state memory tension, tilt, temperature

Housing price prediction: parametric versus semi-parametric spatial hedonic models

NASA Astrophysics Data System (ADS)

Montero, José-María; Mínguez, Román; Fernández-Avilés, Gema

2018-01-01

House price prediction is a hot topic in the economic literature. House price prediction has traditionally been approached using a-spatial linear (or intrinsically linear) hedonic models. It has been shown, however, that spatial effects are inherent in house pricing. This article considers parametric and semi-parametric spatial hedonic model variants that account for spatial autocorrelation, spatial heterogeneity and (smooth and nonparametrically specified) nonlinearities using penalized splines methodology. The models are represented as a mixed model that allow for the estimation of the smoothing parameters along with the other parameters of the model. To assess the out-of-sample performance of the models, the paper uses a database containing the price and characteristics of 10,512 homes in Madrid, Spain (Q1 2010). The results obtained suggest that the nonlinear models accounting for spatial heterogeneity and flexible nonlinear relationships between some of the individual or areal characteristics of the houses and their prices are the best strategies for house price prediction.

Evolutionary model of stock markets

NASA Astrophysics Data System (ADS)

Kaldasch, Joachim

2014-12-01

The paper presents an evolutionary economic model for the price evolution of stocks. Treating a stock market as a self-organized system governed by a fast purchase process and slow variations of demand and supply the model suggests that the short term price distribution has the form a logistic (Laplace) distribution. The long term return can be described by Laplace-Gaussian mixture distributions. The long term mean price evolution is governed by a Walrus equation, which can be transformed into a replicator equation. This allows quantifying the evolutionary price competition between stocks. The theory suggests that stock prices scaled by the price over all stocks can be used to investigate long-term trends in a Fisher-Pry plot. The price competition that follows from the model is illustrated by examining the empirical long-term price trends of two stocks.

Optimal dynamic pricing for deteriorating items with reference-price effects

NASA Astrophysics Data System (ADS)

Xue, Musen; Tang, Wansheng; Zhang, Jianxiong

2016-07-01

In this paper, a dynamic pricing problem for deteriorating items with the consumers' reference-price effect is studied. An optimal control model is established to maximise the total profit, where the demand not only depends on the current price, but also is sensitive to the historical price. The continuous-time dynamic optimal pricing strategy with reference-price effect is obtained through solving the optimal control model on the basis of Pontryagin's maximum principle. In addition, numerical simulations and sensitivity analysis are carried out. Finally, some managerial suggestions that firm may adopt to formulate its pricing policy are proposed.

Modeling and simulation of consumer response to dynamic pricing.

DOE Office of Scientific and Technical Information (OSTI.GOV)

Valenzuela, J.; Thimmapuram, P.; Kim, J

2012-08-01

Assessing the impacts of dynamic-pricing under the smart grid concept is becoming extremely important for deciding its full deployment. In this paper, we develop a model that represents the response of consumers to dynamic pricing. In the model, consumers use forecasted day-ahead prices to shift daily energy consumption from hours when the price is expected to be high to hours when the price is expected to be low while maintaining the total energy consumption as unchanged. We integrate the consumer response model into the Electricity Market Complex Adaptive System (EMCAS). EMCAS is an agent-based model that simulates restructured electricity markets.more » We explore the impacts of dynamic-pricing on price spikes, peak demand, consumer energy bills, power supplier profits, and congestion costs. A simulation of an 11-node test network that includes eight generation companies and five aggregated consumers is performed for a period of 1 month. In addition, we simulate the Korean power system.« less

Modelling energy costs for different operational strategies of a large water resource recovery facility.

PubMed

Póvoa, P; Oehmen, A; Inocêncio, P; Matos, J S; Frazão, A

2017-05-01

The main objective of this paper is to demonstrate the importance of applying dynamic modelling and real energy prices on a full scale water resource recovery facility (WRRF) for the evaluation of control strategies in terms of energy costs with aeration. The Activated Sludge Model No. 1 (ASM1) was coupled with real energy pricing and a power consumption model and applied as a dynamic simulation case study. The model calibration is based on the STOWA protocol. The case study investigates the importance of providing real energy pricing comparing (i) real energy pricing, (ii) weighted arithmetic mean energy pricing and (iii) arithmetic mean energy pricing. The operational strategies evaluated were (i) old versus new air diffusers, (ii) different DO set-points and (iii) implementation of a carbon removal controller based on nitrate sensor readings. The application in a full scale WRRF of the ASM1 model coupled with real energy costs was successful. Dynamic modelling with real energy pricing instead of constant energy pricing enables the wastewater utility to optimize energy consumption according to the real energy price structure. Specific energy cost allows the identification of time periods with potential for linking WRRF with the electric grid to optimize the treatment costs, satisfying operational goals.

Design and implementation of ticket price forecasting system

NASA Astrophysics Data System (ADS)

Li, Yuling; Li, Zhichao

2018-05-01

With the advent of the aviation travel industry, a large number of data mining technologies have been developed to increase profits for airlines in the past two decades. The implementation of the digital optimization strategy leads to price discrimination, for example, similar seats on the same flight are purchased at different prices, depending on the time of purchase, the supplier, and so on. Price fluctuations make the prediction of ticket prices have application value. In this paper, a combination of ARMA algorithm and random forest algorithm is proposed to predict the price of air ticket. The experimental results show that the model is more reliable by comparing the forecasting results with the actual results of each price model. The model is helpful for passengers to buy tickets and to save money. Based on the proposed model, using Python language and SQL Server database, we design and implement the ticket price forecasting system.

Model risk for European-style stock index options.

PubMed

Gençay, Ramazan; Gibson, Rajna

2007-01-01

In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as the Black-Scholes (BS) model with constant volatility. In this paper, we study the stochastic volatility (SV) and stochastic volatility random jump (SVJ) models as parametric benchmarks against feedforward neural network (FNN) models, a class of neural network models. Our choice for FNN models is due to their well-studied universal approximation properties of an unknown function and its partial derivatives. Since the partial derivatives of an option pricing formula are risk pricing tools, an accurate estimation of the unknown option pricing function is essential for pricing and hedging. Our findings indicate that FNN models offer themselves as robust option pricing tools, over their sophisticated parametric counterparts in predictive settings. There are two routes to explain the superiority of FNN models over the parametric models in forecast settings. These are nonnormality of return distributions and adaptive learning.

An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral

NASA Astrophysics Data System (ADS)

Ma, Chao; Ma, Qinghua; Yao, Haixiang; Hou, Tiancheng

2018-03-01

In this paper, we propose to use the Fractional Stable Process (FSP) for option pricing. The FSP is one of the few candidates to directly model a number of desired empirical properties of asset price risk neutral dynamics. However, pricing the vanilla European option under FSP is difficult and problematic. In the paper, built upon the developed Feynman Path Integral inspired techniques, we present a novel computational model for option pricing, i.e. the Fractional Stable Process Path Integral (FSPPI) model under a general fractional stable distribution that tackles this problem. Numerical and empirical experiments show that the proposed pricing model provides a correction of the Black-Scholes pricing error - overpricing long term options, underpricing short term options; overpricing out-of-the-money options, underpricing in-the-money options without any additional structures such as stochastic volatility and a jump process.

Modeling Philippine Stock Exchange Composite Index Using Time Series Analysis

NASA Astrophysics Data System (ADS)

Gayo, W. S.; Urrutia, J. D.; Temple, J. M. F.; Sandoval, J. R. D.; Sanglay, J. E. A.

2015-06-01

This study was conducted to develop a time series model of the Philippine Stock Exchange Composite Index and its volatility using the finite mixture of ARIMA model with conditional variance equations such as ARCH, GARCH, EG ARCH, TARCH and PARCH models. Also, the study aimed to find out the reason behind the behaviorof PSEi, that is, which of the economic variables - Consumer Price Index, crude oil price, foreign exchange rate, gold price, interest rate, money supply, price-earnings ratio, Producers’ Price Index and terms of trade - can be used in projecting future values of PSEi and this was examined using Granger Causality Test. The findings showed that the best time series model for Philippine Stock Exchange Composite index is ARIMA(1,1,5) - ARCH(1). Also, Consumer Price Index, crude oil price and foreign exchange rate are factors concluded to Granger cause Philippine Stock Exchange Composite Index.

Crude oil price dynamics: A study on effects of market expectation and strategic supply on price movements

NASA Astrophysics Data System (ADS)

Jin, Xin

Recent years have seen dramatic fluctuations in crude oil prices. This dissertation attempts to better understand price behavior. The first chapter studies the behavior of crude oil spot and futures prices. Oil prices, particularly spot and short-term futures prices, appear to have switched from I(0) to I(1) in early 2000s. To better understand this apparent change in persistence, a factor model of oil prices is proposed, where the prices are decomposed into long-term and short-term components. The change in the persistence behavior can be explained by changes in the relative volatility of the underlying components. Fitting the model to weekly data on WTI prices, the volatility of the persistent shocks increased substantially relative to other shocks. In addition, the risk premiums in futures prices have changed their signs and become more volatile. The estimated net marginal convenience yield using the model also shows changes in its behavior. These observations suggest that a dramatic fundamental change occurred in the period from 2002 to 2004 in the dynamics of the crude oil market. The second chapter explores the short-run price-inventory dynamics in the presence of different shocks. Classical competitive storage model states that inventory decision considers both current and future market condition, and thus interacts with spot and expected future spot prices. We study competitive storage holding in an equilibrium framework, focusing on the dynamic response of price and inventory to different shocks. We show that news shock generates response profile different from traditional contemporaneous shocks in price and inventory. The model is applied to world crude oil market, where the market expectation is estimated to experience a sharp change in early 2000s, together with a persisting constrained supply relative to demand. The expectation change has limited effect on crude oil spot price though. The world oil market structure has been studied extensively but no consensus has been reached on OPEC strategic behavior. In the third chapter, we are interested in the effects of supply-side market power on oil price dynamics in face of different demand shocks, and model the oil market as composed of a strategic dominant firm and several competitive fringe producers. In each period, the dominant firm makes decision while taking fringe's response into consideration. We consider two alternative pricing strategies for the dominant firm. Our results show that this dynamic strategic model improves the potential of dominant firm-competitive fringe model in fitting and explaining real world data. A regime switch after a permanent demand increase generates a time path for price that looks like the price movements in the recent years.

Does Pharmaceutical Pricing Transparency Matter? Examining Brazil's Public Procurement System.

PubMed

Kohler, Jillian Clare; Mitsakakis, Nicholas; Saadat, Faridah; Byng, Danalyn; Martinez, Martha Gabriela

2015-08-04

We review procurement and pricing transparency practices for pharmaceutical products. We specifically focus on Brazil and examine its approach to increasing pricing transparency, with the aim of determining the level of effectiveness in lower prices using a tool (Banco de Preços em Saúde, BPS) that only reveals purchase prices as compared to other tools (in other countries) that establish a greater degree of price transparency. A general report of Preços em Saúde (BPS) and Sistema Integrado de Administração de Serviços Gerais (SIASG) pricing data was created for 25 drugs that met specific criteria. To explore the linear time trend of each of the drugs, separate regression models were fitted for each drug, resulting in a total of 19 models. Each model controlled for the state variable and the interaction between state and time, in order to accommodate expected heterogeneity in the data. Additionally, the models controlled for procurement quantities and the effect they have on the unit price. Secondary analysis using mixed effects models was also carried out to account for the impact that institutions and suppliers may have upon the unit price. Adjusting for these predictor variables (procurement quantities, supplier, purchasing institution) was important to determine the sole effect that time has had on unit prices. A total of 2 x 19 = 38 models were estimated to explore the overall effect of time on changes in unit price. All statistical analyses were performed using the R statistical software, while the linear mixed effects models were fitted using the lme4 R package. The findings from our analysis suggest that there is no pattern of consistent price decreases within the two Brazilian states during the five-year period for which the prices were analyzed. While the BPS does allow for an increase in transparency and information on drug purchase prices in Brazil, it has not shown to lead to consistent reductions in drug purchase prices for some of the most widely used medicines. This is indicative of a limited model for addressing the challenges in pharmaceutical procurement and puts into question the value of tools used globally to improve transparency in pharmaceutical pricing.

Simple stochastic order-book model of swarm behavior in continuous double auction

NASA Astrophysics Data System (ADS)

Ichiki, Shingo; Nishinari, Katsuhiro

2015-02-01

In this study, we present a simple stochastic order-book model for investors' swarm behaviors seen in the continuous double auction mechanism, which is employed by major global exchanges. Our study shows a characteristic called 'fat tail' seen in the data obtained from our model that incorporates the investors' swarm behaviors. Our model captures two swarm behaviors: one is investors' behavior to follow a trend in the historical price movement, and another is investors' behavior to send orders that contradict a trend in the historical price movement. In order to capture the features of influence by the swarm behaviors, from price data derived from our simulations using these models, we analyzed the price movement range, that is, how much the price is moved when it is continuously moved in a single direction. Depending on the type of swarm behavior, we saw a difference in the cumulative frequency distribution of this price movement range. In particular, for the model of investors who followed a trend in the historical price movement, we saw the power law in the tail of the cumulative frequency distribution of this price movement range. In addition, we analyzed the shape of the tail of the cumulative frequency distribution. The result demonstrated that one of the reasons the trend following of price occurs is that orders temporarily swarm on the order book in accordance with past price trends.

Study protocol: combining experimental methods, econometrics and simulation modelling to determine price elasticities for studying food taxes and subsidies (The Price ExaM Study).

PubMed

Waterlander, Wilma E; Blakely, Tony; Nghiem, Nhung; Cleghorn, Christine L; Eyles, Helen; Genc, Murat; Wilson, Nick; Jiang, Yannan; Swinburn, Boyd; Jacobi, Liana; Michie, Jo; Ni Mhurchu, Cliona

2016-07-19

There is a need for accurate and precise food price elasticities (PE, change in consumer demand in response to change in price) to better inform policy on health-related food taxes and subsidies. The Price Experiment and Modelling (Price ExaM) study aims to: I) derive accurate and precise food PE values; II) quantify the impact of price changes on quantity and quality of discrete food group purchases and; III) model the potential health and disease impacts of a range of food taxes and subsidies. To achieve this, we will use a novel method that includes a randomised Virtual Supermarket experiment and econometric methods. Findings will be applied in simulation models to estimate population health impact (quality-adjusted life-years [QALYs]) using a multi-state life-table model. The study will consist of four sequential steps: 1. We generate 5000 price sets with random price variation for all 1412 Virtual Supermarket food and beverage products. Then we add systematic price variation for foods to simulate five taxes and subsidies: a fruit and vegetable subsidy and taxes on sugar, saturated fat, salt, and sugar-sweetened beverages. 2. Using an experimental design, 1000 adult New Zealand shoppers complete five household grocery shops in the Virtual Supermarket where they are randomly assigned to one of the 5000 price sets each time. 3. Output data (i.e., multiple observations of price configurations and purchased amounts) are used as inputs to econometric models (using Bayesian methods) to estimate accurate PE values. 4. A disease simulation model will be run with the new PE values as inputs to estimate QALYs gained and health costs saved for the five policy interventions. The Price ExaM study has the potential to enhance public health and economic disciplines by introducing internationally novel scientific methods to estimate accurate and precise food PE values. These values will be used to model the potential health and disease impacts of various food pricing policy options. Findings will inform policy on health-related food taxes and subsidies. Australian New Zealand Clinical Trials Registry ACTRN12616000122459 (registered 3 February 2016).

Stock price prediction using geometric Brownian motion

NASA Astrophysics Data System (ADS)

Farida Agustini, W.; Restu Affianti, Ika; Putri, Endah RM

2018-03-01

Geometric Brownian motion is a mathematical model for predicting the future price of stock. The phase that done before stock price prediction is determine stock expected price formulation and determine the confidence level of 95%. On stock price prediction using geometric Brownian Motion model, the algorithm starts from calculating the value of return, followed by estimating value of volatility and drift, obtain the stock price forecast, calculating the forecast MAPE, calculating the stock expected price and calculating the confidence level of 95%. Based on the research, the output analysis shows that geometric Brownian motion model is the prediction technique with high rate of accuracy. It is proven with forecast MAPE value ≤ 20%.

Identifying Financially Sustainable Pricing Interventions to Promote Healthier Beverage Purchases in Small Neighborhood Stores

PubMed Central

Kumanyika, Shiriki; Gittelsohn, Joel; Adam, Atif; Wong, Michelle S.; Mui, Yeeli; Lee, Bruce Y.

2018-01-01

Introduction Residents of low-income communities often purchase sugar-sweetened beverages (SSBs) at small, neighborhood “corner” stores. Lowering water prices and increasing SSB prices are potentially complementary public health strategies to promote more healthful beverage purchasing patterns in these stores. Sustainability, however, depends on financial feasibility. Because in-store pricing experiments are complex and require retailers to take business risks, we used a simulation approach to identify profitable pricing combinations for corner stores. Methods The analytic approach was based on inventory models, which are suitable for modeling business operations. We used discrete-event simulation to build inventory models that use data representing beverage inventory, wholesale costs, changes in retail prices, and consumer demand for 2 corner stores in Baltimore, Maryland. Model outputs yielded ranges for water and SSB prices that increased water demand without loss of profit from combined water and SSB sales. Results A 20% SSB price increase allowed lowering water prices by up to 20% while maintaining profit and increased water demand by 9% and 14%, for stores selling SSBs in 12-oz cans and 16- to 20-oz bottles, respectively. Without changing water prices, profits could increase by 4% and 6%, respectively. Sensitivity analysis showed that stores with a higher volume of SSB sales could reduce water prices the most without loss of profit. Conclusion Various combinations of SSB and water prices could encourage water consumption while maintaining or increasing store owners’ profits. This model is a first step in designing and implementing profitable pricing strategies in collaboration with store owners. PMID:29369758

Identifying Financially Sustainable Pricing Interventions to Promote Healthier Beverage Purchases in Small Neighborhood Stores.

PubMed

Nau, Claudia; Kumanyika, Shiriki; Gittelsohn, Joel; Adam, Atif; Wong, Michelle S; Mui, Yeeli; Lee, Bruce Y

2018-01-25

Residents of low-income communities often purchase sugar-sweetened beverages (SSBs) at small, neighborhood "corner" stores. Lowering water prices and increasing SSB prices are potentially complementary public health strategies to promote more healthful beverage purchasing patterns in these stores. Sustainability, however, depends on financial feasibility. Because in-store pricing experiments are complex and require retailers to take business risks, we used a simulation approach to identify profitable pricing combinations for corner stores. The analytic approach was based on inventory models, which are suitable for modeling business operations. We used discrete-event simulation to build inventory models that use data representing beverage inventory, wholesale costs, changes in retail prices, and consumer demand for 2 corner stores in Baltimore, Maryland. Model outputs yielded ranges for water and SSB prices that increased water demand without loss of profit from combined water and SSB sales. A 20% SSB price increase allowed lowering water prices by up to 20% while maintaining profit and increased water demand by 9% and 14%, for stores selling SSBs in 12-oz cans and 16- to 20-oz bottles, respectively. Without changing water prices, profits could increase by 4% and 6%, respectively. Sensitivity analysis showed that stores with a higher volume of SSB sales could reduce water prices the most without loss of profit. Various combinations of SSB and water prices could encourage water consumption while maintaining or increasing store owners' profits. This model is a first step in designing and implementing profitable pricing strategies in collaboration with store owners.

Chaotic structure of oil prices

NASA Astrophysics Data System (ADS)

Bildirici, Melike; Sonustun, Fulya Ozaksoy

2018-01-01

The fluctuations in oil prices are very complicated and therefore, it is unable to predict its effects on economies. For modelling complex system of oil prices, linear economic models are not sufficient and efficient tools. Thus, in recent years, economists attached great attention to non-linear structure of oil prices. For analyzing this relationship, GARCH types of models were used in some papers. Distinctively from the other papers, in this study, we aimed to analyze chaotic pattern of oil prices. Thus, it was used the Lyapunov Exponents and Hennon Map to determine chaotic behavior of oil prices for the selected time period.

The Shuttle Cost and Price model

NASA Technical Reports Server (NTRS)

Leary, Katherine; Stone, Barbara

1983-01-01

The Shuttle Cost and Price (SCP) model was developed as a tool to assist in evaluating major aspects of Shuttle operations that have direct and indirect economic consequences. It incorporates the major aspects of NASA Pricing Policy and corresponds to the NASA definition of STS operating costs. An overview of the SCP model is presented and the cost model portion of SCP is described in detail. Selected recent applications of the SCP model to NASA Pricing Policy issues are presented.

Equilibrium pricing in an order book environment: Case study for a spin model

NASA Astrophysics Data System (ADS)

Meudt, Frederik; Schmitt, Thilo A.; Schäfer, Rudi; Guhr, Thomas

2016-07-01

When modeling stock market dynamics, the price formation is often based on an equilibrium mechanism. In real stock exchanges, however, the price formation is governed by the order book. It is thus interesting to check if the resulting stylized facts of a model with equilibrium pricing change, remain the same or, more generally, are compatible with the order book environment. We tackle this issue in the framework of a case study by embedding the Bornholdt-Kaizoji-Fujiwara spin model into the order book dynamics. To this end, we use a recently developed agent based model that realistically incorporates the order book. We find realistic stylized facts. We conclude for the studied case that equilibrium pricing is not needed and that the corresponding assumption of a ;fundamental; price may be abandoned.

Comparative analysis of used car price evaluation models

NASA Astrophysics Data System (ADS)

Chen, Chuancan; Hao, Lulu; Xu, Cong

2017-05-01

An accurate used car price evaluation is a catalyst for the healthy development of used car market. Data mining has been applied to predict used car price in several articles. However, little is studied on the comparison of using different algorithms in used car price estimation. This paper collects more than 100,000 used car dealing records throughout China to do empirical analysis on a thorough comparison of two algorithms: linear regression and random forest. These two algorithms are used to predict used car price in three different models: model for a certain car make, model for a certain car series and universal model. Results show that random forest has a stable but not ideal effect in price evaluation model for a certain car make, but it shows great advantage in the universal model compared with linear regression. This indicates that random forest is an optimal algorithm when handling complex models with a large number of variables and samples, yet it shows no obvious advantage when coping with simple models with less variables.

Multi-step-ahead crude oil price forecasting using a hybrid grey wave model

NASA Astrophysics Data System (ADS)

Chen, Yanhui; Zhang, Chuan; He, Kaijian; Zheng, Aibing

2018-07-01

Crude oil is crucial to the operation and economic well-being of the modern society. Huge changes of crude oil price always cause panics to the global economy. There are many factors influencing crude oil price. Crude oil price prediction is still a difficult research problem widely discussed among researchers. Based on the researches on Heterogeneous Market Hypothesis and the relationship between crude oil price and macroeconomic factors, exchange market, stock market, this paper proposes a hybrid grey wave forecasting model, which combines Random Walk (RW)/ARMA to forecast multi-step-ahead crude oil price. More specifically, we use grey wave forecasting model to model the periodical characteristics of crude oil price and ARMA/RW to simulate the daily random movements. The innovation also comes from using the information of the time series graph to forecast crude oil price, since grey wave forecasting is a graphical prediction method. The empirical results demonstrate that based on the daily data of crude oil price, the hybrid grey wave forecasting model performs well in 15- to 20-step-ahead prediction and it always dominates ARMA and Random Walk in correct direction prediction.

Modeling the stock price returns volatility using GARCH(1,1) in some Indonesia stock prices

NASA Astrophysics Data System (ADS)

Awalludin, S. A.; Ulfah, S.; Soro, S.

2018-01-01

In the financial field, volatility is one of the key variables to make an appropriate decision. Moreover, modeling volatility is needed in derivative pricing, risk management, and portfolio management. For this reason, this study presented a widely used volatility model so-called GARCH(1,1) for estimating the volatility of daily returns of stock prices of Indonesia from July 2007 to September 2015. The returns can be obtained from stock price by differencing log of the price from one day to the next. Parameters of the model were estimated by Maximum Likelihood Estimation. After obtaining the volatility, natural cubic spline was employed to study the behaviour of the volatility over the period. The result shows that GARCH(1,1) indicate evidence of volatility clustering in the returns of some Indonesia stock prices.

Short-Term Energy Outlook Model Documentation: Regional Residential Propane Price Model

EIA Publications

2009-01-01

The regional residential propane price module of the Short-Term Energy Outlook (STEO) model is designed to provide residential retail price forecasts for the 4 Census regions: Northeast, South, Midwest, and West.

Price-cap Regulation, Uncertainty and the Price Evolution of New Pharmaceuticals.

PubMed

Shajarizadeh, Ali; Hollis, Aidan

2015-08-01

This paper examines the effect of the regulations restricting price increases on the evolution of pharmaceutical prices. A novel theoretical model shows that this policy leads firms to price new drugs with uncertain demand above the expected value initially. Price decreases after drug launch are more likely, the higher the uncertainty. We empirically test the model's predictions using data from the Canadian pharmaceutical market. The level of uncertainty is shown to play a crucial role in drug pricing strategies. © 2014 The Authors. Health Economics Published by John Wiley & Sons Ltd.

Periodicals Price Survey 2002: Doing the Digital Flip.

ERIC Educational Resources Information Center

Van Orsdel, Lee; Born, Kathleen

2002-01-01

Presents the annual periodicals price study. Highlights include average prices; cost histories; cost projections for future budgeting; electronic journal issues; flip pricing, defined as online access at the core of pricing negotiations; various pricing models; purchasing print at deeply discounted prices; and current trends in pricing and in the…

Short-Term Energy Outlook Model Documentation: Regional Residential Heating Oil Price Model

EIA Publications

2009-01-01

The regional residential heating oil price module of the Short-Term Energy Outlook (STEO) model is designed to provide residential retail price forecasts for the 4 census regions: Northeast, South, Midwest, and West.

Modeling the coupled return-spread high frequency dynamics of large tick assets

NASA Astrophysics Data System (ADS)

Curato, Gianbiagio; Lillo, Fabrizio

2015-01-01

Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We present an approach based on the hidden Markov model, also known in econometrics as the Markov switching model, for the dynamics of price changes, where the latent Markov process is described by the transitions between spreads. We then use a finite Markov mixture of logit regressions on past squared price changes to describe temporal dependencies in the dynamics of price changes. The model can thus be seen as a double chain Markov model. We show that the model describes the shape of the price change distribution at different time scales, volatility clustering, and the anomalous decrease of kurtosis. We calibrate our models based on Nasdaq stocks and we show that this model reproduces remarkably well the statistical properties of real data.

Modeling Long-term Behavior of Stock Market Prices Using Differential Equations

NASA Astrophysics Data System (ADS)

Yang, Xiaoxiang; Zhao, Conan; Mazilu, Irina

2015-03-01

Due to incomplete information available in the market and uncertainties associated with the price determination process, the stock prices fluctuate randomly during a short period of time. In the long run, however, certain economic factors, such as the interest rate, the inflation rate, and the company's revenue growth rate, will cause a gradual shift in the stock price. Thus, in this paper, a differential equation model has been constructed in order to study the effects of these factors on the stock prices. The model obtained accurately describes the general trends in the AAPL and XOM stock price changes over the last ten years.

Reactive Power Pricing Model Considering the Randomness of Wind Power Output

NASA Astrophysics Data System (ADS)

Dai, Zhong; Wu, Zhou

2018-01-01

With the increase of wind power capacity integrated into grid, the influence of the randomness of wind power output on the reactive power distribution of grid is gradually highlighted. Meanwhile, the power market reform puts forward higher requirements for reasonable pricing of reactive power service. Based on it, the article combined the optimal power flow model considering wind power randomness with integrated cost allocation method to price reactive power. Meanwhile, considering the advantages and disadvantages of the present cost allocation method and marginal cost pricing, an integrated cost allocation method based on optimal power flow tracing is proposed. The model realized the optimal power flow distribution of reactive power with the minimal integrated cost and wind power integration, under the premise of guaranteeing the balance of reactive power pricing. Finally, through the analysis of multi-scenario calculation examples and the stochastic simulation of wind power outputs, the article compared the results of the model pricing and the marginal cost pricing, which proved that the model is accurate and effective.

a Spatial Analysis on Gis-Hedonic Pricing Model on the Influence of Public Open Space and House Price in Klang Valley, Malaysia

NASA Astrophysics Data System (ADS)

Zainora, A. M.; Norzailawati, M. N.; Tuminah, P.

2016-06-01

Presently, it is noticeable that there is a significant influence of public open space about house price, especially in many developed nations. Literature suggests the relationship between the two aspects give impact on the housing market, however not many studies undertaken in Malaysia. Thus, this research was initiated to analyse the relationship of open space and house price via the techniques of GIS-Hedonic Pricing Model. In this regards, the GIS tool indicates the pattern of the relationship between open space and house price spatially. Meanwhile, Hedonic Pricing Model demonstrates the index of the selected criteria in determining the housing price. This research is a perceptual study of 200 respondents who were the house owners of double-storey terrace houses in four townships, namely Bandar Baru Bangi, Taman Melawati, Subang Jaya and Shah Alam, in Klang Valley. The key research question is whether the relationship between open space and house price exists and the nature of its pattern and intensity. The findings indicate that there is a positive correlation between open space and house price. Correlation analysis reveals that a weak relationship (rs < 0.1) established between the variable of open space and house price (rs = 0.91, N = 200, p = 0.2). Consequently, the rate of house price change is rather small. In overall, this research has achieved its research aims and thus, offers the value added in applying the GIS-Hedonic pricing model in analysing the influence of open space to the house price in the form of spatially and textually.

Preliminary analysis on hybrid Box-Jenkins - GARCH modeling in forecasting gold price

NASA Astrophysics Data System (ADS)

Yaziz, Siti Roslindar; Azizan, Noor Azlinna; Ahmad, Maizah Hura; Zakaria, Roslinazairimah; Agrawal, Manju; Boland, John

2015-02-01

Gold has been regarded as a valuable precious metal and the most popular commodity as a healthy return investment. Hence, the analysis and prediction of gold price become very significant to investors. This study is a preliminary analysis on gold price and its volatility that focuses on the performance of hybrid Box-Jenkins models together with GARCH in analyzing and forecasting gold price. The Box-Cox formula is used as the data transformation method due to its potential best practice in normalizing data, stabilizing variance and reduces heteroscedasticity using 41-year daily gold price data series starting 2nd January 1973. Our study indicates that the proposed hybrid model ARIMA-GARCH with t-innovation can be a new potential approach in forecasting gold price. This finding proves the strength of GARCH in handling volatility in the gold price as well as overcomes the non-linear limitation in the Box-Jenkins modeling.

Documentation of the Retail Price Model

EPA Pesticide Factsheets

The Retail Price Model (RPM) provides a first‐order estimate of average retail electricity prices using information from the EPA Base Case v.5.13 Base Case or other scenarios for each of the 64 Integrated Planing Model (IPM) regions.

Improved structural pricing model for the fair market price of Sukuk Ijarah in Indonesia

NASA Astrophysics Data System (ADS)

Rosadi, D.; Muslim

2017-12-01

Shariah financial products are currently developing in Indonesia financial market. One of the most important products is called as Sukuk which is commonly referred to as "sharia compliant" bonds. The type of Sukuk that have been widely traded in Indonesia until now are Sukuk Ijarah and Sukuk Mudharabah. In [1], we discuss various models for the price of the fixed-non-callable Sukuk Ijarah and provide the empirical studies using data from Indonesia Bonds market. We found that the structural model considered in [1] cannot model the market price empirically well. In this paper, we consider the improved model and show that it performs well for modelling the fair market price of Sukuk Ijarah.

Brownian motion model with stochastic parameters for asset prices

NASA Astrophysics Data System (ADS)

Ching, Soo Huei; Hin, Pooi Ah

2013-09-01

The Brownian motion model may not be a completely realistic model for asset prices because in real asset prices the drift μ and volatility σ may change over time. Presently we consider a model in which the parameter x = (μ,σ) is such that its value x (t + Δt) at a short time Δt ahead of the present time t depends on the value of the asset price at time t + Δt as well as the present parameter value x(t) and m-1 other parameter values before time t via a conditional distribution. The Malaysian stock prices are used to compare the performance of the Brownian motion model with fixed parameter with that of the model with stochastic parameter.

Retail Price Model

EPA Pesticide Factsheets

The Retail Price Model is a tool to estimate the average retail electricity prices - under both competitive and regulated market structures - using power sector projections and assumptions from the Energy Information Administration.

Space-time modeling of timber prices

Treesearch

Mo Zhou; Joseph Buongriorno

2006-01-01

A space-time econometric model was developed for pine sawtimber timber prices of 21 geographically contiguous regions in the southern United States. The correlations between prices in neighboring regions helped predict future prices. The impulse response analysis showed that although southern pine sawtimber markets were not globally integrated, local supply and demand...

The impact of wind power on electricity prices

DOE Office of Scientific and Technical Information (OSTI.GOV)

Brancucci Martinez-Anido, Carlo; Brinkman, Greg; Hodge, Bri-Mathias

This paper investigates the impact of wind power on electricity prices using a production cost model of the Independent System Operator - New England power system. Different scenarios in terms of wind penetration, wind forecasts, and wind curtailment are modeled in order to analyze the impact of wind power on electricity prices for different wind penetration levels and for different levels of wind power visibility and controllability. The analysis concludes that electricity price volatility increases even as electricity prices decrease with increasing wind penetration levels. The impact of wind power on price volatility is larger in the shorter term (5-minmore » compared to hour-to-hour). The results presented show that over-forecasting wind power increases electricity prices while under-forecasting wind power reduces them. The modeling results also show that controlling wind power by allowing curtailment increases electricity prices, and for higher wind penetrations it also reduces their volatility.« less

Quantum Bohmian model for financial market

NASA Astrophysics Data System (ADS)

Choustova, Olga Al.

2007-01-01

We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. The Hamiltonian formalism on the price/price-change phase space describes the classical-like evolution of prices. This classical dynamics of prices is determined by “hard” conditions (natural resources, industrial production, services and so on). These conditions are mathematically described by the classical financial potential V(q), where q=(q1,…,qn) is the vector of prices of various shares. But the information exchange and market psychology play important (and sometimes determining) role in price dynamics. We propose to describe such behavioral financial factors by using the pilot wave (Bohmian) model of quantum mechanics. The theory of financial behavioral waves takes into account the market psychology. The real trajectories of prices are determined (through the financial analogue of the second Newton law) by two financial potentials: classical-like V(q) (“hard” market conditions) and quantum-like U(q) (behavioral market conditions).

Crude oil price forecasting based on hybridizing wavelet multiple linear regression model, particle swarm optimization techniques, and principal component analysis.

PubMed

Shabri, Ani; Samsudin, Ruhaidah

2014-01-01

Crude oil prices do play significant role in the global economy and are a key input into option pricing formulas, portfolio allocation, and risk measurement. In this paper, a hybrid model integrating wavelet and multiple linear regressions (MLR) is proposed for crude oil price forecasting. In this model, Mallat wavelet transform is first selected to decompose an original time series into several subseries with different scale. Then, the principal component analysis (PCA) is used in processing subseries data in MLR for crude oil price forecasting. The particle swarm optimization (PSO) is used to adopt the optimal parameters of the MLR model. To assess the effectiveness of this model, daily crude oil market, West Texas Intermediate (WTI), has been used as the case study. Time series prediction capability performance of the WMLR model is compared with the MLR, ARIMA, and GARCH models using various statistics measures. The experimental results show that the proposed model outperforms the individual models in forecasting of the crude oil prices series.

Crude Oil Price Forecasting Based on Hybridizing Wavelet Multiple Linear Regression Model, Particle Swarm Optimization Techniques, and Principal Component Analysis

PubMed Central

Shabri, Ani; Samsudin, Ruhaidah

2014-01-01

Crude oil prices do play significant role in the global economy and are a key input into option pricing formulas, portfolio allocation, and risk measurement. In this paper, a hybrid model integrating wavelet and multiple linear regressions (MLR) is proposed for crude oil price forecasting. In this model, Mallat wavelet transform is first selected to decompose an original time series into several subseries with different scale. Then, the principal component analysis (PCA) is used in processing subseries data in MLR for crude oil price forecasting. The particle swarm optimization (PSO) is used to adopt the optimal parameters of the MLR model. To assess the effectiveness of this model, daily crude oil market, West Texas Intermediate (WTI), has been used as the case study. Time series prediction capability performance of the WMLR model is compared with the MLR, ARIMA, and GARCH models using various statistics measures. The experimental results show that the proposed model outperforms the individual models in forecasting of the crude oil prices series. PMID:24895666

Application of quantum master equation for long-term prognosis of asset-prices

NASA Astrophysics Data System (ADS)

Khrennikova, Polina

2016-05-01

This study combines the disciplines of behavioral finance and an extension of econophysics, namely the concepts and mathematical structure of quantum physics. We apply the formalism of quantum theory to model the dynamics of some correlated financial assets, where the proposed model can be potentially applied for developing a long-term prognosis of asset price formation. At the informational level, the asset price states interact with each other by the means of a ;financial bath;. The latter is composed of agents' expectations about the future developments of asset prices on the finance market, as well as financially important information from mass-media, society, and politicians. One of the essential behavioral factors leading to the quantum-like dynamics of asset prices is the irrationality of agents' expectations operating on the finance market. These expectations lead to a deeper type of uncertainty concerning the future price dynamics of the assets, than given by a classical probability theory, e.g., in the framework of the classical financial mathematics, which is based on the theory of stochastic processes. The quantum dimension of the uncertainty in price dynamics is expressed in the form of the price-states superposition and entanglement between the prices of the different financial assets. In our model, the resolution of this deep quantum uncertainty is mathematically captured with the aid of the quantum master equation (its quantum Markov approximation). We illustrate our model of preparation of a future asset price prognosis by a numerical simulation, involving two correlated assets. Their returns interact more intensively, than understood by a classical statistical correlation. The model predictions can be extended to more complex models to obtain price configuration for multiple assets and portfolios.

A Dealer Model of Foreign Exchange Market with Finite Assets

NASA Astrophysics Data System (ADS)

Hamano, Tomoya; Kanazawa, Kiyoshi; Takayasu, Hideki; Takayasu, Misako

An agent-based model is introduced to study the finite-asset effect in foreign exchange markets. We find that the transacted price asymptotically approaches an equilibrium price, which is determined by the monetary balance between the pair of currencies. We phenomenologically derive a formula to estimate the equilibrium price, and we model its relaxation dynamics around the equilibrium price on the basis of a Langevin-like equation.

Food Prices and Climate Extremes: A Model of Global Grain Price Variability with Storage

NASA Astrophysics Data System (ADS)

Otto, C.; Schewe, J.; Frieler, K.

2015-12-01

Extreme climate events such as droughts, floods, or heat waves affect agricultural production in major cropping regions and therefore impact the world market prices of staple crops. In the last decade, crop prices exhibited two very prominent price peaks in 2007-2008 and 2010-2011, threatening food security especially for poorer countries that are net importers of grain. There is evidence that these spikes in grain prices were at least partly triggered by actual supply shortages and the expectation of bad harvests. However, the response of the market to supply shocks is nonlinear and depends on complex and interlinked processes such as warehousing, speculation, and trade policies. Quantifying the contributions of such different factors to short-term price variability remains difficult, not least because many existing models ignore the role of storage which becomes important on short timescales. This in turn impedes the assessment of future climate change impacts on food prices. Here, we present a simple model of annual world grain prices that integrates grain stocks into the supply and demand functions. This firstly allows us to model explicitly the effect of storage strategies on world market price, and thus, for the first time, to quantify the potential contribution of trade policies to price variability in a simple global framework. Driven only by reported production and by long--term demand trends of the past ca. 40 years, the model reproduces observed variations in both the global storage volume and price of wheat. We demonstrate how recent price peaks can be reproduced by accounting for documented changes in storage strategies and trade policies, contrasting and complementing previous explanations based on different mechanisms such as speculation. Secondly, we show how the integration of storage allows long-term projections of grain price variability under climate change, based on existing crop yield scenarios.

Crude oil price analysis and forecasting based on variational mode decomposition and independent component analysis

NASA Astrophysics Data System (ADS)

E, Jianwei; Bao, Yanling; Ye, Jimin

2017-10-01

As one of the most vital energy resources in the world, crude oil plays a significant role in international economic market. The fluctuation of crude oil price has attracted academic and commercial attention. There exist many methods in forecasting the trend of crude oil price. However, traditional models failed in predicting accurately. Based on this, a hybrid method will be proposed in this paper, which combines variational mode decomposition (VMD), independent component analysis (ICA) and autoregressive integrated moving average (ARIMA), called VMD-ICA-ARIMA. The purpose of this study is to analyze the influence factors of crude oil price and predict the future crude oil price. Major steps can be concluded as follows: Firstly, applying the VMD model on the original signal (crude oil price), the modes function can be decomposed adaptively. Secondly, independent components are separated by the ICA, and how the independent components affect the crude oil price is analyzed. Finally, forecasting the price of crude oil price by the ARIMA model, the forecasting trend demonstrates that crude oil price declines periodically. Comparing with benchmark ARIMA and EEMD-ICA-ARIMA, VMD-ICA-ARIMA can forecast the crude oil price more accurately.

E-cigarette price sensitivity among middle- and high-school students: evidence from monitoring the future.

PubMed

Pesko, Michael F; Huang, Jidong; Johnston, Lloyd D; Chaloupka, Frank J

2018-05-01

We estimated associations between e-cigarette prices (both disposable and refill) and e-cigarette use among middle and high-school students in the United States. We also estimated associations between cigarette prices and e-cigarette use. We used regression models to estimate the associations between e-cigarette and cigarette prices and e-cigarette use. In our regression models, we exploited changes in e-cigarette and cigarette prices across four periods of time and across 50 markets. We report the associations as price elasticities. In our primary model, we controlled for socio-demographic characteristics, cigarette prices, tobacco control policies, market fixed effects and year-quarter fixed effects. United States of America. A total of 24 370 middle- and high-school students participating in the Monitoring the Future Survey in years 2014 and 2015. Self-reported e-cigarette use over the last 30 days. Average quarterly cigarette prices, e-cigarette disposable prices and e-cigarette refill prices were constructed from Nielsen retail data (inclusive of excise taxes) for 50 US markets. In a model with market fixed effects, we estimated that a 10% increase in e-cigarette disposable prices is associated with a reduction in the number of days vaping among e-cigarette users by approximately 9.7% [95% confidence interval (CI) = -17.7 to 1.8%; P = 0.02] and is associated with a reduction in the number of days vaping by the full sample by approximately 17.9% (95% CI = -31.5 to -4.2%; P = 0.01). Refill e-cigarette prices were not statistically significant predictors of vaping. Cigarette prices were not associated significantly with e-cigarette use regardless of the e-cigarette price used. However, in a model without market fixed effects, cigarette prices were a statistically significant positive predictor of total e-cigarette use. Higher e-cigarette disposable prices appear to be associated with reduced e-cigarette use among adolescents in the US. © 2017 Society for the Study of Addiction.

Analysis of a decision model in the context of equilibrium pricing and order book pricing

NASA Astrophysics Data System (ADS)

Wagner, D. C.; Schmitt, T. A.; Schäfer, R.; Guhr, T.; Wolf, D. E.

2014-12-01

An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications in two different pricing schemes. First, we study its parameter dependence within a supply-demand balance setting. We find realistic behavior in a wide parameter range. Second, we embed our decision model in an order book setting. Here, we observe interesting features which are not present in the equilibrium pricing scheme. In particular, we find a nontrivial behavior of the order book volumes which reminds of a trend switching phenomenon. Thus, the decision making model alone does not realistically represent the trading and the stylized facts. The order book mechanism is crucial.

Equation-based model for the stock market

NASA Astrophysics Data System (ADS)

Xavier, Paloma O. C.; Atman, A. P. F.; de Magalhães, A. R. Bosco

2017-09-01

We propose a stock market model which is investigated in the forms of difference and differential equations whose variables correspond to the demand or supply of each agent and to the price. In the model, agents are driven by the behavior of their trust contact network as well by fundamental analysis. By means of the deterministic version of the model, the connection between such drive mechanisms and the price is analyzed: imitation behavior promotes market instability, finitude of resources is associated to stock index stability, and high sensitivity to the fair price provokes price oscillations. Long-range correlations in the price temporal series and heavy-tailed distribution of returns are observed for the version of the model which considers different proposals for stochasticity of microeconomic and macroeconomic origins.

Optimal pricing and lot-sizing for perishable inventory with price and time dependent ramp-type demand

NASA Astrophysics Data System (ADS)

Panda, S.; Saha, S.; Basu, M.

2013-01-01

Product perishability is an important aspect of inventory control. To minimise the effect of deterioration, retailers in supermarkets, departmental store managers, etc. always want higher inventory depletion rate. In this article, we propose a dynamic pre- and post-deterioration cumulative discount policy to enhance inventory depletion rate resulting low volume of deterioration cost, holding cost and hence higher profit. It is assumed that demand is a price and time dependent ramp-type function and the product starts to deteriorate after certain amount of time. Unlike the conventional inventory models with pricing strategies, which are restricted to a fixed number of price changes and to a fixed cycle length, we allow the number of price changes before as well as after the start of deterioration and the replenishment cycle length to be the decision variables. Before start of deterioration, discounts on unit selling price are provided cumulatively in successive pricing cycles. After the start of deterioration, discounts on reduced unit selling price are also provided in a cumulative way. A mathematical model is developed and the existence of the optimal solution is verified. A numerical example is presented, which indicates that under the cumulative effect of price discounting, dynamic pricing policy outperforms static pricing strategy. Sensitivity analysis of the model is carried out.

5 CFR 591.213 - What prices does OPM collect?

Code of Federal Regulations, 2010 CFR

2010-01-01

... time of the survey. The price includes any sales, excise, or general business tax passed on to the...-business prices, or area-wide distress sale prices. (2) OPM prices automobiles at dealers and obtains the sticker (i.e., non-negotiated) price for the model and specified options. The prices are the manufacturer...

U.S. Energy Sector Impacts of Technology Innovation, Fuel Price, and Electric Sector CO 2 Policy: Results from the EMF 32 Model Intercomparison Study

DOE PAGES

Hodson, Elke L.; Brown, Maxwell; Cohen, Stuart; ...

2018-03-22

We study the impact of fuel prices, technology innovation, and a CO 2 emissions reduction policy on both the electric power and end-use sectors by comparing outputs from four U.S. energyeconomic models through the year 2050. Achieving innovation goals decreases CO 2 emissions in all models, regardless of natural gas price, due to increased energy efficiency and low-carbon generation becoming more cost competitive. For the models that include domestic natural gas markets, achieving innovation goals lowers wholesale electricity prices, but this effect diminishes as projected natural gas prices increase. Higher natural gas prices lead to higher wholesale electricity prices butmore » fewer coal capacity retirements. A CO 2 electric power sector emissions cap influences electric sector evolution under reference technology assumptions but has little to no incremental influence when added to innovation goals. Long-term, meeting innovation goals achieves a generation mix with similar CO 2 emissions compared to the CO 2 policy but with smaller increases to wholesale electricity prices. In the short-term, the relative effect on wholesale prices differs by model. Finally, higher natural gas prices, achieving innovation goals, and the combination of the two, increases the amount of renewable generation that is cost-effective to build and operate while slowing the growth of natural-gas fired generation, which is the predominant generation type in 2050 under reference conditions.« less

U.S. Energy Sector Impacts of Technology Innovation, Fuel Price, and Electric Sector CO 2 Policy: Results from the EMF 32 Model Intercomparison Study

DOE Office of Scientific and Technical Information (OSTI.GOV)

Hodson, Elke L.; Brown, Maxwell; Cohen, Stuart

We study the impact of fuel prices, technology innovation, and a CO 2 emissions reduction policy on both the electric power and end-use sectors by comparing outputs from four U.S. energyeconomic models through the year 2050. Achieving innovation goals decreases CO 2 emissions in all models, regardless of natural gas price, due to increased energy efficiency and low-carbon generation becoming more cost competitive. For the models that include domestic natural gas markets, achieving innovation goals lowers wholesale electricity prices, but this effect diminishes as projected natural gas prices increase. Higher natural gas prices lead to higher wholesale electricity prices butmore » fewer coal capacity retirements. A CO 2 electric power sector emissions cap influences electric sector evolution under reference technology assumptions but has little to no incremental influence when added to innovation goals. Long-term, meeting innovation goals achieves a generation mix with similar CO 2 emissions compared to the CO 2 policy but with smaller increases to wholesale electricity prices. In the short-term, the relative effect on wholesale prices differs by model. Finally, higher natural gas prices, achieving innovation goals, and the combination of the two, increases the amount of renewable generation that is cost-effective to build and operate while slowing the growth of natural-gas fired generation, which is the predominant generation type in 2050 under reference conditions.« less

The Potential Effects of Minimum Wage Changes on Naval Accessions

DTIC Science & Technology

2017-03-01

price floor affects the market’s demand for labor and utilizes the two-sector and search models to demonstrate how the minimum wage market ...and search models to demonstrate how the minimum wage market correlates to military ascensions. Finally, the report examines studies that show the...that Derives from a Price Floor. Source: “Price Floor” (n.d.). .....14 Figure 3. Price Floor below the Market . Source: “Price Floor” (n.d

Short-Term Energy Outlook Model Documentation: Natural Gas Consumption and Prices

EIA Publications

2015-01-01

The natural gas consumption and price modules of the Short-Term Energy Outlook (STEO) model are designed to provide consumption and end-use retail price forecasts for the residential, commercial, and industrial sectors in the nine Census districts and natural gas working inventories in three regions. Natural gas consumption shares and prices in each Census district are used to calculate an average U.S. retail price for each end-use sector.

The Basic Economics of CD-ROM Pricing.

ERIC Educational Resources Information Center

Erkkila, John E.

1991-01-01

This explanation of how the basic economic model of pricing applies to the CD-ROM industry considers the supply and demand sides of the market and compares three distinct pricing strategies: (1) pricing to maximize profits; (2) average cost pricing; and (3) marginal cost pricing. (EAM)

Confidence and self-attribution bias in an artificial stock market.

PubMed

Bertella, Mario A; Pires, Felipe R; Rego, Henio H A; Silva, Jonathas N; Vodenska, Irena; Stanley, H Eugene

2017-01-01

Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our simulation study of agents who are not confident. We show that the stock price and confidence index-both generated by our model-are cointegrated and that stock price affects confidence index but confidence index does not affect stock price. We next compare the results of our model with the S&P 500 index and its respective stock market confidence index using cointegration and Granger tests. As in our model, we find that stock prices drive their respective confidence indices, but that the opposite relationship, i.e., the assumption that confidence indices drive stock prices, is not significant.

Stock price forecasting for companies listed on Tehran stock exchange using multivariate adaptive regression splines model and semi-parametric splines technique

NASA Astrophysics Data System (ADS)

Rounaghi, Mohammad Mahdi; Abbaszadeh, Mohammad Reza; Arashi, Mohammad

2015-11-01

One of the most important topics of interest to investors is stock price changes. Investors whose goals are long term are sensitive to stock price and its changes and react to them. In this regard, we used multivariate adaptive regression splines (MARS) model and semi-parametric splines technique for predicting stock price in this study. The MARS model as a nonparametric method is an adaptive method for regression and it fits for problems with high dimensions and several variables. semi-parametric splines technique was used in this study. Smoothing splines is a nonparametric regression method. In this study, we used 40 variables (30 accounting variables and 10 economic variables) for predicting stock price using the MARS model and using semi-parametric splines technique. After investigating the models, we select 4 accounting variables (book value per share, predicted earnings per share, P/E ratio and risk) as influencing variables on predicting stock price using the MARS model. After fitting the semi-parametric splines technique, only 4 accounting variables (dividends, net EPS, EPS Forecast and P/E Ratio) were selected as variables effective in forecasting stock prices.

Suivi thérapeutique pharmacologique de trois médicaments antiépileptiques: retour sur vingt années d’expérience

PubMed Central

Serragui, Samira; Zalagh, Fatima; Tanani, Driss Soussi; Ouammi, Lahcen; Moussa, Latifa Ait; Badrane, Narjis; Bencheikh, Rachida Soulaymani

2016-01-01

Introduction Le suivi thérapeutique pharmacologique (STP) des médicaments antiépileptiques (MAE) est un outil très utilisé dans la gestion de l'épilepsie. Au Maroc, ce dosage est réalisé au Centre Anti Poison et de Pharmacovigilance du Maroc (CAPM) depuis Avril 1995. Méthodes Il s'agit d'une étude rétrospective s'étalant sur 20 ans. Elle concerne le STP du Phénobarbital (PB), de la Carbamazépine (CBZ) et de l'Acide Valproique (AVP). Résultats Le STP des 3 MAE représentaient 58,85% de l'ensemble des demandes de STP reçue par le CAPM. Le dosage du PB était classé en première position suivi par celui de la CBZ et enfin par l'AVP. La faible demande de STP au Maroc pouvait être expliquée par le faible nombre de neurologues auquel s'ajoutaient des facteurs sociaux. Grâce à son prix très accessible par les patients, le PB est le MAE le plus prescrit dans notre pays expliquant ainsi la demande élevée de son dosage. Quant aux motifs de STP des 3 MAE, ils étaient essentiellement liés à l'âge, à l'apparition d'effets indésirables, à l'association de MAE ou dans le cas de vérification de l'observance des malades. Conclusion Des efforts sont à fournir pour promouvoir l'intérêt du STP des MAE dans la prise en charge de l'épilepsie au Maroc. PMID:28154702

Financial methods in competitive electricity markets

NASA Astrophysics Data System (ADS)

Deng, Shijie

The restructuring of electric power industry has become a global trend. As reforms to the electricity supply industry spread rapidly across countries and states, many political and economical issues arise as a result of people debating over which approach to adopt in restructuring the vertically integrated electricity industry. This dissertation addresses issues of transmission pricing, electricity spot price modeling, as well as risk management and asset valuation in a competitive electricity industry. A major concern in the restructuring of the electricity industries is the design of a transmission pricing scheme that will ensure open-access to the transmission networks. I propose a priority-pricing scheme for zonal access to the electric power grid that is uniform across all buses in each zone. The Independent System Operator (ISO) charges bulk power traders a per unit ex ante transmission access fee based on the expected option value of the generated power with respect to the random zonal spot prices. The zonal access fee depends on the injection zone and a self-selected strike price determining the scheduling priority of the transaction. Inter zonal transactions are charged (or credited) with an additional ex post congestion fee that equals the zonal spot price difference. The unit access fee entitles a bulk power trader to either physical injection of one unit of energy or a compensation payment that equals to the difference between the realized zonal spot price and the selected strike price. The ISO manages congestion so as to minimize net compensation payments and thus, curtailment probabilities corresponding to a particular strike price may vary by bus. The rest of the dissertation deals with the issues of modeling electricity spot prices, pricing electricity financial instruments and the corresponding risk management applications. Modeling the spot prices of electricity is important for the market participants who need to understand the risk factors in pricing electricity financial instruments such as electricity forwards, options and cross-commodity derivatives. It is also essential for the analysis of financial risk management, asset valuation, and project financing. In the setting of diffusion processes with multiple types of jumps, I examine three mean-reversion models for modeling the electricity spot prices. I impose some structure on the coefficients of the diffusion processes, which allows me to easily compute the prices of contingent claims (or, financial instruments) on electricity by Fourier methods. I derive the pricing formulas for various electricity derivatives and examine how the prices vary with different modeling assumptions. I demonstrate a couple of risk management applications of the electricity financial instruments. I also construct a real options approach to value electric power generation and transmission assets both with and without accounting for the operating characteristics of the assets. The implications of the mean-reversion jump-diffusion models on financial risk management and real asset valuation in competitive electricity markets are illustrated. With a discrete trinomial lattice modeling the underlying commodity prices, I estimate the effects of operational characteristics on the asset valuation by means of numerical examples that incorporate these aspects using stochastic dynamic programming. (Abstract shortened by UMI.)

The pricing of credit default swaps under a generalized mixed fractional Brownian motion

NASA Astrophysics Data System (ADS)

He, Xinjiang; Chen, Wenting

2014-06-01

In this paper, we consider the pricing of the CDS (credit default swap) under a GMFBM (generalized mixed fractional Brownian motion) model. As the name suggests, the GMFBM model is indeed a generalization of all the FBM (fractional Brownian motion) models used in the literature, and is proved to be able to effectively capture the long-range dependence of the stock returns. To develop the pricing mechanics of the CDS, we firstly derive a sufficient condition for the market modeled under the GMFBM to be arbitrage free. Then under the risk-neutral assumption, the CDS is fairly priced by investigating the two legs of the cash flow involved. The price we obtained involves elementary functions only, and can be easily implemented for practical purpose. Finally, based on numerical experiments, we analyze quantitatively the impacts of different parameters on the prices of the CDS. Interestingly, in comparison with all the other FBM models documented in the literature, the results produced from the GMFBM model are in a better agreement with those calculated from the classical Black-Scholes model.

Dynamic, stochastic models for congestion pricing and congestion securities.

DOT National Transportation Integrated Search

2010-12-01

This research considers congestion pricing under demand uncertainty. In particular, a robust optimization (RO) approach is applied to optimal congestion pricing problems under user equilibrium. A mathematical model is developed and an analysis perfor...

Effect of the tobacco price support program on cigarette consumption in the United States: an updated model.

PubMed Central

Zhang, P; Husten, C; Giovino, G

2000-01-01

OBJECTIVES: This study evaluated the direct effect of the tobacco price support program on domestic cigarette consumption. METHODS: We developed an economic model of demand and supply of US tobacco to estimate how much the price support program increases the price of tobacco. We calculated the resultant increase in cigarette prices from the change in the tobacco price and the quantity of domestic tobacco contained in US cigarettes. We then assessed the reduction in cigarette consumption attributable to the price support program by applying the estimated increase in the cigarette price to assumed price elasticities of demand for cigarettes. RESULTS: We estimated that the tobacco price support program increased the price of tobacco leaf by $0.36 per pound. This higher tobacco price translates to a $0.01 increase in the price of a pack of cigarettes and an estimated 0.21% reduction in cigarette consumption. CONCLUSION: Because the tobacco price support program increases the price of cigarettes minimally, its potential health benefit is likely to be small. The adverse political effect of the tobacco program might substantially outweigh the potential direct benefit of the program on cigarette consumption. PMID:10800423

Modeling the Dynamic Interrelations between Mobility, Utility, and Land Asking Price

NASA Astrophysics Data System (ADS)

Hidayat, E.; Rudiarto, I.; Siegert, F.; Vries, W. D.

2018-02-01

Limited and insufficient information about the dynamic interrelation among mobility, utility, and land price is the main reason to conduct this research. Several studies, with several approaches, and several variables have been conducted so far in order to model the land price. However, most of these models appear to generate primarily static land prices. Thus, a research is required to compare, design, and validate different models which calculate and/or compare the inter-relational changes of mobility, utility, and land price. The applied method is a combination of analysis of literature review, expert interview, and statistical analysis. The result is newly improved mathematical model which have been validated and is suitable for the case study location. This improved model consists of 12 appropriate variables. This model can be implemented in the Salatiga city as the case study location in order to arrange better land use planning to mitigate the uncontrolled urban growth.

42 CFR § 510.300 - Determination of episode target prices.

Code of Federal Regulations, 2010 CFR

2016-10-01

... SERVICES (CONTINUED) HEALTH CARE INFRASTRUCTURE AND MODEL PROGRAMS COMPREHENSIVE CARE FOR JOINT REPLACEMENT MODEL Pricing and Payment § 510.300 Determination of episode target prices. (a) General. CMS establishes... expenditures from the CJR model as described in this section. (1) Discount factor for reconciliation payments...

Modeling the Impact of Energy and Water Prices on Reservoir and Aquifer Management

NASA Astrophysics Data System (ADS)

Dale, L. L.; Vicuna, S.; Faybishenko, B.

2008-12-01

Climate change and polices to limit carbon emissions are likely to increase energy and water scarcity and raise prices. These price impacts affect the way that reservoirs and aquifers should be managed to maximize the value of water and energy outputs. In this paper, we use a model of storage in a specific region to illustrate how energy and water prices affect optimal reservoir and aquifer management. We evaluate reservoir-aquifer water management in the Merced water basin in California, applying an optimization model of storage benefits associated with different management options and input prices. The model includes two submodels: (a) a monthly nonlinear submodel for optimization of the conjunctive energy/water use and (b) an inter-annual stochastic dynamic programming submodel used for determining an operating rule matrix which maximizes system benefits for given economic and hydrologic conditions. The model input parameters include annual inflows, initial storage, crop water demands, crop prices and electricity prices. The model is used to determine changes in net energy generation and water delivery and associated changes in water storage levels caused by changes in water and energy output prices. For the scenario of water/energy tradeoffs for a pure reservoir (with no groundwater use), we illustrate the tradeoff between the agricultural water use and hydropower generation (MWh) for different energy/agriculture price ratios. The analysis is divided into four steps. The first and second steps describe these price impacts on reservoirs and aquifers, respectively. The third step covers price impacts on conjunctive reservoir and aquifer management. The forth step describes price impacts on reservoir and aquifer storage in the more common historical situation, when these facilities are managed separately. The study indicates that optimal reservoir and aquifer storage levels are a positive function of the energy to water price ratio. The study also concludes that conjunctive use of a reservoir and an aquifer tends to force convergence in the long term, multiyear, average groundwater and reservoir storage heads. The results of this study can be used for developing an efficient strategy of managing energy and water resources in different regions across a broad range of climatic, agricultural, and economic scenarios.

What is a new drug worth? An innovative model for performance-based pricing.

PubMed

Dranitsaris, G; Dorward, K; Owens, R C; Schipper, H

2015-05-01

This article focuses on a novel method to derive prices for new pharmaceuticals by making price a function of drug performance. We briefly review current models for determining price for a new product and discuss alternatives that have historically been favoured by various funding bodies. The progressive approach to drug pricing, proposed herein, may better address the views and concerns of multiple stakeholders in a developed healthcare system by acknowledging and incorporating input from disparate parties via comprehensive and successive negotiation stages. In proposing a valid construct for performance-based pricing, the following model seeks to achieve several crucial objectives: earlier and wider access to new treatments; improved transparency in drug pricing; multi-stakeholder involvement through phased pricing negotiations; recognition of innovative product performance and latent changes in value; an earlier and more predictable return for developers without sacrificing total return on investment (ROI); more involved and informed risk sharing by the end-user. © 2014 John Wiley & Sons Ltd.

Empirical investigation of a field theory formula and Black's formula for the price of an interest-rate caplet

NASA Astrophysics Data System (ADS)

Baaquie, Belal E.; Liang, Cui

2007-01-01

The industry standard for pricing an interest-rate caplet is Black's formula. Another distinct price of the same caplet can be derived using a quantum field theory model of the forward interest rates. An empirical study is carried out to compare the two caplet pricing formulae. Historical volatility and correlation of forward interest rates are used to generate the field theory caplet price; another approach is to fit a parametric formula for the effective volatility using market caplet price. The study shows that the field theory model generates the price of a caplet and cap fairly accurately. Black's formula for a caplet is compared with field theory pricing formula. It is seen that the field theory formula for caplet price has many advantages over Black's formula.

Robust Unit Commitment Considering Uncertain Demand Response

DOE PAGES

Liu, Guodong; Tomsovic, Kevin

2014-09-28

Although price responsive demand response has been widely accepted as playing an important role in the reliable and economic operation of power system, the real response from demand side can be highly uncertain due to limited understanding of consumers' response to pricing signals. To model the behavior of consumers, the price elasticity of demand has been explored and utilized in both research and real practice. However, the price elasticity of demand is not precisely known and may vary greatly with operating conditions and types of customers. To accommodate the uncertainty of demand response, alternative unit commitment methods robust to themore » uncertainty of the demand response require investigation. In this paper, a robust unit commitment model to minimize the generalized social cost is proposed for the optimal unit commitment decision taking into account uncertainty of the price elasticity of demand. By optimizing the worst case under proper robust level, the unit commitment solution of the proposed model is robust against all possible realizations of the modeled uncertain demand response. Numerical simulations on the IEEE Reliability Test System show the e ectiveness of the method. Finally, compared to unit commitment with deterministic price elasticity of demand, the proposed robust model can reduce the average Locational Marginal Prices (LMPs) as well as the price volatility.« less

Oil prices and long-run risk

NASA Astrophysics Data System (ADS)

Ready, Robert Clayton

I show that relative levels of aggregate consumption and personal oil consumption provide an excellent proxy for oil prices, and that high oil prices predict low future aggregate consumption growth. Motivated by these facts, I add an oil consumption good to the long-run risk model of Bansal and Yaron [2004] to study the asset pricing implications of observed changes in the dynamic interaction of consumption and oil prices. Empirically I observe that, compared to the first half of my 1987--2010 sample, oil consumption growth in the last 10 years is unresponsive to levels of oil prices, creating an decrease in the mean-reversion of oil prices, and an increase in the persistence of oil price shocks. The model implies that the change in the dynamics of oil consumption generates increased systematic risk from oil price shocks due to their increased persistence. However, persistent oil prices also act as a counterweight for shocks to expected consumption growth, with high expected growth creating high expectations of future oil prices which in turn slow down growth. The combined effect is to reduce overall consumption risk and lower the equity premium. The model also predicts that these changes affect the riskiness of of oil futures contracts, and combine to create a hump shaped term structure of oil futures, consistent with recent data.

Short-Term Energy Outlook Model Documentation: Petroleum Product Prices Module

EIA Publications

2015-01-01

The petroleum products price module of the Short-Term Energy Outlook (STEO) model is designed to provide U.S. average wholesale and retail price forecasts for motor gasoline, diesel fuel, heating oil, and jet fuel.

Multi-factor energy price models and exotic derivatives pricing

NASA Astrophysics Data System (ADS)

Hikspoors, Samuel

The high pace at which many of the world's energy markets have gradually been opened to competition have generated a significant amount of new financial activity. Both academicians and practitioners alike recently started to develop the tools of energy derivatives pricing/hedging as a quantitative topic of its own. The energy contract structures as well as their underlying asset properties set the energy risk management industry apart from its more standard equity and fixed income counterparts. This thesis naturally contributes to these broad market developments in participating to the advances of the mathematical tools aiming at a better theory of energy contingent claim pricing/hedging. We propose many realistic two-factor and three-factor models for spot and forward price processes that generalize some well known and standard modeling assumptions. We develop the associated pricing methodologies and propose stable calibration algorithms that motivate the application of the relevant modeling schemes.

The impact of a federal cigarette minimum pack price policy on cigarette use in the USA.

PubMed

Doogan, Nathan J; Wewers, Mary Ellen; Berman, Micah

2018-03-01

Increasing cigarette prices reduce cigarette use. The US Food and Drug Administration has the authority to regulate the sale and promotion-and therefore the price-of tobacco products. To examine the potential effect of federal minimum price regulation on the sales of cigarettes in the USA. We used yearly state-level data from the Tax Burden on Tobacco and other sources to model per capita cigarette sales as a function of price. We used the fitted model to compare the status quo sales with counterfactual scenarios in which a federal minimum price was set. The minimum price scenarios ranged from $0 to $12. The estimated price effect in our model was comparable with that found in the literature. Our counterfactual analyses suggested that the impact of a minimum price requirement could range from a minimal effect at the $4 level to a reduction of 5.7 billion packs sold per year and 10 million smokers at the $10 level. A federal minimum price policy has the potential to greatly benefit tobacco control and public health by uniformly increasing the price of cigarettes and by eliminating many price-reducing strategies currently available to both sellers and consumers. © Article author(s) (or their employer(s) unless otherwise stated in the text of the article) 2018. All rights reserved. No commercial use is permitted unless otherwise expressly granted.

Price sensitive demand with random sales price - a newsboy problem

NASA Astrophysics Data System (ADS)

Sankar Sana, Shib

2012-03-01

Up to now, many newsboy problems have been considered in the stochastic inventory literature. Some assume that stochastic demand is independent of selling price (p) and others consider the demand as a function of stochastic shock factor and deterministic sales price. This article introduces a price-dependent demand with stochastic selling price into the classical Newsboy problem. The proposed model analyses the expected average profit for a general distribution function of p and obtains an optimal order size. Finally, the model is discussed for various appropriate distribution functions of p and illustrated with numerical examples.

A hybrid credibility-based fuzzy multiple objective optimisation to differential pricing and inventory policies with arbitrage consideration

NASA Astrophysics Data System (ADS)

Ghasemy Yaghin, R.; Fatemi Ghomi, S. M. T.; Torabi, S. A.

2015-10-01

In most markets, price differentiation mechanisms enable manufacturers to offer different prices for their products or services in different customer segments; however, the perfect price discrimination is usually impossible for manufacturers. The importance of accounting for uncertainty in such environments spurs an interest to develop appropriate decision-making tools to deal with uncertain and ill-defined parameters in joint pricing and lot-sizing problems. This paper proposes a hybrid bi-objective credibility-based fuzzy optimisation model including both quantitative and qualitative objectives to cope with these issues. Taking marketing and lot-sizing decisions into account simultaneously, the model aims to maximise the total profit of manufacturer and to improve service aspects of retailing simultaneously to set different prices with arbitrage consideration. After applying appropriate strategies to defuzzify the original model, the resulting non-linear multi-objective crisp model is then solved by a fuzzy goal programming method. An efficient stochastic search procedure using particle swarm optimisation is also proposed to solve the non-linear crisp model.

Pricing end-of-life components

NASA Astrophysics Data System (ADS)

Vadde, Srikanth; Kamarthi, Sagar V.; Gupta, Surendra M.

2005-11-01

The main objective of a product recovery facility (PRF) is to disassemble end-of-life (EOL) products and sell the reclaimed components for reuse and recovered materials in second-hand markets. Variability in the inflow of EOL products and fluctuation in demand for reusable components contribute to the volatility in inventory levels. To stay profitable the PRFs ought to manage their inventory by regulating the price appropriately to minimize holding costs. This work presents two deterministic pricing models for a PRF bounded by environmental regulations. In the first model, the demand is price dependent and in the second, the demand is both price and time dependent. The models are valid for single component with no inventory replenishment sale during the selling horizon . Numerical examples are presented to illustrate the models.

An econometric model of the U.S. pallet market

Treesearch

Albert T. Schuler; Walter B. Wallin

1979-01-01

A need for quantitative information on demand and price has been expressed by the pallet industry. In response to this, an econometric model of the aggregate U.S. pallet market was developed. Demand was found to be affected by real pallet price, industrial and food production levels, and slipsheet prices. Supply was affected by real price, housing starts lagged 1 year...

Do cigarette prices motivate smokers to quit? New evidence from the ITC survey

PubMed Central

Ross, Hana; Blecher, Evan; Yan, Lili; Hyland, Andrew

2015-01-01

Aims To examine the importance of cigarette prices in influencing smoking cessation and the motivation to quit. Design We use longitudinal data from three waves of the International Tobacco Control Policy Evaluation Survey (ITC). The study contrasts smoking cessation and motivation to quit among US and Canadian smokers and evaluates how this relationship is modified by cigarette prices, nicotine dependence and health knowledge. Different price measures are used to understand how the ability to purchase cheaper cigarettes may reduce the influence of prices. Our first model examines whether cigarette prices affect motivation to quit smoking using Generalized Estimating Equations to predict cessation stage and a least squares model to predict the change in cessation stage. The second model evaluates quitting behavior over time. The probability of quitting is estimated with Generalized Estimating Equations and a transition model to account for the ‘left-truncation’ of the data. Settings US and Canada. Participants 4352 smokers at Wave 1, 2000 smokers completing all three waves. Measurements Motivation to quit, cigarette prices, nicotine dependence and health knowledge. Findings Smokers living in areas with higher cigarette prices are significantly more motivated to quit. There is limited evidence to suggest that price increases over time may also increase quit motivation. Higher cigarette prices increase the likelihood of actual quitting, with the caveat that results are statistically significant in one out of two models. Access to cheaper cigarette sources does not impede cessation although smokers would respond more aggressively (in terms of cessation) to price increases if cheaper cigarette sources were not available. Conclusions This research provides a unique opportunity to study smoking cessation among adult smokers and their response to cigarette prices in a market where they are able to avoid tax increases by purchasing cigarettes from cheaper sources. Higher cigarette prices appear to be associated with greater motivation to stop smoking, an effect which does not appear to be mitigated by cheaper cigarette sources. The paper supports the use of higher prices as a means of encouraging smoking cessation and motivation to quit. PMID:21059183

Do cigarette prices motivate smokers to quit? New evidence from the ITC survey.

PubMed

Ross, Hana; Blecher, Evan; Yan, Lili; Hyland, Andrew

2011-03-01

To examine the importance of cigarette prices in influencing smoking cessation and the motivation to quit. We use longitudinal data from three waves of the International Tobacco Control Policy Evaluation Survey (ITC). The study contrasts smoking cessation and motivation to quit among US and Canadian smokers and evaluates how this relationship is modified by cigarette prices, nicotine dependence and health knowledge. Different price measures are used to understand how the ability to purchase cheaper cigarettes may reduce the influence of prices. Our first model examines whether cigarette prices affect motivation to quit smoking using Generalized Estimating Equations to predict cessation stage and a least squares model to predict the change in cessation stage. The second model evaluates quitting behavior over time. The probability of quitting is estimated with Generalized Estimating Equations and a transition model to account for the 'left-truncation' of the data. US and Canada. 4352 smokers at Wave 1, 2000 smokers completing all three waves. Motivation to quit, cigarette prices, nicotine dependence and health knowledge. Smokers living in areas with higher cigarette prices are significantly more motivated to quit. There is limited evidence to suggest that price increases over time may also increase quit motivation. Higher cigarette prices increase the likelihood of actual quitting, with the caveat that results are statistically significant in one out of two models. Access to cheaper cigarette sources does not impede cessation although smokers would respond more aggressively (in terms of cessation) to price increases if cheaper cigarette sources were not available. This research provides a unique opportunity to study smoking cessation among adult smokers and their response to cigarette prices in a market where they are able to avoid tax increases by purchasing cigarettes from cheaper sources. Higher cigarette prices appear to be associated with greater motivation to stop smoking, an effect which does not appear to be mitigated by cheaper cigarette sources. The paper supports the use of higher prices as a means of encouraging smoking cessation and motivation to quit. © 2010 The Authors, Addiction © 2010 Society for the Study of Addiction.

Demand side management in recycling and electricity retail pricing

NASA Astrophysics Data System (ADS)

Kazan, Osman

This dissertation addresses several problems from the recycling industry and electricity retail market. The first paper addresses a real-life scheduling problem faced by a national industrial recycling company. Based on their practices, a scheduling problem is defined, modeled, analyzed, and a solution is approximated efficiently. The recommended application is tested on the real-life data and randomly generated data. The scheduling improvements and the financial benefits are presented. The second problem is from electricity retail market. There are well-known patterns in daily usage in hours. These patterns change in shape and magnitude by seasons and days of the week. Generation costs are multiple times higher during the peak hours of the day. Yet most consumers purchase electricity at flat rates. This work explores analytic pricing tools to reduce peak load electricity demand for retailers. For that purpose, a nonlinear model that determines optimal hourly prices is established based on two major components: unit generation costs and consumers' utility. Both are analyzed and estimated empirically in the third paper. A pricing model is introduced to maximize the electric retailer's profit. As a result, a closed-form expression for the optimal price vector is obtained. Possible scenarios are evaluated for consumers' utility distribution. For the general case, we provide a numerical solution methodology to obtain the optimal pricing scheme. The models recommended are tested under various scenarios that consider consumer segmentation and multiple pricing policies. The recommended model reduces the peak load significantly in most cases. Several utility companies offer hourly pricing to their customers. They determine prices using historical data of unit electricity cost over time. In this dissertation we develop a nonlinear model that determines optimal hourly prices with parameter estimation. The last paper includes a regression analysis of the unit generation cost function obtained from Independent Service Operators. A consumer experiment is established to replicate the peak load behavior. As a result, consumers' utility function is estimated and optimal retail electricity prices are computed.

Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices

NASA Astrophysics Data System (ADS)

Tseng, Chih-Hsiung; Cheng, Sheng-Tzong; Wang, Yi-Hsien; Peng, Jin-Tang

2008-05-01

This investigation integrates a novel hybrid asymmetric volatility approach into an Artificial Neural Networks option-pricing model to upgrade the forecasting ability of the price of derivative securities. The use of the new hybrid asymmetric volatility method can simultaneously decrease the stochastic and nonlinearity of the error term sequence, and capture the asymmetric volatility. Therefore, analytical results of the ANNS option-pricing model reveal that Grey-EGARCH volatility provides greater predictability than other volatility approaches.

A hybrid modeling approach for option pricing

NASA Astrophysics Data System (ADS)

Hajizadeh, Ehsan; Seifi, Abbas

2011-11-01

The complexity of option pricing has led many researchers to develop sophisticated models for such purposes. The commonly used Black-Scholes model suffers from a number of limitations. One of these limitations is the assumption that the underlying probability distribution is lognormal and this is so controversial. We propose a couple of hybrid models to reduce these limitations and enhance the ability of option pricing. The key input to option pricing model is volatility. In this paper, we use three popular GARCH type model for estimating volatility. Then, we develop two non-parametric models based on neural networks and neuro-fuzzy networks to price call options for S&P 500 index. We compare the results with those of Black-Scholes model and show that both neural network and neuro-fuzzy network models outperform Black-Scholes model. Furthermore, comparing the neural network and neuro-fuzzy approaches, we observe that for at-the-money options, neural network model performs better and for both in-the-money and an out-of-the money option, neuro-fuzzy model provides better results.

Financial derivative pricing under probability operator via Esscher transfomation

NASA Astrophysics Data System (ADS)

Achi, Godswill U.

2014-10-01

The problem of pricing contingent claims has been extensively studied for non-Gaussian models, and in particular, Black- Scholes formula has been derived for the NIG asset pricing model. This approach was first developed in insurance pricing9 where the original distortion function was defined in terms of the normal distribution. This approach was later studied6 where they compared the standard Black-Scholes contingent pricing and distortion based contingent pricing. So, in this paper, we aim at using distortion operators by Cauchy distribution under a simple transformation to price contingent claim. We also show that we can recuperate the Black-Sholes formula using the distribution. Similarly, in a financial market in which the asset price represented by a stochastic differential equation with respect to Brownian Motion, the price mechanism based on characteristic Esscher measure can generate approximate arbitrage free financial derivative prices. The price representation derived involves probability Esscher measure and Esscher Martingale measure and under a new complex valued measure φ (u) evaluated at the characteristic exponents φx(u) of Xt we recuperate the Black-Scholes formula for financial derivative prices.

42 CFR § 512.300 - Determination of episode quality-adjusted target prices and actual episode payments.

Code of Federal Regulations, 2010 CFR

2017-10-01

... PROGRAMS EPISODE PAYMENT MODEL Pricing and Payment § 512.300 Determination of episode quality-adjusted... historical episode payments. (iii) For the AMI model, quality-adjusted target prices for anchor MS-DRGs 246... 100 percent regional historical episode payments. (iv) For the CABG model, quality-adjusted target...

A Bayesian Multi-Level Factor Analytic Model of Consumer Price Sensitivities across Categories

ERIC Educational Resources Information Center

Duvvuri, Sri Devi; Gruca, Thomas S.

2010-01-01

Identifying price sensitive consumers is an important problem in marketing. We develop a Bayesian multi-level factor analytic model of the covariation among household-level price sensitivities across product categories that are substitutes. Based on a multivariate probit model of category incidence, this framework also allows the researcher to…

Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis

NASA Astrophysics Data System (ADS)

Xiao, Di; Wang, Jun

2012-10-01

The continuum percolation system is developed to model a random stock price process in this work. Recent empirical research has demonstrated various statistical features of stock price changes, the financial model aiming at understanding price fluctuations needs to define a mechanism for the formation of the price, in an attempt to reproduce and explain this set of empirical facts. The continuum percolation model is usually referred to as a random coverage process or a Boolean model, the local interaction or influence among traders is constructed by the continuum percolation, and a cluster of continuum percolation is applied to define the cluster of traders sharing the same opinion about the market. We investigate and analyze the statistical behaviors of normalized returns of the price model by some analysis methods, including power-law tail distribution analysis, chaotic behavior analysis and Zipf analysis. Moreover, we consider the daily returns of Shanghai Stock Exchange Composite Index from January 1997 to July 2011, and the comparisons of return behaviors between the actual data and the simulation data are exhibited.

Time series ARIMA models for daily price of palm oil

NASA Astrophysics Data System (ADS)

Ariff, Noratiqah Mohd; Zamhawari, Nor Hashimah; Bakar, Mohd Aftar Abu

2015-02-01

Palm oil is deemed as one of the most important commodity that forms the economic backbone of Malaysia. Modeling and forecasting the daily price of palm oil is of great interest for Malaysia's economic growth. In this study, time series ARIMA models are used to fit the daily price of palm oil. The Akaike Infromation Criterion (AIC), Akaike Infromation Criterion with a correction for finite sample sizes (AICc) and Bayesian Information Criterion (BIC) are used to compare between different ARIMA models being considered. It is found that ARIMA(1,2,1) model is suitable for daily price of crude palm oil in Malaysia for the year 2010 to 2012.

The European style arithmetic Asian option pricing with stochastic interest rate based on Black Scholes model

NASA Astrophysics Data System (ADS)

Winarti, Yuyun Guna; Noviyanti, Lienda; Setyanto, Gatot R.

2017-03-01

The stock investment is a high risk investment. Therefore, there are derivative securities to reduce these risks. One of them is Asian option. The most fundamental of option is option pricing. Many factors that determine the option price are underlying asset price, strike price, maturity date, volatility, risk free interest rate and dividends. Various option pricing usually assume that risk free interest rate is constant. While in reality, this factor is stochastic process. The arithmetic Asian option is free from distribution, then, its pricing is done using the modified Black-Scholes model. In this research, the modification use the Curran approximation. This research focuses on the arithmetic Asian option pricing without dividends. The data used is the stock daily closing data of Telkom from January 1 2016 to June 30 2016. Finnaly, those option price can be used as an option trading strategy.

Accurate market price formation model with both supply-demand and trend-following for global food prices providing policy recommendations

PubMed Central

Lagi, Marco; Bar-Yam, Yavni; Bertrand, Karla Z.; Bar-Yam, Yaneer

2015-01-01

Recent increases in basic food prices are severely affecting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the United States, and investor speculation on commodity markets lead to widely differing implications for policy. A lack of clarity about which factors are responsible reinforces policy inaction. Here, for the first time to our knowledge, we construct a dynamic model that quantitatively agrees with food prices. The results show that the dominant causes of price increases are investor speculation and ethanol conversion. Models that just treat supply and demand are not consistent with the actual price dynamics. The two sharp peaks in 2007/2008 and 2010/2011 are specifically due to investor speculation, whereas an underlying upward trend is due to increasing demand from ethanol conversion. The model includes investor trend following as well as shifting between commodities, equities, and bonds to take advantage of increased expected returns. Claims that speculators cannot influence grain prices are shown to be invalid by direct analysis of price-setting practices of granaries. Both causes of price increase, speculative investment and ethanol conversion, are promoted by recent regulatory changes—deregulation of the commodity markets, and policies promoting the conversion of corn to ethanol. Rapid action is needed to reduce the impacts of the price increases on global hunger. PMID:26504216

Accurate market price formation model with both supply-demand and trend-following for global food prices providing policy recommendations.

PubMed

Lagi, Marco; Bar-Yam, Yavni; Bertrand, Karla Z; Bar-Yam, Yaneer

2015-11-10

Recent increases in basic food prices are severely affecting vulnerable populations worldwide. Proposed causes such as shortages of grain due to adverse weather, increasing meat consumption in China and India, conversion of corn to ethanol in the United States, and investor speculation on commodity markets lead to widely differing implications for policy. A lack of clarity about which factors are responsible reinforces policy inaction. Here, for the first time to our knowledge, we construct a dynamic model that quantitatively agrees with food prices. The results show that the dominant causes of price increases are investor speculation and ethanol conversion. Models that just treat supply and demand are not consistent with the actual price dynamics. The two sharp peaks in 2007/2008 and 2010/2011 are specifically due to investor speculation, whereas an underlying upward trend is due to increasing demand from ethanol conversion. The model includes investor trend following as well as shifting between commodities, equities, and bonds to take advantage of increased expected returns. Claims that speculators cannot influence grain prices are shown to be invalid by direct analysis of price-setting practices of granaries. Both causes of price increase, speculative investment and ethanol conversion, are promoted by recent regulatory changes-deregulation of the commodity markets, and policies promoting the conversion of corn to ethanol. Rapid action is needed to reduce the impacts of the price increases on global hunger.

National Program for Inspection of Non-Federal Dams. Woods Pond (Valley Mill) Dam (MA 00731), Housatonic River Basin, Lee-Lenox, Massachusetts. Phase I Inspection Report.

DTIC Science & Technology

1979-07-01

the gates as he feels is required. 1.3 Pertinent Data -.. - All elevation reported herein are approximate and based on the assumption that the top of... assumptions , the outflow due to dam failure was .. calculated to be approximately 9,940 cfs. The flow v-.-_ just prior to failure would be approximately...v w 0 w w w w l -9- .5 -%ml N.- - w - -’V ... vr . 1-. 7 7 CApme a "Wan CjgMT A.,j ..4 h ~ omAij8LJ-1 COMPUTED Pi IMAubgmMOM& Iumlmum PAOJEC DATE

Millimeter Wave Filter Design with Suspended Stripline

DTIC Science & Technology

1989-09-01

VARIATIONAL CALCULATION METHOD.....................44 B. ALTERNATE ASSUMPTION FOR CHARGE DISTRIBUTION....... 47 APPE’NDIX B. FORTRAN PROGRAM...negative) of K. Instead of equation (99) the K was chosen such as to maximize the line capacitance C (in this case K = 3). B. ALTERNATE ASSUMPTION FOR...REAL Gl,G2,G3,HH1,T,KQ,56,C1M,C2M,C3M,C4M,NCAPM, CAPM REAL ClEC2E,C3E,C4E,NCAPE,CAPE,CO INTEGER IMAX,MMAXNMAX,JMAX, I,J,Nl,N2,M2,M,N,I2,J2,I3,J3,L

Modeling of geographical pricing: A game analysis of siberian fuel costs

NASA Astrophysics Data System (ADS)

Sivushina, Anastasiya; Kombu, Anchy; Ryumkin, Valeriy

2017-11-01

In the present study, we propose a novel game-theoretic pricing model describing the interaction between producers and retailers of goods in conditions of poor transport infrastructure and sparse geographical distribution of the points of sale. The proposed model generalizes the Stackelberg leadership model for an arbitrary number of leaders and followers. We show that the model always has a Nash and Stackelberg equilibria. We also provide formulas for the equilibrium prices and volume of sales. As an example we model diesel pricing in south Siberia. Our model found no signs of a cartel. The results of this paper can be used by policymakers to inform market regulations aimed at promoting free competition and avoiding monopolies in production and retail of goods.

In Search of Ideal Information Pricing.

ERIC Educational Resources Information Center

Hawkins, Donald T.

1989-01-01

Reviews some of the models used for pricing online information services and discusses some of the implications of these pricing algorithms. Topics discussed include online versus print pricing; charges for the retrieval process; charges for the retrieved information; telecommunications charges; and the pricing policies of Chemical Abstracts…

Pricing and Enrollment Planning.

ERIC Educational Resources Information Center

Martin, Robert E.

2003-01-01

Presents a management model for pricing and enrollment planning that yields optimal pricing decisions relative to student fees and average scholarship, the institution's financial ability to support students, and an average cost-pricing rule. (SLD)

Pricing of medical devices under coverage uncertainty--a modelling approach.

PubMed

Girling, Alan J; Lilford, Richard J; Young, Terry P

2012-12-01

Product vendors and manufacturers are increasingly aware that purchasers of health care will fund new clinical treatments only if they are perceived to deliver value-for-money. This influences companies' internal commercial decisions, including the price they set for their products. Other things being equal, there is a price threshold, which is the maximum price at which the device will be funded and which, if its value were known, would play a central role in price determination. This paper examines the problem of pricing a medical device from the vendor's point of view in the presence of uncertainty about what the price threshold will be. A formal solution is obtained by maximising the expected value of the net revenue function, assuming a Bayesian prior distribution for the price threshold. A least admissible price is identified. The model can also be used as a tool for analysing proposed pricing policies when no formal prior specification of uncertainty is available. Copyright © 2011 John Wiley & Sons, Ltd.

Essays on oil price volatility and irreversible investment

NASA Astrophysics Data System (ADS)

Pastor, Daniel J.

In chapter 1, we provide an extensive and systematic evaluation of the relative forecasting performance of several models for the volatility of daily spot crude oil prices. Empirical research over the past decades has uncovered significant gains in forecasting performance of Markov Switching GARCH models over GARCH models for the volatility of financial assets and crude oil futures. We find that, for spot oil price returns, non-switching models perform better in the short run, whereas switching models tend to do better at longer horizons. In chapter 2, I investigate the impact of volatility on firms' irreversible investment decisions using real options theory. Cost incurred in oil drilling is considered sunk cost, thus irreversible. I collect detailed data on onshore, development oil well drilling on the North Slope of Alaska from 2003 to 2014. Volatility is modeled by constructing GARCH, EGARCH, and GJR-GARCH forecasts based on monthly real oil prices, and realized volatility from 5-minute intraday returns of oil futures prices. Using a duration model, I show that oil price volatility generally has a negative relationship with the hazard rate of drilling an oil well both when aggregating all the fields, and in individual fields.

Residential water demand with endogenous pricing: The Canadian Case

NASA Astrophysics Data System (ADS)

Reynaud, Arnaud; Renzetti, Steven; Villeneuve, Michel

2005-11-01

In this paper, we show that the rate structure endogeneity may result in a misspecification of the residential water demand function. We propose to solve this endogeneity problem by estimating a probabilistic model describing how water rates are chosen by local communities. This model is estimated on a sample of Canadian local communities. We first show that the pricing structure choice reflects efficiency considerations, equity concerns, and, in some cases, a strategy of price discrimination across consumers by Canadian communities. Hence estimating the residential water demand without taking into account the pricing structures' endogeneity leads to a biased estimation of price and income elasticities. We also demonstrate that the pricing structure per se plays a significant role in influencing price responsiveness of Canadian residential consumers.

Multifactor valuation models of energy futures and options on futures

NASA Astrophysics Data System (ADS)

Bertus, Mark J.

The intent of this dissertation is to investigate continuous time pricing models for commodity derivative contracts that consider mean reversion. The motivation for pricing commodity futures and option on futures contracts leads to improved practical risk management techniques in markets where uncertainty is increasing. In the dissertation closed-form solutions to mean reverting one-factor, two-factor, three-factor Brownian motions are developed for futures contracts. These solutions are obtained through risk neutral pricing methods that yield tractable expressions for futures prices, which are linear in the state variables, hence making them attractive for estimation. These functions, however, are expressed in terms of latent variables (i.e. spot prices, convenience yield) which complicate the estimation of the futures pricing equation. To address this complication a discussion on Dynamic factor analysis is given. This procedure documents latent variables using a Kalman filter and illustrations show how this technique may be used for the analysis. In addition, to the futures contracts closed form solutions for two option models are obtained. Solutions to the one- and two-factor models are tailored solutions of the Black-Scholes pricing model. Furthermore, since these contracts are written on the futures contracts, they too are influenced by the same underlying parameters of the state variables used to price the futures contracts. To conclude, the analysis finishes with an investigation of commodity futures options that incorporate random discrete jumps.

Stock price forecasting based on time series analysis

NASA Astrophysics Data System (ADS)

Chi, Wan Le

2018-05-01

Using the historical stock price data to set up a sequence model to explain the intrinsic relationship of data, the future stock price can forecasted. The used models are auto-regressive model, moving-average model and autoregressive-movingaverage model. The original data sequence of unit root test was used to judge whether the original data sequence was stationary. The non-stationary original sequence as a first order difference needed further processing. Then the stability of the sequence difference was re-inspected. If it is still non-stationary, the second order differential processing of the sequence is carried out. Autocorrelation diagram and partial correlation diagram were used to evaluate the parameters of the identified ARMA model, including coefficients of the model and model order. Finally, the model was used to forecast the fitting of the shanghai composite index daily closing price with precision. Results showed that the non-stationary original data series was stationary after the second order difference. The forecast value of shanghai composite index daily closing price was closer to actual value, indicating that the ARMA model in the paper was a certain accuracy.

Correlated continuous time random walk and option pricing

NASA Astrophysics Data System (ADS)

Lv, Longjin; Xiao, Jianbin; Fan, Liangzhong; Ren, Fuyao

2016-04-01

In this paper, we study a correlated continuous time random walk (CCTRW) with averaged waiting time, whose probability density function (PDF) is proved to follow stretched Gaussian distribution. Then, we apply this process into option pricing problem. Supposing the price of the underlying is driven by this CCTRW, we find this model captures the subdiffusive characteristic of financial markets. By using the mean self-financing hedging strategy, we obtain the closed-form pricing formulas for a European option with and without transaction costs, respectively. At last, comparing the obtained model with the classical Black-Scholes model, we find the price obtained in this paper is higher than that obtained from the Black-Scholes model. A empirical analysis is also introduced to confirm the obtained results can fit the real data well.

The Conference Proceedings of the 1999 Air Transport Research Group (ATRG) of the WCTR Society. Volume 2

NASA Technical Reports Server (NTRS)

Zhang, Anming (Editor); Bowen Brent D. (Editor)

1999-01-01

In this paper, we develop a model with which allows us to measure not only the changes in equilibrium outcomes and welfare consequences of liberalizing a bilateral air transport agreement, but also the distribution of the gains and losses to carriers and consumers of each bilateral country and those of the third foreign countries. Our model also allows to measure the effects of changes in a bilateral agreement on the amount of traffic diversion between the direct bilateral routes and the indirect routes via a third country. We also provide an extension of our model to a case of oligopoly market outcome (Coumot Nash equilibrium). In our model, quality aspects are treated in the framework of hedonic price theory by specifying the quality-adjusted price (quantity) as a multiplication of the observed price (quantity) by the reciprocal quality index function (the quality index function). Numerical simulations were conducted to measure the effects of changing the following major policy levers in a bilateral air transport agreement: 1) Removing price regulation while retaining frequency and entry restrictions; 2) Removing price and entry regulation while retaining frequency restrictions; 3) Removing frequency regulations while retaining price and entry regulations; 4) Removing frequency and entry regulations while retaining price regulation; 5) Removing price and frequency regulations while retaining entry restriction; and 6) Removing all price, frequency and entry regulations (de facto, open skies).

The asymmetric effect of coal price on the China's macro economy using NARDL model

NASA Astrophysics Data System (ADS)

Hou, J. C.; Yang, M. C.

2016-08-01

The present work endeavors to explore the asymmetric effect of coal price on the China's macro economy by applying nonlinear autoregressive distributed lag (NARDL) model for the period of January 2005 to June 2015. The obtained results indicate that the coal price has a strong asymmetric effect on China's macro economy in the long-run. Namely one percent increase in coal price leads to 0.6194 percent of the China's macro economy increase; and while the coal price is reduces by 1 percent, the China's macro economy will decrease by 0.008 percent. These data indicate that when coal price rises, the effect on China's macro economy is far greater than the price decline. In the short-run, coal price fluctuation has a positive effect on the China's macro economy.

Stochastic Price Models and Optimal Tree Cutting: Results for Loblolly Pine

Treesearch

Robert G. Haight; Thomas P. Holmes

1991-01-01

An empirical investigation of stumpage price models and optimal harvest policies is conducted for loblolly pine plantations in the southeastern United States. The stationarity of monthly and quarterly series of sawtimber prices is analyzed using a unit root test. The statistical evidence supports stationary autoregressive models for the monthly series and for the...

A scalable delivery framework and a pricing model for streaming media with advertisements

NASA Astrophysics Data System (ADS)

Al-Hadrusi, Musab; Sarhan, Nabil J.

2008-01-01

This paper presents a delivery framework for streaming media with advertisements and an associated pricing model. The delivery model combines the benefits of periodic broadcasting and stream merging. The advertisements' revenues are used to subsidize the price of the media content. The pricing is determined based on the total ads' viewing time. Moreover, this paper presents an efficient ad allocation scheme and three modified scheduling policies that are well suited to the proposed delivery framework. Furthermore, we study the effectiveness of the delivery framework and various scheduling polices through extensive simulation in terms of numerous metrics, including customer defection probability, average number of ads viewed per client, price, arrival rate, profit, and revenue.

Quantitative model of price diffusion and market friction based on trading as a mechanistic random process.

PubMed

Daniels, Marcus G; Farmer, J Doyne; Gillemot, László; Iori, Giulia; Smith, Eric

2003-03-14

We model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of markets, such as the diffusion rate of prices (which is the standard measure of financial risk) and the spread and price impact functions (which are the main determinants of transaction cost). Guided by dimensional analysis, simulation, and mean-field theory, we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices.

Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process

NASA Astrophysics Data System (ADS)

Daniels, Marcus G.; Farmer, J. Doyne; Gillemot, László; Iori, Giulia; Smith, Eric

2003-03-01

We model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of markets, such as the diffusion rate of prices (which is the standard measure of financial risk) and the spread and price impact functions (which are the main determinants of transaction cost). Guided by dimensional analysis, simulation, and mean-field theory, we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices.

Price impact on urban residential water demand: A dynamic panel data approach

NASA Astrophysics Data System (ADS)

ArbuéS, Fernando; BarberáN, Ramón; Villanúa, Inmaculada

2004-11-01

In this paper, we formulate and estimate a model of residential water demand with the aim of evaluating the potential of pricing policies as a mechanism for managing residential water. The proposed econometric model offers a new perspective on urban water demand analysis by combining microlevel data with a dynamic panel data estimation procedure. The empirical application suggests that residential users are more responsive to a lagged average price specification. Another result of the estimated model is that price is a moderately effective tool in reducing residential water demand within the present range of prices, with the estimated values for income elasticity and "elasticity of consumption with respect to family size" reinforcing this conclusion.

Joint pricing, inventory, and preservation decisions for deteriorating items with stochastic demand and promotional efforts

NASA Astrophysics Data System (ADS)

Soni, Hardik N.; Chauhan, Ashaba D.

2018-03-01

This study models a joint pricing, inventory, and preservation decision-making problem for deteriorating items subject to stochastic demand and promotional effort. The generalized price-dependent stochastic demand, time proportional deterioration, and partial backlogging rates are used to model the inventory system. The objective is to find the optimal pricing, replenishment, and preservation technology investment strategies while maximizing the total profit per unit time. Based on the partial backlogging and lost sale cases, we first deduce the criterion for optimal replenishment schedules for any given price and technology investment cost. Second, we show that, respectively, total profit per time unit is concave function of price and preservation technology cost. At the end, some numerical examples and the results of a sensitivity analysis are used to illustrate the features of the proposed model.

Using Satellite Remote Sensing Data in a Spatially Explicit Price Model

NASA Technical Reports Server (NTRS)

Brown, Molly E.; Pinzon, Jorge E.; Prince, Stephen D.

2007-01-01

Famine early warning organizations use data from multiple disciplines to assess food insecurity of communities and regions in less-developed parts of the World. In this paper we integrate several indicators that are available to enhance the information for preparation for and responses to food security emergencies. The assessment uses a price model based on the relationship between the suitability of the growing season and market prices for coarse grain. The model is then used to create spatially continuous maps of millet prices. The model is applied to the dry central and northern areas of West Africa, using satellite-derived vegetation indices for the entire region. By coupling the model with vegetation data estimated for one to four months into the future, maps are created of a leading indicator of potential price movements. It is anticipated that these maps can be used to enable early warning of famine and for planning appropriate responses.

Towards a balanced value business model for personalized medicine: an outlook.

PubMed

Koelsch, Christof; Przewrocka, Joanna; Keeling, Peter

2013-01-01

Novel targeted drugs, mainly in oncology, have commanded substantial price premiums in the recent past. Consequently, the attention of pharmaceutical companies has shifted away from the traditional low-price and high-volume blockbuster business model to drugs that command high, and sometimes extremely high, prices in limited markets defined by targeted patient populations. This model may have already passed its zenith, as the impact of more and more high-priced drugs coming to market substantially increases their combined burden on payors and public health finances. This article introduces a new 'balanced value' business model for personalized medicine, leveraging the emerging opportunities to reduce drug development cost and time for targeted therapies. This model allows pharmaceutical companies to charge prices for targeted therapy below the likely future thresholds for payors' willingness to pay, at the same time preserving attractive margins for the drug developers.

Oil price fluctuations and the Gulf Cooperation Council (GCC) countries, 1960--2004

NASA Astrophysics Data System (ADS)

Alotaibi, Bader

The dissertation examines the effect of oil price fluctuations on GCC economies for the period 1960-2004. The objective of chapter two is to investigate whether oil price fluctuations have asymmetric effects on GDP growth. Does a negative oil price shock have merely an opposite effect as does a positive price shock or are there differences in degrees? Many past studies have examined asymmetries between oil prices and output growth in oil importing countries. A fixed effect model is used. We find that negative oil price shocks dominate positive shocks. The objective of chapter three is to investigate the impact of oil price shocks on real exchange rates and price levels. A structural Vector Autoregression (VAR) model for each country is used containing three and four variables in the first and second specifications, respectively. Oil price shocks are found to be not only important but persistent. In most countries, supply shocks play larger roles than do demand shocks. Nominal shocks have only short-run effects on the real exchange rate and the price level. The objective of chapter four is to investigate fluctuations in budget and trade deficits. Do agents smooth over income shocks due to fluctuations in oil prices or do oil price shocks have large effects? Also, are the budget and trade deficits causally related? If so, what direction does this causal relation take? Many studies have considered links between budget and trade deficits but most have been conducted for countries where oil is not a major concern. A VAR model containing three variables for each country is used. Oil price shocks are found to be persistent. Also, the results support the twin deficits hypothesis. Budget deficit shocks cause deterioration in the trade deficits in GCC countries.

Strategies for reducing implant costs in the revision total knee arthroplasty episode of care.

PubMed

Elbuluk, Ameer M; Old, Andrew B; Bosco, Joseph A; Schwarzkopf, Ran; Iorio, Richard

2017-12-01

Implant price has been identified as a significant contributing factor to high costs associated with revision total knee arthroplasty (rTKA). The goal of this study is to analyze the cost of implants used in rTKAs and to compare this pricing with 2 alternative pricing models. Using our institutional database, we identified 52 patients from January 1, 2014 to December 31, 2014. Average cost of components for each case was calculated and compared to the total hospital cost for that admission. Costs for an all-component revision were then compared to a proposed "direct to hospital" (DTH) standardized pricing model and a fixed price revision option. Potential savings were calculated from these figures. On average, 28% of the total hospital cost was spent on implants for rTKA. The average cost for revision of all components was $13,640 and ranged from $3000 to $28,000. On average, this represented 32.7% of the total hospital cost. Direct to hospital implant pricing could potentially save approximately $7000 per rTKA, and the fixed pricing model could provide a further $1000 reduction per rTKA-potentially saving $8000 per case on implants alone. Alternative implant pricing models could help lower the total cost of rTKA, which would allow hospitals to achieve significant cost containment.

Essays on pricing electricity and electricity derivatives in deregulated markets

NASA Astrophysics Data System (ADS)

Popova, Julia

2008-10-01

This dissertation is composed of four essays on the behavior of wholesale electricity prices and their derivatives. The first essay provides an empirical model that takes into account the spatial features of a transmission network on the electricity market. The spatial structure of the transmission grid plays a key role in determining electricity prices, but it has not been incorporated into previous empirical models. The econometric model in this essay incorporates a simple representation of the transmission system into a spatial panel data model of electricity prices, and also accounts for the effect of dynamic transmission system constraints on electricity market integration. Empirical results using PJM data confirm the existence of spatial patterns in electricity prices and show that spatial correlation diminishes as transmission lines become more congested. The second essay develops and empirically tests a model of the influence of natural gas storage inventories on the electricity forward premium. I link a model of the effect of gas storage constraints on the higher moments of the distribution of electricity prices to a model of the effect of those moments on the forward premium. Empirical results using PJM data support the model's predictions that gas storage inventories sharply reduce the electricity forward premium when demand for electricity is high and space-heating demand for gas is low. The third essay examines the efficiency of PJM electricity markets. A market is efficient if prices reflect all relevant information, so that prices follow a random walk. The hypothesis of random walk is examined using empirical tests, including the Portmanteau, Augmented Dickey-Fuller, KPSS, and multiple variance ratio tests. The results are mixed though evidence of some level of market efficiency is found. The last essay investigates the possibility that previous researchers have drawn spurious conclusions based on classical unit root tests incorrectly applied to wholesale electricity prices. It is well known that electricity prices exhibit both cyclicity and high volatility which varies through time. Results indicate that heterogeneity in unconditional variance---which is not detected by classical unit root tests---may contribute to the appearance of non-stationarity.

Confidence and self-attribution bias in an artificial stock market

PubMed Central

Bertella, Mario A.; Pires, Felipe R.; Rego, Henio H. A.; Vodenska, Irena; Stanley, H. Eugene

2017-01-01

Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our simulation study of agents who are not confident. We show that the stock price and confidence index—both generated by our model—are cointegrated and that stock price affects confidence index but confidence index does not affect stock price. We next compare the results of our model with the S&P 500 index and its respective stock market confidence index using cointegration and Granger tests. As in our model, we find that stock prices drive their respective confidence indices, but that the opposite relationship, i.e., the assumption that confidence indices drive stock prices, is not significant. PMID:28231255

Copula-based nonlinear modeling of the law of one price for lumber products

Treesearch

Barry K. Goodwin; Matthew T. Holt; Gülcan Önel; Jeffrey P. Prestemon

2018-01-01

This paper proposes an alternative and potentially novel approach to analyzing the law of one price in a nonlinear fashion. Copula-based models that consider the joint distribution of prices separated by space are developed and applied to weekly...

Pricing Models and Payment Schemes for Library Collections.

ERIC Educational Resources Information Center

Stern, David

2002-01-01

Discusses new pricing and payment options for libraries in light of online products. Topics include alternative cost models rather than traditional subscriptions; use-based pricing; changes in scholarly communication due to information technology; methods to determine appropriate charges for different organizations; consortial plans; funding; and…

77 FR 71788 - Notice of Change to the Publication of Natural Gas Wellhead Prices

Federal Register 2010, 2011, 2012, 2013, 2014

2012-12-04

... gas wellhead price using a time-series econometric model, which incorporates data from historical... (DOE). ACTION: Notice of a discontinuation of series in the publication of natural gas wellhead prices... price series. Beginning in January 2013, EIA will discontinue publishing wellhead prices, and will begin...

Financial derivative pricing under probability operator via Esscher transfomation

DOE Office of Scientific and Technical Information (OSTI.GOV)

Achi, Godswill U., E-mail: achigods@yahoo.com

2014-10-24

The problem of pricing contingent claims has been extensively studied for non-Gaussian models, and in particular, Black- Scholes formula has been derived for the NIG asset pricing model. This approach was first developed in insurance pricing{sup 9} where the original distortion function was defined in terms of the normal distribution. This approach was later studied6 where they compared the standard Black-Scholes contingent pricing and distortion based contingent pricing. So, in this paper, we aim at using distortion operators by Cauchy distribution under a simple transformation to price contingent claim. We also show that we can recuperate the Black-Sholes formula usingmore » the distribution. Similarly, in a financial market in which the asset price represented by a stochastic differential equation with respect to Brownian Motion, the price mechanism based on characteristic Esscher measure can generate approximate arbitrage free financial derivative prices. The price representation derived involves probability Esscher measure and Esscher Martingale measure and under a new complex valued measure φ (u) evaluated at the characteristic exponents φ{sub x}(u) of X{sub t} we recuperate the Black-Scholes formula for financial derivative prices.« less

Forward and Spot Prices in Multi-Settlement Wholesale Electricity Markets

NASA Astrophysics Data System (ADS)

Larrieu, Jeremy

In organized wholesale electricity markets, power is sold competitively in a multi-unit multi-settlement single-price auction comprised of a forward and a spot market. This dissertation attempts to understand the structure of the forward premium in these markets, and to identify the factors that may lead forward and spot prices to converge or diverge. These markets are unique in that the forward demand is price-sensitive, while spot residual demand is perfectly inelastic and must be met in full, a crucial design feature the literature often glosses over. An important contribution of this dissertation is the explicit modeling of each market separately in order to understand how generation and load choose to act in each one, and the consequences of these actions on equilibrium prices and quantities given that firms maximize joint profits over both markets. In the first essay, I construct a two-settlement model of electricity prices in which firms that own asymmetric capacity-constrained units facing convex costs compete to meet demand from consumers, first in quantities, then in prices. I show that the forward premium depends on the costliness of spot production relative to firms' ability to exercise market power by setting quantities in the forward market. In the second essay, I test the model from the first essay with unit-level capacity and marginal cost data from the California Independent System Operator (CAISO). I show that the model closely replicates observed price formation in the CAISO. In the third essay, I estimate a time series model of the CAISO forward premium in order to measure the impact that virtual bidding has had on forward and spot price convergence in California between April 2009 and March 2014. I find virtual bidding to have caused forward and spot prices to diverge due to the large number of market participants looking to hedge against - or speculate on - the occurrence of infrequent but large spot price spikes by placing virtual demand bids.

Price adjustment for traditional Chinese medicine procedures: Based on a standardized value parity model.

PubMed

Wang, Haiyin; Jin, Chunlin; Jiang, Qingwu

2017-11-20

Traditional Chinese medicine (TCM) is an important part of China's medical system. Due to the prolonged low price of TCM procedures and the lack of an effective mechanism for dynamic price adjustment, the development of TCM has markedly lagged behind Western medicine. The World Health Organization (WHO) has emphasized the need to enhance the development of alternative and traditional medicine when creating national health care systems. The establishment of scientific and appropriate mechanisms to adjust the price of medical procedures in TCM is crucial to promoting the development of TCM. This study has examined incorporating value indicators and data on basic manpower expended, time spent, technical difficulty, and the degree of risk in the latest standards for the price of medical procedures in China, and this study also offers a price adjustment model with the relative price ratio as a key index. This study examined 144 TCM procedures and found that prices of TCM procedures were mainly based on the value of medical care provided; on average, medical care provided accounted for 89% of the price. Current price levels were generally low and the current price accounted for 56% of the standardized value of a procedure, on average. Current price levels accounted for a markedly lower standardized value of acupuncture, moxibustion, special treatment with TCM, and comprehensive TCM procedures. This study selected a total of 79 procedures and adjusted them by priority. The relationship between the price of TCM procedures and the suggested price was significantly optimized (p < 0.01). This study suggests that adjustment of the price of medical procedures based on a standardized value parity model is a scientific and suitable method of price adjustment that can serve as a reference for other provinces and municipalities in China and other countries and regions that mainly have fee-for-service (FFS) medical care.

Spatial competition and price formation

NASA Astrophysics Data System (ADS)

Nagel, Kai; Shubik, Martin; Paczuski, Maya; Bak, Per

2000-12-01

We look at price formation in a retail setting, that is, companies set prices, and consumers either accept prices or go someplace else. In contrast to most other models in this context, we use a two-dimensional spatial structure for information transmission, that is, consumers can only learn from nearest neighbors. Many aspects of this can be understood in terms of generalized evolutionary dynamics. In consequence, we first look at spatial competition and cluster formation without price. This leads to establishement size distributions, which we compare to reality. After some theoretical considerations, which at least heuristically explain our simulation results, we finally return to price formation, where we demonstrate that our simple model with nearly no organized planning or rationality on the part of any of the agents indeed leads to an economically plausible price.

A new perspective on Quantum Finance using the Black-Scholes pricing model

NASA Astrophysics Data System (ADS)

Dieng, Lamine

2007-03-01

Options are known to be divided into two types, the first type is called a call option and the second type is called a put option and these options are offered to stock holders in order to hedge their positions against risky fluctuations of the stock price. It is important to mention that due to fluctuations of the stock price, options can be found sometimes deep in the money, at the money and out of the money. A deep in the money option is described when the option's holder has a positive expected payoff, at the money option is when the option's holder has a zero expected payoff and an out of the money option is when the payoff is negative. In this work, we will assume the stock price to be described by the well known Black-Scholes model or sometimes called the multiplicative model. Using Ito calculus, Martingale and supermartingale theories, we investigated the Black-Scholes pricing equation at the money (X(stock price)= K (strike price)) when the expected payoff of the options holder is zero. We also hedged the Black-Scholes pricing equation in the limit when delta is zero to obtain the non-relativistic time independent Schroedinger equation in quantum mechanics. We compared the two equations and found the diffusion constant to be a function of the stock price in contrast to the Bachelier model we have worked on earlier. We solved the Schroedinger equation and found a dependence between interest rate, volatility and strike price at the money.

Pricing strategies, the strength of bidding intentions, and online auction performance: a cross-cultural study.

PubMed

Peng, Yu-Shu; Jan, Lih-Tsyr

2009-10-01

Over the past decade, electronic markets based on the Internet, particularly online auctions, have become popular venues for conducting business. Previous studies often focused on the construction of the best bidding model, while few studies have tried to integrate multiple pricing strategies to predict the probability of closing an auction and the price premium. This study constructs a mediated model to examine the relationship among pricing strategies, the strength of bidding intentions, and online auction performance. The sample consists of 1,055 auctions of iPod MP3 players from eBay Web sites in Hong Kong, Singapore, Belgium, and France. Empirical results show that the pricing strategies directly influence both the probability of closing an auction and the level of price premium. The pricing strategies also indirectly influence the price premium through the mediating effect of the strength of bidding intentions.

Asset price and trade volume relation in artificial market impacted by value investors

NASA Astrophysics Data System (ADS)

Tangmongkollert, K.; Suwanna, S.

2016-05-01

The relationship between return and trade volume has been of great interests in a financial market. The appearance of asymmetry in the price-volume relation in the bull and bear market is still unsettled. We present a model of the value investor traders (VIs) in the double auction system, in which agents make trading decision based on the pseudo fundamental price modelled by sawtooth oscillations. We investigate the system by two different time series for the asset fundamental price: one corresponds to the fundamental price in a growing phase; and the other corresponds to that in a declining phase. The simulation results show that the trade volume is proportional to the difference between the market price and the fundamental price, and that there is asymmetry between the buying and selling phases. Furthermore, the selling phase has more significant impact of price on the trade volume than the buying phase.

Pricing European option with transaction costs under the fractional long memory stochastic volatility model

NASA Astrophysics Data System (ADS)

Wang, Xiao-Tian; Wu, Min; Zhou, Ze-Min; Jing, Wei-Shu

2012-02-01

This paper deals with the problem of discrete time option pricing using the fractional long memory stochastic volatility model with transaction costs. Through the 'anchoring and adjustment' argument in a discrete time setting, a European call option pricing formula is obtained.

A two-level discount model for coordinating a decentralized supply chain considering stochastic price-sensitive demand

NASA Astrophysics Data System (ADS)

Heydari, Jafar; Norouzinasab, Yousef

2015-12-01

In this paper, a discount model is proposed to coordinate pricing and ordering decisions in a two-echelon supply chain (SC). Demand is stochastic and price sensitive while lead times are fixed. Decentralized decision making where downstream decides on selling price and order size is investigated. Then, joint pricing and ordering decisions are extracted where both members act as a single entity aim to maximize whole SC profit. Finally, a coordination mechanism based on quantity discount is proposed to coordinate both pricing and ordering decisions simultaneously. The proposed two-level discount policy can be characterized from two aspects: (1) marketing viewpoint: a retail price discount to increase the demand, and (2) operations management viewpoint: a wholesale price discount to induce the retailer to adjust its order quantity and selling price jointly. Results of numerical experiments demonstrate that the proposed policy is suitable to coordinate SC and improve the profitability of SC as well as all SC members in comparison with decentralized decision making.

Dynamics of electricity market correlations

NASA Astrophysics Data System (ADS)

Alvarez-Ramirez, J.; Escarela-Perez, R.; Espinosa-Perez, G.; Urrea, R.

2009-06-01

Electricity market participants rely on demand and price forecasts to decide their bidding strategies, allocate assets, negotiate bilateral contracts, hedge risks, and plan facility investments. However, forecasting is hampered by the non-linear and stochastic nature of price time series. Diverse modeling strategies, from neural networks to traditional transfer functions, have been explored. These approaches are based on the assumption that price series contain correlations that can be exploited for model-based prediction purposes. While many works have been devoted to the demand and price modeling, a limited number of reports on the nature and dynamics of electricity market correlations are available. This paper uses detrended fluctuation analysis to study correlations in the demand and price time series and takes the Australian market as a case study. The results show the existence of correlations in both demand and prices over three orders of magnitude in time ranging from hours to months. However, the Hurst exponent is not constant over time, and its time evolution was computed over a subsample moving window of 250 observations. The computations, also made for two Canadian markets, show that the correlations present important fluctuations over a seasonal one-year cycle. Interestingly, non-linearities (measured in terms of a multifractality index) and reduced price predictability are found for the June-July periods, while the converse behavior is displayed during the December-January period. In terms of forecasting models, our results suggest that non-linear recursive models should be considered for accurate day-ahead price estimation. On the other hand, linear models seem to suffice for demand forecasting purposes.

Accounting for fuel price risk: Using forward natural gas prices instead of gas price forecasts to compare renewable to natural gas-fired generation

DOE Office of Scientific and Technical Information (OSTI.GOV)

Bolinger, Mark; Wiser, Ryan; Golove, William

2003-08-13

Against the backdrop of increasingly volatile natural gas prices, renewable energy resources, which by their nature are immune to natural gas fuel price risk, provide a real economic benefit. Unlike many contracts for natural gas-fired generation, renewable generation is typically sold under fixed-price contracts. Assuming that electricity consumers value long-term price stability, a utility or other retail electricity supplier that is looking to expand its resource portfolio (or a policymaker interested in evaluating different resource options) should therefore compare the cost of fixed-price renewable generation to the hedged or guaranteed cost of new natural gas-fired generation, rather than to projectedmore » costs based on uncertain gas price forecasts. To do otherwise would be to compare apples to oranges: by their nature, renewable resources carry no natural gas fuel price risk, and if the market values that attribute, then the most appropriate comparison is to the hedged cost of natural gas-fired generation. Nonetheless, utilities and others often compare the costs of renewable to gas-fired generation using as their fuel price input long-term gas price forecasts that are inherently uncertain, rather than long-term natural gas forward prices that can actually be locked in. This practice raises the critical question of how these two price streams compare. If they are similar, then one might conclude that forecast-based modeling and planning exercises are in fact approximating an apples-to-apples comparison, and no further consideration is necessary. If, however, natural gas forward prices systematically differ from price forecasts, then the use of such forecasts in planning and modeling exercises will yield results that are biased in favor of either renewable (if forwards < forecasts) or natural gas-fired generation (if forwards > forecasts). In this report we compare the cost of hedging natural gas price risk through traditional gas-based hedging instruments (e.g., futures, swaps, and fixed-price physical supply contracts) to contemporaneous forecasts of spot natural gas prices, with the purpose of identifying any systematic differences between the two. Although our data set is quite limited, we find that over the past three years, forward gas prices for durations of 2-10 years have been considerably higher than most natural gas spot price forecasts, including the reference case forecasts developed by the Energy Information Administration (EIA). This difference is striking, and implies that resource planning and modeling exercises based on these forecasts over the past three years have yielded results that are biased in favor of gas-fired generation (again, presuming that long-term stability is desirable). As discussed later, these findings have important ramifications for resource planners, energy modelers, and policy-makers.« less

The non-random walk of stock prices: the long-term correlation between signs and sizes

NASA Astrophysics Data System (ADS)

La Spada, G.; Farmer, J. D.; Lillo, F.

2008-08-01

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-contemporaneous correlation between the signs and sizes of individual returns. We conjecture that this is related to the long-memory of transaction signs and the need to enforce market efficiency.

Appliance Efficiency Standards and Price Discrimination

DOE Office of Scientific and Technical Information (OSTI.GOV)

Spurlock, Cecily Anna

2013-05-08

I explore the effects of two simultaneous changes in minimum energy efficiency and ENERGY STAR standards for clothes washers. Adapting the Mussa and Rosen (1978) and Ronnen (1991) second-degree price discrimination model, I demonstrate that clothes washer prices and menus adjusted to the new standards in patterns consistent with a market in which firms had been price discriminating. In particular, I show evidence of discontinuous price drops at the time the standards were imposed, driven largely by mid-low efficiency segments of the market. The price discrimination model predicts this result. On the other hand, in a perfectly competition market, pricesmore » should increase for these market segments. Additionally, new models proliferated in the highest efficiency market segment following the standard changes. Finally, I show that firms appeared to use different adaptation strategies at the two instances of the standards changing.« less

A quantum anharmonic oscillator model for the stock market

NASA Astrophysics Data System (ADS)

Gao, Tingting; Chen, Yu

2017-02-01

A financially interpretable quantum model is proposed to study the probability distributions of the stock price return. The dynamics of a quantum particle is considered an analog of the motion of stock price. Then the probability distributions of price return can be computed from the wave functions that evolve according to Schrodinger equation. Instead of a harmonic oscillator in previous studies, a quantum anharmonic oscillator is applied to the stock in liquid market. The leptokurtic distributions of price return can be reproduced by our quantum model with the introduction of mixed-state and multi-potential. The trend following dominant market, in which the price return follows a bimodal distribution, is discussed as a specific case of the illiquid market.

Information pricing based on trusted system

NASA Astrophysics Data System (ADS)

Liu, Zehua; Zhang, Nan; Han, Hongfeng

2018-05-01

Personal information has become a valuable commodity in today's society. So our goal aims to develop a price point and a pricing system to be realistic. First of all, we improve the existing BLP system to prevent cascading incidents, design a 7-layer model. Through the cost of encryption in each layer, we develop PI price points. Besides, we use association rules mining algorithms in data mining algorithms to calculate the importance of information in order to optimize informational hierarchies of different attribute types when located within a multi-level trusted system. Finally, we use normal distribution model to predict encryption level distribution for users in different classes and then calculate information prices through a linear programming model with the help of encryption level distribution above.

Learning monopolies with delayed feedback on price expectations

NASA Astrophysics Data System (ADS)

Matsumoto, Akio; Szidarovszky, Ferenc

2015-11-01

We call the intercept of the price function with the vertical axis the maximum price and the slope of the price function the marginal price. In this paper it is assumed that a monopolistic firm has full information about the marginal price and its own cost function but is uncertain on the maximum price. However, by repeated interaction with the market, the obtained price observations give a basis for an adaptive learning process of the maximum price. It is also assumed that the price observations have fixed delays, so the learning process can be described by a delayed differential equation. In the cases of one or two delays, the asymptotic behavior of the resulting dynamic process is examined, stability conditions are derived. Three main results are demonstrated in the two delay learning processes. First, it is possible to stabilize the equilibrium which is unstable in the one delay model. Second, complex dynamics involving chaos, which is impossible in the one delay model, can emerge. Third, alternations of stability and instability (i.e., stability switches) occur repeatedly.

Using Enrollment Demand Models in Institutional Pricing Decisions.

ERIC Educational Resources Information Center

Weiler, William C.

1984-01-01

Issues in the application of enrollment demand analysis to institutions' pricing policy are discussed, including price change impact on enrollment, the role of enrollment demand models on long-range financial and personnel planning, use of tuition and financial aid policy in optimizing policymakers' enrollment objectives, and the redistribution…

Oil-Price Shocks: Beyond Standard Aggregate Demand/Aggregate Supply Analysis.

ERIC Educational Resources Information Center

Elwood, S. Kirk

2001-01-01

Explores the problems of portraying oil-price shocks using the aggregate demand/aggregate supply model. Presents a simple modification of the model that differentiates between production and absorption of goods, which enables it to better reflect the effects of oil-price shocks on open economies. (RLH)

Option pricing: Stock price, stock velocity and the acceleration Lagrangian

NASA Astrophysics Data System (ADS)

Baaquie, Belal E.; Du, Xin; Bhanap, Jitendra

2014-12-01

The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes formula, with a fixed volatility, cannot match the market's option price; instead, it has come to be used as a formula for generating the option price, once the so called implied volatility of the option is provided as additional input. The implied volatility not only is an entire surface, depending on the strike price and maturity of the option, but also depends on calendar time, changing from day to day. The point of view adopted in this paper is that the instantaneous rate of return of the security carries part of the information that is provided by implied volatility, and with a few (time-independent) parameters required for a complete pricing formula. An option pricing formula is developed that is based on knowing the value of both the current price and rate of return of the underlying security which in physics is called velocity. Using an acceleration Lagrangian model based on the formalism of quantum mathematics, we derive the pricing formula for European call options. The implied volatility of the market can be generated by our pricing formula. Our option price is applied to foreign exchange rates and equities and the accuracy is compared with Black-Scholes pricing formula and with the market price.

Pricing irrigation water for drought adaptation in Iran

NASA Astrophysics Data System (ADS)

Nikouei, Alireza; Ward, Frank A.

2013-10-01

This paper examines alternative water pricing arrangements that better manage and more accurately reflect conditions of increased water scarcity experienced during drought in Iran. A comprehensive water balance and crop use model compares the existing below cost water pricing model with an alternative two-tiered pricing approach. The tiers reflect two uses of irrigation water. The uses are (1) subsistence level crop production from farm household production of crops for food security and (2) discretionary cropping. Results of the study offer evidence for a reform of Iranian water pricing principles, subject to caveats described by the authors.

[Exploration of influencing factors of price of herbal based on VAR model].

PubMed

Wang, Nuo; Liu, Shu-Zhen; Yang, Guang

2014-10-01

Based on vector auto-regression (VAR) model, this paper takes advantage of Granger causality test, variance decomposition and impulse response analysis techniques to carry out a comprehensive study of the factors influencing the price of Chinese herbal, including herbal cultivation costs, acreage, natural disasters, the residents' needs and inflation. The study found that there is Granger causality relationship between inflation and herbal prices, cultivation costs and herbal prices. And in the total variance analysis of Chinese herbal and medicine price index, the largest contribution to it is from its own fluctuations, followed by the cultivation costs and inflation.

American option pricing in Gauss-Markov interest rate models

NASA Astrophysics Data System (ADS)

Galluccio, Stefano

1999-07-01

In the context of Gaussian non-homogeneous interest-rate models, we study the problem of American bond option pricing. In particular, we show how to efficiently compute the exercise boundary in these models in order to decompose the price as a sum of a European option and an American premium. Generalizations to coupon-bearing bonds and jump-diffusion processes for the interest rates are also discussed.

The Role of the Sheffield Model on the Minimum Unit Pricing of Alcohol Debate: The Importance of a Rhetorical Perspective

ERIC Educational Resources Information Center

Katikireddi, Srinivasa Vittal; Hilton, Shona; Bond, Lyndal

2016-01-01

The minimum unit pricing (MUP) alcohol policy debate has been informed by the Sheffield model, a study which predicts impacts of different alcohol pricing policies. This paper explores the Sheffield model's influences on the policy debate by drawing on 36 semi-structured interviews with policy actors who were involved in the policy debate.…

Prediction future asset price which is non-concordant with the historical distribution

NASA Astrophysics Data System (ADS)

Seong, Ng Yew; Hin, Pooi Ah

2015-12-01

This paper attempts to predict the major characteristics of the future asset price which is non-concordant with the distribution estimated from the price today and the prices on a large number of previous days. The three major characteristics of the i-th non-concordant asset price are the length of the interval between the occurrence time of the previous non-concordant asset price and that of the present non-concordant asset price, the indicator which denotes that the non-concordant price is extremely small or large by its values -1 and 1 respectively, and the degree of non-concordance given by the negative logarithm of the probability of the left tail or right tail of which one of the end points is given by the observed future price. The vector of three major characteristics of the next non-concordant price is modelled to be dependent on the vectors corresponding to the present and l - 1 previous non-concordant prices via a 3-dimensional conditional distribution which is derived from a 3(l + 1)-dimensional power-normal mixture distribution. The marginal distribution for each of the three major characteristics can then be derived from the conditional distribution. The mean of the j-th marginal distribution is an estimate of the value of the j-th characteristics of the next non-concordant price. Meanwhile, the 100(α/2) % and 100(1 - α/2) % points of the j-th marginal distribution can be used to form a prediction interval for the j-th characteristic of the next non-concordant price. The performance measures of the above estimates and prediction intervals indicate that the fitted conditional distribution is satisfactory. Thus the incorporation of the distribution of the characteristics of the next non-concordant price in the model for asset price has a good potential of yielding a more realistic model.

A note on `a replenishment policy for items with price-dependent demand, time-proportional deterioration and no shortages'

NASA Astrophysics Data System (ADS)

Shah, Nita H.; Soni, Hardik N.; Gupta, Jyoti

2014-08-01

In a recent paper, Begum et al. (2012, International Journal of Systems Science, 43, 903-910) established pricing and replenishment policy for an inventory system with price-sensitive demand rate, time-proportional deterioration rate which follows three parameters, Weibull distribution and no shortages. In their model formulation, it is observed that the retailer's stock level reaches zero before the deterioration occurs. Consequently, the model resulted in traditional inventory model with price sensitive demand rate and no shortages. Hence, the main purpose of this note is to modify and present complete model formulation for Begum et al. (2012). The proposed model is validated by a numerical example and the sensitivity analysis of parameters is carried out.

The effect of a major cigarette price change on smoking behavior in california: a zero-inflated negative binomial model.

PubMed

Sheu, Mei-Ling; Hu, Teh-Wei; Keeler, Theodore E; Ong, Michael; Sung, Hai-Yen

2004-08-01

The objective of this paper is to determine the price sensitivity of smokers in their consumption of cigarettes, using evidence from a major increase in California cigarette prices due to Proposition 10 and the Tobacco Settlement. The study sample consists of individual survey data from Behavioral Risk Factor Survey (BRFS) and price data from the Bureau of Labor Statistics between 1996 and 1999. A zero-inflated negative binomial (ZINB) regression model was applied for the statistical analysis. The statistical model showed that price did not have an effect on reducing the estimated prevalence of smoking. However, it indicated that among smokers the price elasticity was at the level of -0.46 and statistically significant. Since smoking prevalence is significantly lower than it was a decade ago, price increases are becoming less effective as an inducement for hard-core smokers to quit, although they may respond by decreasing consumption. For those who only smoke occasionally (many of them being young adults) price increases alone may not be an effective inducement to quit smoking. Additional underlying behavioral factors need to be identified so that more effective anti-smoking strategies can be developed.

Alcohol prices, beverage quality, and the demand for alcohol: quality substitutions and price elasticities.

PubMed

Gruenewald, Paul J; Ponicki, William R; Holder, Harold D; Romelsjö, Anders

2006-01-01

Although the published literature on alcohol beverage taxes, prices, sales, and related problems treats alcoholic beverages as a simple good, alcohol is a complex good composed of different beverage types (i.e., beer, wine, and spirits) and quality brands (e.g., high-, medium-, and low-quality beers). As a complex good, consumers may make substitutions between purchases of different beverage types and brands in response to price increases. For this reason, the availability of a broad range of beverage prices provides opportunities for consumers to mitigate the effects of average price increases through quality substitutions; a change in beverage choice in response to price increases to maintain consumption. Using Swedish price and sales data provided by Systembolaget for the years 1984 through 1994, this study assessed the relationships between alcohol beverage prices, beverage quality, and alcohol sales. The study examined price effects on alcohol consumption using seemingly unrelated regression equations to model the impacts of price increases within 9 empirically defined quality classes across beverage types. The models enabled statistical assessments of both own-price and cross-price effects between types and classes. The results of these analyses showed that consumers respond to price increases by altering their total consumption and by varying their brand choices. Significant reductions in sales were observed in response to price increases, but these effects were mitigated by significant substitutions between quality classes. The findings suggest that the net impacts of purposeful price policy to reduce consumption will depend on how such policies affect the range of prices across beverage brands.

Effects of Working Memory Capacity and Domain Knowledge on Recall for Grocery Prices.

PubMed

Bermingham, Douglas; Gardner, Michael K; Woltz, Dan J

2016-01-01

Hambrick and Engle (2002) proposed 3 models of how domain knowledge and working memory capacity may work together to influence episodic memory: a "rich-get-richer" model, a "building blocks" model, and a "compensatory" model. Their results supported the rich-get-richer model, although later work by Hambrick and Oswald (2005) found support for a building blocks model. We investigated the effects of domain knowledge and working memory on recall of studied grocery prices. Working memory was measured with 3 simple span tasks. A contrast of realistic versus fictitious foods in the episodic memory task served as our manipulation of domain knowledge, because participants could not have domain knowledge of fictitious food prices. There was a strong effect for domain knowledge (realistic food-price pairs were easier to remember) and a moderate effect for working memory capacity (higher working memory capacity produced better recall). Furthermore, the interaction between domain knowledge and working memory produced a small but significant interaction in 1 measure of price recall. This supported the compensatory model and stands in contrast to previous research.

Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black-Scholes model with transaction costs

NASA Astrophysics Data System (ADS)

Wang, Xiao-Tian

2011-05-01

This paper deals with the problem of discrete time option pricing using the fractional Black-Scholes model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price of an option under transaction costs is obtained. In addition, the relation between scaling and implied volatility smiles is discussed.

Price percolation model

NASA Astrophysics Data System (ADS)

Kanai, Yasuhiro; Abe, Keiji; Seki, Yoichi

2015-06-01

We propose a price percolation model to reproduce the price distribution of components used in industrial finished goods. The intent is to show, using the price percolation model and a component category as an example, that percolation behaviors, which exist in the matter system, the ecosystem, and human society, also exist in abstract, random phenomena satisfying the power law. First, we discretize the total potential demand for a component category, considering it a random field. Second, we assume that the discretized potential demand corresponding to a function of a finished good turns into actual demand if the difficulty of function realization is less than the maximum difficulty of the realization. The simulations using this model suggest that changes in a component category's price distribution are due to changes in the total potential demand corresponding to the lattice size and the maximum difficulty of realization, which is an occupation probability. The results are verified using electronic components' sales data.

Optimality of profit-including prices under ideal planning.

PubMed

Samuelson, P A

1973-07-01

Although prices calculated by a constant percentage markup on all costs (nonlabor as well as direct-labor) are usually admitted to be more realistic for a competitive capitalistic model, the view is often expressed that, for optimal planning purposes, the "values" model of Marx's Capital, Volume I, is to be preferred. It is shown here that an optimal-control model that maximizes discounted social utility of consumption per capita and that ultimately approaches a steady state must ultimately have optimal pricing that involves equal rates of steady-state profit in all industries; and such optimal pricing will necessarily deviate from Marx's model of equal rates of surplus value (markups on direct-labor only) in all industries.

Optimality of Profit-Including Prices Under Ideal Planning

PubMed Central

Samuelson, Paul A.

1973-01-01

Although prices calculated by a constant percentage markup on all costs (nonlabor as well as direct-labor) are usually admitted to be more realistic for a competitive capitalistic model, the view is often expressed that, for optimal planning purposes, the “values” model of Marx's Capital, Volume I, is to be preferred. It is shown here that an optimal-control model that maximizes discounted social utility of consumption per capita and that ultimately approaches a steady state must ultimately have optimal pricing that involves equal rates of steady-state profit in all industries; and such optimal pricing will necessarily deviate from Marx's model of equal rates of surplus value (markups on direct-labor only) in all industries. PMID:16592102

Next Day Price Forecasting in Deregulated Market by Combination of Artificial Neural Network and ARIMA Time Series Models

NASA Astrophysics Data System (ADS)

Areekul, Phatchakorn; Senjyu, Tomonobu; Urasaki, Naomitsu; Yona, Atsushi

Electricity price forecasting is becoming increasingly relevant to power producers and consumers in the new competitive electric power markets, when planning bidding strategies in order to maximize their benefits and utilities, respectively. This paper proposed a method to predict hourly electricity prices for next-day electricity markets by combination methodology of ARIMA and ANN models. The proposed method is examined on the Australian National Electricity Market (NEM), New South Wales regional in year 2006. Comparison of forecasting performance with the proposed ARIMA, ANN and combination (ARIMA-ANN) models are presented. Empirical results indicate that an ARIMA-ANN model can improve the price forecasting accuracy.

An analysis of electricity price behavior when the market in California was dysfunctional

NASA Astrophysics Data System (ADS)

Lee, Yoo-Soo

The electricity market in California worked well for the first two years after restructuring, but in the summer of 2000 there were frequent high price spikes and then persistently high prices during the winter and the spring of 2001. This research develops econometric models to explain the behavior of the spot and forward prices for electricity and the relationship between them when the market in California was dysfunctional. The first results demonstrate that the high spot prices in the day-ahead market during the summer of 2000 were caused by changes in the bid behavior of buyers as well as by the offer behavior of sellers. After the Federal Energy Regulatory Commission (FERC) declared that these high spot prices were "unjust and unreasonable", the FERC approved the payment of refunds to customers in California but not in other areas within the Western Inter-Connection (WECC). However, the results of a Vector Auto-Regressive model (VAR) show that the high spot prices in California were transferred immediately to other states in the WECC and the spot prices at different trading hubs belong to a single market. After the intervention by FERC in December 2000, spot prices and forward prices of electricity were unusually high. Estimated distributed lag models, using both monthly and daily data, show that there were strong positive relationships between the price shocks for electricity and natural gas in the spot markets and the forward prices for electricity. Risk premiums in the forward prices for electricity were estimated and the results show that the price shocks for electricity after FERC's intervention were the primary cause of the high forward prices. The main conclusions for regulatory policy are (1) it is virtually impossible to contain the effects of a dysfunctional electricity market to a single region because other regions are linked through the electrical grid, and (2) it is essential to intervene immediately and effectively when the spot prices have been ruled by regulators to be unjust and unreasonable. The intervention by the FERC did not prevent persistently high spot and forward prices for customers throughout the WECC.

Three essays on access pricing

NASA Astrophysics Data System (ADS)

Sydee, Ahmed Nasim

In the first essay, a theoretical model is developed to determine the time path of optimal access price in the telecommunications industry. Determining the optimal access price is an important issue in the economics of telecommunications. Setting a high access price discourages potential entrants; a low access price, on the other hand, amounts to confiscation of private property because the infrastructure already built by the incumbent is sunk. Furthermore, a low access price does not give the incumbent incentives to maintain the current network and to invest in new infrastructures. Much of the existing literature on access pricing suffers either from the limitations of a static framework or from the assumption that all costs are avoidable. The telecommunications industry is subject to high stranded costs and, therefore, to address this issue a dynamic model is imperative. This essay presents a dynamic model of one-way access pricing in which the compensation involved in deregulatory taking is formalized and then analyzed. The short run adjustment after deregulatory taking has occurred is carried out and discussed. The long run equilibrium is also analyzed. A time path for the Ramsey price is shown as the correct dynamic price of access. In the second essay, a theoretical model is developed to determine the time path of optimal access price for an infrastructure that is characterized by congestion and lumpy investment. Much of the theoretical literature on access pricing of infrastructure prescribes that the access price be set at the marginal cost of the infrastructure. In proposing this rule of access pricing, the conventional analysis assumes that infrastructure investments are infinitely divisible so that it makes sense to talk about the marginal cost of investment. Often it is the case that investments in infrastructure are lumpy and can only be made in large chunks, and this renders the marginal cost concept meaningless. In this essay, we formalize a model of access pricing with congestion and in which investments in infrastructure are lumpy. To fix ideas, the model is formulated in the context of airport infrastructure investments, which captures both the element of congestion and the lumpiness involved in infrastructure investments. The optimal investment program suggests how many units of capacity should be installed and at which times. Because time is continuous in the model, the discounted cost -- despite the lumpiness of capacity additions -- can be made to vary continuously by varying the time a capacity addition is made. The main results that emerge from the analysis can be described as follows: First, the global demand for air travel rises with time and experiences an upward jump whenever a capacity addition is made. Second, the access price is constant and stays at the basic level when the system is not congested. When the system is congested, a congestion surcharge is imposed on top of the basic level, and the congestion surcharge rises with the level of congestion until the next capacity addition is made at which time the access price takes a downward jump. Third, the individual demand for air travel is constant before congestion sets in and after the last capacity addition takes place. During a time interval in which congestion rises, the individual demand for travel is below the level that prevails when there is no congestion and declines as congestion worsens. The third essay contains a model of access pricing for natural gas transmission pipelines, both when pipeline operators are regulated and when they behave strategically. The high sunk costs involved in building a pipeline network constitute a serious barrier of entry, and competitive behaviour in the transmission pipeline sector cannot be expected. Most of the economic analyses of access pricing for natural gas transmission pipelines are carried out from the regulatory perspective, and the access price paid by shippers are cost-based. The model formalized is intended to capture some essential characteristics of networks in which components interact with one another when combined into an integrated system. The model shows how the topology of the network determines the access prices in different components of the network. The general results that emerge from the analysis can be summarized as follows. First, the monopoly power of a pipeline operator is reduced by the entry of a new pipeline supply connected in parallel to the same demand node. When the pipelines are connected in series, the one upstream enjoys a first-move advantage over the one downstream, and the toll set by the upstream pipeline operator after entry by the downstream pipeline operator will rise above the original monopoly level. The equilibrium prices of natural gas at the various nodes of the network are also discussed. (Abstract shortened by UMI.)

Underlying dynamics of typical fluctuations of an emerging market price index: The Heston model from minutes to months

NASA Astrophysics Data System (ADS)

Vicente, Renato; de Toledo, Charles M.; Leite, Vitor B. P.; Caticha, Nestor

2006-02-01

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20 min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics.

Analysis of implementation of Tradable Green Certificates system in a competitive electricity market: a game theory approach

NASA Astrophysics Data System (ADS)

Ghaffari, Meysam; Hafezalkotob, Ashkan; Makui, Ahmad

2016-06-01

This paper investigates three models to implement Tradable Green Certificates (TGC) system with aid of game theory approach. In particular, the competition between thermal and renewable power plants is formulated in three models: namely cooperative, Nash and Stackelberg game models. The price of TGC is assumed to be determined by the legislative body (government) which is fixed. Numerical examples presented in this paper include sensitivity analysis of some key parameters and comparison of the results of different models. In all three game models, the parameters that influence pricing of the TGC based on the optimal amounts are obtained. The numerical examples demonstrate that in all models: there is a reverse relation between the price of electricity and the TGC price, as well as a direct relation between the price of electricity and the share of green electricity in total electricity generation. It is found that Stackelberg model is an appropriate structure to implement the TGC system. In this model, the supply of electricity and the production of green electricity are at the highest level, while the price of electricity is at the lowest levels. In addition, payoff of the thermal power plant is at the highest levels in the Nash model. Hence this model can be an applicatory structure for implementation of the TGC system in developing countries, where the number of thermal power plants is significantly greater than the number of renewable power plants.

Pricing foreign equity option with stochastic volatility

NASA Astrophysics Data System (ADS)

Sun, Qi; Xu, Weidong

2015-11-01

In this paper we propose a general foreign equity option pricing framework that unifies the vast foreign equity option pricing literature and incorporates the stochastic volatility into foreign equity option pricing. Under our framework, the time-changed Lévy processes are used to model the underlying assets price of foreign equity option and the closed form pricing formula is obtained through the use of characteristic function methodology. Numerical tests indicate that stochastic volatility has a dramatic effect on the foreign equity option prices.

Real-time pricing strategy of micro-grid energy centre considering price-based demand response

NASA Astrophysics Data System (ADS)

Xu, Zhiheng; Zhang, Yongjun; Wang, Gan

2017-07-01

With the development of energy conversion technology such as power to gas (P2G), fuel cell and so on, the coupling between energy sources becomes more and more closely. Centralized dispatch among electricity, natural gas and heat will become a trend. With the goal of maximizing the system revenue, this paper establishes the model of micro-grid energy centre based on energy hub. According to the proposed model, the real-time pricing strategy taking into account price-based demand response of load is developed. And the influence of real-time pricing strategy on the peak load shifting is discussed. In addition, the impact of wind power predicted inaccuracy on real-time pricing strategy is analysed.

The choice of discount brand cigarettes: a comparative analysis of International Tobacco Control surveys in Canada and the USA (2002-2005).

PubMed

Nargis, Nigar; Fong, Geoffrey T; Chaloupka, Frank J; Li, Qiang

2014-03-01

Increasing tobacco taxes to increase price is a proven tobacco control measure. This article investigates how smokers respond to tax and price increases in their choice of discount brand cigarettes versus premium brands. To estimate how increase in the tax rate can affect smokers' choice of discount brands versus premium brands. Using data from International Tobacco Control surveys in Canada and the USA, a logit model was constructed to estimate the probability of choosing discount brand cigarettes in response to its price changes relative to premium brands, controlling for individual-specific demographic and socioeconomic characteristics and regional effects. The self-reported price of an individual smoker is used in a random-effects regression model to impute price and to construct the price ratio for discount and premium brands for each smoker, which is used in the logit model. An increase in the ratio of price of discount brand cigarettes to the price of premium brands by 0.1 is associated with a decrease in the probability of choosing discount brands by 0.08 in Canada. No significant effect is observed in case of the USA. The results of the model explain two phenomena: (1) the widened price differential between premium and discount brand cigarettes contributed to the increased share of discount brand cigarettes in Canada in contrast to a relatively steady share in the USA during 2002-2005 and (2) increasing the price ratio of discount brands to premium brands-which occurs with an increase in specific excise tax-may lead to upward shifting from discount to premium brands rather than to downward shifting. These results underscore the significance of studying the effectiveness of tax increases in reducing overall tobacco consumption, particularly for specific excise taxes.

Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model

PubMed Central

Zheng, Wendong; Zeng, Pingping

2016-01-01

ABSTRACT Most of the empirical studies on stochastic volatility dynamics favour the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model (SVM) is reported to be able to capture the volatility skew evolution better than the Heston model. In this article, we make a thorough investigation on the analytic tractability of the 3/2 SVM by proposing a closed-form formula for the partial transform of the triple joint transition density which stand for the log asset price, the quadratic variation (continuous realized variance) and the instantaneous variance, respectively. Two distinct formulations are provided for deriving the main result. The closed-form partial transform enables us to deduce a variety of marginal partial transforms and characteristic functions and plays a crucial role in pricing discretely sampled variance derivatives and exotic options that depend on both the asset price and quadratic variation. Various applications and numerical examples on pricing moment swaps and timer options with discrete monitoring feature are given to demonstrate the versatility of the partial transform under the 3/2 model. PMID:28706460

Dynamic pricing of network goods with boundedly rational consumers.

PubMed

Radner, Roy; Radunskaya, Ami; Sundararajan, Arun

2014-01-07

We present a model of dynamic monopoly pricing for a good that displays network effects. In contrast with the standard notion of a rational-expectations equilibrium, we model consumers as boundedly rational and unable either to pay immediate attention to each price change or to make accurate forecasts of the adoption of the network good. Our analysis shows that the seller's optimal price trajectory has the following structure: The price is low when the user base is below a target level, is high when the user base is above the target, and is set to keep the user base stationary once the target level has been attained. We show that this pricing policy is robust to a number of extensions, which include the product's user base evolving over time and consumers basing their choices on a mixture of a myopic and a "stubborn" expectation of adoption. Our results differ significantly from those that would be predicted by a model based on rational-expectations equilibrium and are more consistent with the pricing of network goods observed in practice.

Dynamic pricing of network goods with boundedly rational consumers

PubMed Central

Radner, Roy; Radunskaya, Ami; Sundararajan, Arun

2014-01-01

We present a model of dynamic monopoly pricing for a good that displays network effects. In contrast with the standard notion of a rational-expectations equilibrium, we model consumers as boundedly rational and unable either to pay immediate attention to each price change or to make accurate forecasts of the adoption of the network good. Our analysis shows that the seller’s optimal price trajectory has the following structure: The price is low when the user base is below a target level, is high when the user base is above the target, and is set to keep the user base stationary once the target level has been attained. We show that this pricing policy is robust to a number of extensions, which include the product’s user base evolving over time and consumers basing their choices on a mixture of a myopic and a “stubborn” expectation of adoption. Our results differ significantly from those that would be predicted by a model based on rational-expectations equilibrium and are more consistent with the pricing of network goods observed in practice. PMID:24367101

An econometric model of the hardwood lumber market

Treesearch

William G. Luppold

1982-01-01

A recursive econometric model with causal flow originating from the demand relationship is used to analyze the effects of exogenous variables on quantity and price of hardwood lumber. Wage rates, interest rates, stumpage price, lumber exports, and price of lumber demanders' output were the major factors influencing quantities demanded and supplied and hardwood...

Pricing Strategies and Models for the Provision of Digitized Texts in Higher Education.

ERIC Educational Resources Information Center

Hardy, Rachel; Oppenheim, Charles; Rubbert, Iris

2002-01-01

Describes research into charging mechanisms for the delivery of digitized texts to higher education students in the United Kingdom and discusses the need for a satisfactory pricing model. Explains the HERON (Higher Education Resources On-Demand) and PELICAN (Pricing Experiment Library Information Cooperative Network) projects and considers…

Nonlinear price impact from linear models

NASA Astrophysics Data System (ADS)

Patzelt, Felix; Bouchaud, Jean-Philippe

2017-12-01

The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators, and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all intra-day scales (Patzelt and Bouchaud 2017 arXiv:1706.04163). Here we investigate how well these curves, their scaling, and the underlying return dynamics are captured by linear ‘propagator’ models. We find that the classification of trades as price-changing versus non-price-changing can explain the price impact nonlinearities and short-term return dynamics to a very high degree. The explanatory power provided by the change indicator in addition to the order sign history increases with increasing tick size. To obtain these results, several long-standing technical issues for model calibration and testing are addressed. We present new spectral estimators for two- and three-point cross-correlations, removing the need for previously used approximations. We also show when calibration is unbiased and how to accurately reveal previously overlooked biases. Therefore, our results contribute significantly to understanding both recent empirical results and the properties of a popular class of impact models.

Optimal monetary policy and oil price shocks

NASA Astrophysics Data System (ADS)

Kormilitsina, Anna

This dissertation is comprised of two chapters. In the first chapter, I investigate the role of systematic U.S. monetary policy in the presence of oil price shocks. The second chapter is devoted to studying different approaches to modeling energy demand. In an influential paper, Bernanke, Gertler, and Watson (1997) and (2004) argue that systematic monetary policy exacerbated the recessions the U.S. economy experienced in the aftermath of post World War II oil price shocks. In the first chapter of this dissertation, I critically evaluate this claim in the context of an estimated medium-scale model of the U.S. business cycle. Specifically, I solve for the Ramsey optimal monetary policy in the medium-scale dynamic stochastic general equilibrium model (henceforth DSGE) of Schmitt-Grohe and Uribe (2005). To model the demand for oil, I use the approach of Finn (2000). According to this approach, the utilization of capital services requires oil usage. In the related literature on the macroeconomic effects of oil price shocks, it is common to calibrate structural parameters of the model. In contrast to this literature, I estimate the parameters of my DSGE model. The estimation strategy involves matching the impulse responses from the theoretical model to responses predicted by an empirical model. For estimation, I use the alternative to the classical Laplace type estimator proposed by Chernozhukov and Hong (2003). To obtain the empirical impulse responses, I identify an oil price shock in a structural VAR (SVAR) model of the U.S. business cycle. The SVAR model predicts that, in response to an oil price increase, GDP, investment, hours, capital utilization, and the real wage fall, while the nominal interest rate and inflation rise. These findings are economically intuitive and in line with the existing empirical evidence. Comparing the actual and the Ramsey optimal monetary policy response to an oil price shock, I find that the optimal policy allows for more inflation, a larger drop in wages, and a rise in hours compared to those actually observed. The central finding of this Chapter is that the optimal policy is associated with a smaller drop in GDP and other macroeconomic variables. The latter results therefore confirm the claim of Bernanke, Gertler and Watson that monetary policy was to a large extent responsible for the recessions that followed the oil price shocks. However, under the optimal policy, interest rates are tightened even more than what is predicted by the empirical model. This result contrasts sharply with the claim of Bernanke, Gertler, and Watson that the Federal Reserve exacerbated recessions by the excessive tightening of interest rates in response to the oil price increases. In contrast to related studies that focus on output stabilization, I find that eliminating the negative response of GDP to an oil price shock is not desirable. In the second chapter of this dissertation, I compare two approaches to modeling energy sector. Because the share of energy in GDP is small, models of energy have been criticized for their inability to explain sizeable effects of energy price increases on the economic activity. I find that if the price of energy is an exogenous AR(1) process, then the two modeling approaches produce the responses of GDP similar in size to responses observed in most empirical studies, but fail to produce the timing and the shape of the response. DSGE framework can solve the timing and the shape of impulse responses problem, however, fails to replicate the size of the impulse responses. Thus, in DSGE frameworks, amplifying mechanisms for the effect of the energy price shock and estimation based calibration of model parameters are needed to produce the size of the GDP response to the energy price shock.

Cigarette tax and public health: what are the implications of financially stressed smokers for the effects of price increases on smoking prevalence?

PubMed

Martire, Kristy A; Mattick, Richard P; Doran, Christopher M; Hall, Wayne D

2011-03-01

This paper models the predicted impact of tobacco price increases proposed in the United States and Australia during 2009 on smoking prevalence in 2010 while taking account of the effects of financial stress among smokers on cessation rates. Two models of smoking prevalence were developed for each country. In model 1, prevalence rates were determined by price elasticity estimates. In model 2 price elasticity was moderated by financial stress. Each model was used to estimate smoking prevalence in 2010 in Australia and the United States. Proposed price increases resulted in a 1.89% and 7.84% decrease in smoking participation among low socio-economic status (SES) groups in the United States and Australia, respectively. Model 1 overestimated the number of individuals expected to quit in both the United States (0.13% of smokers) and Australia (0.36% of smokers) by failing to take account of the differential effects of the tax on financially stressed smokers. The proportion of low-income smokers under financial stress increased in both countries in 2010 (by 1.06% in the United States and 3.75% in Australia). The inclusion of financial stress when modelling the impact of price on smoking prevalence suggests that the population health returns of increased cigarette price will diminish over time. As it is likely that the proportion of low-income smokers under financial stress will also increase in 2010, future population-based approaches to reducing smoking will need to address this factor. © 2010 The Authors, Addiction © 2010 Society for the Study of Addiction.

U.S. energy sector impacts of technology innovation, fuel price, and electric sector CO 2 policy: Results from the EMF 32 model intercomparison study

DOE Office of Scientific and Technical Information (OSTI.GOV)

Hodson, Elke L.; Brown, Maxwell; Cohen, Stuart

We study the impact of achieving technology innovation goals, representing significant technology cost reductions and performance improvements, in both the electric power and end-use sectors by comparing outputs from four energy-economic models through the year 2050. We harmonize model input assumptions and then compare results in scenarios that vary natural gas prices, technology cost and performance metrics, and the implementation of a representative national electricity sector carbon dioxide (CO 2) policy. Achieving the representative technology innovation goals decreases CO 2 emissions in all models, regardless of natural gas price, due to increased energy efficiency and low-carbon generation becoming more costmore » competitive. For the models that include domestic natural gas markets, achieving the technology innovation goals lowers wholesale electricity prices, but this effect diminishes as projected natural gas prices increase. Higher natural gas prices lead to higher wholesale electricity prices but fewer coal capacity retirements. Some of the models include energy efficiency improvements as part of achieving the high-technology goals. Absent these energy efficiency improvements, low-cost electricity facilitates greater electricity consumption. The effect of implementing a representative electricity sector CO 2 policy differs considerably depending on the cost and performance of generating and end-use technologies. The CO 2 policy influences electric sector evolution in the cases with reference technology assumptions but has little to no influence in the cases that achieve the technology innovation goals. This outcome implies that meeting the representative technology innovation goals achieves a generation mix with similar CO 2 emissions to the representative CO 2 policy but with smaller increases to wholesale electricity prices. Finally, higher natural gas prices, achieving the representative technology innovation goals, and the combination of the two, increases the amount of renewable generation that is cost-effective to build and operate while slowing the growth of natural-gas fired generation, which is the predominant generation type in 2050 under reference conditions.« less

Analysis of economics of a TV broadcasting satellite for additional nationwide TV programs

NASA Technical Reports Server (NTRS)

Becker, D.; Mertens, G.; Rappold, A.; Seith, W.

1977-01-01

The influence of a TV broadcasting satellite, transmitting four additional TV networks was analyzed. It is assumed that the cost of the satellite systems will be financed by the cable TV system operators. The additional TV programs increase income by attracting additional subscribers. Two economic models were established: (1) each local network is regarded as an independent economic unit with individual fees (cost price model) and (2) all networks are part of one public cable TV company with uniform fees (uniform price model). Assumptions are made for penetration as a function of subscription rates. Main results of the study are: the installation of a TV broadcasting satellite improves the economics of CTV-networks in both models; the overall coverage achievable by the uniform price model is significantly higher than that achievable by the cost price model.

Third-Degree Price Discrimination Revisited

ERIC Educational Resources Information Center

Kwon, Youngsun

2006-01-01

The author derives the probability that price discrimination improves social welfare, using a simple model of third-degree price discrimination assuming two independent linear demands. The probability that price discrimination raises social welfare increases as the preferences or incomes of consumer groups become more heterogeneous. He derives the…

Three essays on agricultural price volatility and the linkages between agricultural and energy markets

NASA Astrophysics Data System (ADS)

Wu, Feng

This dissertation contains three essays. In the first essay I use a volatility spillover model to find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time-varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices become more energy-driven as the ethanol gasoline consumption ratio increases. Based on this strong volatility link between crude oil and corn prices, a new cross hedging strategy for managing corn price risk using oil futures is examined and its performance studied. Results show that this cross hedging strategy provides only slightly better hedging performance compared to traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. The second essay studies the spillover effect of biofuel policy on participation in the Conservation Reserve Program. Landowners' participation decisions are modeled using a real options framework. A novel aspect of the model is that it captures the structural change in agriculture caused by rising biofuel production. The resulting model is used to simulate the spillover effect under various conditions. In particular, I simulate how increased growth in agricultural returns, persistence of the biofuel production boom, and the volatility surrounding agricultural returns, affect conservation program participation decisions. Policy implications of these results are also discussed. The third essay proposes a methodology to construct a risk-adjusted implied volatility measure that removes the forecasting bias of the model-free implied volatility measure. The risk adjustment is based on a closed-form relationship between the expectation of future volatility and the model-free implied volatility assuming a jump-diffusion model. I use a GMM estimation framework to identify the key model parameters needed to apply the model. An empirical application to corn futures implied volatility is used to illustrate the methodology and demonstrate differences between my approach and the model-free implied volatility using observed corn option prices. I compare the risk-adjusted forecast with the unadjusted forecast as well as other alternatives; and results suggest that the risk-adjusted volatility is unbiased, informationally more efficient, and has superior predictive power over the alternatives considered.

Impact of price deregulation policy on the affordability of essential medicines for women's health: a panel data analysis.

PubMed

Liu, Junjie; Wang, Liming; Liu, Chenxi; Zhang, Xinping

2017-12-01

A new policy which required deregulation on prices of off-patent medicines for women's health during procurement was introduced in China in September 2015. The current study examines this policy's impact on the affordability of essential medicines for women's health. Based on product-level panel data, a fixed effect regression model is employed by using procurement records from Hubei Centralist Tender for Drug Purchase platform. In the model, Affordability was measured with prices. The Competition consists of two parts: generic competition and therapeutic class competition which are measured with generic competitors and therapeutic substitutes. Instrument variable is used to deal with endogeneity. The policy helped control prices of essential medicines for women's health. Generic competition helped control prices, however, therapeutic class competition caused higher prices. The new policy helped enhance the affordability of essential medicines for women's health as expected, which provides empirical evidence on price deregulation. Besides, generic competition is important in price control despite strict regulatory system in China.

U.S. Residential Photovoltaic (PV) System Prices, Q4 2013 Benchmarks: Cash Purchase, Fair Market Value, and Prepaid Lease Transaction Prices

DOE Office of Scientific and Technical Information (OSTI.GOV)

Davidson, C.; James, T. L.; Margolis, R.

The price of photovoltaic (PV) systems in the United States (i.e., the cost to the system owner) has dropped precipitously in recent years, led by substantial reductions in global PV module prices. This report provides a Q4 2013 update for residential PV systems, based on an objective methodology that closely approximates the book value of a PV system. Several cases are benchmarked to represent common variation in business models, labor rates, and module choice. We estimate a weighted-average cash purchase price of $3.29/W for modeled standard-efficiency, polycrystalline-silicon residential PV systems installed in the United States. This is a 46% declinemore » from the 2013-dollar-adjusted price reported in the Q4 2010 benchmark report. In addition, this report frames the cash purchase price in the context of key price metrics relevant to the continually evolving landscape of third-party-owned PV systems by benchmarking the minimum sustainable lease price and the fair market value of residential PV systems.« less

Option price and market instability

NASA Astrophysics Data System (ADS)

Baaquie, Belal E.; Yu, Miao

2017-04-01

An option pricing formula, for which the price of an option depends on both the value of the underlying security as well as the velocity of the security, has been proposed in Baaquie and Yang (2014). The FX (foreign exchange) options price was empirically studied in Baaquie et al., (2014), and it was found that the model in general provides an excellent fit for all strike prices with a fixed model parameters-unlike the Black-Scholes option price Hull and White (1987) that requires the empirically determined implied volatility surface to fit the option data. The option price proposed in Baaquie and Cao Yang (2014) did not fit the data during the crisis of 2007-2008. We make a hypothesis that the failure of the option price to fit data is an indication of the market's large deviation from its near equilibrium behavior due to the market's instability. Furthermore, our indicator of market's instability is shown to be more accurate than the option's observed volatility. The market prices of the FX option for various currencies are studied in the light of our hypothesis.

Unit Price Scaling Trends for Chemical Products

DOE Office of Scientific and Technical Information (OSTI.GOV)

Qi, Wei; Sathre, Roger; William R. Morrow, III

2015-08-01

To facilitate early-stage life-cycle techno-economic modeling of emerging technologies, here we identify scaling relations between unit price and sales quantity for a variety of chemical products of three categories - metal salts, organic compounds, and solvents. We collect price quotations for lab-scale and bulk purchases of chemicals from both U.S. and Chinese suppliers. We apply a log-log linear regression model to estimate the price discount effect. Using the median discount factor of each category, one can infer bulk prices of products for which only lab-scale prices are available. We conduct out-of-sample tests showing that most of the price proxies deviatemore » from their actual reference prices by a factor less than ten. We also apply the bootstrap method to determine if a sample median discount factor should be accepted for price approximation. We find that appropriate discount factors for metal salts and for solvents are both -0.56, while that for organic compounds is -0.67 and is less representative due to greater extent of product heterogeneity within this category.« less

Implementation of fuzzy logic to determining selling price of products in a local corporate chain store

NASA Astrophysics Data System (ADS)

Kristiana, S. P. D.

2017-12-01

Corporate chain store is one type of retail industries companies that are developing growing rapidly in Indonesia. The competition between retail companies is very tight, so retailer companies should evaluate its performance continuously in order to survive. The selling price of products is one of the essential attributes and gets attention of many consumers where it’s used to evaluate the performance of the industry. This research aimed to determine optimal selling price of product with considering cost factors, namely purchase price of the product from supplier, holding costs, and transportation costs. Fuzzy logic approach is used in data processing with MATLAB software. Fuzzy logic is selected to solve the problem because this method can consider complexities factors. The result is a model of determination of the optimal selling price by considering three cost factors as inputs in the model. Calculating MAPE and model prediction ability for some products are used as validation and verification where the average value is 0.0525 for MAPE and 94.75% for prediction ability. The conclusion is this model can predict the selling price of up to 94.75%, so it can be used as tools for the corporate chain store in particular to determine the optimal selling price for its products.

Optimal pricing policies for services with consideration of facility maintenance costs

NASA Astrophysics Data System (ADS)

Yeh, Ruey Huei; Lin, Yi-Fang

2012-06-01

For survival and success, pricing is an essential issue for service firms. This article deals with the pricing strategies for services with substantial facility maintenance costs. For this purpose, a mathematical framework that incorporates service demand and facility deterioration is proposed to address the problem. The facility and customers constitute a service system driven by Poisson arrivals and exponential service times. A service demand with increasing price elasticity and a facility lifetime with strictly increasing failure rate are also adopted in modelling. By examining the bidirectional relationship between customer demand and facility deterioration in the profit model, the pricing policies of the service are investigated. Then analytical conditions of customer demand and facility lifetime are derived to achieve a unique optimal pricing policy. The comparative statics properties of the optimal policy are also explored. Finally, numerical examples are presented to illustrate the effects of parameter variations on the optimal pricing policy.

A pilot study to assess feasibility of value based pricing in Cyprus through pharmacoeconomic modelling and assessment of its operational framework: sorafenib for second line renal cell cancer.

PubMed

Petrou, Panagiotis; Talias, Michael A

2014-01-01

The continuing increase of pharmaceutical expenditure calls for new approaches to pricing and reimbursement of pharmaceuticals. Value based pricing of pharmaceuticals is emerging as a useful tool and possess theoretical attributes to help health system cope with rising pharmaceutical expenditure. To assess the feasibility of introducing a value-based pricing scheme of pharmaceuticals in Cyprus and explore the integrative framework. A probabilistic Markov chain Monte Carlo model was created to simulate progression of advanced renal cell cancer for comparison of sorafenib to standard best supportive care. Literature review was performed and efficacy data were transferred from a published landmark trial, while official pricelists and clinical guidelines from Cyprus Ministry of Health were utilised for cost calculation. Based on proposed willingness to pay threshold the maximum price of sorafenib for the indication of second line renal cell cancer was assessed. Sorafenib value based price was found to be significantly lower compared to its current reference price. Feasibility of Value Based Pricing is documented and pharmacoeconomic modelling can lead to robust results. Integration of value and affordability in the price are its main advantages which have to be weighed against lack of documentation for several theoretical parameters that influence outcome. Smaller countries such as Cyprus may experience adversities in establishing and sustaining essential structures for this scheme.

Greed, fear and stock market dynamics

NASA Astrophysics Data System (ADS)

Westerhoff, Frank H.

2004-11-01

We present a behavioral stock market model in which traders are driven by greed and fear. In general, the agents optimistically believe in rising markets and thus buy stocks. But if stock prices change too abruptly, they panic and sell stocks. Our model mimics some stylized facts of stock market dynamics: (1) stock prices increase over time, (2) stock markets sometimes crash, (3) stock prices show little pair correlation between successive daily changes, and (4) periods of low volatility alternate with periods of high volatility. A strong feature of the model is that stock prices completely evolve according to a deterministic low-dimensional nonlinear law of motion.

Calibration of short rate term structure models from bid-ask coupon bond prices

NASA Astrophysics Data System (ADS)

Gomes-Gonçalves, Erika; Gzyl, Henryk; Mayoral, Silvia

2018-02-01

In this work we use the method of maximum entropy in the mean to provide a model free, non-parametric methodology that uses only market data to provide the prices of the zero coupon bonds, and then, a term structure of the short rates. The data used consists of the prices of the bid-ask ranges of a few coupon bonds quoted in the market. The prices of the zero coupon bonds obtained in the first stage, are then used as input to solve a recursive set of equations to determine a binomial recombinant model of the short term structure of the interest rates.

Maximum likelihood estimation of finite mixture model for economic data

NASA Astrophysics Data System (ADS)

Phoong, Seuk-Yen; Ismail, Mohd Tahir

2014-06-01

Finite mixture model is a mixture model with finite-dimension. This models are provides a natural representation of heterogeneity in a finite number of latent classes. In addition, finite mixture models also known as latent class models or unsupervised learning models. Recently, maximum likelihood estimation fitted finite mixture models has greatly drawn statistician's attention. The main reason is because maximum likelihood estimation is a powerful statistical method which provides consistent findings as the sample sizes increases to infinity. Thus, the application of maximum likelihood estimation is used to fit finite mixture model in the present paper in order to explore the relationship between nonlinear economic data. In this paper, a two-component normal mixture model is fitted by maximum likelihood estimation in order to investigate the relationship among stock market price and rubber price for sampled countries. Results described that there is a negative effect among rubber price and stock market price for Malaysia, Thailand, Philippines and Indonesia.

Nonlinear Schrödinger approach to European option pricing

NASA Astrophysics Data System (ADS)

Wróblewski, Marcin

2017-05-01

This paper deals with numerical option pricing methods based on a Schrödinger model rather than the Black-Scholes model. Nonlinear Schrödinger boundary value problems seem to be alternatives to linear models which better reflect the complexity and behavior of real markets. Therefore, based on the nonlinear Schrödinger option pricing model proposed in the literature, in this paper a model augmented by external atomic potentials is proposed and numerically tested. In terms of statistical physics the developed model describes the option in analogy to a pair of two identical quantum particles occupying the same state. The proposed model is used to price European call options on a stock index. the model is calibrated using the Levenberg-Marquardt algorithm based on market data. A Runge-Kutta method is used to solve the discretized boundary value problem numerically. Numerical results are provided and discussed. It seems that our proposal more accurately models phenomena observed in the real market than do linear models.

"Photographing money" task pricing

NASA Astrophysics Data System (ADS)

Jia, Zhongxiang

2018-05-01

"Photographing money" [1]is a self-service model under the mobile Internet. The task pricing is reasonable, related to the success of the commodity inspection. First of all, we analyzed the position of the mission and the membership, and introduced the factor of membership density, considering the influence of the number of members around the mission on the pricing. Multivariate regression of task location and membership density using MATLAB to establish the mathematical model of task pricing. At the same time, we can see from the life experience that membership reputation and the intensity of the task will also affect the pricing, and the data of the task success point is more reliable. Therefore, the successful point of the task is selected, and its reputation, task density, membership density and Multiple regression of task positions, according to which a nhew task pricing program. Finally, an objective evaluation is given of the advantages and disadvantages of the established model and solution method, and the improved method is pointed out.

The tell-tale look: viewing time, preferences, and prices.

PubMed

Gunia, Brian C; Murnighan, J Keith

2015-01-01

Even the simplest choices can prompt decision-makers to balance their preferences against other, more pragmatic considerations like price. Thus, discerning people's preferences from their decisions creates theoretical, empirical, and practical challenges. The current paper addresses these challenges by highlighting some specific circumstances in which the amount of time that people spend examining potential purchase items (i.e., viewing time) can in fact reveal their preferences. Our model builds from the gazing literature, in a purchasing context, to propose that the informational value of viewing time depends on prices. Consistent with the model's predictions, four studies show that when prices are absent or moderate, viewing time provides a signal that is consistent with a person's preferences and purchase intentions. When prices are extreme or consistent with a person's preferences, however, viewing time is a less reliable predictor of either. Thus, our model highlights a price-contingent "viewing bias," shedding theoretical, empirical, and practical light on the psychology of preferences and visual attention, and identifying a readily observable signal of preference.

Pricing and inventory policies for Hi-tech products under replacement warranty

NASA Astrophysics Data System (ADS)

Tsao, Yu-Chung; Teng, Wei-Guang; Chen, Ruey-Shii; Chou, Wang-Ying

2014-06-01

Companies, especially in the Hi-tech (high-technology) industry (such as computer, communication and consumer electronic products), often provide a replacement warranty period for purchased items. In reality, simultaneously determining the price and inventory decisions under warranty policy is an important issue. The objective of this paper is to develop a joint pricing and inventory model for Hi-tech products under replacement warranty policy. In the first model, we consider a Hi-tech product feature in which the selling price is declining in a trend. We determine the optimal inventory level for each period and retail price for the first period while maximising the total profit. In the second model, we further determine the optimal retail price and inventory level for each period in the dynamic demand market. This study develops solution approaches to solve the problems described above. Numerical analysis discusses the influence of system parameters on the company's decisions and behaviours. The results of this study could serve as a reference for business managers or administrators.

Modeling of price and profit in coupled-ring networks

NASA Astrophysics Data System (ADS)

Tangmongkollert, Kittiwat; Suwanna, Sujin

2016-06-01

We study the behaviors of magnetization, price, and profit profiles in ring networks in the presence of the external magnetic field. The Ising model is used to determine the state of each node, which is mapped to the buy-or-sell state in a financial market, where +1 is identified as the buying state, and -1 as the selling state. Price and profit mechanisms are modeled based on the assumption that price should increase if demand is larger than supply, and it should decrease otherwise. We find that the magnetization can be induced between two rings via coupling links, where the induced magnetization strength depends on the number of the coupling links. Consequently, the price behaves linearly with time, where its rate of change depends on the magnetization. The profit grows like a quadratic polynomial with coefficients dependent on the magnetization. If two rings have opposite direction of net spins, the price flows in the direction of the majority spins, and the network with the minority spins gets a loss in profit.

Pricing behaviour of pharmacies after market deregulation for OTC drugs: the case of Germany.

PubMed

Stargardt, Tom; Schreyögg, Jonas; Busse, Reinhard

2007-11-01

To examine the price reactions of German pharmacies to changes made to OTC drug regulations in 2004. Prior to these changes, regulations guaranteed identical prices in all German pharmacies. Two years after market deregulation, 256 pharmacies were surveyed to determine the retail prices of five selected OTC drugs. A probit regression model was used to identify factors that increased the likelihood of price changes. In addition, 409 pharmacy consumers were interviewed to gather information on their knowledge of the regulatory changes and to better explain consumer behaviour. Data was collected on a total of 1215 prices. Two years after deregulation, 23.1% of the participating pharmacies had modified the price of at least one of the five OTCs included in our study. However, in total, only 7.5% of the prices differed from their pre-deregulation level. The probit model showed that population density and the geographic concentration of pharmacies were significantly associated with price changes. Interestingly, the association with the geographic concentration of pharmacies was negative. The consumer survey revealed that 47.1% of those interviewed were aware of the deregulation. Our findings indicate that, two years after deregulation, very few pharmacies had made use of individual pricing strategies; price competition between pharmacies in Germany is thus taking place only a very small scale.

A Comparison of Software Schedule Estimators

DTIC Science & Technology

1990-09-01

SLIM ...................................... 33 SPQR /20 ................................... 35 System -4 .................................... 37 Previous...24 3. PRICE-S Outputs ..................................... 26 4. COCOMO Factors by Category ........................... 28 5. SPQR /20 Activities...actual schedules experienced on the projects. The models analyzed were REVIC, PRICE-S, System-4, SPQR /20, and SEER. ix A COMPARISON OF SOFTWARE

Oil price: Endless ability to surprise

NASA Astrophysics Data System (ADS)

Manzano, Baltasar

2016-05-01

Economic agents have varying expectations on oil price fluctuations that play an important role in determining the timing and magnitude of oil price shocks. A study now shows that heterogeneous expectations should be included when modelling oil price shocks to grasp their impact on macroeconomic outcomes and energy policies.

The Evolution of Software Pricing: From Box Licenses to Application Service Provider Models.

ERIC Educational Resources Information Center

Bontis, Nick; Chung, Honsan

2000-01-01

Describes three different pricing models for software. Findings of this case study support the proposition that software pricing is a complex and subjective process. The key determinant of alignment between vendor and user is the nature of value in the software to the buyer. This value proposition may range from increased cost reduction to…

Global modelling to predict timber production and prices: the GFPM approach

Treesearch

Joseph Buongiorno

2014-01-01

Timber production and prices are determined by the global demand for forest products, and the capability of producers from many countries to grow and harvest trees, transform them into products and export. The Global Forest Products Model (GFPM) simulates how this global demand and supply of multiple products among many countries determines prices and attendant...

Generalization of Faustmann's Formula for Stochastic Forest Growth and Prices with Markov Decision Process Models

Treesearch

Joseph Buongiorno

2001-01-01

Faustmann's formula gives the land value, or the forest value of land with trees, under deterministic assumptions regarding future stand growth and prices, over an infinite horizon. Markov decision process (MDP) models generalize Faustmann's approach by recognizing that future stand states and prices are known only as probabilistic distributions. The...

Spatial price dynamics: From complex network perspective

NASA Astrophysics Data System (ADS)

Li, Y. L.; Bi, J. T.; Sun, H. J.

2008-10-01

The spatial price problem means that if the supply price plus the transportation cost is less than the demand price, there exists a trade. Thus, after an amount of exchange, the demand price will decrease. This process is continuous until an equilibrium state is obtained. However, how the trade network structure affects this process has received little attention. In this paper, we give a evolving model to describe the levels of spatial price on different complex network structures. The simulation results show that the network with shorter path length is sensitive to the variation of prices.

Physicians' fees and public medical care programs.

PubMed Central

Lee, R H; Hadley, J

1981-01-01

In this article we develop and estimate a model of physicians' pricing that explicitly incorporates the effects of Medicare and Medicaid demand subsidies. Our analysis is based on a multiperiod model in which physicians are monopolistic competitors supplying services to several markets. The implications of the model are tested using data derived from claims submitted by a cohort of 1,200 California physicians during the years 1972-1975. We conclude that the demand for physician's services is relatively elastic; that increases in the local supply of physicians reduce prices somewhat; that physicians respond strategically to attempts to control prices through the customary-prevailing-reasonable system; and that price controls limit the rate of increase in physicians' prices. The analysis identifies a family of policies that recognize the monopsony power of public programs and may change the cost-access trade-off. PMID:7021479

Residential water demand model under block rate pricing: A case study of Beijing, China

NASA Astrophysics Data System (ADS)

Chen, H.; Yang, Z. F.

2009-05-01

In many cities, the inconsistency between water supply and water demand has become a critical problem because of deteriorating water shortage and increasing water demand. Uniform price of residential water cannot promote the efficient water allocation. In China, block water price will be put into practice in the future, but the outcome of such regulation measure is unpredictable without theory support. In this paper, the residential water is classified by the volume of water usage based on economic rules and block water is considered as different kinds of goods. A model based on extended linear expenditure system (ELES) is constructed to simulate the relationship between block water price and water demand, which provide theoretical support for the decision-makers. Finally, the proposed model is used to simulate residential water demand under block rate pricing in Beijing.

Applications of statistical physics to technology price evolution

NASA Astrophysics Data System (ADS)

McNerney, James

Understanding how changing technology affects the prices of goods is a problem with both rich phenomenology and important policy consequences. Using methods from statistical physics, I model technology-driven price evolution. First, I examine a model for the price evolution of individual technologies. The price of a good often follows a power law equation when plotted against its cumulative production. This observation turns out to have significant consequences for technology policy aimed at mitigating climate change, where technologies are needed that achieve low carbon emissions at low cost. However, no theory adequately explains why technology prices follow power laws. To understand this behavior, I simplify an existing model that treats technologies as machines composed of interacting components. I find that the power law exponent of the price trajectory is inversely related to the number of interactions per component. I extend the model to allow for more realistic component interactions and make a testable prediction. Next, I conduct a case-study on the cost evolution of coal-fired electricity. I derive the cost in terms of various physical and economic components. The results suggest that commodities and technologies fall into distinct classes of price models, with commodities following martingales, and technologies following exponentials in time or power laws in cumulative production. I then examine the network of money flows between industries. This work is a precursor to studying the simultaneous evolution of multiple technologies. Economies resemble large machines, with different industries acting as interacting components with specialized functions. To begin studying the structure of these machines, I examine 20 economies with an emphasis on finding common features to serve as targets for statistical physics models. I find they share the same money flow and industry size distributions. I apply methods from statistical physics to show that industries cluster the same way according to industry type. Finally, I use these industry money flows to model the price evolution of many goods simultaneously, where network effects become important. I derive a prediction for which goods tend to improve most rapidly. The fastest-improving goods are those with the highest mean path lengths in the money flow network.

Essays on pricing dynamics, price dispersion, and nested logit modelling

NASA Astrophysics Data System (ADS)

Verlinda, Jeremy Alan

The body of this dissertation comprises three standalone essays, presented in three respective chapters. Chapter One explores the possibility that local market power contributes to the asymmetric relationship observed between wholesale costs and retail prices in gasoline markets. I exploit an original data set of weekly gas station prices in Southern California from September 2002 to May 2003, and take advantage of highly detailed station and local market-level characteristics to determine the extent to which spatial differentiation influences price-response asymmetry. I find that brand identity, proximity to rival stations, bundling and advertising, operation type, and local market features and demographics each influence a station's predicted asymmetric relationship between prices and wholesale costs. Chapter Two extends the existing literature on the effect of market structure on price dispersion in airline fares by modeling the effect at the disaggregate ticket level. Whereas past studies rely on aggregate measures of price dispersion such as the Gini coefficient or the standard deviation of fares, this paper estimates the entire empirical distribution of airline fares and documents how the shape of the distribution is determined by market structure. Specifically, I find that monopoly markets favor a wider distribution of fares with more mass in the tails while duopoly and competitive markets exhibit a tighter fare distribution. These findings indicate that the dispersion of airline fares may result from the efforts of airlines to practice second-degree price discrimination. Chapter Three adopts a Bayesian approach to the problem of tree structure specification in nested logit modelling, which requires a heavy computational burden in calculating marginal likelihoods. I compare two different techniques for estimating marginal likelihoods: (1) the Laplace approximation, and (2) reversible jump MCMC. I apply the techniques to both a simulated and a travel mode choice data set, and find that model selection is invariant to prior specification, while model derivatives like willingness-to-pay are notably sensitive to model choice. I also find that the Laplace approximation is remarkably accurate in spite of the potential for nested logit models to have irregular likelihood surfaces.

Creating New Pricing Models for Electronic Publishing.

ERIC Educational Resources Information Center

Boelio, David B.; Knight, Nancy H.

Establishing pricing policies for electronic publishing that are fair and flexible is of vital importance to the information industry. The pricing of most information available electronically is far less efficient and market-sensitive than it could be. Some of the new approaches to pricing, emphasizing a usage-based metric providing qualitative…

A General Econometric Model of the Determinants of Library Subscription Prices of Scholarly Journals: The Role of Exchange Rate Risk and Other Factors.

ERIC Educational Resources Information Center

Chressanthis, George A.; Chressanthis, June D.

1994-01-01

Provides regression-based empirical evidence of the effects of variations in exchange rate risk on 1985 library prices of the top-ranked 99 journals in economics. The relationship between individual journal prices and library prices is shown, and other factors associated with increases and decreases in library journal prices are given. (Contains…

Tiered co-payments, pricing, and demand in reference price markets for pharmaceuticals.

PubMed

Herr, Annika; Suppliet, Moritz

2017-12-01

Health insurance companies curb price-insensitive behavior and the moral hazard of insureds by means of cost-sharing, such as tiered co-payments or reference pricing in drug markets. This paper evaluates the effect of price limits - below which drugs are exempt from co-payments - on prices and on demand. First, using a difference-in-differences estimation strategy, we find that the new policy decreases prices by 5 percent for generics and increases prices by 4 percent for brand-name drugs in the German reference price market. Second, estimating a nested-logit demand model, we show that consumers appreciate co-payment exempt drugs and calculate lower price elasticities for brand-name drugs than for generics. This explains the different price responses of brand-name and generic drugs and shows that price-related co-payment tiers are an effective tool to steer demand to low-priced drugs. Copyright © 2017 Elsevier B.V. All rights reserved.

An optimization model for roadway pricing on rural freeways.

DOT National Transportation Integrated Search

2012-02-01

The main objective of rural roadway pricing is revenue generation, rather than elimination of congestion externalities. This report presents a model that provides optimum tolls accounting for pavement deterioration and economic impacts. This model co...

An agent-based approach to modelling the effects of extreme events on global food prices

NASA Astrophysics Data System (ADS)

Schewe, Jacob; Otto, Christian; Frieler, Katja

2015-04-01

Extreme climate events such as droughts or heat waves affect agricultural production in major food producing regions and therefore can influence the price of staple foods on the world market. There is evidence that recent dramatic spikes in grain prices were at least partly triggered by actual and/or expected supply shortages. The reaction of the market to supply changes is however highly nonlinear and depends on complex and interlinked processes such as warehousing, speculation, and export restrictions. Here we present for the first time an agent-based modelling framework that accounts, in simplified terms, for these processes and allows to estimate the reaction of world food prices to supply shocks on a short (monthly) timescale. We test the basic model using observed historical supply, demand, and price data of wheat as a major food grain. Further, we illustrate how the model can be used in conjunction with biophysical crop models to assess the effect of future changes in extreme event regimes on the volatility of food prices. In particular, the explicit representation of storage dynamics makes it possible to investigate the potentially nonlinear interaction between simultaneous extreme events in different food producing regions, or between several consecutive events in the same region, which may both occur more frequently under future global warming.

Effects of regulation on drug launch and pricing in interdependent markets.

PubMed

Danzon, Patricia M; Epstein, Andrew J

2012-01-01

This study examines the effect of price regulation and competition on launch timing and pricing of new drugs. Our data cover launch experience in 15 countries from 1992 to 2003 for drugs in 12 major therapeutic classes. We estimate a two-equation model of launch hazard and launch price of new drugs. We find that launch timing and prices of new drugs are related to a country's average prices of established products in a class. Thus to the extent that price regulation reduces price levels, such regulation directly contributes to launch delay in the regulating country. Regulation by external referencing, whereby high-price countries reference low-price countries, also has indirect or spillover effects, contributing to launch delay and higher launch prices in low-price referenced countries. Referencing policies adopted in high-price countries indirectly impose welfare loss on low-price countries. These findings have implications for US proposals to constrain pharmaceutical prices through external referencing and drug importation.

Reference pricing with endogenous generic entry.

PubMed

Brekke, Kurt R; Canta, Chiara; Straume, Odd Rune

2016-12-01

Reference pricing intends to reduce pharmaceutical expenditures by increasing demand elasticity and stimulating generic competition. We develop a novel model where a brand-name producer competes in prices with several generics producers in a market with brand-biased and brand-neutral consumers. Comparing with coinsurance, we show that reference pricing, contrary to policy makers' intentions, discourages generic entry, as it induces the brand-name producer to price more aggressively. Thus, the net effect of reference pricing on drug prices is ambiguous, implying that reference pricing can be counterproductive in reducing expenditures. However, under price regulation, we show that reference pricing may stimulate generic entry, since a binding price cap weakens the aggressive price response by the brand-name producer. This may explain mixed empirical results on the competitive effects of reference pricing. Finally, we show that reference pricing may be welfare improving when accounting for brand preferences despite its adverse effects on entry and prices. Copyright © 2016 Elsevier B.V. All rights reserved.

Estimated effect of alcohol pricing policies on health and health economic outcomes in England: an epidemiological model.

PubMed

Purshouse, Robin C; Meier, Petra S; Brennan, Alan; Taylor, Karl B; Rafia, Rachid

2010-04-17

Although pricing policies for alcohol are known to be effective, little is known about how specific interventions affect health-care costs and health-related quality-of-life outcomes for different types of drinkers. We assessed effects of alcohol pricing and promotion policy options in various population subgroups. We built an epidemiological mathematical model to appraise 18 pricing policies, with English data from the Expenditure and Food Survey and the General Household Survey for average and peak alcohol consumption. We used results from econometric analyses (256 own-price and cross-price elasticity estimates) to estimate effects of policies on alcohol consumption. We applied risk functions from systemic reviews and meta-analyses, or derived from attributable fractions, to model the effect of consumption changes on mortality and disease prevalence for 47 illnesses. General price increases were effective for reduction of consumption, health-care costs, and health-related quality of life losses in all population subgroups. Minimum pricing policies can maintain this level of effectiveness for harmful drinkers while reducing effects on consumer spending for moderate drinkers. Total bans of supermarket and off-license discounting are effective but banning only large discounts has little effect. Young adult drinkers aged 18-24 years are especially affected by policies that raise prices in pubs and bars. Minimum pricing policies and discounting restrictions might warrant further consideration because both strategies are estimated to reduce alcohol consumption, and related health harms and costs, with drinker spending increases targeting those who incur most harm. Policy Research Programme, UK Department of Health. Copyright 2010 Elsevier Ltd. All rights reserved.

Oil price and exchange rate co-movements in Asian countries: Detrended cross-correlation approach

NASA Astrophysics Data System (ADS)

Hussain, Muntazir; Zebende, Gilney Figueira; Bashir, Usman; Donghong, Ding

2017-01-01

Most empirical literature investigates the relation between oil prices and exchange rate through different models. These models measure this relationship on two time scales (long and short terms), and often fail to observe the co-movement of these variables at different time scales. We apply a detrended cross-correlation approach (DCCA) to investigate the co-movements of the oil price and exchange rate in 12 Asian countries. This model determines the co-movements of oil price and exchange rate at different time scale. The exchange rate and oil price time series indicate unit root problem. Their correlation and cross-correlation are very difficult to measure. The result becomes spurious when periodic trend or unit root problem occurs in these time series. This approach measures the possible cross-correlation at different time scale and controlling the unit root problem. Our empirical results support the co-movements of oil prices and exchange rate. Our results support a weak negative cross-correlation between oil price and exchange rate for most Asian countries included in our sample. The results have important monetary, fiscal, inflationary, and trade policy implications for these countries.

Stackelberg Game Model of Wind Farm and Electric Vehicle Battery Switch Station

NASA Astrophysics Data System (ADS)

Jiang, Zhe; Li, Zhimin; Li, Wenbo; Wang, Mingqiang; Wang, Mengxia

2017-05-01

In this paper, a cooperation method between wind farm and Electric vehicle battery switch station (EVBSS) was proposed. In the pursuit of maximizing their own benefits, the cooperation between wind farm and EVBSS was formulated as a Stackelberg game model by treating them as decision makers in different status. As the leader, wind farm will determine the charging/discharging price to induce the charging and discharging behavior of EVBSS reasonably. Through peak load shifting, wind farm could increase its profits by selling more wind power to the power grid during time interval with a higher purchase price. As the follower, EVBSS will charge or discharge according to the price determined by wind farm. Through optimizing the charging /discharging strategy, EVBSS will try to charge with a lower price and discharge with a higher price in order to increase its profits. Since the possible charging /discharging strategy of EVBSS is known, the wind farm will take the strategy into consideration while deciding the charging /discharging price, and will adjust the price accordingly to increase its profits. The case study proved that the proposed cooperation method and model were feasible and effective.

An Empirical Assessment of Defense Contractor Risk 1976-1984.

DTIC Science & Technology

1986-06-01

Model to evaluate the. Department of Defense contract pricing , financing, and profit policies . ’ D*’ ’ *NTV D? 7A’:: TA E *A l ..... -:- A-i SN 0102...defense con- tractor risk-return relationship is performed utilizing four methods: mean-variance analysis of rate of return, the Capital Asset Pricing Model ...relationship is performed utilizing four methods: mean- variance analysis of rate of return, the Capital Asset Pricing Model , mean-variance analysis of total

Asymmetric and persistent responses in price volatility of fertilizers through stable and unstable periods

NASA Astrophysics Data System (ADS)

Lahmiri, Salim

2017-01-01

Fertilizers are important to improve agricultural productivity growth. The purpose of this study is to investigate asymmetry, leverage, and persistence of shocks on price volatility of five fertilizers using EGARCH model during stable and unstable time periods, corresponding to before and after 2007 international financial crisis, respectively. Using price data of rock phosphate, triple super phosphate, diammonium phosphate (DAP), urea, and potassium chloride, it is found that fertilizers price volatilities display an apparent asymmetric response to shocks which have much pronounced and permanent effect during unstable period than in during stable period. Such effects should be taken into account whenever volatility modeling of fertilizers is considered, particularly during periods of volatile price.

The impact of oil price on Malaysian sector indices

NASA Astrophysics Data System (ADS)

Ismail, Mohd Tahir; Luan, Yeap Pei; Ee, Ong Joo

2015-12-01

In this paper, vector error correction model (VECM) has been utilized to model the dynamic relationships between world crude oil price and the sector indices of Malaysia. The sector indices have been collected are covering the period Jan 1998 to Dec 2013. Surprisingly, our investigations show that oil price changes do not Granger-cause any of the sectors in all of Malaysia. However, sector indices of Food Producer and Utilities are found to be the cause of the changes in world crude oil prices. Furthermore, from the results of variance decomposition, very high percentage of shocks is explained by world crude oil price itself over the 12 months and small impact from other sector indices.

Pricing policy for declining demand using item preservation technology.

PubMed

Khedlekar, Uttam Kumar; Shukla, Diwakar; Namdeo, Anubhav

2016-01-01

We have designed an inventory model for seasonal products in which deterioration can be controlled by item preservation technology investment. Demand for the product is considered price sensitive and decreases linearly. This study has shown that the profit is a concave function of optimal selling price, replenishment time and preservation cost parameter. We simultaneously determined the optimal selling price of the product, the replenishment cycle and the cost of item preservation technology. Additionally, this study has shown that there exists an optimal selling price and optimal preservation investment to maximize the profit for every business set-up. Finally, the model is illustrated by numerical examples and sensitive analysis of the optimal solution with respect to major parameters.

Three essays on price dynamics and causations among energy markets and macroeconomic information

NASA Astrophysics Data System (ADS)

Hong, Sung Wook

This dissertation examines three important issues in energy markets: price dynamics, information flow, and structural change. We discuss each issue in detail, building empirical time series models, analyzing the results, and interpreting the findings. First, we examine the contemporaneous interdependencies and information flows among crude oil, natural gas, and electricity prices in the United States (US) through the multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model, Directed Acyclic Graph (DAG) for contemporaneous causal structures and Bernanke factorization for price dynamic processes. Test results show that the DAG from residuals of out-of-sample-forecast is consistent with the DAG from residuals of within-sample-fit. The result supports innovation accounting analysis based on DAGs using residuals of out-of-sample-forecast. Second, we look at the effects of the federal fund rate and/or WTI crude oil price shock on US macroeconomic and financial indicators by using a Factor Augmented Vector Autoregression (FAVAR) model and a graphical model without any deductive assumption. The results show that, in contemporaneous time, the federal fund rate shock is exogenous as the identifying assumption in the Vector Autoregression (VAR) framework of the monetary shock transmission mechanism, whereas the WTI crude oil price return is not exogenous. Third, we examine price dynamics and contemporaneous causality among the price returns of WTI crude oil, gasoline, corn, and the S&P 500. We look for structural break points and then build an econometric model to find the consistent sub-periods having stable parameters in a given VAR framework and to explain recent movements and interdependency among returns. We found strong evidence of two structural breaks and contemporaneous causal relationships among the residuals, but also significant differences between contemporaneous causal structures for each sub-period.

Prices and E-Cigarette Demand: Evidence From the European Union.

PubMed

Stoklosa, Michal; Drope, Jeffrey; Chaloupka, Frank J

2016-10-01

Many European Union (EU) Member States have expressed the need for EU legislation to clarify the issue of e-cigarette taxation, but the economic evidence to inform creation of such policies has been lacking. To date, only one study-on the United States only-has examined responsiveness of e-cigarette demand to price changes. We used 2011-2014 pooled time-series data on e-cigarette sales, as well as e-cigarette and cigarette prices for six EU markets (Estonia, Ireland, Latvia, Lithuania, Sweden, and the United Kingdom). We utilized static and dynamic fixed-effects models to estimate the own and cross-price elasticity of demand for e-cigarettes. In a separate model for Sweden, we examined the effects of snus prices on e-cigarette sales. Based on static models, every 10% increase in e-cigarette prices is associated with a drop in e-cigarettes sales of approximately 8.2%, while based on dynamic models, the drop is 2.7% in the short run and 11.5% in the long run. Combustible cigarette prices are positively associated with sales of e-cigarettes. Snus prices are positively associated with sales of e-cigarettes in Sweden. Our results indicate that the sales of e-cigarettes are responsive to price changes, which suggests that excise taxes can help governments to mitigate an increase in e-cigarette use. E-cigarettes and regular cigarettes are substitutes, with higher cigarette prices being associated with increased e-cigarette sales. Making combustible cigarettes more expensive compared to e-cigarettes could be effective in moving current combustible smokers to e-cigarettes, which might have positive health effects. This study is an exploratory analysis of the issues around e-cigarette taxation in Europe. Our results suggest that taxation is a measure that could potentially address the concerns of both opponents and proponents of e-cigarettes: taxes on e-cigarettes could be used to raise prices so as to deter e-cigarette initiation by never users, while concomitant greater tax increases on regular cigarettes could incentivize switching from combustible products to e-cigarettes. The estimates from our models suggest that e-cigarette demand is possibly more responsive to price than cigarette demand. Policymakers who consider implementing excise taxes on e-cigarettes should take this difference in price responsiveness of demand for these two products under consideration. © The Author 2016. Published by Oxford University Press on behalf of the Society for Research on Nicotine and Tobacco. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.

A High-Dimensional, Multivariate Copula Approach to Modeling Multivariate Agricultural Price Relationships and Tail Dependencies

Treesearch

Xuan Chi; Barry Goodwin

2012-01-01

Spatial and temporal relationships among agricultural prices have been an important topic of applied research for many years. Such research is used to investigate the performance of markets and to examine linkages up and down the marketing chain. This research has empirically evaluated price linkages by using correlation and regression models and, later, linear and...

Speculative behavior and asset price dynamics.

PubMed

Westerhoff, Frank

2003-07-01

This paper deals with speculative trading. Guided by empirical observations, a nonlinear deterministic asset pricing model is developed in which traders repeatedly choose between technical and fundamental analysis to determine their orders. The interaction between the trading rules produces complex dynamics. The model endogenously replicates the stylized facts of excess volatility, high trading volumes, shifts in the level of asset prices, and volatility clustering.

An EOQ Model with Two-Parameter Weibull Distribution Deterioration and Price-Dependent Demand

ERIC Educational Resources Information Center

Mukhopadhyay, Sushanta; Mukherjee, R. N.; Chaudhuri, K. S.

2005-01-01

An inventory replenishment policy is developed for a deteriorating item and price-dependent demand. The rate of deterioration is taken to be time-proportional and the time to deterioration is assumed to follow a two-parameter Weibull distribution. A power law form of the price dependence of demand is considered. The model is solved analytically…

Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

NASA Astrophysics Data System (ADS)

Lemmens, D.; Wouters, M.; Tempere, J.; Foulon, S.

2008-07-01

We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The flexibility of our approach is demonstrated by extending the realm of closed-form option price formulas to the case where both the volatility and interest rates are stochastic. This flexibility is promising for the treatment of exotic options. Our analytical formulas are tested with numerical Monte Carlo simulations.

A black box optimization approach to parameter estimation in a model for long/short term variations dynamics of commodity prices

NASA Astrophysics Data System (ADS)

De Santis, Alberto; Dellepiane, Umberto; Lucidi, Stefano

2012-11-01

In this paper we investigate the estimation problem for a model of the commodity prices. This model is a stochastic state space dynamical model and the problem unknowns are the state variables and the system parameters. Data are represented by the commodity spot prices, very seldom time series of Futures contracts are available for free. Both the system joint likelihood function (state variables and parameters) and the system marginal likelihood (the state variables are eliminated) function are addressed.

Word of Mouth : An Agent-based Approach to Predictability of Stock Prices

NASA Astrophysics Data System (ADS)

Shimokawa, Tetsuya; Misawa, Tadanobu; Watanabe, Kyoko

This paper addresses how communication processes among investors affect stock prices formation, especially emerging predictability of stock prices, in financial markets. An agent based model, called the word of mouth model, is introduced for analyzing the problem. This model provides a simple, but sufficiently versatile, description of informational diffusion process and is successful in making lucidly explanation for the predictability of small sized stocks, which is a stylized fact in financial markets but difficult to resolve by traditional models. Our model also provides a rigorous examination of the under reaction hypothesis to informational shocks.

Endogenous versus exogenous generic reference pricing for pharmaceuticals.

PubMed

Antoñanzas, F; Juárez-Castelló, C A; Rodríguez-Ibeas, R

2017-12-01

In this paper we carry out a vertical differentiation duopoly model applied to pharmaceutical markets to analyze how endogenous and exogenous generic reference pricing influence competition between generic and branded drugs producers. Unlike the literature, we characterize for the exogenous case the equilibrium prices for all feasible relevant reference prices. Competition is enhanced after the introduction of a reference pricing system. We also compare both reference pricing systems on welfare grounds, assuming two different objective functions for health authorities: (i) standard social welfare and (ii) gross consumer surplus net of total pharmaceutical expenditures. We show that regardless of the objective function, health authorities will never choose endogenous reference pricing. When health authorities are paternalistic, the exogenous reference price that maximizes standard social welfare is such that the price of the generic drug is the reference price while the price of the branded drug is higher than the reference price. When health authorities are not paternalistic, the optimal exogenous reference price is such that the price of the branded drug is the reference price while the price of the generic drug is lower than the reference price.

Three essays on auction markets

NASA Astrophysics Data System (ADS)

Shunda, Nicholas James

This dissertation contains a series of theoretical investigations of auction markets. The essays it contains cover wholesale electricity markets, a popular selling mechanism on eBay, and supplier entry into multi-unit procurement auctions. The study in Chapter 1 compares the procurement cost-minimizing and productive efficiency performance of the auction mechanism used by independent system operators in wholesale electricity auction markets in the U.S. with that of a proposed alternative. The current practice allocates energy contracts as if the auction featured a discriminatory final payment method when, in fact, the markets are uniform price auctions. The proposed alternative explicitly accounts for the market-clearing price during the allocation phase. We find that the proposed alternative largely outperforms the current practice on the basis of procurement costs in the context of simple auction markets featuring both day-ahead and real-time auctions and that the procurement cost advantage of the alternative is complete when we simulate the effects of increased competition. We also find that a tradeoff between the objectives of procurement cost minimization and productive efficiency emerges in our simple auction markets and persists in the face of increased competition. The study in Chapter 2 considers a possible rationale for an auction with a buy price. In an auction with a buy price, the seller provides bidders with an option to end the auction early by accepting a transaction at a posted price. The "Buy-It-Now" option on eBay is a leading example of an auction with a buy price. The study develops a model of an auction with a buy price in which bidders use the auction's reserve price and buy price to formulate a reference price. The model both explains why a revenue-maximizing seller would want to augment her auction with a buy price and demonstrates that the seller sets a higher reserve price when she can affect the bidders' reference price through the auction's reserve price and buy price than when she can affect the bidders' reference price through the auction's reserve price only. Introducing a small reference-price effect can shrink the range of buy prices bidders are willing to exercise. The comparative statics properties of bidding behavior are in sharp contrast to equilibrium behavior in other models where the existence and size of the auction's buy price have no effect on bidding behavior. The study in Chapter 3 investigates endogenous entry in multi-unit auctions. We formulate and study models of multi-unit discriminatory and uniform price auctions and investigate the entry incentives and procurement costs they generate in equilibrium. We study two types of endogenous entry: in auctions with "interim entry costs," suppliers know their private cost information before deciding whether or not to undertake entry; in auctions with ex ante entry costs, suppliers do not know their private cost information before deciding whether or not to enter. The discriminatory and uniform price auctions are efficient and procurement cost equivalent in all the environments we study. With interim entry costs, the two auctions provide identical entry incentives. In contrast, with ex ante entry costs, suppliers enter the discriminatory auction at a higher rate than they enter the uniform price auction.

Coupons and advertising in markets for addictive goods: do cigarette manufacturers react to known future tax increases?

PubMed

Lillard, Dean R; Sfekas, Andrew

2005-01-01

We develop and test a pricing model for a monopolist that sells an addictive good. The model illustrates the conditions under which a monopolist lowers the price he charges youth when a future tax is imposed. Using household survey data, we investigate whether individuals use "cents-off" coupons in a way consistent with the price discrimination implied by the model. We find evidence that all smokers, not just the young, are more likely to use coupons prior to a tax increase if they are exposed to more advertising. With our data we cannot test whether cigarette manufacturers selectively offer youth price discounts in other ways.

Boosting Learning Algorithm for Stock Price Forecasting

NASA Astrophysics Data System (ADS)

Wang, Chengzhang; Bai, Xiaoming

2018-03-01

To tackle complexity and uncertainty of stock market behavior, more studies have introduced machine learning algorithms to forecast stock price. ANN (artificial neural network) is one of the most successful and promising applications. We propose a boosting-ANN model in this paper to predict the stock close price. On the basis of boosting theory, multiple weak predicting machines, i.e. ANNs, are assembled to build a stronger predictor, i.e. boosting-ANN model. New error criteria of the weak studying machine and rules of weights updating are adopted in this study. We select technical factors from financial markets as forecasting input variables. Final results demonstrate the boosting-ANN model works better than other ones for stock price forecasting.

How market structure drives commodity prices

NASA Astrophysics Data System (ADS)

Li, Bin; Wong, K. Y. Michael; Chan, Amos H. M.; So, Tsz Yan; Heimonen, Hermanni; Wei, Junyi; Saad, David

2017-11-01

We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own resource level and a couple of macroscopic parameters that emerge naturally from the analysis, akin to mean-field parameters in statistical mechanics. When resources are scarce prices rise sharply below a turning point that marks the disappearance of excess producers. To compare the model with real empirical data, we study the relationship between commodity prices and stock-to-use ratios in a range of commodities such as agricultural products and metals. By introducing an elasticity parameter to mitigate noise and long-term changes in commodities data, we confirm the trend of rising prices, provide evidence for turning points, and indicate yield points for less essential commodities.

A pilot study to assess feasibility of value based pricing in Cyprus through pharmacoeconomic modelling and assessment of its operational framework: sorafenib for second line renal cell cancer

PubMed Central

2014-01-01

Background The continuing increase of pharmaceutical expenditure calls for new approaches to pricing and reimbursement of pharmaceuticals. Value based pricing of pharmaceuticals is emerging as a useful tool and possess theoretical attributes to help health system cope with rising pharmaceutical expenditure. Aim To assess the feasibility of introducing a value-based pricing scheme of pharmaceuticals in Cyprus and explore the integrative framework. Methods A probabilistic Markov chain Monte Carlo model was created to simulate progression of advanced renal cell cancer for comparison of sorafenib to standard best supportive care. Literature review was performed and efficacy data were transferred from a published landmark trial, while official pricelists and clinical guidelines from Cyprus Ministry of Health were utilised for cost calculation. Based on proposed willingness to pay threshold the maximum price of sorafenib for the indication of second line renal cell cancer was assessed. Results Sorafenib value based price was found to be significantly lower compared to its current reference price. Conclusion Feasibility of Value Based Pricing is documented and pharmacoeconomic modelling can lead to robust results. Integration of value and affordability in the price are its main advantages which have to be weighed against lack of documentation for several theoretical parameters that influence outcome. Smaller countries such as Cyprus may experience adversities in establishing and sustaining essential structures for this scheme. PMID:24910539

Impact of External Price Referencing on Medicine Prices – A Price Comparison Among 14 European Countries

PubMed Central

Leopold, Christine; Mantel-Teeuwisse, Aukje Katja; Seyfang, Leonhard; Vogler, Sabine; de Joncheere, Kees; Laing, Richard Ogilvie; Leufkens, Hubert

2012-01-01

Objectives: This study aims to examine the impact of external price referencing (EPR) on on-patent medicine prices, adjusting for other factors that may affect price levels such as sales volume, exchange rates, gross domestic product (GDP) per capita, total pharmaceutical expenditure (TPE), and size of the pharmaceutical industry. Methods: Price data of 14 on-patent products, in 14 European countries in 2007 and 2008 were obtained from the Pharmaceutical Price Information Service of the Austrian Health Institute. Based on the unit ex-factory prices in EURO, scaled ranks per country and per product were calculated. For the regression analysis the scaled ranks per country and product were weighted; each country had the same sum of weights but within a country the weights were proportional to its sales volume in the year (data obtained from IMS Health). Taking the scaled ranks, several statistical analyses were performed by using the program “R”, including a multiple regression analysis (including variables such as GDP per capita and national industry size). Results: This study showed that on average EPR as a pricing policy leads to lower prices. However, the large variation in price levels among countries using EPR confirmed that the price level is not only driven by EPR. The unadjusted linear regression model confirms that applying EPR in a country is associated with a lower scaled weighted rank (p=0.002). This interaction persisted after inclusion of total pharmaceutical expenditure per capita and GDP per capita in the final model. Conclusions: The study showed that for patented products, prices are in general lower in case the country applied EPR. Nevertheless substantial price differences among countries that apply EPR could be identified. Possible explanations could be found through a correlation between pharmaceutical industry and the scaled price ranks. In conclusion, we found that implementing external reference pricing could lead to lower prices. PMID:23532710

Financial Data Analysis by means of Coupled Continuous-Time Random Walk in Rachev-Rűschendorf Model

NASA Astrophysics Data System (ADS)

Jurlewicz, A.; Wyłomańska, A.; Żebrowski, P.

2008-09-01

We adapt the continuous-time random walk formalism to describe asset price evolution. We expand the idea proposed by Rachev and Rűschendorf who analyzed the binomial pricing model in the discrete time with randomization of the number of price changes. As a result, in the framework of the proposed model we obtain a mixture of the Gaussian and a generalized arcsine laws as the limiting distribution of log-returns. Moreover, we derive an European-call-option price that is an extension of the Black-Scholes formula. We apply the obtained theoretical results to model actual financial data and try to show that the continuous-time random walk offers alternative tools to deal with several complex issues of financial markets.

Do increases in cigarette prices lead to increases in sales of cigarettes with high tar and nicotine yields?

PubMed

Farrelly, Matthew C; Loomis, Brett R; Mann, Nathan H

2007-10-01

We used scanner data on cigarette prices and sales collected from supermarkets across the United States from 1994 to 2004 to test the hypothesis that cigarette prices are positively correlated with sales of cigarettes with higher tar and nicotine content. During this period the average inflation-adjusted price for menthol cigarettes increased 55.8%. Price elasticities from multivariate regression models suggest that this price increase led to an increase of 1.73% in sales-weighted average tar yields and a 1.28% increase in sales-weighted average nicotine yields for menthol cigarettes. The 50.5% price increase of nonmenthol varieties over the same period yielded an estimated increase of 1% in tar per cigarette but no statistically significant increase in nicotine yields. An ordered probit model of the impact of cigarette prices on cigarette strength (ultra-light, light, full flavor, unfiltered) offers an explanation: As cigarette prices increase, the probability that stronger cigarette types will be sold increases. This effect is larger for menthol than for nonmenthol cigarettes. Our results are consistent with earlier population-based cross-sectional and longitudinal studies showing that higher cigarette prices and taxes are associated with increasing consumption of higher-yield cigarettes by smokers.

Operation Valuation: Teaching Pricing Concepts in an Experiential Environment

ERIC Educational Resources Information Center

Mills, Adam J.; Treen, Emily

2016-01-01

Although marketing education has seen a dramatic shift toward hands-on, experiential learning in recent years, the teaching of pricing has fallen behind complementary elements of the marketing mix in pedagogical execution. Although the teaching of pricing has shifted focus from economic-based models to value-based pricing in theory, available…

The Minimum Wage, Restaurant Prices, and Labor Market Structure

ERIC Educational Resources Information Center

Aaronson, Daniel; French, Eric; MacDonald, James

2008-01-01

Using store-level and aggregated Consumer Price Index data, we show that restaurant prices rise in response to minimum wage increases under several sources of identifying variation. We introduce a general model of employment determination that implies minimum wage hikes cause prices to rise in competitive labor markets but potentially fall in…

Temporal Aggregation and Testing For Timber Price Behavior

Treesearch

Jeffrey P. Prestemon; John M. Pye; Thomas P. Holmes

2004-01-01

Different harvest timing models make different assumptions about timber price behavior. Those seeking to optimize harvest timing are thus first faced with a decision regarding which assumption of price behavior is appropriate for their market, particularly regarding the presence of a unit root in the timber price time series. Unfortunately for landowners and investors...

Pricing strategy in a dual-channel and remanufacturing supply chain system

NASA Astrophysics Data System (ADS)

Jiang, Chengzhi; Xu, Feng; Sheng, Zhaohan

2010-07-01

This article addresses the pricing strategy problems in a supply chain system where the manufacturer sells original products and remanufactured products via indirect retailer channels and direct Internet channels. Due to the complexity of that system, agent technologies that provide a new way for analysing complex systems are used for modelling. Meanwhile, in order to reduce the computational load of searching procedure for optimal prices and profits, a learning search algorithm is designed and implemented within the multi-agent supply chain model. The simulation results show that the proposed model can find out optimal prices of original products and remanufactured products in both channels, which lead to optimal profits of the manufacturer and the retailer. It is also found that the optimal profits are increased by introducing direct channel and remanufacturing. Furthermore, the effect of customer preference, direct channel cost and remanufactured unit cost on optimal prices and profits are examined.

A deep learning framework for financial time series using stacked autoencoders and long-short term memory.

PubMed

Bao, Wei; Yue, Jun; Rao, Yulei

2017-01-01

The application of deep learning approaches to finance has received a great deal of attention from both investors and researchers. This study presents a novel deep learning framework where wavelet transforms (WT), stacked autoencoders (SAEs) and long-short term memory (LSTM) are combined for stock price forecasting. The SAEs for hierarchically extracted deep features is introduced into stock price forecasting for the first time. The deep learning framework comprises three stages. First, the stock price time series is decomposed by WT to eliminate noise. Second, SAEs is applied to generate deep high-level features for predicting the stock price. Third, high-level denoising features are fed into LSTM to forecast the next day's closing price. Six market indices and their corresponding index futures are chosen to examine the performance of the proposed model. Results show that the proposed model outperforms other similar models in both predictive accuracy and profitability performance.

The influences of delay time on the stability of a market model with stochastic volatility

NASA Astrophysics Data System (ADS)

Li, Jiang-Cheng; Mei, Dong-Cheng

2013-02-01

The effects of the delay time on the stability of a market model are investigated, by using a modified Heston model with a cubic nonlinearity and cross-correlated noise sources. These results indicate that: (i) There is an optimal delay time τo which maximally enhances the stability of the stock price under strong demand elasticity of stock price, and maximally reduces the stability of the stock price under weak demand elasticity of stock price; (ii) The cross correlation coefficient of noises and the delay time play an opposite role on the stability for the case of the delay time <τo and the same role for the case of the delay time >τo. Moreover, the probability density function of the escape time of stock price returns, the probability density function of the returns and the correlation function of the returns are compared with other literatures.

Differences in liquor prices between control state-operated and license-state retail outlets in the United States.

PubMed

Siegel, Michael; DeJong, William; Albers, Alison B; Naimi, Timothy S; Jernigan, David H

2013-02-01

This study aims to compare the average price of liquor in the United States between retail alcohol outlets in states that have a monopoly ('control' states) with those that do not ('licence' states). A cross-sectional study of brand-specific alcohol prices in the United States. We determined the average prices in February 2012 of 74 brands of liquor among the 13 control states that maintain a monopoly on liquor sales at the retail level and among a sample of 50 license-state liquor stores, using their online-available prices. We calculated average prices for 74 brands of liquor by control versus license state. We used a random-effects regression model to estimate differences between control and license state prices-overall and by alcoholic beverage type. We also compared prices between the 13 control states. The overall mean price for the 74 brands was $27.79 in the license states [95% confidence interval (CI): $25.26-30.32] and $29.82 in the control states (95% CI: $26.98-32.66). Based on the random-effects linear regression model, the average liquor price was approximately $2 lower (6.9% lower) in license states. In the United States monopoly of alcohol retail outlets appears to be associated with slightly higher liquor prices. © 2012 The Authors, Addiction © 2012 Society for the Study of Addiction.

Differences in liquor prices between control state-operated and license-state retail outlets in the U.S.

PubMed Central

Siegel, Michael; DeJong, William; Albers, Alison B.; Naimi, Timothy S.; Jernigan, David H.

2012-01-01

Aims This study aims to compare the average price of liquor in the United States between retail alcohol outlets in states that have a monopoly ('control' states) with those that do not ('licence' states). Design A cross-sectional study of brand-specific alcohol prices in the United States. Setting We determined the average prices in February 2012 of 74 brands of liquor among the 13 control states that maintain a monopoly on liquor sales at the retail level and among a sample of 50 license-state liquor stores, using their online-available prices. Measurements We calculated average prices for 74 brands of liquor by control vs. license state. We used a random effects regression model to estimate differences between control and license state prices – overall and by alcoholic beverage type. We also compared prices between the 13 control states. Findings The overall mean price for the 74 brands was $27.79 in the license states (95% confidence interval [CI], $25.26–$30.32) and $29.82 in the control states (95% CI, $26.98–$32.66). Based on the random effects linear regression model, the average liquor price was approximately two dollars lower (6.9% lower) in license states. Conclusions In the United States monopoly of alcohol retail outlets appears to be associated with slightly higher liquor prices. PMID:22934914

Pricing medicines: theory and practice, challenges and opportunities.

PubMed

Gregson, Nigel; Sparrowhawk, Keiron; Mauskopf, Josephine; Paul, John

2005-02-01

The pricing of medicines has become one of the most hotly debated topics of recent times, with the pharmaceutical industry seemingly being attacked from all quarters. From a company perspective, determining the price for each new product is more crucial than ever, given the present dearth of new drug introductions. But how are pricing strategies developed in practice? What is value-based pricing and how are financial models of return on investment constructed? What are the challenges faced in setting the price for a particular product, and how will scientific and environmental trends provide future pricing challenges or opportunities?

The choice of discount brand cigarettes: A comparative analysis of International Tobacco Control (ITC) Surveys in Canada and the United States (2002–2005)

PubMed Central

Nargis, Nigar; Fong, Geoffrey T.; Chaloupka, Frank J.; Li, Qiang

2014-01-01

Background Increasing tobacco taxes to increase price is a proven tobacco control measure. This paper investigates how smokers respond to tax and price increases in their choice of discount brand cigarettes vs. premium brands. Objective To estimate how increase in the tax rate can affect smokers’ choice of discount brands versus premium brands. Methods Using data from ITC Surveys in Canada and the United States, a logit model was constructed to estimate the probability of choosing discount brand cigarettes in response to its price changes relative to premium brands, controlling for individual-specific demographic and socio-economic characteristics and regional effects. The self-reported price of an individual smoker is used in a random-effects regression model to impute price and to construct the price ratio for discount and premium brands for each smoker, which is used in the logit model. Findings An increase in the ratio of price of discount brand cigarettes to the price of premium brands by 0.1 is associated with a decrease in the probability of choosing discount brands by 0.08 in Canada. No significant effect is observed in case of the United States. Conclusion The results of the model explain two phenomena: (1) the widened price differential between premium and discount brand cigarettes contributed to the increased share of discount brand cigarettes in Canada in contrast to a relatively steady share in the United States during 2002–2005, and (2) increasing the price ratio of discount brands to premium brands—which occurs with an increase in specific excise tax—may lead to upward shifting from discount to premium brands rather than to downward shifting. These results underscore the significance of studying the effectiveness of tax increases in reducing overall tobacco consumption, particularly for specific excise taxes. PMID:23986408

Beneficial impacts of an international grain reserve on global food security

NASA Astrophysics Data System (ADS)

Otto, C.; Schewe, J.; Puma, M. J.; Frieler, K.

2017-12-01

Highly volatile food prices on global markets challenge food security. Only in the last decade, two pronounced food price spikes severely affected vulnerable populations worldwide by increasing malnutrition and hunger. This has stirred up the debate upon the usefulness of an international grain reserve. Whereas advocates argue that it could damp damaging price extremes, opponents question its effectiveness and are concerned about associated market distortions and costs. However, to our knowledge, a comprehensive quantitative assessment is still missing. For this purpose, we introduce an agent-based dynamic multi-regional model that consistently accounts for intra-annual strategic as well as commercial storage holding. For the case of wheat, we first show that the model is able to reproduce historical world market prices (see Fig. 1(a)) and regional ending stocks (stocks see Fig.1(b) for global ending stocks) from 1980 to the present. Having a bi-annual timestep, the model enables us to single out the main drivers of past short-term price volatility: regional, mainly weather induced, production variations followed by trade policies as the second most important driver. The latter include, both, long-term stockholding management decisions as well as short-term regional political responses to scarcity situations such as export restrictions and restocking attempts. We then quantitatively model a strategic wheat reserve managed by an international body such as the UN. We discuss a management scheme for the reserve that aims at stabilizing prices within a price band by buying at low and selling at high prices (cf. Fig. 1). Importantly, in order to minimize market distortions, this scheme is not designed to damp out price volatility completely, but to merely avoid damaging price extremes. Thus, it preserves the incentive for producers to invest in agricultural development and it can only complement and not replace local efforts to increase the food system's resilience. Eventually, we compare the necessary size of such a reserve to present national reserves and discuss the related costs.

A pharmacoeconomic modeling approach to estimate a value-based price for new oncology drugs in Europe.

PubMed

Dranitsaris, George; Ortega, Ana; Lubbe, Martie S; Truter, Ilse

2012-03-01

Several European governments have recently mandated price cuts in drugs to reduce health care spending. However, such measures without supportive evidence may compromise patient care because manufacturers may withdraw current products or not launch new agents. A value-based pricing scheme may be a better approach for determining a fair drug price and may be a medium for negotiations between the key stakeholders. To demonstrate this approach, pharmacoeconomic (PE) modeling was used from the Spanish health care system perspective to estimate a value-based price for bevacizumab, a drug that provides a 1.4-month survival benefit to patients with metastatic colorectal cancer (mCRC). The threshold used for economic value was three times the Spanish per capita GDP, as recommended by the World Health Organization (WHO). A PE model was developed to simulate outcomes in mCRC patients receiving chemotherapy ± bevacizumab. Clinical data were obtained from randomized trials and costs from a Spanish hospital. Utility estimates were determined by interviewing 24 Spanish oncology nurses and pharmacists. A price per dose of bevacizumab was then estimated using a target threshold of € 78,300 per quality-adjusted life year gained, which is three times the Spanish per capita GDP. For a 1.4-month survival benefit, a price of € 342 per dose would be considered cost effective from the Spanish public health care perspective. The price may be increased to € 733 or € 843 per dose if the drug were able to improve patient quality of life or enhance survival from 1.4 to 3 months. This study demonstrated that a value-based pricing approach using PE modeling and the WHO criteria for economic value is feasible and perhaps a better alternative to government mandated price cuts. The former approach would be a good starting point for opening dialog between European government payers and the pharmaceutical industry.

Optimization of investment portfolio weight of stocks affected by market index

NASA Astrophysics Data System (ADS)

Azizah, E.; Rusyaman, E.; Supian, S.

2017-01-01

Stock price assessment, selection of optimum combination, and measure the risk of a portfolio investment is one important issue for investors. In this paper single index model used for the assessment of the stock price, and formulation optimization model developed using Lagrange multiplier technique to determine the proportion of assets to be invested. The level of risk is estimated by using variance. These models are used to analyse the stock price data Lippo Bank and Bumi Putera.

Stock price dynamics and option valuations under volatility feedback effect

NASA Astrophysics Data System (ADS)

Kanniainen, Juho; Piché, Robert

2013-02-01

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.

Local food prices and their associations with children's weight and food security.

PubMed

Morrissey, Taryn W; Jacknowitz, Alison; Vinopal, Katie

2014-03-01

Both obesity and food insecurity are important public health problems facing young children in the United States. A lack of affordable, healthy foods is one of the neighborhood factors presumed to underlie both food insecurity and obesity among children. We examine associations between local food prices and children's BMI, weight, and food security outcomes. We linked data from the Early Childhood Longitudinal Study-Birth Cohort, a nationally representative study of children from infancy to age 5, to local food price data from the Council for Community and Economic Research (C2ER) Cost-of-Living Index (n = 11,700 observations). Using ordinary least squares (OLS), linear probability, and within-child fixed effects (FE) models, we exploit the variability in food price data over time and among children who move residences focusing on a subsample of households under 300% of the Federal Poverty Level. Results from ordinary least squares and FE models indicate that higher-priced fruits and vegetables are associated with higher child BMI, and this relationship is driven by the prices of fresh (versus frozen or canned) fruits and vegetables. In the FE models, higher-priced soft drinks are associated with a lower likelihood of being overweight, and surprisingly, higher fast food prices are associated with a greater likelihood of being overweight. Policies that reduce the costs of fresh fruits and vegetables may be effective in promoting healthy weight outcomes among young children.

A study of finite mixture model: Bayesian approach on financial time series data

NASA Astrophysics Data System (ADS)

Phoong, Seuk-Yen; Ismail, Mohd Tahir

2014-07-01

Recently, statistician have emphasized on the fitting finite mixture model by using Bayesian method. Finite mixture model is a mixture of distributions in modeling a statistical distribution meanwhile Bayesian method is a statistical method that use to fit the mixture model. Bayesian method is being used widely because it has asymptotic properties which provide remarkable result. In addition, Bayesian method also shows consistency characteristic which means the parameter estimates are close to the predictive distributions. In the present paper, the number of components for mixture model is studied by using Bayesian Information Criterion. Identify the number of component is important because it may lead to an invalid result. Later, the Bayesian method is utilized to fit the k-component mixture model in order to explore the relationship between rubber price and stock market price for Malaysia, Thailand, Philippines and Indonesia. Lastly, the results showed that there is a negative effect among rubber price and stock market price for all selected countries.

Calibration and Validation of the COCOMO II.1997.0 Cost/Schedule Estimating Model to the Space and Missile Systems Center Database

DTIC Science & Technology

1997-09-01

Daly chose five models (REVIC, PRICE-S, SEER, System-4, and SPQR /20) to estimate schedule for 21 separate projects from the Electronic System Division...PRICE-S, two variants of COCOMO, System-3, SPQR /20, SASET, SoftCost-Ada) to 11 eight Ada specific programs. Ada was specifically designed for and is

Provisioning in Agricultural Communities: Local, Regional and Global Cereal Prices and Local Production on Three Continents

NASA Technical Reports Server (NTRS)

Brown, Molly E.; Tondel, Fabien; Essam, Timothy; Thorne, Jennifer A.; Mann, Bristol F.; Eilerts, Gary

2012-01-01

Monitoring and incorporating diverse market and staple food information into food price indices is critical for food price analyses. Satellite remote sensing data and earth science models have an important role to play in improving humanitarian aid timing, delivery and distribution. Incorporating environmental observations into econometric models will improve food security analysis and understanding of market functioning.

Alcohol affordability and alcohol demand: cross-country trends and panel data estimates, 1975 to 2008.

PubMed

Nelson, Jon P

2014-04-01

Relatively little is known about cross-country differences in alcohol affordability or factors that determine differences in affordability over time. This information is potentially important for alcohol policy, especially policies that focus on higher taxes or prices to reduce total alcohol consumption. This study estimates cross-country alcohol consumption relationships using economic models incorporating income and prices and alternative models based on alcohol affordability. The data and analysis are restricted to higher income countries. Data for alcohol consumption per capita (ages 15+) are analyzed for 2 samples: first, 17 countries in the Organisation for Economic Co-operation and Development for the period 1975 to 2000; second, 22 countries in the European Union for the period from 2000 to 2008. Panel data models are utilized, with country and time fixed-effects to control for confounding influences. In economic demand models, covariates are real per capita income and real alcohol price indices. In affordability models, income is divided by prices to yield an index of alcohol affordability. Analysis of data trends reveals that much of the increase in affordability is due to rising real incomes, and not falling real prices. Economic models of demand perform slightly better statistically, but differences are not substantial as income and affordability are highly correlated. For both samples, exogenous rates of growth of alcohol consumption are negative. Price and income elasticities, on average, are within the range of prior estimates. Affordability elasticities are between 0.21 and 0.25. Although alcohol affordability is a valid concept statistically, its use in policy discussions tends to hide underlying causes of changes in affordability. A better approach is a comparison and analysis of trends and cross-country differences in real incomes and real alcohol prices together with the affordability index. Country-level analysis of income and price elasticities also is required. Copyright © 2014 by the Research Society on Alcoholism.

Drivers of Live Cattle Price in the Livestock Trading System of Central Cameroon

PubMed Central

Motta, Paolo; Handel, Ian G.; Rydevik, Gustaf; Hamman, Saidou M.; Ngwa, Victor Ngu; Tanya, Vincent N.; Morgan, Kenton L.; Bronsvoort, Barend M. deC.; Porphyre, Thibaud

2018-01-01

Livestock production and trade are critical for the food security and welfare of rural households in sub-Saharan Africa. In Cameroon, animal trade consists mainly of live cattle commercialized through livestock markets. Identifying the factors contributing to cattle price formation is critical for designing effective policies for sustainable production and for increasing food availability. In this study, we evaluated the influence of a range of individual- and market-level factors on the price of cattle that were sold in all transactions (n = 118,017) recorded over a 12-month period from 31 livestock markets in the main cattle production area of the country. An information-theoretic approach using a generalized additive mixed-effect model was implemented to select the best explanatory model as well as evaluate the robustness of the identified drivers and the predictive ability of the model. The age and gender of the cattle traded were consistently found to be important drivers of the price (p < 0.01). Also, strong, but complex, relationships were found between cattle prices and both local human and bovine population densities. Finally, the model highlighted a positive association between the number of incoming trading connections of a livestock market and the price of the traded live cattle (p < 0.01). Although our analysis did not account for factors informing on specific phenotypic traits nor breed characteristics of cattle traded, nearly 50% of the observed variation in live cattle prices was explained by the final model. Ultimately, our model gives a large scale overview of drivers of cattle price formation in Cameroon and to our knowledge is the first study of this scale in Central Africa. Our findings represent an important milestone in designing efficient and sustainable animal health management programme in Cameroon and ensure livelihood sustainability for rural households. PMID:29387687

Drivers of Live Cattle Price in the Livestock Trading System of Central Cameroon.

PubMed

Motta, Paolo; Handel, Ian G; Rydevik, Gustaf; Hamman, Saidou M; Ngwa, Victor Ngu; Tanya, Vincent N; Morgan, Kenton L; Bronsvoort, Barend M deC; Porphyre, Thibaud

2017-01-01

Livestock production and trade are critical for the food security and welfare of rural households in sub-Saharan Africa. In Cameroon, animal trade consists mainly of live cattle commercialized through livestock markets. Identifying the factors contributing to cattle price formation is critical for designing effective policies for sustainable production and for increasing food availability. In this study, we evaluated the influence of a range of individual- and market-level factors on the price of cattle that were sold in all transactions ( n  = 118,017) recorded over a 12-month period from 31 livestock markets in the main cattle production area of the country. An information-theoretic approach using a generalized additive mixed-effect model was implemented to select the best explanatory model as well as evaluate the robustness of the identified drivers and the predictive ability of the model. The age and gender of the cattle traded were consistently found to be important drivers of the price ( p  < 0.01). Also, strong, but complex, relationships were found between cattle prices and both local human and bovine population densities. Finally, the model highlighted a positive association between the number of incoming trading connections of a livestock market and the price of the traded live cattle ( p  < 0.01). Although our analysis did not account for factors informing on specific phenotypic traits nor breed characteristics of cattle traded, nearly 50% of the observed variation in live cattle prices was explained by the final model. Ultimately, our model gives a large scale overview of drivers of cattle price formation in Cameroon and to our knowledge is the first study of this scale in Central Africa. Our findings represent an important milestone in designing efficient and sustainable animal health management programme in Cameroon and ensure livelihood sustainability for rural households.

The Physics of Traffic Congestion and Road Pricing in Transportation Planning

NASA Astrophysics Data System (ADS)

Levinson, David

2010-03-01

This presentation develops congestion theory and congestion pricing theory from its micro- foundations, the interaction of two or more vehicles. Using game theory, with a two- player game it is shown that the emergence of congestion depends on the players' relative valuations of early arrival, late arrival, and journey delay. Congestion pricing can be used as a cooperation mechanism to minimize total costs (if returned to the players). The analysis is then extended to the case of the three- player game, which illustrates congestion as a negative externality imposed on players who do not themselves contribute to it. A multi-agent model of travelers competing to utilize a roadway in time and space is presented. To realize the spillover effect among travelers, N-player games are constructed in which the strategy set includes N+1 strategies. We solve the N-player game (for N = 7) and find Nash equilibria if they exist. This model is compared to the bottleneck model. The results of numerical simulation show that the two models yield identical results in terms of lowest total costs and marginal costs when a social optimum exists. Moving from temporal dynamics to spatial complexity, using consistent agent- based techniques, we model the decision-making processes of users and infrastructure owner/operators to explore the welfare consequence of price competition, capacity choice, and product differentiation on congested transportation networks. Component models include: (1) An agent-based travel demand model wherein each traveler has learning capabilities and unique characteristics (e.g. value of time); (2) Econometric facility provision cost models; and (3) Representations of road authorities making pricing and capacity decisions. Different from small-network equilibrium models in prior literature, this agent- based model is applicable to pricing and investment analyses on large complex networks. The subsequent economic analysis focuses on the source, evolution, measurement, and impact of product differentiation with heterogeneous users on a mixed ownership network (with tolled and untolled roads). Two types of product differentiation in the presence of toll roads, path differentiation and space differentiation, are defined and measured for a base case and several variants with different types of price and capacity competition and with various degrees of user heterogeneity. The findings favor a fixed-rate road pricing policy compared to complete pricing freedom on toll roads. It is also shown that the relationship between net social benefit and user heterogeneity is not monotonic on a complex network with toll roads.

Are stock prices too volatile to be justified by the dividend discount model?

NASA Astrophysics Data System (ADS)

Akdeniz, Levent; Salih, Aslıhan Altay; Ok, Süleyman Tuluğ

2007-03-01

This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter [The present-value relation: tests based on implied variance bounds, Econometrica 49 (1981) 555-574] and of Shiller [Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 (1981) 421-436.]. The conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock [Asset prices in a production economy, in: J.J. McCall (Ed.), The Economics of Information and Uncertainty, University of Chicago Press, Chicago (for N.B.E.R.), 1982]. Results show that the conditional variance bounds hold, hence, our hypothesis of the validity of the dividend discount model cannot be rejected. Moreover, in our setting, markets are efficient and stock prices are neither affected by herd psychology nor by the outcome of noise trading by naive investors; thus, we are able to control for market efficiency. Consequently, we show that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.

Utilization of BIM for automation of quantity takeoffs and cost estimation in transport infrastructure construction projects in the Czech Republic

NASA Astrophysics Data System (ADS)

Vitásek, Stanislav; Matějka, Petr

2017-09-01

The article deals with problematic parts of automated processing of quantity takeoff (QTO) from data generated in BIM model. It focuses on models of road constructions, and uses volumes and dimensions of excavation work to create an estimate of construction costs. The article uses a case study and explorative methods to discuss possibilities and problems of data transfer from a model to a price system of construction production when such transfer is used for price estimates of construction works. Current QTOs and price tenders are made with 2D documents. This process is becoming obsolete because more modern tools can be used. The BIM phenomenon enables partial automation in processing volumes and dimensions of construction units and matching the data to units in a given price scheme. Therefore price of construction can be estimated and structured without lengthy and often imprecise manual calculations. The use of BIM for QTO is highly dependent on local market budgeting systems, therefore proper push/pull strategy is required. It also requires proper requirements specification, compatible pricing database and software.

Price, Weather, and `Acreage Abandonment' in Western Great Plains Wheat Culture.

NASA Astrophysics Data System (ADS)

Michaels, Patrick J.

1983-07-01

Multivariate analyses of acreage abandonment patterns in the U.S. Great Plains winter wheat region indicate that the major mode of variation is an in-phase oscillation confined to the western half of the overall area, which is also the area with lowest average yields. This is one of the more agroclimatically marginal environments in the United States, with wide interannual fluctuations in both climate and profitability.We developed a multiple regression model to determine the relative roles of weather and expected price in the decision not to harvest. The overall model explained 77% of the spatial and temporal variation in abandonment. The 36.5% of the non-spatial variation was explained by two simple transformations of climatic data from three monthly aggregates-September-October, November-February and March-April. Price factors, expressed as indexed future delivery quotations,were barely significant, with only between 3 and 5% of the non-spatial variation explained, depending upon the model.The model was based upon weather, climate and price data from 1932 through 1975. It was tested by sequentially withholding three-year blocks of data, and using the respecified regression coefficients, along with observed weather and price, to estimate abandonment in the withheld years. Error analyses indicate no loss of model fidelity in the test mode. Also, prediction errors in the 1970-75 period, characterized by widely fluctuating prices, were not different from those in the rest of the model.The overall results suggest that the perceived quality of the crop, as influenced by weather, is a much more important determinant of the abandonment decision than are expected returns based upon price considerations.

State-Specific Liquor Excise Taxes and Retail Prices in Eight U.S. States, 2012

PubMed Central

Siegel, Michael; Grundman, Jody; DeJong, William; Naimi, Timothy S.; King, Charles; Albers, Alison B.; Williams, Rebecca S.; Jernigan, David H.

2013-01-01

We investigated the relationship between state excise taxes and liquor prices in eight states, using 2012 data for 45 brands. We made 6,042 price observations among 177 liquor stores with online prices. Using a hierarchical model, we examined the relationship between excise taxes and product prices. State excise taxes were significantly related to liquor prices, with an estimated pass-through rate of 0.93. The proportion of price accounted for by excise taxes averaged 7.0%. We find that excise taxes do increase the price of alcohol, but states are not taking advantage of this opportunity to reduce alcohol-related morbidity and mortality. PMID:24159914

State-specific liquor excise taxes and retail prices in 8 US states, 2012.

PubMed

Siegel, Michael; Grundman, Jody; DeJong, William; Naimi, Timothy S; King, Charles; Albers, Alison B; Williams, Rebecca S; Jernigan, David H

2013-01-01

The authors investigated the relationship between state excise taxes and liquor prices in 8 states, using 2012 data for 45 brands. The authors made 6042 price observations among 177 liquor stores with online prices. Using a hierarchical model, the authors examined the relationship between excise taxes and product prices. State excise taxes were significantly related to liquor prices, with an estimated pass-through rate of 0.93. The proportion of price accounted for by excise taxes averaged 7.0%. The authors find that excise taxes do increase the price of alcohol, but states are not taking advantage of this opportunity to reduce alcohol-related morbidity and mortality.

A discontinuous Galerkin method for numerical pricing of European options under Heston stochastic volatility

NASA Astrophysics Data System (ADS)

Hozman, J.; Tichý, T.

2016-12-01

The paper is based on the results from our recent research on multidimensional option pricing problems. We focus on European option valuation when the price movement of the underlying asset is driven by a stochastic volatility following a square root process proposed by Heston. The stochastic approach incorporates a new additional spatial variable into this model and makes it very robust, i.e. it provides a framework to price a variety of options that is closer to reality. The main topic is to present the numerical scheme arising from the concept of discontinuous Galerkin methods and applicable to the Heston option pricing model. The numerical results are presented on artificial benchmarks as well as on reference market data.

Generalization of Water Pricing Model in Agriculture and Domestic Groundwater for Water Sustainability and Conservation

NASA Astrophysics Data System (ADS)

Hek, Tan Kim; Fadzli Ramli, Mohammad; Iryanto; Rohana Goh, Siti; Zaki, Mohd Faiz M.

2018-03-01

The water requirement greatly increased due to population growth, increased agricultural areas and industrial development, thus causing high water demand. The complex problems facing by country is water pricing is not designed optimally as a staple of human needs and on the other hand also cannot guarantee the maintenance and distribution of water effectively. The cheap water pricing caused increase of water use and unmanageable water resource. Therefore, the more optimal water pricing as an effective control of water policy is needed for the sake of ensuring water resources conservation and sustainability. This paper presents the review on problems, issues and mathematical modelling of water pricing based on agriculture and domestic groundwater for water sustainability and conservation.

Effects of beverage alcohol price and tax levels on drinking: a meta-analysis of 1003 estimates from 112 studies.

PubMed

Wagenaar, Alexander C; Salois, Matthew J; Komro, Kelli A

2009-02-01

We conducted a systematic review of studies examining relationships between measures of beverage alcohol tax or price levels and alcohol sales or self-reported drinking. A total of 112 studies of alcohol tax or price effects were found, containing 1003 estimates of the tax/price-consumption relationship. Studies included analyses of alternative outcome measures, varying subgroups of the population, several statistical models, and using different units of analysis. Multiple estimates were coded from each study, along with numerous study characteristics. Using reported estimates, standard errors, t-ratios, sample sizes and other statistics, we calculated the partial correlation for the relationship between alcohol price or tax and sales or drinking measures for each major model or subgroup reported within each study. Random-effects models were used to combine studies for inverse variance weighted overall estimates of the magnitude and significance of the relationship between alcohol tax/price and drinking. Simple means of reported elasticities are -0.46 for beer, -0.69 for wine and -0.80 for spirits. Meta-analytical results document the highly significant relationships (P < 0.001) between alcohol tax or price measures and indices of sales or consumption of alcohol (aggregate-level r = -0.17 for beer, -0.30 for wine, -0.29 for spirits and -0.44 for total alcohol). Price/tax also affects heavy drinking significantly (mean reported elasticity = -0.28, individual-level r = -0.01, P < 0.01), but the magnitude of effect is smaller than effects on overall drinking. A large literature establishes that beverage alcohol prices and taxes are related inversely to drinking. Effects are large compared to other prevention policies and programs. Public policies that raise prices of alcohol are an effective means to reduce drinking.

A data-centric approach to understanding the pricing of financial options

NASA Astrophysics Data System (ADS)

Healy, J.; Dixon, M.; Read, B.; Cai, F. F.

2002-05-01

We investigate what can be learned from a purely phenomenological study of options prices without modelling assumptions. We fitted neural net (NN) models to LIFFE ``ESX'' European style FTSE 100 index options using daily data from 1992 to 1997. These non-parametric models reproduce the Black-Scholes (BS) analytic model in terms of fit and performance measures using just the usual five inputs (S, X, t, r, IV). We found that adding transaction costs (bid-ask spread) to these standard five parameters gives a comparable fit and performance. Tests show that the bid-ask spread can be a statistically significant explanatory variable for option prices. The difference in option prices between the models with transaction costs and those without ranges from about -3.0 to +1.5 index points, varying with maturity date. However, the difference depends on the moneyness (S/X), being greatest in-the-money. This suggests that use of a five-factor model can result in a pricing difference of up to #10 to #30 per call option contract compared with modelling under transaction costs. We found that the influence of transaction costs varied between different yearly subsets of the data. Open interest is also a significant explanatory variable, but volume is not.

When Future Change Matters: Modeling Future Price and Diffusion in Health Technology Assessments of Medical Devices.

PubMed

Grimm, Sabine E; Dixon, Simon; Stevens, John W

Health technology assessments (HTAs) that take account of future price changes have been examined in the literature, but the important issue of price reductions that are generated by the reimbursement decision has been ignored. To explore the impact of future price reductions caused by increasing uptake on HTAs and decision making for medical devices. We demonstrate the use of a two-stage modeling approach to derive estimates of technology price as a consequence of changes in technology uptake over future periods on the basis of existing theory and supported by empirical studies. We explore the impact on cost-effectiveness and expected value of information analysis in an illustrative example on the basis of a technology in development for preterm birth screening. The application of our approach to the case study technology generates smaller incremental cost-effectiveness ratios compared with the commonly used single cohort approach. The extent of this reduction in the incremental cost-effectiveness ratio depends on the magnitude of the modeled price reduction, the speed of diffusion, and the length of the assumed technology life horizon. Results of value of information analysis are affected through changes in the expected net benefit calculation, the addition of uncertain parameters, and the diffusion-adjusted estimate of the affected patient population. Because modeling future changes in price and uptake has the potential to affect HTA outcomes, modeling techniques that can address such changes should be considered for medical devices that may otherwise be rejected. Copyright © 2016 International Society for Pharmacoeconomics and Outcomes Research (ISPOR). Published by Elsevier Inc. All rights reserved.

Time-changed geometric fractional Brownian motion and option pricing with transaction costs

NASA Astrophysics Data System (ADS)

Gu, Hui; Liang, Jin-Rong; Zhang, Yun-Xiu

2012-08-01

This paper deals with the problem of discrete time option pricing by a fractional subdiffusive Black-Scholes model. The price of the underlying stock follows a time-changed geometric fractional Brownian motion. By a mean self-financing delta-hedging argument, the pricing formula for the European call option in discrete time setting is obtained.

Limit Pricing with Incomplete Information: Answers to Frequently Asked Questions

ERIC Educational Resources Information Center

Sorenson, Timothy L.

2004-01-01

Strategic pricing is an important and exciting topic in industrial organization and the economics of strategy. A wide range of texts use what has become a standard version of the Milgrom and Roberts (1982a) limit-pricing model to convey the essential ideas of strategic pricing under incomplete information. In addition to providing a formal, but…

Universal Behavior of Extreme Price Movements in Stock Markets

PubMed Central

Fuentes, Miguel A.; Gerig, Austin; Vicente, Javier

2009-01-01

Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large collection of data from three different stock markets, we present evidence that a modification to the random model—adding a slow, but significant, fluctuation to the standard deviation of the process—accurately explains the probability of different-sized price changes, including the relative high frequency of extreme movements. Furthermore, we show that this process is similar across stocks so that their price fluctuations can be characterized by a single curve. Because the behavior of price fluctuations is rooted in the characteristics of volatility, we expect our results to bring increased interest to stochastic volatility models, and especially to those that can produce the properties of volatility reported here. PMID:20041178

Municipal household solid waste fee based on an increasing block pricing model in Beijing, China.

PubMed

Chu, Zhujie; Wu, Yunga; Zhuang, Jun

2017-03-01

This article aims to design an increasing block pricing model to estimate the waste fee with the consideration of the goals and principles of municipal household solid waste pricing. The increasing block pricing model is based on the main consideration of the per capita disposable income of urban residents, household consumption expenditure, production rate of waste disposal industry, and inflation rate. The empirical analysis is based on survey data of 5000 households in Beijing, China. The results indicate that the current uniform price of waste disposal is set too high for low-income people, and waste fees to the household disposable income or total household spending ratio are too low for the medium- and high-income families. An increasing block pricing model can prevent this kind of situation, and not only solve the problem of lack of funds, but also enhance the residents' awareness of environmental protection. A comparative study based on the grey system model is made by having a preliminary forecast for the waste emissions reduction effect of the pay-as-you-throw programme in the next 5 years of Beijing, China. The results show that the effect of the pay-as-you-throw programme is not only to promote the energy conservation and emissions reduction, but also giving a further improvement of the environmental quality.

Stochastic volatility models and Kelvin waves

NASA Astrophysics Data System (ADS)

Lipton, Alex; Sepp, Artur

2008-08-01

We use stochastic volatility models to describe the evolution of an asset price, its instantaneous volatility and its realized volatility. In particular, we concentrate on the Stein and Stein model (SSM) (1991) for the stochastic asset volatility and the Heston model (HM) (1993) for the stochastic asset variance. By construction, the volatility is not sign definite in SSM and is non-negative in HM. It is well known that both models produce closed-form expressions for the prices of vanilla option via the Lewis-Lipton formula. However, the numerical pricing of exotic options by means of the finite difference and Monte Carlo methods is much more complex for HM than for SSM. Until now, this complexity was considered to be an acceptable price to pay for ensuring that the asset volatility is non-negative. We argue that having negative stochastic volatility is a psychological rather than financial or mathematical problem, and advocate using SSM rather than HM in most applications. We extend SSM by adding volatility jumps and obtain a closed-form expression for the density of the asset price and its realized volatility. We also show that the current method of choice for solving pricing problems with stochastic volatility (via the affine ansatz for the Fourier-transformed density function) can be traced back to the Kelvin method designed in the 19th century for studying wave motion problems arising in fluid dynamics.

Ergodic Transition in a Simple Model of the Continuous Double Auction

PubMed Central

Radivojević, Tijana; Anselmi, Jonatha; Scalas, Enrico

2014-01-01

We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the auction are derived and, as a consequence, three possible regimes in the behavior of prices and logarithmic returns are observed. In the ergodic regime, prices are unstable and one can observe a heteroskedastic behavior in the logarithmic returns. On the contrary, non-ergodicity triggers stability of prices, even if two different regimes can be seen. PMID:24558377

Binomial tree method for pricing a regime-switching volatility stock loans

NASA Astrophysics Data System (ADS)

Putri, Endah R. M.; Zamani, Muhammad S.; Utomo, Daryono B.

2018-03-01

Binomial model with regime switching may represents the price of stock loan which follows the stochastic process. Stock loan is one of alternative that appeal investors to get the liquidity without selling the stock. The stock loan mechanism resembles that of American call option when someone can exercise any time during the contract period. From the resembles both of mechanism, determination price of stock loan can be interpreted from the model of American call option. The simulation result shows the behavior of the price of stock loan under a regime-switching with respect to various interest rate and maturity.

Ergodic transition in a simple model of the continuous double auction.

PubMed

Radivojević, Tijana; Anselmi, Jonatha; Scalas, Enrico

2014-01-01

We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent M/M/1 queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the auction are derived and, as a consequence, three possible regimes in the behavior of prices and logarithmic returns are observed. In the ergodic regime, prices are unstable and one can observe a heteroskedastic behavior in the logarithmic returns. On the contrary, non-ergodicity triggers stability of prices, even if two different regimes can be seen.

A comparison between MS-VECM and MS-VECMX on economic time series data

NASA Astrophysics Data System (ADS)

Phoong, Seuk-Wai; Ismail, Mohd Tahir; Sek, Siok-Kun

2014-07-01

Multivariate Markov switching models able to provide useful information on the study of structural change data since the regime switching model can analyze the time varying data and capture the mean and variance in the series of dependence structure. This paper will investigates the oil price and gold price effects on Malaysia, Singapore, Thailand and Indonesia stock market returns. Two forms of Multivariate Markov switching models are used namely the mean adjusted heteroskedasticity Markov Switching Vector Error Correction Model (MSMH-VECM) and the mean adjusted heteroskedasticity Markov Switching Vector Error Correction Model with exogenous variable (MSMH-VECMX). The reason for using these two models are to capture the transition probabilities of the data since real financial time series data always exhibit nonlinear properties such as regime switching, cointegrating relations, jumps or breaks passing the time. A comparison between these two models indicates that MSMH-VECM model able to fit the time series data better than the MSMH-VECMX model. In addition, it was found that oil price and gold price affected the stock market changes in the four selected countries.

Stochastic modeling of stock price process induced from the conjugate heat equation

NASA Astrophysics Data System (ADS)

Paeng, Seong-Hun

2015-02-01

Currency can be considered as a ruler for values of commodities. Then the price is the measured value by the ruler. We can suppose that inflation and variation of exchange rate are caused by variation of the scale of the ruler. In geometry, variation of the scale means that the metric is time-dependent. The conjugate heat equation is the modified heat equation which satisfies the heat conservation law for the time-dependent metric space. We propose a new model of stock prices by using the stochastic process whose transition probability is determined by the kernel of the conjugate heat equation. Our model of stock prices shows how the volatility term is affected by inflation and exchange rate. This model modifies the Black-Scholes equation in light of inflation and exchange rate.

Modeling of shallot supply decisions: the case of Indonesia

NASA Astrophysics Data System (ADS)

Prabawati, N. F.; Pujawan, I. N.; Widodo, E.

2018-04-01

To optimize supply chain role, the players of supply chain need to integrate its function. One of the general problems in supply chain was the unbalanced quantity of sales and quantity of supply. This paper focused on modelling a simple method to manage the gap between the demand and the supply. The gap might cause an overstock or a loss. This paper propose a buffer quantity in order to handle the gap by using import decision. The case study was about shallot supply - demand in Indonesia. In this study we model the supply decisions of shallot in Indonesia. While the demand was quite stable over time, the supply was heavily affected by the yield from the farms. The shortage could result in the government importing shallot from other countries. Hence, the government also needed to have a proper buffering mechanism in order to ensure the supply was sufficient and the price was quite stable. The initial model of this research was built by stochastic parameters and the extended model to gain pricing mechanism was built by Shapley value principal with modification. The primary variables were supply quantity, demand quantity, buffer and purchased quantity (stock needed), actual consumption, and price for three players. The validation proved that the result of price at each player presented a significant difference. Therefore, the model could be applied to decide the stock quantity needed and to keep the price stable at each player especially at the end player which would influence the market price.

The role of the Sheffield model on the minimum unit pricing of alcohol debate: the importance of a rhetorical perspective.

PubMed

Katikireddi, Srinivasa Vittal; Hilton, Shona; Bond, Lyndal

2016-11-01

The minimum unit pricing (MUP) alcohol policy debate has been informed by the Sheffield model, a study which predicts impacts of different alcohol pricing policies. This paper explores the Sheffield model's influences on the policy debate by drawing on 36 semi-structured interviews with policy actors who were involved in the policy debate. Although commissioned by policy makers, the model's influence has been far broader than suggested by views of 'rational' policy making. While findings from the Sheffield model have been used in instrumental ways, they have arguably been more important in helping debate competing values underpinning policy goals.

Analytical pricing formulas for hybrid variance swaps with regime-switching

NASA Astrophysics Data System (ADS)

Roslan, Teh Raihana Nazirah; Cao, Jiling; Zhang, Wenjun

2017-11-01

The problem of pricing discretely-sampled variance swaps under stochastic volatility, stochastic interest rate and regime-switching is being considered in this paper. An extension of the Heston stochastic volatility model structure is done by adding the Cox-Ingersoll-Ross (CIR) stochastic interest rate model. In addition, the parameters of the model are permitted to have transitions following a Markov chain process which is continuous and discoverable. This hybrid model can be used to illustrate certain macroeconomic conditions, for example the changing phases of business stages. The outcome of our regime-switching hybrid model is presented in terms of analytical pricing formulas for variance swaps.

A model for the dynamic behavior of financial assets affected by news: The case of Tohoku-Kanto earthquake

NASA Astrophysics Data System (ADS)

Ochiai, T.; Nacher, J. C.

2011-09-01

The prices of financial products in markets are determined by the behavior of investors, who are influenced by positive and negative news. Here, we present a mathematical model to reproduce the price movements in real financial markets affected by news. The model has both positive and negative feed-back mechanisms. Furthermore, the behavior of the model is examined by considering two types of noise. Our results show that the dynamic balance of positive and negative feed-back mechanisms with the noise effect determines the asset price movement.

Fractional Ornstein-Uhlenbeck for index prices of FTSE Bursa Malaysia KLCI

NASA Astrophysics Data System (ADS)

Chen, Kho Chia; Bahar, Arifah; Ting, Chee-Ming

2014-07-01

This paper studies the Ornstein-Uhlenbeck model that incorporates long memory stochastic volatility which is known as fractional Ornstein-Uhlenbeck model. The determination of the existence of long range dependence of the index prices of FTSE Bursa Malaysia KLCI is measured by the Hurst exponent. The empirical distribution of unobserved volatility is estimated using the particle filtering method. The performance between fractional Ornstein -Uhlenbeck and standard Ornstein -Uhlenbeck process had been compared. The mean square errors of the fractional Ornstein-Uhlenbeck model indicated that the model describes index prices better than the standard Ornstein-Uhlenbeck process.

Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models

DOE Office of Scientific and Technical Information (OSTI.GOV)

Gulisashvili, Archil, E-mail: guli@math.ohiou.ed; Stein, Elias M., E-mail: stein@math.princeton.ed

2010-06-15

We study the asymptotic behavior of distribution densities arising in stock price models with stochastic volatility. The main objects of our interest in the present paper are the density of time averages of the squared volatility process and the density of the stock price process in the Stein-Stein and the Heston model. We find explicit formulas for leading terms in asymptotic expansions of these densities and give error estimates. As an application of our results, sharp asymptotic formulas for the implied volatility in the Stein-Stein and the Heston model are obtained.

Drug Licenses: A Better Model for Pharmaceutical Pricing

PubMed Central

Goldman, Dana P.; Jena, Anupam B.; Philipson, Tomas; Sun, Eric

2013-01-01

High drug prices are a substantial barrier to patient access and compliance. Yet, low drug prices are often argued to provide inadequate incentives for innovation. We propose a “drug-licensing” model for health care which has the promise of increasing drug utilization without altering patient out-of-pocket spending, health plan costs, or pharmaceutical profits. In such a model, individuals purchase annual drug licenses which guarantee unfettered access to a clinically optimal number of prescriptions over the course of a year. For the case of statins, we illustrate how such a model may be implemented in practice. PMID:18180487

Evaluation of the Impact of Wind Generation on the Electricity Market Prices and on the Profitability of New Wind Investments

NASA Astrophysics Data System (ADS)

Pereira, A. J.; Saraiva, J. T.

2012-10-01

This paper describes a Dynamic Model of the electricity sector that can be used to simulate the evolution of some key variables on the long term, namely the evolution of the electricity price, of the demand and of the capacity factors of the technologies in the generation mix. This model can be used in different ways and by several agents, for instance to estimate the impact on the electricity price of the increasing presence of renewable power stations, namely using wind power and PV systems. In several countries these stations are paid feed-in tariffs with a fixed price but in some cases this scheme is under discussion and there are opinions that payments determined by the market price are more adequate and would bring fewer costs to final consumers. Such a change has to be carefully evaluated given that the presence of renewable stations bidding at an infra marginal price will affect the price itself. The model described in this paper can be used in a profitable way both by governmental agencies when preparing or studying alternative remuneration schemes to renewable stations or by promoters themselves to get more insight to the profitability of their investments, namely if the fixed feed-in tariffs in force in several countries are changed.

Pricing of common cosmetic surgery procedures: local economic factors trump supply and demand.

PubMed

Richardson, Clare; Mattison, Gennaya; Workman, Adrienne; Gupta, Subhas

2015-02-01

The pricing of cosmetic surgery procedures has long been thought to coincide with laws of basic economics, including the model of supply and demand. However, the highly variable prices of these procedures indicate that additional economic contributors are probable. The authors sought to reassess the fit of cosmetic surgery costs to the model of supply and demand and to determine the driving forces behind the pricing of cosmetic surgery procedures. Ten plastic surgery practices were randomly selected from each of 15 US cities of various population sizes. Average prices of breast augmentation, mastopexy, abdominoplasty, blepharoplasty, and rhytidectomy in each city were compared with economic and demographic statistics. The average price of cosmetic surgery procedures correlated substantially with population size (r = 0.767), cost-of-living index (r = 0.784), cost to own real estate (r = 0.714), and cost to rent real estate (r = 0.695) across the 15 US cities. Cosmetic surgery pricing also was found to correlate (albeit weakly) with household income (r = 0.436) and per capita income (r = 0.576). Virtually no correlations existed between pricing and the density of plastic surgeons (r = 0.185) or the average age of residents (r = 0.076). Results of this study demonstrate a correlation between costs of cosmetic surgery procedures and local economic factors. Cosmetic surgery pricing cannot be completely explained by the supply-and-demand model because no association was found between procedure cost and the density of plastic surgeons. © 2015 The American Society for Aesthetic Plastic Surgery, Inc. Reprints and permission: journals.permissions@oup.com.

Utility indifference pricing of insurance catastrophe derivatives.

PubMed

Eichler, Andreas; Leobacher, Gunther; Szölgyenyi, Michaela

2017-01-01

We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we price a catastrophe derivative by the method of utility indifference pricing. The associated stochastic optimization problem is treated by techniques for piecewise deterministic Markov processes. A numerical study illustrates our results.

A non-Gaussian option pricing model based on Kaniadakis exponential deformation

NASA Astrophysics Data System (ADS)

Moretto, Enrico; Pasquali, Sara; Trivellato, Barbara

2017-09-01

A way to make financial models effective is by letting them to represent the so called "fat tails", i.e., extreme changes in stock prices that are regarded as almost impossible by the standard Gaussian distribution. In this article, the Kaniadakis deformation of the usual exponential function is used to define a random noise source in the dynamics of price processes capable of capturing such real market phenomena.

A multilayer approach for price dynamics in financial markets

NASA Astrophysics Data System (ADS)

Biondo, Alessio Emanuele; Pluchino, Alessandro; Rapisarda, Andrea

2017-02-01

We introduce a new Self-Organized Criticality (SOC) model for simulating price evolution in an artificial financial market, based on a multilayer network of traders. The model also implements, in a quite realistic way with respect to previous studies, the order book dynamics, by considering two assets with variable fundamental prices. Fat tails in the probability distributions of normalized returns are observed, together with other features of real financial markets.

Forecasting Natural Rubber Price In Malaysia Using Arima

NASA Astrophysics Data System (ADS)

Zahari, Fatin Z.; Khalid, Kamil; Roslan, Rozaini; Sufahani, Suliadi; Mohamad, Mahathir; Saifullah Rusiman, Mohd; Ali, Maselan

2018-04-01

This paper contains introduction, materials and methods, results and discussions, conclusions and references. Based on the title mentioned, high volatility of the price of natural rubber nowadays will give the significant risk to the producers, traders, consumers, and others parties involved in the production of natural rubber. To help them in making decisions, forecasting is needed to predict the price of natural rubber. The main objective of the research is to forecast the upcoming price of natural rubber by using the reliable statistical method. The data are gathered from Malaysia Rubber Board which the data are from January 2000 until December 2015. In this research, average monthly price of Standard Malaysia Rubber 20 (SMR20) will be forecast by using Box-Jenkins approach. Time series plot is used to determine the pattern of the data. The data have trend pattern which indicates the data is non-stationary data and the data need to be transformed. By using the Box-Jenkins method, the best fit model for the time series data is ARIMA (1, 1, 0) which this model satisfy all the criteria needed. Hence, ARIMA (1, 1, 0) is the best fitted model and the model will be used to forecast the average monthly price of Standard Malaysia Rubber 20 (SMR20) for twelve months ahead.

Exploring the WTI crude oil price bubble process using the Markov regime switching model

NASA Astrophysics Data System (ADS)

Zhang, Yue-Jun; Wang, Jing

2015-03-01

The sharp volatility of West Texas Intermediate (WTI) crude oil price in the past decade triggers us to investigate the price bubbles and their evolving process. Empirical results indicate that the fundamental price of WTI crude oil appears relatively more stable than that of the market-trading price, which verifies the existence of oil price bubbles during the sample period. Besides, by allowing the WTI crude oil price bubble process to switch between two states (regimes) according to a first-order Markov chain, we are able to statistically discriminate upheaval from stable states in the crude oil price bubble process; and in most of time, the stable state dominates the WTI crude oil price bubbles while the upheaval state usually proves short-lived and accompanies unexpected market events.

Price regulation and generic competition in the pharmaceutical market.

PubMed

Dalen, Dag Morten; Strøm, Steinar; Haabeth, Tonje

2006-09-01

In March 2003 the Norwegian government implemented yardstick-based price regulation schemes on a selection of drugs subjected to generic competition. The retail price cap, termed the "index price," on a drug (chemical substance) was set equal to the average of the three lowest producer prices on that drug, plus a fixed wholesale and retail margin. This is supposed to lower barriers of entry for generic drugs and to trigger price competition. Using monthly data over the period 1998-2004 for the six drugs (chemical entities) included in the index price system, we estimate a structural model enabling us to examine the impact of the reform on both demand and market power. Our results suggest that the index price helped to increase the market shares of generic drugs and succeeded in triggering price competition.

ℓ(p)-Norm multikernel learning approach for stock market price forecasting.

PubMed

Shao, Xigao; Wu, Kun; Liao, Bifeng

2012-01-01

Linear multiple kernel learning model has been used for predicting financial time series. However, ℓ(1)-norm multiple support vector regression is rarely observed to outperform trivial baselines in practical applications. To allow for robust kernel mixtures that generalize well, we adopt ℓ(p)-norm multiple kernel support vector regression (1 ≤ p < ∞) as a stock price prediction model. The optimization problem is decomposed into smaller subproblems, and the interleaved optimization strategy is employed to solve the regression model. The model is evaluated on forecasting the daily stock closing prices of Shanghai Stock Index in China. Experimental results show that our proposed model performs better than ℓ(1)-norm multiple support vector regression model.

Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation

NASA Astrophysics Data System (ADS)

Zhang, Wei; Wang, Jun

2017-09-01

In attempt to reproduce price dynamics of financial markets, a stochastic agent-based financial price model is proposed and investigated by stochastic exclusion process. The exclusion process, one of interacting particle systems, is usually thought of as modeling particle motion (with the conserved number of particles) in a continuous time Markov process. In this work, the process is utilized to imitate the trading interactions among the investing agents, in order to explain some stylized facts found in financial time series dynamics. To better understand the correlation behaviors of the proposed model, a new time-dependent intrinsic detrended cross-correlation (TDI-DCC) is introduced and performed, also, the autocorrelation analyses are applied in the empirical research. Furthermore, to verify the rationality of the financial price model, the actual return series are also considered to be comparatively studied with the simulation ones. The comparison results of return behaviors reveal that this financial price dynamics model can reproduce some correlation features of actual stock markets.

Metroplex Optimization Model Expansion and Analysis: The Airline Fleet, Route, and Schedule Optimization Model (AFRS-OM)

NASA Technical Reports Server (NTRS)

Sherry, Lance; Ferguson, John; Hoffman, Karla; Donohue, George; Beradino, Frank

2012-01-01

This report describes the Airline Fleet, Route, and Schedule Optimization Model (AFRS-OM) that is designed to provide insights into airline decision-making with regards to markets served, schedule of flights on these markets, the type of aircraft assigned to each scheduled flight, load factors, airfares, and airline profits. The main inputs to the model are hedged fuel prices, airport capacity limits, and candidate markets. Embedded in the model are aircraft performance and associated cost factors, and willingness-to-pay (i.e. demand vs. airfare curves). Case studies demonstrate the application of the model for analysis of the effects of increased capacity and changes in operating costs (e.g. fuel prices). Although there are differences between airports (due to differences in the magnitude of travel demand and sensitivity to airfare), the system is more sensitive to changes in fuel prices than capacity. Further, the benefits of modernization in the form of increased capacity could be undermined by increases in hedged fuel prices

Essays on price dynamics, discovery, and dynamic threshold effects among energy spot markets in North America

NASA Astrophysics Data System (ADS)

Park, Haesun

2005-12-01

Given the role electricity and natural gas sectors play in the North American economy, an understanding of how markets for these commodities interact is important. This dissertation independently characterizes the price dynamics of major electricity and natural gas spot markets in North America by combining directed acyclic graphs with time series analyses. Furthermore, the dissertation explores a generalization of price difference bands associated with the law of one price. Interdependencies among 11 major electricity spot markets are examined in Chapter II using a vector autoregression model. Results suggest that the relationships between the markets vary by time. Western markets are separated from the eastern markets and the Electricity Reliability Council of Texas. At longer time horizons these separations disappear. Palo Verde is the important spot market in the west for price discovery. Southwest Power Pool is the dominant market in Eastern Interconnected System for price discovery. Interdependencies among eight major natural gas spot markets are investigated using a vector error correction model and the Greedy Equivalence Search Algorithm in Chapter III. Findings suggest that the eight price series are tied together through six long-run cointegration relationships, supporting the argument that the natural gas market has developed into a single integrated market in North America since deregulation. Results indicate that price discovery tends to occur in the excess consuming regions and move to the excess producing regions. Across North America, the U.S. Midwest region, represented by the Chicago spot market, is the most important for price discovery. The Ellisburg-Leidy Hub in Pennsylvania and Malin Hub in Oregon are important for eastern and western markets. In Chapter IV, a threshold vector error correction model is applied to the natural gas markets to examine nonlinearities in adjustments to the law of one price. Results show that there are nonlinear adjustments to the law of one price in seven pair-wise markets. Four alternative cases for the law of one price are presented as a theoretical background. A methodology is developed for finding a threshold cointegration model that accounts for seasonality in the threshold levels. Results indicate that dynamic threshold effects vary depending on geographical location and whether the markets are excess producing or excess consuming markets.

Essays in Energy Economics

NASA Astrophysics Data System (ADS)

Spurlock, Cecily Anna

In this dissertation I explore two aspects of the economics of energy. The first focuses on consumer behavior, while the second focuses on market structure and firm behavior. In the first chapter, I demonstrate evidence of loss aversion in the behavior of households on two critical peak pricing experimental tariffs while participating in the California Statewide Pricing Pilot. I develop a model of loss aversion over electricity expenditure from which I derive two sets of testable predictions. First, I show that when there is a higher probability that a household is in the loss domain of their value function for the bill period, the more strongly they cut back peak consumption. Second, when prices are such that households are close to the kink in their value function - and would otherwise have expenditure skewed into the loss domain---I show evidence of disproportionate clustering at the kink. In essence this means that the occurrence of critical peak days did not only result in a reduction of peak consumption on that day, but also spilled over to further reduction of peak consumption on regular peak days for several weeks thereafter. This was similarly true when temperatures were high during high priced periods. This form of demand adjustment resulted in households experiencing bill-period expenditures equal to what they would have paid on the standard non-dynamic pricing tariff at a disproportionate rate. This higher number of bill periods with equal expenditure displaced bill periods in which they otherwise would have paid more than if they were on standard pricing. In the second chapter, I explore the effects of two simultaneous changes in minimum energy efficiency and Energy Star standards for clothes washers. Adapting the Mussa and Rosen (1978) and Ronnen (1991) second-degree price discrimination model, I demonstrate that clothes washer prices and menus adjusted to the new standards in patterns consistent with a market in which firms had been price discriminating. In particular, I show evidence of discontinuous price drops at the time the standards were imposed, driven largely by mid low efficiency segments of the market. The price discrimination model predicts this result. On the other hand, under perfect competition, prices should increase for these market segments. Additionally, new models proliferated in the highest efficiency market segment following the standard changes. Finally, I show that firms appeared to use different adaptation strategies at the two instances of the standards changing.

Price elasticity and medication use: cost sharing across multiple clinical conditions.

PubMed

Gatwood, Justin; Gibson, Teresa B; Chernew, Michael E; Farr, Amanda M; Vogtmann, Emily; Fendrick, A Mark

2014-11-01

To address the impact that out-of-pocket prices may have on medication use, it is vital to understand how the demand for medications may be affected when patients are faced with changes in the price to acquire treatment and how price responsiveness differs across medication classes.  To examine the impact of cost-sharing changes on the demand for 8 classes of prescription medications. This was a retrospective database analysis of 11,550,363 commercially insured enrollees within the 2005-2009 MarketScan Database. Patient cost sharing, expressed as a price index for each medication class, was the main explanatory variable to examine the price elasticity of demand. Negative binomial fixed effect models were estimated to examine medication fills. The elasticity estimates reflect how use changes over time as a function of changes in copayments. Model estimates revealed that price elasticity of demand ranged from -0.015 to -0.157 within the 8 categories of medications (P  less than  0.01 for 7 of 8 categories). The price elasticity of demand for smoking deterrents was largest (-0.157, P  less than  0.0001), while demand for antiplatelet agents was not responsive to price (P  greater than 0.05). The price elasticity of demand varied considerably by medication class, suggesting that the influence of cost sharing on medication use may be related to characteristics inherent to each medication class or underlying condition.

Housing demand or money supply? A new Keynesian dynamic stochastic general equilibrium model on China's housing market fluctuations

NASA Astrophysics Data System (ADS)

Wen, Xing-Chun; He, Ling-Yun

2015-08-01

There is a bitter controversy over what drives the housing price in China in the existing literature. In this paper, we investigate the underlying driving force behind housing price fluctuations in China, especially focusing on the role of housing demand shock with that of money supply shock in explaining housing price movements, by a new Keynesian dynamic stochastic general equilibrium model. Empirical results suggest that it is housing demand, instead of money supply, that mainly drives China's housing price movements. Relevant policy implication is further discussed, namely, whether to consider the housing price fluctuations in the conduct of monetary policy. By means of the policy simulations, we find that a real house price-augmented money supply rule is a better monetary policy for China's economy stabilization. 1. Investment refers to fixed capital investment. 2. Housing price refers to national average housing price. Quarterly data on housing price during the period of our work are not directly available. However, monthly data of the value of sales on housing and sale volume on housing can be directly obtained from National Bureau of Statistics of China. We add up the monthly data and calculate one quarter's housing price by dividing the value of housing sales by its sale volume in one quarter. 3. M2 means the broad money supply in China.

Valuing water resources in Switzerland using a hedonic price model

NASA Astrophysics Data System (ADS)

van Dijk, Diana; Siber, Rosi; Brouwer, Roy; Logar, Ivana; Sanadgol, Dorsa

2016-05-01

In this paper, linear and spatial hedonic price models are applied to the housing market in Switzerland, covering all 26 cantons in the country over the period 2005-2010. Besides structural house, neighborhood and socioeconomic characteristics, we include a wide variety of new environmental characteristics related to water to examine their role in explaining variation in sales prices. These include water abundance, different types of water bodies, the recreational function of water, and water disamenity. Significant spatial autocorrelation is found in the estimated models, as well as nonlinear effects for distances to the nearest lake and large river. Significant effects are furthermore found for water abundance and the distance to large rivers, but not to small rivers. Although in both linear and spatial models water related variables explain less than 1% of the price variation, the distance to the nearest bathing site has a larger marginal contribution than many neighborhood-related distance variables. The housing market shows to differentiate between different water related resources in terms of relative contribution to house prices, which could help the housing development industry make more geographically targeted planning activities.

Modeling and forecasting foreign exchange daily closing prices with normal inverse Gaussian

NASA Astrophysics Data System (ADS)

Teneng, Dean

2013-09-01

We fit the normal inverse Gaussian(NIG) distribution to foreign exchange closing prices using the open software package R and select best models by Käärik and Umbleja (2011) proposed strategy. We observe that daily closing prices (12/04/2008 - 07/08/2012) of CHF/JPY, AUD/JPY, GBP/JPY, NZD/USD, QAR/CHF, QAR/EUR, SAR/CHF, SAR/EUR, TND/CHF and TND/EUR are excellent fits while EGP/EUR and EUR/GBP are good fits with a Kolmogorov-Smirnov test p-value of 0.062 and 0.08 respectively. It was impossible to estimate normal inverse Gaussian parameters (by maximum likelihood; computational problem) for JPY/CHF but CHF/JPY was an excellent fit. Thus, while the stochastic properties of an exchange rate can be completely modeled with a probability distribution in one direction, it may be impossible the other way around. We also demonstrate that foreign exchange closing prices can be forecasted with the normal inverse Gaussian (NIG) Lévy process, both in cases where the daily closing prices can and cannot be modeled by NIG distribution.

A Novel Model for Stock Price Prediction Using Hybrid Neural Network

NASA Astrophysics Data System (ADS)

Senapati, Manas Ranjan; Das, Sumanjit; Mishra, Sarojananda

2018-06-01

The foremost challenge for investors is to select stock price by analyzing financial data which is a menial task as of distort associated and massive pattern. Thereby, selecting stock poses one of the greatest difficulties for investors. Nowadays, prediction of financial market like stock market, exchange rate and share value are very challenging field of research. The prediction and scrutinization of stock price is also a potential area of research due to its vital significance in decision making by financial investors. This paper presents an intelligent and an optimal model for prophecy of stock market price using hybridization of Adaline Neural Network (ANN) and modified Particle Swarm Optimization (PSO). The connoted model hybrid of Adaline and PSO uses fluctuations of stock market as a factor and employs PSO to optimize and update weights of Adaline representation to depict open price of Bombay stock exchange. The prediction performance of the proposed model is compared with different representations like interval measurements, CMS-PSO and Bayesian-ANN. The result indicates that proposed scheme has an edge over all the juxtaposed schemes in terms of mean absolute percentage error.

Pricing and hedging derivative securities with neural networks: Bayesian regularization, early stopping, and bagging.

PubMed

Gençay, R; Qi, M

2001-01-01

We study the effectiveness of cross validation, Bayesian regularization, early stopping, and bagging to mitigate overfitting and improving generalization for pricing and hedging derivative securities with daily S&P 500 index daily call options from January 1988 to December 1993. Our results indicate that Bayesian regularization can generate significantly smaller pricing and delta-hedging errors than the baseline neural-network (NN) model and the Black-Scholes model for some years. While early stopping does not affect the pricing errors, it significantly reduces the hedging error (HE) in four of the six years we investigated. Although computationally most demanding, bagging seems to provide the most accurate pricing and delta hedging. Furthermore, the standard deviation of the MSPE of bagging is far less than that of the baseline model in all six years, and the standard deviation of the average HE of bagging is far less than that of the baseline model in five out of six years. We conclude that they be used at least in cases when no appropriate hints are available.

Oil supply between OPEC and non-OPEC based on game theory

NASA Astrophysics Data System (ADS)

Chang, Yuwen; Yi, Jiexin; Yan, Wei; Yang, Xinshe; Zhang, Song; Gao, Yifan; Wang, Xi

2014-10-01

The competing strategies between OPEC (Organization of the Petroleum Exporting Countries) and non-OPEC producers make the oil supply market a complex system, and thus, it is very difficult to model and to make predictions. In this paper, we combine the macro-model based on game theory and micro-model to propose a new approach for forecasting oil supply. We take into account the microscopic behaviour in the clearing market and also use the game relationships to adjust oil supplies in our approach. For the supply model, we analyse and consider the different behaviour of non-OPEC and OPEC producers. According to our analysis, limiting the oil supply, and thus maintaining oil price, is the best strategy for OPEC in the low-price scenario, while the rising supply is the best strategy in the high-price scenario. No matter what the oil price is, the dominant strategy for non-OPEC producers is to increase their oil supply. In the high-price scenario, OPEC will try to deplete non-OPEC's share in the oil supply market, which is to OPEC's advantage.

Estimation of Value-at-Risk for Energy Commodities via CAViaR Model

NASA Astrophysics Data System (ADS)

Xiliang, Zhao; Xi, Zhu

This paper uses the Conditional Autoregressive Value at Risk model (CAViaR) proposed by Engle and Manganelli (2004) to evaluate the value-at-risk for daily spot prices of Brent crude oil and West Texas Intermediate crude oil covering the period May 21th, 1987 to Novermber 18th, 2008. Then the accuracy of the estimates of CAViaR model, Normal-GARCH, and GED-GARCH was compared. The results show that all the methods do good job for the low confidence level (95%), and GED-GARCH is the best for spot WTI price, Normal-GARCH and Adaptive-CAViaR are the best for spot Brent price. However, for the high confidence level (99%), Normal-GARCH do a good job for spot WTI, GED-GARCH and four kind of CAViaR specifications do well for spot Brent price. Normal-GARCH does badly for spot Brent price. The result seems suggest that CAViaR do well as well as GED-GARCH since CAViaR directly model the quantile autoregression, but it does not outperform GED-GARCH although it does outperform Normal-GARCH.

Pharmaceutical pricing: an empirical study of market competition in Chinese hospitals.

PubMed

Wu, Jing; Xu, Judy; Liu, Gordon; Wu, Jiuhong

2014-03-01

High pharmaceutical prices and over-prescribing of high-priced pharmaceuticals in Chinese hospitals has long been criticized. Although policy makers have tried to address these issues, they have not yet found an effective balance between government regulation and market forces. Our objective was to explore the impact of market competition on pharmaceutical pricing under Chinese government regulation. Data from 11 public tertiary hospitals in three cities in China from 2002 to 2005 were used to explore the effect of generic and therapeutic competition on prices of antibiotics and cardiovascular products. A quasi-hedonic regression model was employed to estimate the impact of competition. The inputs to our model were specific attributes of the products and manufacturers, with the exception of competition variables. Our results suggest that pharmaceutical prices are inversely related to the number of generic and therapeutic competitors, but positively related to the number of therapeutic classes. In addition, the product prices of leading local manufacturers are not only significantly lower than those of global manufacturers, but are also lower than their non-leading counterparts when other product attributes are controlled for. Under the highly price-regulated market in China, competition from generic and therapeutic competitors did decrease pharmaceutical prices. Further research is needed to explore whether this competition increases consumer welfare in China's healthcare setting.

Pharmaceutical Pricing in Germany: How Is Value Determined within the Scope of AMNOG?

PubMed

Lauenroth, Victoria Desirée; Stargardt, Tom

To analyze how value is determined within the scope of the German Pharmaceutical Restructuring Act, which came into effect in 2011. Using data from all pharmaceuticals that had undergone assessment, appraisal, and price negotiations in Germany before June 30, 2016, we applied generalized linear model regression to analyze the impact of added benefit on the difference between negotiated prices and the prices of comparators. Data were extracted from the Federal Joint Committee's appraisals and price databases. We specified added benefit in various ways. In all models, we controlled for additional criteria such as size of patient population, European price levels, and whether the comparators were generic. Our regression results confirmed the descriptive results, with price premiums reflecting the extent of added benefit as appraised by the Federal Joint Committee. On the substance level, an added benefit was associated with an increase in price premium of 227.2% (P < 0.001) compared with no added benefit. Moreover, we saw increases in price premium of 377.5% (P < 0.001), 90.0% (P < 0.001), and 336.8% (P < 0.001) for added benefits that were "considerable," "minor," and "not quantifiable," respectively. Beneficial effects on mortality were associated with the greatest price premium (624.3%; P < 0.001), followed by such effects on morbidity (174.7%; P < 0.001) and adverse events (93.1%; P = 0.019). Price premiums, or "value," are driven by health gain, the share of patients benefiting from a pharmaceutical, European price levels, and whether comparators are generic. No statement can be made, however, about the appropriateness of the level of price premiums. Copyright © 2017 International Society for Pharmacoeconomics and Outcomes Research (ISPOR). Published by Elsevier Inc. All rights reserved.

Essays on the effects of oil price shocks on the U.S. stock returns

NASA Astrophysics Data System (ADS)

Alsalman, Zeina N.

This research investigates the effect of changes in oil prices and oil price volatility on the U.S. stock returns. The first essay tests whether the sign and the size of oil price shocks matter for the U.S. stock returns. The results suggest a linear model provides a good approximation to the response of real stock returns to real oil price innovations. However, this is not the case when the model is specified in terms of the nominal price of crude oil. Using a modified structural VAR to accommodate GARCH-in-Mean errors, the second essay studies the direct effects of oil price uncertainty on the U.S. stock returns at the aggregate and sectoral levels. We also simulate the response of U.S. stock returns to positive and negative oil price shocks, to examine whether the responses to positive and negative shocks are symmetric. Estimation results suggest that there is no statistically significant effect of oil price volatility on the U.S. stock returns. Moreover, the impulse responses indicate that oil price increases and decreases have symmetric effects on the U.S. stock returns. Using high frequency data, the third essay addresses the issue of uncertainty in oil prices and its effect on U.S. stock returns, taking into account the day of the week effect. The results suggest that the-day-of-the-week effect is present in both the mean and volatility equations. The results also show that the U.S. stock market is sensitive to oil price variations not only at the aggregate level but also across some industries, such as chemicals, entertainment, and retail, where uncertainty in oil prices proves to have positive and statistically significant effect.

Real or perceived impediments to minimum pricing of alcohol in Australia: public opinion, the industry and the law.

PubMed

Chalmers, Jenny; Carragher, Natacha; Davoren, Sondra; O'Brien, Paula

2013-11-01

A burgeoning body of empirical evidence demonstrates that increases in the price of alcohol can reduce per capita alcohol consumption and harmful drinking. Taxes on alcohol can be raised to increase prices, but this strategy can be undermined if the industry absorbs the tax increase and cross-subsidises the price of one alcoholic beverage with other products. Such loss-leading strategies are not possible with minimum pricing. We argue that a minimum (or floor) price for alcohol should be used as a complement to alcohol taxation. Several jurisdictions have already introduced minimum pricing (e.g., Canada, Ukraine) and others are currently investigating pathways to introduce a floor price (e.g., Scotland). Tasked by the Australian government to examine the public interest case for a minimum price, Australia's peak preventative health agency recommended against setting one at the present time. The agency was concerned that there was insufficient Australian specific modelling evidence to make robust estimates of the net benefits. Nonetheless, its initial judgement was that it would be difficult for a minimum price to produce benefits for Australia at the national level. Whilst modelling evidence is certainly warranted to support the introduction of the policy, the development and uptake of policy is influenced by more than just empirical evidence. This article considers three potential impediments to minimum pricing: public opinion and misunderstandings or misgivings about the operation of a minimum price; the strength of alcohol industry objections and measures to undercut the minimum price through discounts and promotions; and legal obstacles including competition and trade law. The analysis of these factors is situated in an Australian context, but has salience internationally. Copyright © 2013 Elsevier B.V. All rights reserved.

Influence of purchaser perceptions and intentions on price for forest land parcels: a hedonic pricing approach

Treesearch

Stephanie A. Snyder; Michael A. Kilgore; Rachel Hudson; Jacob Donnay

2008-01-01

A hedonic model was developed to analyze the market for undeveloped forest land in Minnesota. Variables describing in situ conditions, locational characteristics, buyer perceptions and intentions, and transactional terms were tested for their influence on sale price. The independent variables explained 67% of the per hectare sale price variation. Water frontage, road...

Activities for Students: Predicting Future Gas Prices Using the Standards for Mathematical Practice

ERIC Educational Resources Information Center

Bismarck, Stephen F.; Zelkowski, Jeremy; Gleason, Jim

2014-01-01

Like many commodities, the price of gasoline continues to rise, and these price changes are readily observed in gas stations' signage. Moreover, algebraic methods are well suited to model price change and answer the student's question. Over the course of one ninety-minute block or two forty-five-minute classes, students build functions…

Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China

NASA Astrophysics Data System (ADS)

Borjigin, Sumuya; Yang, Yating; Yang, Xiaoguang; Sun, Leilei

2018-03-01

Many researchers have realized that there is a strong correlation between stock prices and macroeconomy. In order to make this relationship clear, a lot of studies have been done. However, the causal relationship between stock prices and macroeconomy has still not been well explained. A key point is that, most of the existing research adopts linear and stable models to investigate the correlation of stock prices and macroeconomy, while the real causality of that may be nonlinear and dynamic. To fill this research gap, we investigate the nonlinear and dynamic causal relationships between stock prices and macroeconomy. Based on the case of China's stock prices and acroeconomy measures from January 1992 to March 2017, we compare the linear Granger causality test models with nonlinear ones. Results demonstrate that the nonlinear dynamic Granger causality is much stronger than linear Granger causality. From the perspective of nonlinear dynamic Granger causality, China's stock prices can be viewed as "national economic barometer". On the one hand, this study will encourage researchers to take nonlinearity and dynamics into account when they investigate the correlation of stock prices and macroeconomy; on the other hand, our research can guide regulators and investors to make better decisions.

Price Analysis of Railway Freight Transport under Marketing Mechanism

NASA Astrophysics Data System (ADS)

Shi, Ying; Fang, Xiaoping; Chen, Zhiya

Regarding the problems in the reform of the railway tariff system and the pricing of the transport, by means of assaying the influence of the price elasticity on the artifice used for price, this article proposed multiple regressive model which analyzed price elasticity quantitatively. This model conclude multi-factors which influences on the price elasticity, such as the averagely railway freight charge, the averagely freight haulage of proximate supersede transportation mode, the GDP per capita in the point of origin, and a series of dummy variable which can reflect the features of some productive and consume demesne. It can calculate the price elasticity of different classes in different domains, and predict the freight traffic volume on different rate levels. It can calculate confidence-level, and evaluate the relevance of each parameter to get rid of irrelevant or little relevant variables. It supplied a good theoretical basis for directing the pricing of transport enterprises in market economic conditions, which is suitable for railway freight, passenger traffic and other transportation manner as well. SPSS (Statistical Package for the Social Science) software was used to calculate and analysis the example. This article realized the calculation by HYFX system(Ministry of Railways fund).

Modeling and simulating industrial land-use evolution in Shanghai, China

NASA Astrophysics Data System (ADS)

Qiu, Rongxu; Xu, Wei; Zhang, John; Staenz, Karl

2018-01-01

This study proposes a cellular automata-based Industrial and Residential Land Use Competition Model to simulate the dynamic spatial transformation of industrial land use in Shanghai, China. In the proposed model, land development activities in a city are delineated as competitions among different land-use types. The Hedonic Land Pricing Model is adopted to implement the competition framework. To improve simulation results, the Land Price Agglomeration Model was devised to simulate and adjust classic land price theory. A new evolutionary algorithm-based parameter estimation method was devised in place of traditional methods. Simulation results show that the proposed model closely resembles actual land transformation patterns and the model can not only simulate land development, but also redevelopment processes in metropolitan areas.

The Pricing of European Options Under the Constant Elasticity of Variance with Stochastic Volatility

NASA Astrophysics Data System (ADS)

Bock, Bounghun; Choi, Sun-Yong; Kim, Jeong-Hoon

This paper considers a hybrid risky asset price model given by a constant elasticity of variance multiplied by a stochastic volatility factor. A multiscale analysis leads to an asymptotic pricing formula for both European vanilla option and a Barrier option near the zero elasticity of variance. The accuracy of the approximation is provided in a rigorous manner. A numerical experiment for implied volatilities shows that the hybrid model improves some of the well-known models in view of fitting the data for different maturities.

Price dynamics of the financial markets using the stochastic differential equation for a potential double well

NASA Astrophysics Data System (ADS)

Lima, L. S.; Miranda, L. L. B.

2018-01-01

We have used the Itô's stochastic differential equation for the double well with additive white noise as a mathematical model for price dynamics of the financial market. We have presented a model which allows us to test within the same framework the comparative explanatory power of rational agents versus irrational agents, with respect to the facts of financial markets. We have obtained the mean price in terms of the β parameter that represents the force of the randomness term of the model.

Approximation methods of European option pricing in multiscale stochastic volatility model

NASA Astrophysics Data System (ADS)

Ni, Ying; Canhanga, Betuel; Malyarenko, Anatoliy; Silvestrov, Sergei

2017-01-01

In the classical Black-Scholes model for financial option pricing, the asset price follows a geometric Brownian motion with constant volatility. Empirical findings such as volatility smile/skew, fat-tailed asset return distributions have suggested that the constant volatility assumption might not be realistic. A general stochastic volatility model, e.g. Heston model, GARCH model and SABR volatility model, in which the variance/volatility itself follows typically a mean-reverting stochastic process, has shown to be superior in terms of capturing the empirical facts. However in order to capture more features of the volatility smile a two-factor, of double Heston type, stochastic volatility model is more useful as shown in Christoffersen, Heston and Jacobs [12]. We consider one modified form of such two-factor volatility models in which the volatility has multiscale mean-reversion rates. Our model contains two mean-reverting volatility processes with a fast and a slow reverting rate respectively. We consider the European option pricing problem under one type of the multiscale stochastic volatility model where the two volatility processes act as independent factors in the asset price process. The novelty in this paper is an approximating analytical solution using asymptotic expansion method which extends the authors earlier research in Canhanga et al. [5, 6]. In addition we propose a numerical approximating solution using Monte-Carlo simulation. For completeness and for comparison we also implement the semi-analytical solution by Chiarella and Ziveyi [11] using method of characteristics, Fourier and bivariate Laplace transforms.

Implications of Climate Volatility for Agricultural Commodity Markets in the Presence of Biofuel Mandates

NASA Astrophysics Data System (ADS)

Verma, M.; Diffenbaugh, N. S.; Hertel, T. W.; Beckman, J.

2011-12-01

In presence of bio-fuels, link between energy and agricultural commodity markets has become more complex. An increase in ethanol production to minimum 15bn gallons a year - Renewable Fuel Standard (RFS) and current technically permissible maximum 10% blending limit - Blend Wall (BW); make the link even stronger. If oil prices in future do not rise significantly from their current levels, this minimum production requirement would likely be binding. In such a scenario any fluctuation in crop production will have to be absorbed by the non-ethanol usage of the crop and would translate into crop prices adjusting to clear the markets and therefore the commodity prices will be more volatile. At high oil prices it is possible that the BW may become binding, severing the link between oil prices and commodity prices as well, potentially leading to higher price volatility. Hertel and Beckman (2010) find that, with both RFS and BW simultaneously binding, corn price volatility due to supply side shocks (which could arise from extreme climate events) could be more than 50% as large as in the absence of bio-fuel policies. So energy markets are important determinants of agricultural commodity price volatility. This proposal intends to introduce the increased supply side volatility on account of climate change and volatility, in the framework. Global warming on account of increased GHG concentrations is expected to increase the intensity and frequency of hot extremes in US (Diffenbaugh et al. 2008) and therefore affect corn yields. With supply shocks expected to increase, binding RFS and BW will exacerbate the volatility, while if they are non-binding then the price changes could be cushioned. We propose to model the impacts of climate changes and volatility on commodity prices by linking three main components - a. Projections for change in temperature and precipitation using climate model b. A statistical model to predict impacts of change in climate variable on corn yields in US c. Computable General Equilibrium economic model that uses the results of the two above as inputs, to predict commodity prices under alternative energy price scenarios We start with the high resolution projections on temperature and precipitation for US corn-belt for years 2020-2040. A modified version of statistical relationship estimated by Schlenker and Roberts, is used to translate climate variables' change into yield changes for each. Shocks are sampled from this distribution to decipher the corresponding volatility in commodity prices. All else constant, the increased supply side variability should result in increased price volatility; high oil prices however give markets an incentive to produce more than 15bn gallons ethanol a year (non-binding RFS) and part of supply fluctuation in crop production can be borne by ethanol production and impact of climate change on crop prices would be less dramatic than it would have been if the entire adjustment was to come through non-ethanol usage. So impact of climate change clearly depends on energy markets and policy decisions and results should provide insights into impact of climate change on agricultural prices under different energy market scenarios.

Quantum-like Viewpoint on the Complexity and Randomness of the Financial Market

NASA Astrophysics Data System (ADS)

Choustova, Olga

In economics and financial theory, analysts use random walk and more general martingale techniques to model behavior of asset prices, in particular share prices on stock markets, currency exchange rates and commodity prices. This practice has its basis in the presumption that investors act rationally and without bias, and that at any moment they estimate the value of an asset based on future expectations. Under these conditions, all existing information affects the price, which changes only when new information comes out. By definition, new information appears randomly and influences the asset price randomly. Corresponding continuous time models are based on stochastic processes (this approach was initiated in the thesis of [4]), see, e.g., the books of [33] and [37] for historical and mathematical details.

Oligopolistic competition in wholesale electricity markets: Large-scale simulation and policy analysis using complementarity models

NASA Astrophysics Data System (ADS)

Helman, E. Udi

This dissertation conducts research into the large-scale simulation of oligopolistic competition in wholesale electricity markets. The dissertation has two parts. Part I is an examination of the structure and properties of several spatial, or network, equilibrium models of oligopolistic electricity markets formulated as mixed linear complementarity problems (LCP). Part II is a large-scale application of such models to the electricity system that encompasses most of the United States east of the Rocky Mountains, the Eastern Interconnection. Part I consists of Chapters 1 to 6. The models developed in this part continue research into mixed LCP models of oligopolistic electricity markets initiated by Hobbs [67] and subsequently developed by Metzler [87] and Metzler, Hobbs and Pang [88]. Hobbs' central contribution is a network market model with Cournot competition in generation and a price-taking spatial arbitrage firm that eliminates spatial price discrimination by the Cournot firms. In one variant, the solution to this model is shown to be equivalent to the "no arbitrage" condition in a "pool" market, in which a Regional Transmission Operator optimizes spot sales such that the congestion price between two locations is exactly equivalent to the difference in the energy prices at those locations (commonly known as locational marginal pricing). Extensions to this model are presented in Chapters 5 and 6. One of these is a market model with a profit-maximizing arbitrage firm. This model is structured as a mathematical program with equilibrium constraints (MPEC), but due to the linearity of its constraints, can be solved as a mixed LCP. Part II consists of Chapters 7 to 12. The core of these chapters is a large-scale simulation of the U.S. Eastern Interconnection applying one of the Cournot competition with arbitrage models. This is the first oligopolistic equilibrium market model to encompass the full Eastern Interconnection with a realistic network representation (using a DC load flow approximation). Chapter 9 shows the price results. In contrast to prior market power simulations of these markets, much greater variability in price-cost margins is found when using a realistic model of hourly conditions on such a large network. Chapter 10 shows that the conventional concentration indices (HHIs) are poorly correlated with PCMs. Finally, Chapter 11 proposes that the simulation models are applied to merger analysis and provides two large-scale merger examples. (Abstract shortened by UMI.)

A boundary PDE feedback control approach for the stabilization of mortgage price dynamics

NASA Astrophysics Data System (ADS)

Rigatos, G.; Siano, P.; Sarno, D.

2017-11-01

Several transactions taking place in financial markets are dependent on the pricing of mortgages (loans for the purchase of residences, land or farms). In this article, a method for stabilization of mortgage price dynamics is developed. It is considered that mortgage prices follow a PDE model which is equivalent to a multi-asset Black-Scholes PDE. Actually it is a diffusion process evolving in a 2D assets space, where the first asset is the house price and the second asset is the interest rate. By applying semi-discretization and a finite differences scheme this multi-asset PDE is transformed into a state-space model consisting of ordinary nonlinear differential equations. For the local subsystems, into which the mortgage PDE is decomposed, it becomes possible to apply boundary-based feedback control. The controller design proceeds by showing that the state-space model of the mortgage price PDE stands for a differentially flat system. Next, for each subsystem which is related to a nonlinear ODE, a virtual control input is computed, that can invert the subsystem's dynamics and can eliminate the subsystem's tracking error. From the last row of the state-space description, the control input (boundary condition) that is actually applied to the multi-factor mortgage price PDE system is found. This control input contains recursively all virtual control inputs which were computed for the individual ODE subsystems associated with the previous rows of the state-space equation. Thus, by tracing the rows of the state-space model backwards, at each iteration of the control algorithm, one can finally obtain the control input that should be applied to the mortgage price PDE system so as to assure that all its state variables will converge to the desirable setpoints. By showing the feasibility of such a control method it is also proven that through selected modification of the PDE boundary conditions the price of the mortgage can be made to converge and stabilize at specific reference values.

A dual theory of price and value in a meso-scale economic model with stochastic profit rate

NASA Astrophysics Data System (ADS)

Greenblatt, R. E.

2014-12-01

The problem of commodity price determination in a market-based, capitalist economy has a long and contentious history. Neoclassical microeconomic theories are based typically on marginal utility assumptions, while classical macroeconomic theories tend to be value-based. In the current work, I study a simplified meso-scale model of a commodity capitalist economy. The production/exchange model is represented by a network whose nodes are firms, workers, capitalists, and markets, and whose directed edges represent physical or monetary flows. A pair of multivariate linear equations with stochastic input parameters represent physical (supply/demand) and monetary (income/expense) balance. The input parameters yield a non-degenerate profit rate distribution across firms. Labor time and price are found to be eigenvector solutions to the respective balance equations. A simple relation is derived relating the expected value of commodity price to commodity labor content. Results of Monte Carlo simulations are consistent with the stochastic price/labor content relation.

A deep learning framework for financial time series using stacked autoencoders and long-short term memory

PubMed Central

Bao, Wei; Rao, Yulei

2017-01-01

The application of deep learning approaches to finance has received a great deal of attention from both investors and researchers. This study presents a novel deep learning framework where wavelet transforms (WT), stacked autoencoders (SAEs) and long-short term memory (LSTM) are combined for stock price forecasting. The SAEs for hierarchically extracted deep features is introduced into stock price forecasting for the first time. The deep learning framework comprises three stages. First, the stock price time series is decomposed by WT to eliminate noise. Second, SAEs is applied to generate deep high-level features for predicting the stock price. Third, high-level denoising features are fed into LSTM to forecast the next day’s closing price. Six market indices and their corresponding index futures are chosen to examine the performance of the proposed model. Results show that the proposed model outperforms other similar models in both predictive accuracy and profitability performance. PMID:28708865

On the Black-Scholes European Option Pricing Model Robustness and Generality

NASA Astrophysics Data System (ADS)

Takada, Hellinton Hatsuo; de Oliveira Siqueira, José

2008-11-01

The common presentation of the widely known and accepted Black-Scholes European option pricing model explicitly imposes some restrictions such as the geometric Brownian motion assumption for the underlying stock price. In this paper, these usual restrictions are relaxed using maximum entropy principle of information theory, Pearson's distribution system, market frictionless and risk-neutrality theories to the calculation of a unique risk-neutral probability measure calibrated with market parameters.

Socioeconophysics:. Opinion Dynamics for Number of Transactions and Price, a Trader Based Model

NASA Astrophysics Data System (ADS)

Tuncay, Çağlar

Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with several weights and some personal differences between traders are taken into account. Resulting time series and probabilty distribution function involving a power law for price come out similar to the real ones.

A DG approach to the numerical solution of the Stein-Stein stochastic volatility option pricing model

NASA Astrophysics Data System (ADS)

Hozman, J.; Tichý, T.

2017-12-01

Stochastic volatility models enable to capture the real world features of the options better than the classical Black-Scholes treatment. Here we focus on pricing of European-style options under the Stein-Stein stochastic volatility model when the option value depends on the time, on the price of the underlying asset and on the volatility as a function of a mean reverting Orstein-Uhlenbeck process. A standard mathematical approach to this model leads to the non-stationary second-order degenerate partial differential equation of two spatial variables completed by the system of boundary and terminal conditions. In order to improve the numerical valuation process for a such pricing equation, we propose a numerical technique based on the discontinuous Galerkin method and the Crank-Nicolson scheme. Finally, reference numerical experiments on real market data illustrate comprehensive empirical findings on options with stochastic volatility.

Integrated model for pricing, delivery time setting, and scheduling in make-to-order environments

NASA Astrophysics Data System (ADS)

Garmdare, Hamid Sattari; Lotfi, M. M.; Honarvar, Mahboobeh

2018-03-01

Usually, in make-to-order environments which work only in response to the customer's orders, manufacturers for maximizing the profits should offer the best price and delivery time for an order considering the existing capacity and the customer's sensitivity to both the factors. In this paper, an integrated approach for pricing, delivery time setting and scheduling of new arrival orders are proposed based on the existing capacity and accepted orders in system. In the problem, the acquired market demands dependent on the price and delivery time of both the manufacturer and its competitors. A mixed-integer non-linear programming model is presented for the problem. After converting to a pure non-linear model, it is validated through a case study. The efficiency of proposed model is confirmed by comparing it to both the literature and the current practice. Finally, sensitivity analysis for the key parameters is carried out.

Endogenous Price Bubbles in a Multi-Agent System of the Housing Market

PubMed Central

2015-01-01

Economic history shows a large number of boom-bust cycles, with the U.S. real estate market as one of the latest examples. Classical economic models have not been able to provide a full explanation for this type of market dynamics. Therefore, we analyze home prices in the U.S. using an alternative approach, a multi-agent complex system. Instead of the classical assumptions of agent rationality and market efficiency, agents in the model are heterogeneous, adaptive, and boundedly rational. We estimate the multi-agent system with historical house prices for the U.S. market. The model fits the data well and a deterministic version of the model can endogenously produce boom-and-bust cycles on the basis of the estimated coefficients. This implies that trading between agents themselves can create major price swings in absence of fundamental news. PMID:26107740

Fair Package Assignment

NASA Astrophysics Data System (ADS)

Lahaie, Sébastien; Parkes, David C.

We consider the problem of fair allocation in the package assignment model, where a set of indivisible items, held by single seller, must be efficiently allocated to agents with quasi-linear utilities. A fair assignment is one that is efficient and envy-free. We consider a model where bidders have superadditive valuations, meaning that items are pure complements. Our central result is that core outcomes are fair and even coalition-fair over this domain, while fair distributions may not even exist for general valuations. Of relevance to auction design, we also establish that the core is equivalent to the set of anonymous-price competitive equilibria, and that superadditive valuations are a maximal domain that guarantees the existence of anonymous-price competitive equilibrium. Our results are analogs of core equivalence results for linear prices in the standard assignment model, and for nonlinear, non-anonymous prices in the package assignment model with general valuations.

Statistical analysis on multifractal detrended cross-correlation coefficient for return interval by oriented percolation

NASA Astrophysics Data System (ADS)

Deng, Wei; Wang, Jun

2015-06-01

We investigate and quantify the multifractal detrended cross-correlation of return interval series for Chinese stock markets and a proposed price model, the price model is established by oriented percolation. The return interval describes the waiting time between two successive price volatilities which are above some threshold, the present work is an attempt to quantify the level of multifractal detrended cross-correlation for the return intervals. Further, the concept of MF-DCCA coefficient of return intervals is introduced, and the corresponding empirical research is performed. The empirical results show that the return intervals of SSE and SZSE are weakly positive multifractal power-law cross-correlated, and exhibit the fluctuation patterns of MF-DCCA coefficients. The similar behaviors of return intervals for the price model is also demonstrated.

Swap Bribery

NASA Astrophysics Data System (ADS)

Elkind, Edith; Faliszewski, Piotr; Slinko, Arkadii

In voting theory, bribery is a form of manipulative behavior in which an external actor (the briber) offers to pay the voters to change their votes in order to get her preferred candidate elected. We investigate a model of bribery where the price of each vote depends on the amount of change that the voter is asked to implement. Specifically, in our model the briber can change a voter’s preference list by paying for a sequence of swaps of consecutive candidates. Each swap may have a different price; the price of a bribery is the sum of the prices of all swaps that it involves. We prove complexity results for this model, which we call swap bribery, for a broad class of voting rules, including variants of approval and k-approval, Borda, Copeland, and maximin.

The pricing behavior comparison of Canada and Australia exporter in wheat international market using Pricing to Market (PTM) and Residual Demand Elasticity (RDE)

NASA Astrophysics Data System (ADS)

Wibowo, R. P.; Sumono; Iddrisu, Y.; Darus, M.; Sihombing, L. P.; Jufri

2018-02-01

This paper try to identify and examined the degree of market power on wheat international market by 2 major exporting countries comprising Canada and Australia by using the Pricing to Market (PTM) method and Residual Demand Elasticity (RDE) method. The PTM method found that Canada impose noncompetitive strategy by applying price discrimination and apply market power to their importing. Different results come from Australian exporter as they are not using their market power to the importing. Conflicting result arise from estimation using RDE and PTM method suggest that the need to extend the theoretical model of both model by expand its economic and econometric model to have consistent expected result theoretically and empirically.

Reference Pricing with Endogenous or Exogenous Payment Limits: Impacts on Insurer and Consumer Spending.

PubMed

Brown, Timothy T; Robinson, James C

2016-06-01

Reference pricing (RP) theories predict different outcomes when reference prices are fixed (exogenous) versus being a function of market prices (MPs) (endogenous). Exogenous RP results in MPs at both high-price and low-price firms converging towards the reference price from above and below, respectively. Endogenous RP results in MPs at both high-price and low-price firms decreasing, with low-price firms acting strategically to decrease the reference price in order to gain market share. We extend these models to a hospital context focusing on insurer and consumer payments. Under exogenous RP, insurer and consumer payments to low-price hospitals increase, and insurer payments to high-price hospitals decrease, but predictions regarding consumer payments are ambiguous for high-price hospitals. Under endogenous RP, insurer payments to high-price and low-price hospitals decrease, and consumer payments to low-price hospitals decrease, but predictions regarding consumer payments are ambiguous for high-price hospitals. We test these predictions with difference-in-differences specifications using 2008-2013 data on patients undergoing joint replacement. For 2 years following RP implementation, insurer payments to high-price and low-price hospitals moved downward, consistent with endogenous RP. However, when the reference price was not reset to account for changes in MPs, insurer payments to low-price hospitals reverted to pre-implementation levels, consistent with exogenous RP. Copyright © 2015 John Wiley & Sons, Ltd. Copyright © 2015 John Wiley & Sons, Ltd.

Loss Aversion and Time-Differentiated Electricity Pricing

DOE Office of Scientific and Technical Information (OSTI.GOV)

Spurlock, C. Anna

2015-06-01

I develop a model of loss aversion over electricity expenditure, from which I derive testable predictions for household electricity consumption while on combination time-of-use (TOU) and critical peak pricing (CPP) plans. Testing these predictions results in evidence consistent with loss aversion: (1) spillover effects - positive expenditure shocks resulted in significantly more peak consumption reduction for several weeks thereafter; and (2) clustering - disproportionate probability of consuming such that expenditure would be equal between the TOUCPP or standard flat-rate pricing structures. This behavior is inconsistent with a purely neoclassical utility model, and has important implications for application of time-differentiated electricitymore » pricing.« less

Analyzing the impact of price subsidy on rice self-sufficiency level in Malaysia: A preliminary finding

NASA Astrophysics Data System (ADS)

Rahim, Farah Hanim Abdul; Abidin, Norhaslinda Zainal; Hawari, Nurul Nazihah

2017-11-01

The Malaysian government had targeted for the rice industry in the country to achieve 100% rice self-sufficiency where Malaysia's rice self-sufficiency level (SSL) is currently at 65% to 75%. Thus, the government had implemented few policies to increase the rice production in Malaysia in order to meet the growing demand of rice. In this paper, the effect of price support on the rice production system in Malaysia is investigated. This study utilizes the system dynamics approach of the rice production system in Malaysia where the complexity of the factor is interrelated and changed dynamically through time. Scenario analysis was conducted using system dynamics model by making changes on the price subsidy to see its effect on the rice production and rice SSL. The system dynamics model provides a framework for understanding the effect of price subsidy on the rice self-sufficiency level. The scenario analysis of the model shows that a 50% increase in the price subsidy leads to a substantial increase in demand as the rice price drops. Accordingly, the local production increases by 15%. However, the SSL slightly decreases as the local production is insufficient to meet the large demand.

Modeling agricultural commodity prices and volatility in response to anticipated climate change

NASA Astrophysics Data System (ADS)

Lobell, D. B.; Tran, N.; Welch, J.; Roberts, M.; Schlenker, W.

2012-12-01

Food prices have shown a positive trend in the past decade, with episodes of rapid increases in 2008 and 2011. These increases pose a threat to food security in many regions of the world, where the poor are generally net consumers of food, and are also thought to increase risks of social and political unrest. The role of global warming in these price reversals have been debated, but little quantitative work has been done. A particular challenge in modeling these effects is that they require understanding links between climate and food supply, as well as between food supply and prices. Here we combine the anticipated effects of climate change on yield levels and volatility with an empirical competitive storage model to examine how expected climate change might affect prices and social welfare in the international food commodity market. We show that price level and volatility do increase over time in response to decreasing yield, and increasing yield variability. Land supply and storage demand both increase, but production and consumption continue to fall leading to a decrease in consumer surplus, and a corresponding though smaller increase in producer surplus.

A Kramers-Moyal approach to the analysis of third-order noise with applications in option valuation.

PubMed

Popescu, Dan M; Lipan, Ovidiu

2015-01-01

We propose the use of the Kramers-Moyal expansion in the analysis of third-order noise. In particular, we show how the approach can be applied in the theoretical study of option valuation. Despite Pawula's theorem, which states that a truncated model may exhibit poor statistical properties, we show that for a third-order Kramers-Moyal truncation model of an option's and its underlier's price, important properties emerge: (i) the option price can be written in a closed analytical form that involves the Airy function, (ii) the price is a positive function for positive skewness in the distribution, (iii) for negative skewness, the price becomes negative only for price values that are close to zero. Moreover, using third-order noise in option valuation reveals additional properties: (iv) the inconsistencies between two popular option pricing approaches (using a "delta-hedged" portfolio and using an option replicating portfolio) that are otherwise equivalent up to the second moment, (v) the ability to develop a measure R of how accurately an option can be replicated by a mixture of the underlying stocks and cash, (vi) further limitations of second-order models revealed by introducing third-order noise.

A Kramers-Moyal Approach to the Analysis of Third-Order Noise with Applications in Option Valuation

PubMed Central

Popescu, Dan M.; Lipan, Ovidiu

2015-01-01

We propose the use of the Kramers-Moyal expansion in the analysis of third-order noise. In particular, we show how the approach can be applied in the theoretical study of option valuation. Despite Pawula’s theorem, which states that a truncated model may exhibit poor statistical properties, we show that for a third-order Kramers-Moyal truncation model of an option’s and its underlier’s price, important properties emerge: (i) the option price can be written in a closed analytical form that involves the Airy function, (ii) the price is a positive function for positive skewness in the distribution, (iii) for negative skewness, the price becomes negative only for price values that are close to zero. Moreover, using third-order noise in option valuation reveals additional properties: (iv) the inconsistencies between two popular option pricing approaches (using a “delta-hedged” portfolio and using an option replicating portfolio) that are otherwise equivalent up to the second moment, (v) the ability to develop a measure R of how accurately an option can be replicated by a mixture of the underlying stocks and cash, (vi) further limitations of second-order models revealed by introducing third-order noise. PMID:25625856

Entanglement Between Demand and Supply in Markets with Bandwagon Goods

NASA Astrophysics Data System (ADS)

Gordon, Mirta B.; Nadal, Jean-Pierre; Phan, Denis; Semeshenko, Viktoriya

2013-05-01

Whenever customers' choices (e.g. to buy or not a given good) depend on others choices (cases coined `positive externalities' or `bandwagon effect' in the economic literature), the demand may be multiply valued: for a same posted price, there is either a small number of buyers, or a large one—in which case one says that the customers coordinate. This leads to a dilemma for the seller: should he sell at a high price, targeting a small number of buyers, or at low price targeting a large number of buyers? In this paper we show that the interaction between demand and supply is even more complex than expected, leading to what we call the curse of coordination: the pricing strategy for the seller which aimed at maximizing his profit corresponds to posting a price which, not only assumes that the customers will coordinate, but also lies very near the critical price value at which such high demand no more exists. This is obtained by the detailed mathematical analysis of a particular model formally related to the Random Field Ising Model and to a model introduced in social sciences by T.C. Schelling in the 70's.

A review on Black-Scholes model in pricing warrants in Bursa Malaysia

NASA Astrophysics Data System (ADS)

Gunawan, Nur Izzaty Ilmiah Indra; Ibrahim, Siti Nur Iqmal; Rahim, Norhuda Abdul

2017-01-01

This paper studies the accuracy of the Black-Scholes (BS) model and the dilution-adjusted Black-Scholes (DABS) model to pricing some warrants traded in the Malaysian market. Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE) are used to compare the two models. Results show that the DABS model is more accurate than the BS model for the selected data.

Valuation of exotic options in the framework of Levy processes

NASA Astrophysics Data System (ADS)

Milev, Mariyan; Georgieva, Svetla; Markovska, Veneta

2013-12-01

In this paper we explore a straightforward procedure to price derivatives by using the Monte Carlo approach when the underlying process is a jump-diffusion. We have compared the Black-Scholes model with one of its extensions that is the Merton model. The latter model is better in capturing the market's phenomena and is comparative to stochastic volatility models in terms of pricing accuracy. We have presented simulations of asset paths and pricing of barrier options for both Geometric Brownian motion and exponential Levy processes as it is the concrete case of the Merton model. A desired level of accuracy is obtained with simple computer operations in MATLAB for efficient computational time.

42 CFR § 510.300 - Determination of episode quality-adjusted target prices.

Code of Federal Regulations, 2010 CFR

2017-10-01

... OF HEALTH AND HUMAN SERVICES (CONTINUED) HEALTH CARE INFRASTRUCTURE AND MODEL PROGRAMS COMPREHENSIVE CARE FOR JOINT REPLACEMENT MODEL Pricing and Payment § 510.300 Determination of episode quality... hospitals for each performance year of the model as specified in this section. Episode quality-adjusted...

76 FR 47621 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-08-05

... based upon their business models. For example, vendors such as Bloomberg and Reuters that assess a... generates sufficient commission revenue. Although the business models may differ, these vendors' pricing... these varying business models and pricing disciplines in order to market proprietary data products...

An empirical investigation of spatial differentiation and price floor regulations in retail markets for gasoline

NASA Astrophysics Data System (ADS)

Houde, Jean-Francois

In the first essay of this dissertation, I study an empirical model of spatial competition. The main feature of my approach is to formally specify commuting paths as the "locations" of consumers in a Hotelling-type model of spatial competition. The main consequence of this location assumption is that the substitution patterns between stations depend in an intuitive way on the structure of the road network and the direction of traffic flows. The demand-side of the model is estimated by combining a model of traffic allocation with econometric techniques used to estimate models of demand for differentiated products (Berry, Levinsohn and Pakes (1995)). The estimated parameters are then used to evaluate the importance of commuting patterns in explaining the distribution of gasoline sales, and compare the economic predictions of the model with the standard home-location model. In the second and third essays, I examine empirically the effect of a price floor regulation on the dynamic and static equilibrium outcomes of the gasoline retail industry. In particular, in the second essay I study empirically the dynamic entry and exit decisions of gasoline stations, and measure the impact of a price floor on the continuation values of staying in the industry. In the third essay, I develop and estimate a static model of quantity competition subject to a price floor regulation. Both models are estimated using a rich panel dataset on the Quebec gasoline retail market before and after the implementation of a price floor regulation.

Full employment and competition in the Aspen economic model: implications for modeling acts of terrorism.

DOE Office of Scientific and Technical Information (OSTI.GOV)

Sprigg, James A.; Ehlen, Mark Andrew

2004-11-01

Acts of terrorism could have a range of broad impacts on an economy, including changes in consumer (or demand) confidence and the ability of productive sectors to respond to changes. As a first step toward a model of terrorism-based impacts, we develop here a model of production and employment that characterizes dynamics in ways useful toward understanding how terrorism-based shocks could propagate through the economy; subsequent models will introduce the role of savings and investment into the economy. We use Aspen, a powerful economic modeling tool developed at Sandia, to demonstrate for validation purposes that a single-firm economy converges tomore » the known monopoly equilibrium price, output, and employment levels, while multiple-firm economies converge toward the competitive equilibria typified by lower prices and higher output and employment. However, we find that competition also leads to churn by consumers seeking lower prices, making it difficult for firms to optimize with respect to wages, prices, and employment levels. Thus, competitive firms generate market ''noise'' in the steady state as they search for prices and employment levels that will maximize profits. In the context of this model, not only could terrorism depress overall consumer confidence and economic activity but terrorist acts could also cause normal short-run dynamics to be misinterpreted by consumers as a faltering economy.« less

A model for interprovincial air pollution control based on futures prices.

PubMed

Zhao, Laijun; Xue, Jian; Gao, Huaizhu Oliver; Li, Changmin; Huang, Rongbing

2014-05-01

Based on the current status of research on tradable emission rights futures, this paper introduces basic market-related assumptions for China's interprovincial air pollution control problem. The authors construct an interprovincial air pollution control model based on futures prices: the model calculated the spot price of emission rights using a classic futures pricing formula, and determined the identities of buyers and sellers for various provinces according to a partitioning criterion, thereby revealing five trading markets. To ensure interprovincial cooperation, a rational allocation result for the benefits from this model was achieved using the Shapley value method to construct an optimal reduction program and to determine the optimal annual decisions for each province. Finally, the Beijing-Tianjin-Hebei region was used as a case study, as this region has recently experienced serious pollution. It was found that the model reduced the overall cost of reducing SO2 pollution. Moreover, each province can lower its cost for air pollution reduction, resulting in a win-win solution. Adopting the model would therefore enhance regional cooperation and promote the control of China's air pollution. The authors construct an interprovincial air pollution control model based on futures prices. The Shapley value method is used to rationally allocate the cooperation benefit. Interprovincial pollution control reduces the overall reduction cost of SO2. Each province can lower its cost for air pollution reduction by cooperation.

Numerically pricing American options under the generalized mixed fractional Brownian motion model

NASA Astrophysics Data System (ADS)

Chen, Wenting; Yan, Bowen; Lian, Guanghua; Zhang, Ying

2016-06-01

In this paper, we introduce a robust numerical method, based on the upwind scheme, for the pricing of American puts under the generalized mixed fractional Brownian motion (GMFBM) model. By using portfolio analysis and applying the Wick-Itô formula, a partial differential equation (PDE) governing the prices of vanilla options under the GMFBM is successfully derived for the first time. Based on this, we formulate the pricing of American puts under the current model as a linear complementarity problem (LCP). Unlike the classical Black-Scholes (B-S) model or the generalized B-S model discussed in Cen and Le (2011), the newly obtained LCP under the GMFBM model is difficult to be solved accurately because of the numerical instability which results from the degeneration of the governing PDE as time approaches zero. To overcome this difficulty, a numerical approach based on the upwind scheme is adopted. It is shown that the coefficient matrix of the current method is an M-matrix, which ensures its stability in the maximum-norm sense. Remarkably, we have managed to provide a sharp theoretic error estimate for the current method, which is further verified numerically. The results of various numerical experiments also suggest that this new approach is quite accurate, and can be easily extended to price other types of financial derivatives with an American-style exercise feature under the GMFBM model.

Real Time Updating Genetic Network Programming for Adapting to the Change of Stock Prices

NASA Astrophysics Data System (ADS)

Chen, Yan; Mabu, Shingo; Shimada, Kaoru; Hirasawa, Kotaro

The key in stock trading model is to take the right actions for trading at the right time, primarily based on the accurate forecast of future stock trends. Since an effective trading with given information of stock prices needs an intelligent strategy for the decision making, we applied Genetic Network Programming (GNP) to creating a stock trading model. In this paper, we propose a new method called Real Time Updating Genetic Network Programming (RTU-GNP) for adapting to the change of stock prices. There are three important points in this paper: First, the RTU-GNP method makes a stock trading decision considering both the recommendable information of technical indices and the candlestick charts according to the real time stock prices. Second, we combine RTU-GNP with a Sarsa learning algorithm to create the programs efficiently. Also, sub-nodes are introduced in each judgment and processing node to determine appropriate actions (buying/selling) and to select appropriate stock price information depending on the situation. Third, a Real Time Updating system has been firstly introduced in our paper considering the change of the trend of stock prices. The experimental results on the Japanese stock market show that the trading model with the proposed RTU-GNP method outperforms other models without real time updating. We also compared the experimental results using the proposed method with Buy&Hold method to confirm its effectiveness, and it is clarified that the proposed trading model can obtain much higher profits than Buy&Hold method.

New Methodology for Evaluating Optimal Pricing for Primary Regulation of Deregulated Power Systems under Steady State Condition

NASA Astrophysics Data System (ADS)

Satyaramesh, P. V.; RadhaKrishna, C.

2013-06-01

A generalized pricing structure for procurement of power under frequency ancillary service is developed in this paper. It is a frequency linked-price model and suitable for deregulation market environment. This model takes into consideration: governor characteristics and frequency characteristics of generator as additional parameters in load flow method. The main objective of the new approach proposed in this paper is to establish bidding price structure for frequency regulation services in competitive ancillary electrical markets under steady state condition. Lot of literatures are available for calculating the frequency deviations with respect to load changes by using dynamic simulation methods. But in this paper, the model computes the frequency deviations for additional requirements of power under steady state with considering power system network topology. An attempt is also made in this paper to develop optimal bidding price structure for the frequency-regulated systems. It gives a signal to traders or bidders that the power demand can be assessed more accurately much closer to real time and helps participants bid more accurate quantities on day-ahead market. The recent trends of frequency linked-price model existing in Indian power systems issues required for attention are also dealt in this paper. Test calculations have been performed on 30-bus system. The paper also explains adoptability of 33 this model to practical Indian power system. The results presented are analyzed and useful conclusions are drawn.

Pricing Public Parks and Recreation Services as a Percent of Per Capita Income: The Creation of a National Pricing Model.

ERIC Educational Resources Information Center

Kelsey, Craig W.; Smith, S. Harold

This study of public parks and recreation agencies throughout the United States was undertaken to develop a mathematical pricing formula sensitive to local spending abilities in order to determine if a per capita pricing structure would be possible. Four hundred and seventy public parks and recreation agencies responded to a survey of fees and…

Multivariate Markov chain modeling for stock markets

NASA Astrophysics Data System (ADS)

Maskawa, Jun-ichi

2003-06-01

We study a multivariate Markov chain model as a stochastic model of the price changes of portfolios in the framework of the mean field approximation. The time series of price changes are coded into the sequences of up and down spins according to their signs. We start with the discussion for small portfolios consisting of two stock issues. The generalization of our model to arbitrary size of portfolio is constructed by a recurrence relation. The resultant form of the joint probability of the stationary state coincides with Gibbs measure assigned to each configuration of spin glass model. Through the analysis of actual portfolios, it has been shown that the synchronization of the direction of the price changes is well described by the model.

ℓ p-Norm Multikernel Learning Approach for Stock Market Price Forecasting

PubMed Central

Shao, Xigao; Wu, Kun; Liao, Bifeng

2012-01-01

Linear multiple kernel learning model has been used for predicting financial time series. However, ℓ 1-norm multiple support vector regression is rarely observed to outperform trivial baselines in practical applications. To allow for robust kernel mixtures that generalize well, we adopt ℓ p-norm multiple kernel support vector regression (1 ≤ p < ∞) as a stock price prediction model. The optimization problem is decomposed into smaller subproblems, and the interleaved optimization strategy is employed to solve the regression model. The model is evaluated on forecasting the daily stock closing prices of Shanghai Stock Index in China. Experimental results show that our proposed model performs better than ℓ 1-norm multiple support vector regression model. PMID:23365561

Substitutability of nicotine alone and an electronic cigarette liquid using a concurrent choice assay in rats: A behavioral economic analysis.

PubMed

Smethells, John R; Harris, Andrew C; Burroughs, Danielle; Hursh, Steven R; LeSage, Mark G

2018-04-01

For the Food and Drug Administration to effectively regulate tobacco products, the contribution of non-nicotine tobacco constituents to the abuse liability of tobacco must be well understood. Our previous work compared the abuse liability of electronic cigarette refill liquids (EC liquids) and nicotine (Nic) alone when each was available in isolation and found no difference in abuse liability (i.e., demand elasticity). Another, and potentially more sensitive measure, would be to examine abuse liability in a choice context, which also provides a better model of the tobacco marketplace. Demand elasticity for Nic alone and an EC liquid were measured when only one formulation was available (alone-price demand) and when both formulations were concurrently available (own-price demand), allowing an assessment of the degree to which each formulation served as a substitute (cross-price demand) when available at a low fixed-price. Own-price demand for both formulations were more elastic compared to alone-price demand, indicating that availability of a substitute increased demand elasticity. During concurrent access, consumption of the fixed-price formulation increased as the unit-price of the other formulation increased. The rate of increase was similar between formulations, indicating that they served as symmetrical substitutes. The cross-price model reliably quantified the substitutability of both nicotine formulations and indicated that the direct CNS effects of non-nicotine constituents in EC liquid did not alter its abuse liability compared to Nic. These data highlight the sensitivity of this model and its potential utility for examining the relative abuse liability and substitutability of tobacco products. Copyright © 2018 Elsevier B.V. All rights reserved.

Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model

PubMed Central

Zhu, Qing; Zou, Yingchao; Lai, Kin Keung

2014-01-01

As a typical nonlinear and dynamic system, the crude oil price movement is difficult to predict and its accurate forecasting remains the subject of intense research activity. Recent empirical evidence suggests that the multiscale data characteristics in the price movement are another important stylized fact. The incorporation of mixture of data characteristics in the time scale domain during the modelling process can lead to significant performance improvement. This paper proposes a novel morphological component analysis based hybrid methodology for modeling the multiscale heterogeneous characteristics of the price movement in the crude oil markets. Empirical studies in two representative benchmark crude oil markets reveal the existence of multiscale heterogeneous microdata structure. The significant performance improvement of the proposed algorithm incorporating the heterogeneous data characteristics, against benchmark random walk, ARMA, and SVR models, is also attributed to the innovative methodology proposed to incorporate this important stylized fact during the modelling process. Meanwhile, work in this paper offers additional insights into the heterogeneous market microstructure with economic viable interpretations. PMID:25061614

A stochastic hybrid model for pricing forward-start variance swaps

NASA Astrophysics Data System (ADS)

Roslan, Teh Raihana Nazirah

2017-11-01

Recently, market players have been exposed to the astounding increase in the trading volume of variance swaps. In this paper, the forward-start nature of a variance swap is being inspected, where hybridizations of equity and interest rate models are used to evaluate the price of discretely-sampled forward-start variance swaps. The Heston stochastic volatility model is being extended to incorporate the dynamics of the Cox-Ingersoll-Ross (CIR) stochastic interest rate model. This is essential since previous studies on variance swaps were mainly focusing on instantaneous-start variance swaps without considering the interest rate effects. This hybrid model produces an efficient semi-closed form pricing formula through the development of forward characteristic functions. The performance of this formula is investigated via simulations to demonstrate how the formula performs for different sampling times and against the real market scenario. Comparison done with the Monte Carlo simulation which was set as our main reference point reveals that our pricing formula gains almost the same precision in a shorter execution time.

Stochastic differential equation (SDE) model of opening gold share price of bursa saham malaysia

NASA Astrophysics Data System (ADS)

Hussin, F. N.; Rahman, H. A.; Bahar, A.

2017-09-01

Black and Scholes option pricing model is one of the most recognized stochastic differential equation model in mathematical finance. Two parameter estimation methods have been utilized for the Geometric Brownian model (GBM); historical and discrete method. The historical method is a statistical method which uses the property of independence and normality logarithmic return, giving out the simplest parameter estimation. Meanwhile, discrete method considers the function of density of transition from the process of diffusion normal log which has been derived from maximum likelihood method. These two methods are used to find the parameter estimates samples of Malaysians Gold Share Price data such as: Financial Times and Stock Exchange (FTSE) Bursa Malaysia Emas, and Financial Times and Stock Exchange (FTSE) Bursa Malaysia Emas Shariah. Modelling of gold share price is essential since fluctuation of gold affects worldwide economy nowadays, including Malaysia. It is found that discrete method gives the best parameter estimates than historical method due to the smallest Root Mean Square Error (RMSE) value.

Day-ahead crude oil price forecasting using a novel morphological component analysis based model.

PubMed

Zhu, Qing; He, Kaijian; Zou, Yingchao; Lai, Kin Keung

2014-01-01

As a typical nonlinear and dynamic system, the crude oil price movement is difficult to predict and its accurate forecasting remains the subject of intense research activity. Recent empirical evidence suggests that the multiscale data characteristics in the price movement are another important stylized fact. The incorporation of mixture of data characteristics in the time scale domain during the modelling process can lead to significant performance improvement. This paper proposes a novel morphological component analysis based hybrid methodology for modeling the multiscale heterogeneous characteristics of the price movement in the crude oil markets. Empirical studies in two representative benchmark crude oil markets reveal the existence of multiscale heterogeneous microdata structure. The significant performance improvement of the proposed algorithm incorporating the heterogeneous data characteristics, against benchmark random walk, ARMA, and SVR models, is also attributed to the innovative methodology proposed to incorporate this important stylized fact during the modelling process. Meanwhile, work in this paper offers additional insights into the heterogeneous market microstructure with economic viable interpretations.

Effect of price and information on the food choices of women university students in Saudi Arabia: An experimental study.

PubMed

Halimic, Aida; Gage, Heather; Raats, Monique; Williams, Peter

2018-04-01

To explore the impact of price manipulation and healthy eating information on intended food choices. Health information was provided to a random half of subjects (vs. information on Saudi agriculture). Each subject chose from the same lunch menu, containing two healthy and two unhealthy entrees, deserts and beverages, on five occasions. Reference case prices were 5, 3 and 2 Saudi Arabian Reals (SARs). Prices of healthy and unhealthy items were manipulated up (taxed) and down (subsidized) by 1 SAR in four menu variations (random order); subjects were given a budget enabling full choice within any menu. The number of healthy food choices were compared with different price combinations, and between information groups. Linear regression modelling explored the effect of relative prices of healthy/unhealthy options and information on number of healthy choices controlling for dietary behaviours and hunger levels. University campus, Saudi Arabia, 2013. 99 women students. In the reference case, 49.5% of choices were for healthy items. When the price of healthy items was reduced, 58.5% of selections were healthy; 57.2% when the price of unhealthy items rose. In regression modelling, reducing the price of healthy items and increasing the price of unhealthy items increased the number of healthy choices by 5% and 6% respectively. Students reporting a less healthy usual diet selected significantly fewer healthy items. Providing healthy eating information was not a significant influence. Price manipulation offers potential for altering behaviours to combat rising youth obesity in Saudi Arabia. Copyright © 2018 Elsevier Ltd. All rights reserved.

Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change

NASA Astrophysics Data System (ADS)

Song, Fu-Tie; Zhou, Wei-Xing

2010-09-01

The private car license plates issued in Shanghai are bestowed the title of “the most expensive sheet iron all over the world”, more expensive than gold. A citizen has to bid in a monthly auction to obtain a license plate for his new private car. We perform statistical analysis to investigate the influence of the minimal price Pmin of the bidding winners, the quota N of private car license plates, the number N of bidders, as well as two external shocks including the legality debate of the auction in 2004 and the auction regime reform in January 2008 on the average price P of all bidding winners. It is found that the legality debate of the auction had marginal transient impact on the average price in a short time period. In contrast, the change of the auction rules has significant permanent influence on the average price, which reduces the price by about 3020 yuan Renminbi. It means that the average price exhibits nonlinear behaviors with a regime change. The evolution of the average price is independent of the number N of bidders in both regimes. In the early regime before January 2008, the average price P was influenced only by the minimal price Pmin in the preceding month with a positive correlation. In the current regime since January 2008, the average price is positively correlated with the minimal price and the quota in the preceding month and negatively correlated with the quota in the same month. We test the predictive power of the two models using 2-year and 3-year moving windows and find that the latter outperforms the former. It seems that the auction market becomes more efficient after the auction reform since the prediction error increases.

The price sensitivity of cigarette consumption in Bangladesh: evidence from the International Tobacco Control (ITC) Bangladesh Wave 1 (2009) and Wave 2 (2010) Surveys.

PubMed

Nargis, Nigar; Ruthbah, Ummul H; Hussain, A K M Ghulam; Fong, Geoffrey T; Huq, Iftekharul; Ashiquzzaman, S M

2014-03-01

In Bangladesh, the average excise tax on cigarettes accounted for just 38% of the average retail price of cigarettes in 2009, and 45% in 2010. Both these rates are well below the WHO recommended share of 70% of the retail price at a minimum. There is thus ample room for raising taxes on cigarettes in Bangladesh. The objective of the present work was therefore to estimate the price elasticity of demand for cigarettes and the effect of tax increases on the consumption of cigarettes and on tax revenue in Bangladesh. Based on data from Wave 1 (2009) and Wave 2 (2010) of the International Tobacco Control Bangladesh Survey, we estimated the overall impact of a price change on cigarette demand using a two-part model. The total price elasticity of cigarettes was measured by the sum of the elasticity of smoking prevalence and the elasticity of average daily consumption conditional on smoking participation. The price elasticity estimates were used in a simulation model to predict changes in cigarette consumption and tax revenue from tax and price increases. The total price elasticity of demand for cigarettes was estimated at -0.49. The elasticity of smoking prevalence accounted for 59% of the total price elasticity. The price elasticity of cigarette consumption is higher for people belonging to lower socioeconomic status. Increases in taxes would result in a significant reduction in cigarette consumption while increasing tax revenue. Raising cigarette prices through increased taxation could lead to a win-win-win situation in Bangladesh: it would reduce cigarette consumption, increase tobacco tax revenue and potentially decrease socioeconomic inequities.

The Price Sensitivity of Cigarette Consumption in Bangladesh: Evidence from the International Tobacco Control (ITC) Bangladesh Wave 1 (2009) and Wave 2 (2010) Surveys

PubMed Central

Nargis, Nigar; Ruthbah, Ummul H.; Hussain, AKM Ghulam; Fong, Geoffrey T.; Huq, Iftekharul; Ashiquzzaman, SM

2014-01-01

Background In Bangladesh, the average excise tax on cigarettes accounted for merely 38% in 2009 and 45% in 2010 of the average retail price of cigarettes. It is well below the WHO recommended share of 70% of the retail price at a minimum. There is thus ample room for raising taxes on cigarettes in Bangladesh. Objective The objective of the paper is to estimate the price elasticity of demand for cigarettes and the effect of tax increases on the consumption of cigarettes and on tax revenue in Bangladesh. Methods Based on data from Wave 1 (2009) and Wave 2 (2010) of the International Tobacco Control Bangladesh Survey, we estimate the overall impact of a price change on cigarette demand using a two-part model. The total price elasticity of cigarettes is measured by the sum of the elasticity of smoking prevalence and the elasticity of average daily consumption conditional on smoking participation. The price elasticity estimates are used in a simulation model to predict changes in cigarette consumption and tax revenue from tax and price increases. Findings The total price elasticity of demand for cigarettes is estimated at −0.49. The elasticity of smoking prevalence accounts for 59% of the total price elasticity. The price elasticity of cigarette consumption is higher for people belonging to lower socio-economic status. Increases in taxes would result in significant reduction in cigarette consumption while tax revenue increases. Conclusion Raising cigarette price through increased taxation can lead to a win-win-win situation in Bangladesh—it will reduce cigarette consumption, increase tobacco tax revenue and potentially decrease socio-economic inequities. PMID:24105828

Differential effects of cigarette price changes on adult smoking behaviours.

PubMed

Cavazos-Rehg, Patricia A; Krauss, Melissa J; Spitznagel, Edward L; Chaloupka, Frank J; Luke, Douglas A; Waterman, Brian; Grucza, Richard A; Bierut, Laura Jean

2014-03-01

Raising cigarette prices through taxation is an important policy approach to reduce smoking. Yet, cigarette price increases may not be equally effective in all subpopulations of smokers. To examine differing effects of state cigarette price changes with individual changes in smoking among smokers of different intensity levels. Data were derived from the National Epidemiologic Survey on Alcohol and Related Conditions, a nationally representative sample of US adults originally interviewed in 2001-2002 (Wave 1) and re-interviewed in 2004-2005 (Wave 2): 34 653 were re-interviewed in Wave 2, and 7068 smokers defined at Wave 1 were included in our study. Mixed effects linear regression models were used to assess whether the effects of changes in state cigarette prices on changes in daily smoking behaviour differed by level of daily smoking. In the multivariable model, there was a significant interaction between change in price per pack of cigarettes from Wave 1 to Wave 2 and the number of cigarettes smoked per day (p=0.044). The more cigarettes smoked per day at baseline, the more responsive the smokers were to increases in price per pack of cigarettes (ie, number of cigarettes smoked per day was reduced in response to price increases). Our findings that heavier smokers successfully and substantially reduced their cigarette smoking behaviours in response to state cigarette price increases provide fresh insight to the evidence on the effectiveness of higher cigarette prices in reducing smoking.

The role of storage dynamics in annual wheat prices

NASA Astrophysics Data System (ADS)

Schewe, Jacob; Otto, Christian; Frieler, Katja

2017-05-01

Identifying the drivers of global crop price fluctuations is essential for estimating the risks of unexpected weather-induced production shortfalls and for designing optimal response measures. Here we show that with a consistent representation of storage dynamics, a simple supply-demand model can explain most of the observed variations in wheat prices over the last 40 yr solely based on time series of annual production and long term demand trends. Even the most recent price peaks in 2007/08 and 2010/11 can be explained by additionally accounting for documented changes in countries’ trade policies and storage strategies, without the need for external drivers such as oil prices or speculation across different commodity or stock markets. This underlines the critical sensitivity of global prices to fluctuations in production. The consistent inclusion of storage into a dynamic supply-demand model closes an important gap when it comes to exploring potential responses to future crop yield variability under climate and land-use change.

The influencing factors of China carbon price: a study based on carbon trading market in hubei province

NASA Astrophysics Data System (ADS)

Li, Hao; Lei, Ming

2018-02-01

For the carbon market, good trading mechanism is the basis for the healthy development of the carbon trading market. In order to explore the core problem of carbon price formation, our research explores the influencing factors of the price of carbon trading market. After the preliminary statistical analysis, our study found that Hubei Province is in the leading position among seven pilots in the carbon trading volume and the transaction, so our study of carbon price takes Hubei Province as sample of the empirical research. Multi-time series model and ARCH model analysis method are used in the research, we use the data of Hubei carbon trading pilot from June 2014 to December 2016 to carry out empirical research, the results found that industrial income, energy price, government intervention and the number of participating corporation have significant effect on the carbon price, which provides a meaningful reference for the other pilots in-depth study, as well as the construction of a national carbon trading market.

DOE Office of Scientific and Technical Information (OSTI.GOV)

Silas, C.J.

The world exploration outlook starts with the outlook for the price of oil. This paper reports that oil prices and government policies for fuel industries shift from the U.S. If we've learned anything in the past decade it's that we're not very good at predicting oil prices. We can build economic models of supply and demand but we can't build models for political events in the Middle East or the actions of someone like Saddam Hussein. As we look to 2000 our best estimate is that oil will remain at about $20 for the near term and move upward verymore » gradually during the rest of the decade. Of course, rising demand eventually should cause oil prices to break out and show some strength. But not soon. We don't see oil prices overcoming inflation until the latter part of the decade. And we aren't expecting oil prices much above $25 in inflation adjusted terms until the next century.« less

Estimated Effects of Different Alcohol Taxation and Price Policies on Health Inequalities: A Mathematical Modelling Study.

PubMed

Meier, Petra S; Holmes, John; Angus, Colin; Ally, Abdallah K; Meng, Yang; Brennan, Alan

2016-02-01

While evidence that alcohol pricing policies reduce alcohol-related health harm is robust, and alcohol taxation increases are a WHO "best buy" intervention, there is a lack of research comparing the scale and distribution across society of health impacts arising from alternative tax and price policy options. The aim of this study is to test whether four common alcohol taxation and pricing strategies differ in their impact on health inequalities. An econometric epidemiological model was built with England 2014/2015 as the setting. Four pricing strategies implemented on top of the current tax were equalised to give the same 4.3% population-wide reduction in total alcohol-related mortality: current tax increase, a 13.4% all-product duty increase under the current UK system; a value-based tax, a 4.0% ad valorem tax based on product price; a strength-based tax, a volumetric tax of £0.22 per UK alcohol unit (= 8 g of ethanol); and minimum unit pricing, a minimum price threshold of £0.50 per unit, below which alcohol cannot be sold. Model inputs were calculated by combining data from representative household surveys on alcohol purchasing and consumption, administrative and healthcare data on 43 alcohol-attributable diseases, and published price elasticities and relative risk functions. Outcomes were annual per capita consumption, consumer spending, and alcohol-related deaths. Uncertainty was assessed via partial probabilistic sensitivity analysis (PSA) and scenario analysis. The pricing strategies differ as to how effects are distributed across the population, and, from a public health perspective, heavy drinkers in routine/manual occupations are a key group as they are at greatest risk of health harm from their drinking. Strength-based taxation and minimum unit pricing would have greater effects on mortality among drinkers in routine/manual occupations (particularly for heavy drinkers, where the estimated policy effects on mortality rates are as follows: current tax increase, -3.2%; value-based tax, -2.9%; strength-based tax, -6.1%; minimum unit pricing, -7.8%) and lesser impacts among drinkers in professional/managerial occupations (for heavy drinkers: current tax increase, -1.3%; value-based tax, -1.4%; strength-based tax, +0.2%; minimum unit pricing, +0.8%). Results from the PSA give slightly greater mean effects for both the routine/manual (current tax increase, -3.6% [95% uncertainty interval (UI) -6.1%, -0.6%]; value-based tax, -3.3% [UI -5.1%, -1.7%]; strength-based tax, -7.5% [UI -13.7%, -3.9%]; minimum unit pricing, -10.3% [UI -10.3%, -7.0%]) and professional/managerial occupation groups (current tax increase, -1.8% [UI -4.7%, +1.6%]; value-based tax, -1.9% [UI -3.6%, +0.4%]; strength-based tax, -0.8% [UI -6.9%, +4.0%]; minimum unit pricing, -0.7% [UI -5.6%, +3.6%]). Impacts of price changes on moderate drinkers were small regardless of income or socioeconomic group. Analysis of uncertainty shows that the relative effectiveness of the four policies is fairly stable, although uncertainty in the absolute scale of effects exists. Volumetric taxation and minimum unit pricing consistently outperform increasing the current tax or adding an ad valorem tax in terms of reducing mortality among the heaviest drinkers and reducing alcohol-related health inequalities (e.g., in the routine/manual occupation group, volumetric taxation reduces deaths more than increasing the current tax in 26 out of 30 probabilistic runs, minimum unit pricing reduces deaths more than volumetric tax in 21 out of 30 runs, and minimum unit pricing reduces deaths more than increasing the current tax in 30 out of 30 runs). Study limitations include reducing model complexity by not considering a largely ineffective ban on below-tax alcohol sales, special duty rates covering only small shares of the market, and the impact of tax fraud or retailer non-compliance with minimum unit prices. Our model estimates that, compared to tax increases under the current system or introducing taxation based on product value, alcohol-content-based taxation or minimum unit pricing would lead to larger reductions in health inequalities across income groups. We also estimate that alcohol-content-based taxation and minimum unit pricing would have the largest impact on harmful drinking, with minimal effects on those drinking in moderation.

The Role of Inflation and Price Escalation Adjustments in Properly Estimating Program Costs: F-35 Case Study

DTIC Science & Technology

2016-03-01

regression models that yield hedonic price indexes is closely related to standard techniques for developing cost estimating relationships ( CERs ...October 2014). iii analysis) and derives a price index from the coefficients on variables reflecting the year of purchase. In CER development, the...index. The relevant cost metric in both cases is unit recurring flyaway (URF) costs. For the current project, we develop a “Baseline” CER model, taking

An approach to quantify the heat wave strength and price a heat derivative for risk hedging

NASA Astrophysics Data System (ADS)

Shen, Samuel S. P.; Kramps, Benedikt; Sun, Shirley X.; Bailey, Barbara

2012-01-01

Mitigating the heat stress via a derivative policy is a vital financial option for agricultural producers and other business sectors to strategically adapt to the climate change scenario. This study has provided an approach to identifying heat stress events and pricing the heat stress weather derivative due to persistent days of high surface air temperature (SAT). Cooling degree days (CDD) are used as the weather index for trade. In this study, a call-option model was used as an example for calculating the price of the index. Two heat stress indices were developed to describe the severity and physical impact of heat waves. The daily Global Historical Climatology Network (GHCN-D) SAT data from 1901 to 2007 from the southern California, USA, were used. A major California heat wave that occurred 20-25 October 1965 was studied. The derivative price was calculated based on the call-option model for both long-term station data and the interpolated grid point data at a regular 0.1°×0.1° latitude-longitude grid. The resulting comparison indicates that (a) the interpolated data can be used as reliable proxy to price the CDD and (b) a normal distribution model cannot always be used to reliably calculate the CDD price. In conclusion, the data, models, and procedures described in this study have potential application in hedging agricultural and other risks.

Essays in the Application of Linear and Non-linear Bayesian VAR Models to the Macroeconomic Impacts of Energy Price Shocks

NASA Astrophysics Data System (ADS)

Nguyen, Bao H.

This thesis is a collection of five self contained empirical macroeconomic papers on the asymmetric effects of energy price shocks on various economies. Chapter 1 formally determines the number of regime changes in the US natural gas market by employing a MS-VAR model. Estimated using Bayesian methods, three regimes are identified for the period 1980 - 2016, namely, before the Decontrol Act, after the Decontrol Act and the Recession. The results show that the natural gas market tends to be much more sensitive to market fundamental shocks occurring in a Recession regime than in the other regimes. Augmenting the model by incorporating the price of crude oil, the results reveal that the impacts of oil price shocks on natural gas prices are relatively small. Chapter 2 provides new empirical evidence on the asymmetric reactions of the U.S. natural gas market and the U.S. economy to its market fundamental shocks in different phases of the business cycle. To this end, we employ a ST-VAR model to capture the asymmetric responses depending on economic conditions. Our results indicate that in contrast to the prediction made by a linear VAR model, the STVAR model provides a plausible explanation to the behavior of the U.S. natural gas market, which asymmetrically reacts in bad times and good times. Chapter 3 examines the relationship between China's economic growth and global oil market fluctuations between 1992Q1 and 2015Q3. We find that: (1) the time varying parameter VAR with stochastic volatility provides a better fit as compared to it's constant counterparts; (2) the impacts of intertemporal global oil price shocks on China's output are often small and temporary in nature; (3) oil supply and specific oil demand shocks generally produce negative movements in China's GDP growth whilst oil demand shocks tend to have positive effects; (4) domestic output shocks have no significant impact on price or quantity movements within the global oil market. Chapter 4 examines the effects of world energy price shocks on China's macroeconomy. We propose a new index of primary commodity energy prices which accurately reflects both the structure of China's energy expenditure shares, as well as intertemporal fluctuations in international energy prices. The index is then in employed a sufficiently rich set of time varying BVARs, identified by a new set of agnostic sign restrictions. Uniformly sized positive energy price shocks are shown to consistently generate economic stagflation over the past two decades. Chapter 5 compares the macroeconomic effects of global oil and iron ore price shocks on the Australian economy. The main results suggest that, over the period 1990Q1 to 2014Q4, the oil shock has a relative larger impact than that of the iron ore shock on output and inflation while the iron ore shock is the dominant source of interest and exchange rate movements. The effects crucially depend on the underlying sources of oil or iron ore price shifts.

Black-Scholes finite difference modeling in forecasting of call warrant prices in Bursa Malaysia

NASA Astrophysics Data System (ADS)

Mansor, Nur Jariah; Jaffar, Maheran Mohd

2014-07-01

Call warrant is a type of structured warrant in Bursa Malaysia. It gives the holder the right to buy the underlying share at a specified price within a limited period of time. The issuer of the structured warrants usually uses European style to exercise the call warrant on the maturity date. Warrant is very similar to an option. Usually, practitioners of the financial field use Black-Scholes model to value the option. The Black-Scholes equation is hard to solve analytically. Therefore the finite difference approach is applied to approximate the value of the call warrant prices. The central in time and central in space scheme is produced to approximate the value of the call warrant prices. It allows the warrant holder to forecast the value of the call warrant prices before the expiry date.

Determining optimal selling price and lot size with process reliability and partial backlogging considerations

NASA Astrophysics Data System (ADS)

Hsieh, Tsu-Pang; Cheng, Mei-Chuan; Dye, Chung-Yuan; Ouyang, Liang-Yuh

2011-01-01

In this article, we extend the classical economic production quantity (EPQ) model by proposing imperfect production processes and quality-dependent unit production cost. The demand rate is described by any convex decreasing function of the selling price. In addition, we allow for shortages and a time-proportional backlogging rate. For any given selling price, we first prove that the optimal production schedule not only exists but also is unique. Next, we show that the total profit per unit time is a concave function of price when the production schedule is given. We then provide a simple algorithm to find the optimal selling price and production schedule for the proposed model. Finally, we use a couple of numerical examples to illustrate the algorithm and conclude this article with suggestions for possible future research.

Pharmaceutical pricing in Japan: market evidence for rheumatoid arthritis treatment.

PubMed

Mahlich, Jörg; Kamae, Isao; Sruamsiri, Rosarin

2018-06-01

Drug price setting is one of the key challenges faced by the Japanese health care system. This study aims to identify the determinants of drug price in Japan using the example of the rheumatoid arthritis (RA) treatment market. In order to compare prices across different products, we calculated prices per defined daily dose using WHO methodology. Price determinants were calculated both at launch and over time using IMS quarterly data on medicines approved for RA treatment in Japan from 2012 to 2015. Pharmaceutical pricing was modeled as a function of clinical and economic variables using regression analysis. For prices at the launch we found that differences in efficacy are not reflected in price differentials. We also report that the number of products within a molecule class had a negative effect on prices while originator drugs maintained higher prices. Although the existing pricing rules in Japan are very comprehensive they do not necessarily capture differences in product characteristics. The findings here support the notion that competitive forces are weak in highly regulated markets such as Japan.

Volatility of bitumen prices and implications for the industry

USGS Publications Warehouse

Attanasi, E.D.

2008-01-01

Sustained crude oil price increases have led to increased investment in and production of Canadian bitumen to supplement North American oil supplies. For new projects, the evaluation of profitability is based on a prediction of the future price path of bitumen and ultimately light/medium crude oil. This article examines the relationship between the bitumen and light crude oil prices in the context of a simple error-correction economic-adjustment model. The analysis shows bitumen prices to be significantly more volatile than light crude prices. Also, the dominant effect of an oil price shock on bitumen prices is immediate and is amplified, both in absolute terms and percentage price changes. It is argued that the bitumen industry response to such market risks will likely be a realignment toward vertical integration via new downstream construction, mergers, or on a de facto basis by the establishment of alliances. ?? 2008 International Association for Mathematical Geology.

Price competition and equilibrium analysis in multiple hybrid channel supply chain

NASA Astrophysics Data System (ADS)

Kuang, Guihua; Wang, Aihu; Sha, Jin

2017-06-01

The amazing boom of Internet and logistics industry prompts more and more enterprises to sell commodity through multiple channels. Such market conditions make the participants of multiple hybrid channel supply chain compete each other in traditional and direct channel at the same time. This paper builds a two-echelon supply chain model with a single manufacturer and a single retailer who both can choose different channel or channel combination for their own sales, then, discusses the price competition and calculates the equilibrium price under different sales channel selection combinations. Our analysis shows that no matter the manufacturer and retailer choose same or different channel price to compete, the equilibrium price does not necessarily exist the equilibrium price in the multiple hybrid channel supply chain and wholesale price change is not always able to coordinate supply chain completely. We also present the sufficient and necessary conditions for the existence of equilibrium price and coordination wholesale price.

The modified Black-Scholes model via constant elasticity of variance for stock options valuation

NASA Astrophysics Data System (ADS)

Edeki, S. O.; Owoloko, E. A.; Ugbebor, O. O.

2016-02-01

In this paper, the classical Black-Scholes option pricing model is visited. We present a modified version of the Black-Scholes model via the application of the constant elasticity of variance model (CEVM); in this case, the volatility of the stock price is shown to be a non-constant function unlike the assumption of the classical Black-Scholes model.

The Influence of Investor Number on a Microscopic Market Model

NASA Astrophysics Data System (ADS)

Hellthaler, T.

The stock market model of Levy, Persky, Solomon is simulated for much larger numbers of investors. While small markets can lead to realistically looking prices, the resulting prices of large markets oscillate smoothly in a semi-regular fashion.

The predictive power of zero intelligence in financial markets.

PubMed

Farmer, J Doyne; Patelli, Paolo; Zovko, Ilija I

2005-02-08

Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where constraints imposed by market institutions dominate strategic agent behavior. We use data from the London Stock Exchange to test a simple model in which minimally intelligent agents place orders to trade at random. The model treats the statistical mechanics of order placement, price formation, and the accumulation of revealed supply and demand within the context of the continuous double auction and yields simple laws relating order-arrival rates to statistical properties of the market. We test the validity of these laws in explaining cross-sectional variation for 11 stocks. The model explains 96% of the variance of the gap between the best buying and selling prices (the spread) and 76% of the variance of the price diffusion rate, with only one free parameter. We also study the market impact function, describing the response of quoted prices to the arrival of new orders. The nondimensional coordinates dictated by the model approximately collapse data from different stocks onto a single curve. This work is important from a practical point of view, because it demonstrates the existence of simple laws relating prices to order flows and, in a broader context, suggests there are circumstances where the strategic behavior of agents may be dominated by other considerations.

Price elasticity of the demand for soft drinks, other sugar-sweetened beverages and energy dense food in Chile.

PubMed

Guerrero-López, Carlos M; Unar-Munguía, Mishel; Colchero, M Arantxa

2017-02-10

Chile is the second world's largest per capita consumer of caloric beverages. Caloric beverages are associated with overweight, obesity and other chronic diseases. The objective of this study is to estimate the price elasticity of demand for soft drinks, other sugar-sweetened beverages and high-energy dense foods in urban areas in Chile in order to evaluate the potential response of households' consumption to changes in prices. We used microdata from the VII Family Budget Survey 2012-2013, which collects information on expenditures made by Chilean urban households on items such as beverages and foods. We estimated a Linear Approximation of an Almost Ideal Demand System Model to derive own and cross price elasticities of milk, coffee, tea and other infusions, plain water, soft drinks, other flavored beverages, sweet snacks, sugar and honey, and desserts. We considered the censored nature of the data and included the Inverse Mills Ratio in each equation of the demand system. We estimated a Quadratic Almost Ideal Demand System and a two-part model as sensitivity analysis. We found an own price-elasticity of -1.37 for soft drinks. This implies that a price increase of 10% is associated with a reduction in consumption of 13.7%. We found that the rest of food and beverages included in the demand system behave as substitutes for soft drinks. For instance, plain water showed a cross-price elasticity of 0.63: a 10% increase in price of soft drinks could lead to an increase of 6.3% of plain water. Own and cross price elasticities were similar between models. The demand of soft drinks is price sensitive among Chilean households. An incentive system such as subsidies to non-sweetened beverages and tax to soft drinks could lead to increases in the substitutions for other healthier beverages.

VT-136 Market Research and Sourcing Case Exercise

DTIC Science & Technology

2006-04-30

Josh Parsons (USAF), Army AL&T Magazine, January-February 2005 Web Edition. “The Yoder Three-tier Model for Optimal Planning and Execution of...relevant to pricing and ability to determine “fair and reasonable” price2 Identification of suitable substitutes and alternative products or...Tests for Determining Fair and Reasonable Price By far, the best methodology for making the determination that a product or service cost or price

77 FR 46535 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-08-03

... business models. For example, vendors such as Bloomberg and Thomson Reuters that assess a surcharge on data... generates sufficient commission revenue. Although the business models may differ, these vendors' pricing... these varying business models and pricing disciplines in order to market proprietary data products...

75 FR 57314 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-09-20

... business models. For example, vendors such as Bloomberg and Reuters that assess a surcharge on data they... sufficient commission revenue. Although the business models may differ, these vendors' pricing discipline is... these varying business models and pricing disciplines in order to market proprietary data products...

75 FR 57321 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-09-20

... business models. For example, vendors such as Bloomberg and Reuters that assess a surcharge on data they... sufficient commission revenue. Although the business models may differ, these vendors' pricing discipline is... these varying business models and pricing disciplines in order to market proprietary data products...

Pricing geometric Asian rainbow options under fractional Brownian motion

NASA Astrophysics Data System (ADS)

Wang, Lu; Zhang, Rong; Yang, Lin; Su, Yang; Ma, Feng

2018-03-01

In this paper, we explore the pricing of the assets of Asian rainbow options under the condition that the assets have self-similar and long-range dependence characteristics. Based on the principle of no arbitrage, stochastic differential equation, and partial differential equation, we obtain the pricing formula for two-asset rainbow options under fractional Brownian motion. Next, our Monte Carlo simulation experiments show that the derived pricing formula is accurate and effective. Finally, our sensitivity analysis of the influence of important parameters, such as the risk-free rate, Hurst exponent, and correlation coefficient, on the prices of Asian rainbow options further illustrate the rationality of our pricing model.

D-brane solutions under market panic

NASA Astrophysics Data System (ADS)

Pincak, Richard

The relativistic quantum mechanic approach is used to develop stock market dynamics. The relativistic is conceptional here as the meaning of big external volatility or volatility shock on a financial market. We used a differential geometry approach with the parallel transport of prices to obtain a direct shift of the stock price movement. The prices are represented here as electrons with different spin orientation. Up and down orientations of the spin particle are likened here to an increase or a decrease of stock prices. The parallel transport of stock prices is enriched by Riemann curvature, which describes some arbitrage opportunities in the market. To solve the stock-price dynamics, we used the Dirac equation for bispinors on the spherical brane-world. We found out that when a spherical brane is abbreviated to the disk on the equator, we converge to the ideal behavior of financial market where Black-Scholes as well as semi-classical equations are sufficient. Full spherical brane-world scenarios can describe non-equilibrium market behavior where all arbitrage opportunities as well as transaction costs are taken into account. Real application of the model to the option pricing was done. The model developed in this paper brings quantitative different results of option pricing dynamics in the case of nonzero Riemann curvature.

Essays on Commodity Prices and Macroeconomic Performance of Developing and Resources Rich Economies: Evidence from Kazakhstan

NASA Astrophysics Data System (ADS)

Bilgin, Ferhat I.

My dissertation consists of three essays in empirical macroeconomics. The objective of this research is to use rigorous time-series econometric analysis to investigate the impact of commodity prices on macroeconomic performance of a small, developing and resource-rich country, which is in the process of transition from a purely command and control economy to a market oriented one. Essay 1 studies the relationship between Kazakhstan's GDP, total government expenditure, real effective exchange rate and the world oil price. Specifically, I use the cointegrated vector autoregression (CVAR) and error correction modeling (ECM) approach to identify the long and short-run relations that may exist among these macroeconomic variables. I found a long-run relationship for Kazakhstan's GDP, which depends on government spending and the oil price positively, and on the real effective exchange rate negatively. In the short run, the growth rate of GDP depends on the growth rates of the oil price, investment and the magnitude of the deviation from the long-run equilibrium. Essay 2 studies the inflation process in Kazakhstan based on the analysis of price formation in the following sectors: monetary, external, labor and goods and services. The modeling is conducted from two different perspectives: the first is the monetary model of inflation framework and the second is the mark-up modeling framework. Encompassing test results show that the mark-up model performs better than the monetary model in explaining inflation in Kazakhstan. According to the mark-up inflation model, in the long run, the price level is positively related to unit labor costs, import prices and government administered prices as well the world oil prices. In the short run, the inflation is positively influenced by the previous quarter's inflation, the contemporaneous changes in the government administered prices, oil prices and by the changes of contemporaneous and lagged unit labor costs, and negatively affected by the previous quarter's mark-up. Essay 3 empirically examines the determinants of the trade balance for a small oil exporting country within the context of Kazakhstan. The dominant theory by Harberger-Lauren-Metzler (HML) predicts that positive terms of trade shocks will improve the trade balance in the short run, but will fade away in the long run. I estimate cointegrated vector autoregression (CVAR) and vector error correction model (VECM) to study the long-run and short-run impacts on the trade balance. The results suggest that, in the long run, an increase in the terms of trade has a positive effect on the trade balance, an increase in GDP and appreciation of the real effective exchange rate have negative effect on the trade balance. In the short run, the terms of trade has a direct positive impact on the trade balance, real income and real exchange rate. On the other hand, appreciation of the currency has a negative impact on the trade balance. The error correction term, which represents the deviation from the long- run equilibrium between the trade balance, real income, terms of trade and real exchange rate, has a negative effect on the growth rate of the trade balance. These results provide further evidence to the idea that, in the long run, the HML effect not only depends on the duration of the shock, but also depends on the structure of the economy.

Inventory model with two rates of production for deteriorating items with permissible delay in payments

NASA Astrophysics Data System (ADS)

Roy, Ajanta; Samanta, G. P.

2011-08-01

Goyal (1985) ['Economic Order Quantity Under Conditions of Permissible Delay in Payments', Journal of Operational research Society, 36, 35-38] assumed that unit selling price and unit purchasing price are equal. But in real-life the scenario is different. The purpose of this article is to reflect the real life problem by allowing unit selling price and purchasing price to be unequal. Our model is a continuous production control inventory model for deteriorating items in which two different rates of production are available. The results are illustrated with the help of a numerical example. We discuss the sensitivity of the solution together with the changes of the values of the parameters associated with the model. Our model may be applicable in many manufacturing planning situations where management practices for deterioration are stringent; e.g. the two-production rate will be more profitable than the one-production rate in the manufacture of cold, asthma and allergy medicine. Our proposed model might be applicable to develop a prototype advance planning system for those manufacturers to integrate the management science techniques into commercial planning.

Comparison of vector autoregressive (VAR) and vector error correction models (VECM) for index of ASEAN stock price

NASA Astrophysics Data System (ADS)

Suharsono, Agus; Aziza, Auliya; Pramesti, Wara

2017-12-01

Capital markets can be an indicator of the development of a country's economy. The presence of capital markets also encourages investors to trade; therefore investors need information and knowledge of which shares are better. One way of making decisions for short-term investments is the need for modeling to forecast stock prices in the period to come. Issue of stock market-stock integration ASEAN is very important. The problem is that ASEAN does not have much time to implement one market in the economy, so it would be very interesting if there is evidence whether the capital market in the ASEAN region, especially the countries of Indonesia, Malaysia, Philippines, Singapore and Thailand deserve to be integrated or still segmented. Furthermore, it should also be known and proven What kind of integration is happening: what A capital market affects only the market Other capital, or a capital market only Influenced by other capital markets, or a Capital market as well as affecting as well Influenced by other capital markets in one ASEAN region. In this study, it will compare forecasting of Indonesian share price (IHSG) with neighboring countries (ASEAN) including developed and developing countries such as Malaysia (KLSE), Singapore (SGE), Thailand (SETI), Philippines (PSE) to find out which stock country the most superior and influential. These countries are the founders of ASEAN and share price index owners who have close relations with Indonesia in terms of trade, especially exports and imports. Stock price modeling in this research is using multivariate time series analysis that is VAR (Vector Autoregressive) and VECM (Vector Error Correction Modeling). VAR and VECM models not only predict more than one variable but also can see the interrelations between variables with each other. If the assumption of white noise is not met in the VAR modeling, then the cause can be assumed that there is an outlier. With this modeling will be able to know the pattern of relationship or linkage of share prices of each country in ASEAN. The best modeling comparison result of the ASEAN stock price index is VAR.

Price responsiveness of demand for cigarettes: does rationality matter?

PubMed

Laporte, Audrey

2006-01-01

Meta-analysis is applied to aggregate-level studies that model the demand for cigarettes using static, myopic, or rational addiction frameworks in an attempt to synthesize key findings in the literature and to identify determinants of the variation in reported price elasticity estimates across studies. The results suggest that the rational addiction framework produces statistically similar estimates to the static framework but that studies that use the myopic framework tend to report more elastic price effects. Studies that applied panel data techniques or controlled for cross-border smuggling reported more elastic price elasticity estimates, whereas the use of instrumental variable techniques and time trends or time dummy variables produced less elastic estimates. The finding that myopic models produce different estimates than either of the other two model frameworks underscores that careful attention must be given to time series properties of the data.

FPL-PELPS : a price endogenous linear programming system for economic modeling, supplement to PELPS III, version 1.1.

Treesearch

Patricia K. Lebow; Henry Spelter; Peter J. Ince

2003-01-01

This report provides documentation and user information for FPL-PELPS, a personal computer price endogenous linear programming system for economic modeling. Originally developed to model the North American pulp and paper industry, FPL-PELPS follows its predecessors in allowing the modeling of any appropriate sector to predict consumption, production and capacity by...

A homotopy analysis method for the option pricing PDE in illiquid markets

NASA Astrophysics Data System (ADS)

E-Khatib, Youssef

2012-09-01

One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading the underlying asset does not affect the underlying asset price. This can happen in perfectly liquid markets and it is evidently not viable in markets with imperfect liquidity (illiquid markets). It is well-known that markets with imperfect liquidity are more realistic. Thus, the presence of price impact while studying options is very important. This paper investigates a solution for the option pricing PDE in illiquid markets using the homotopy analysis method.

Price elasticity reconsidered: Panel estimation of an agricultural water demand function

NASA Astrophysics Data System (ADS)

Schoengold, Karina; Sunding, David L.; Moreno, Georgina

2006-09-01

Using panel data from a period of water rate reform, this paper estimates the price elasticity of irrigation water demand. Price elasticity is decomposed into the direct effect of water management and the indirect effect of water price on choice of output and irrigation technology. The model is estimated using an instrumental variables strategy to account for the endogeneity of technology and output choices in the water demand equation. Estimation results indicate that the price elasticity of agricultural water demand is -0.79, which is greater than that found in previous studies.

The predictive power of zero intelligence in financial markets

NASA Astrophysics Data System (ADS)

Farmer, J. Doyne; Patelli, Paolo; Zovko, Ilija I.

2005-02-01

Standard models in economics stress the role of intelligent agents who maximize utility. However, there may be situations where constraints imposed by market institutions dominate strategic agent behavior. We use data from the London Stock Exchange to test a simple model in which minimally intelligent agents place orders to trade at random. The model treats the statistical mechanics of order placement, price formation, and the accumulation of revealed supply and demand within the context of the continuous double auction and yields simple laws relating order-arrival rates to statistical properties of the market. We test the validity of these laws in explaining cross-sectional variation for 11 stocks. The model explains 96% of the variance of the gap between the best buying and selling prices (the spread) and 76% of the variance of the price diffusion rate, with only one free parameter. We also study the market impact function, describing the response of quoted prices to the arrival of new orders. The nondimensional coordinates dictated by the model approximately collapse data from different stocks onto a single curve. This work is important from a practical point of view, because it demonstrates the existence of simple laws relating prices to order flows and, in a broader context, suggests there are circumstances where the strategic behavior of agents may be dominated by other considerations. double auction market | market microstructure | agent-based models

A reaction-diffusion model for market fluctuations - A relation between price change and traded volumes

NASA Astrophysics Data System (ADS)

Yuvan, Steven; Bier, Martin

2018-02-01

Two decades ago Bak et al. (1997) [3] proposed a reaction-diffusion model to describe market fluctuations. In the model buyers and sellers diffuse from opposite ends of a 1D interval that represents a price range. Trades occur when buyers and sellers meet. We show analytically and numerically that the model well reproduces the square-root relation between traded volumes and price changes that is observed in real-life markets. The result is remarkable as this relation has commonly been explained in terms of more elaborate trader strategies. We furthermore explain why the square-root relation is robust under model modifications and we show how real-life bond market data exhibit the square-root relation.

No Regret Learning in Oligopolies: Cournot vs. Bertrand

NASA Astrophysics Data System (ADS)

Nadav, Uri; Piliouras, Georgios

Cournot and Bertrand oligopolies constitute the two most prevalent models of firm competition. The analysis of Nash equilibria in each model reveals a unique prediction about the stable state of the system. Quite alarmingly, despite the similarities of the two models, their projections expose a stark dichotomy. Under the Cournot model, where firms compete by strategically managing their output quantity, firms enjoy positive profits as the resulting market prices exceed that of the marginal costs. On the contrary, the Bertrand model, in which firms compete on price, predicts that a duopoly is enough to push prices down to the marginal cost level. This suggestion that duopoly will result in perfect competition, is commonly referred to in the economics literature as the "Bertrand paradox".

Research on WNN Modeling for Gold Price Forecasting Based on Improved Artificial Bee Colony Algorithm

PubMed Central

2014-01-01

Gold price forecasting has been a hot issue in economics recently. In this work, wavelet neural network (WNN) combined with a novel artificial bee colony (ABC) algorithm is proposed for this gold price forecasting issue. In this improved algorithm, the conventional roulette selection strategy is discarded. Besides, the convergence statuses in a previous cycle of iteration are fully utilized as feedback messages to manipulate the searching intensity in a subsequent cycle. Experimental results confirm that this new algorithm converges faster than the conventional ABC when tested on some classical benchmark functions and is effective to improve modeling capacity of WNN regarding the gold price forecasting scheme. PMID:24744773

Irrigation water demand: A meta-analysis of price elasticities

NASA Astrophysics Data System (ADS)

Scheierling, Susanne M.; Loomis, John B.; Young, Robert A.

2006-01-01

Metaregression models are estimated to investigate sources of variation in empirical estimates of the price elasticity of irrigation water demand. Elasticity estimates are drawn from 24 studies reported in the United States since 1963, including mathematical programming, field experiments, and econometric studies. The mean price elasticity is 0.48. Long-run elasticities, those that are most useful for policy purposes, are likely larger than the mean estimate. Empirical results suggest that estimates may be more elastic if they are derived from mathematical programming or econometric studies and calculated at a higher irrigation water price. Less elastic estimates are found to be derived from models based on field experiments and in the presence of high-valued crops.

Pricing, manufacturing and inventory policies for raw material in a three-level supply chain

NASA Astrophysics Data System (ADS)

Allah Taleizadeh, Ata; Noori-daryan, Mahsa

2016-03-01

We studied a decentralised three-layer supply chain including a supplier, a producer and some retailers. All the retailers order their demands to the producer and the producer order his demands to the supplier. We assumed that the demand is price sensitive and shortage is not permitted. The goal of the paper is to optimise the total cost of the supply chain network by coordinating decision-making policy using Stackelberg-Nash equilibrium. The decision variables of our model are the supplier's price, the producer's price and the number of shipments received by the supplier and producer, respectively. To illustrate the applicability of the proposed model numerical examples are presented.

Sensitivity of Rooftop PV Projections in the SunShot Vision Study to Market Assumptions

DOE Office of Scientific and Technical Information (OSTI.GOV)

Drury, E.; Denholm, P.; Margolis, R.

2013-01-01

The SunShot Vision Study explored the potential growth of solar markets if solar prices decreased by about 75% from 2010 to 2020. The SolarDS model was used to simulate rooftop PV demand for this study, based on several PV market assumptions--future electricity rates, customer access to financing, and others--in addition to the SunShot PV price projections. This paper finds that modeled PV demand is highly sensitive to several non-price market assumptions, particularly PV financing parameters.

Hamiltonian and potentials in derivative pricing models: exact results and lattice simulations

NASA Astrophysics Data System (ADS)

Baaquie, Belal E.; Corianò, Claudio; Srikant, Marakani

2004-03-01

The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian formulation. We show here some applications of these methods for various potentials, which we have simulated via lattice Langevin and Monte Carlo algorithms, to the pricing of options. We focus on barrier or path dependent options, showing in some detail the computational strategies involved.

Estimation of the Cost of Equity for Mining Companies Using the P-Lefac Method

NASA Astrophysics Data System (ADS)

Ranosz, Robert

2014-03-01

This article describes one of the methods of estimating the cost of equity, namely the LEFAC method. The name of the method is an acronym of the names of individual financial categories: L - Liquidity, E - Earnings, F - Franchise, A - Assets, C - Capital. It is a scoring method similar to the way used by ING Financial Markets to estimate share prices. A review of literature shows that this method is not widely known and used by enterprises, but it has certain advantages which justify its use. Its main advantages include its easy use and the stability of the results obtained: the calculated cost of equity is never lower than the adopted risk-free rate. The method is particularly useful for companies (enterprises) not listed on stock exchanges. This article is divided into five parts: an introduction, the LEFAC method, the parameterization of the LEFAC method (P-LEFAC), an example calculation and a summary. The second part of this article characterises the LEFAC method. In the third part, the method is parameterized to obtain a function described by formula 22. The following section contains an example calculation for KGHM S.A. and also presents results which mining companies would achieve if they used the discussed method to calculate the cost of their equity. The calculations were performed for mining companies listed on the Warsaw Stocks Exchange and unlisted ones. This part of the article also contains a short comparison of results obtained using the CAPM method and the discussed model. The last section consists of a summary presenting final conclusions. The article ends in a list of the literature referred to. Niniejszy artykuł został poświęcony jednej z metod szacowania kosztu kapitału własnego, a mianowicie metodzie LEFAC. Nazwa metody pochodzi od pierwszych liter wyrazów z języka angielskiego, które określają poszczególne kategorie finansowe: L - Liquidity (płynność), E - Earnings (zyski), F - Franchise (strategia), A - Assets (aktywa), C - Capital (kapitał). Jest to metoda punktowa (scoringowa) zbliżona do sposobu określania wartości cen akcji wykorzystywana przez ING Finansial Markets. Jak wynika z przeprowadzonego przeglądu literatury, metoda ta nie jest powszechnie znana i używania przez przed- siębiorstwa, niemniej jednak posiada ona pewne zalety, uzasadniające jej wykorzystanie. Do jej głównych atutów należy zaliczyć łatwość zastosowania oraz "stabilność" uzyskiwanych wyników - wyliczony koszt kapitału własnego nigdy nie będzie przyjmował wartości mniejszych niż przyjęta stopa wolna od ryzyka. Omawiana metoda ma swoje szczególne zastosowanie do spółek (przedsiębiorstw), które nie są notowane na giełdach papierów wartościowych. Niniejszy artykuł składa się z pięciu części: wstępu, metody LEFAC, parametryzacji metody LEFAC (P-LEFAC), przykładu obliczeniowego oraz podsumowania. Druga cześć opracowania dotyczy charakterystyki metody LEFAC. W trzeciej części artykułu dokonano parametryzacji metody uzyskując funkcję określoną przez wzór 22. Kolejny rozdział zawiera przykład obliczeniowy dla spółki KGHM S.A., w rozdziale tym zaprezentowano również wyniki, jakie uzyskałyby spółki górnicze stosując omawianą metodę obliczania kosztu kapitału własnego - obliczeń dokonano zarówno dla spółek górniczych notowanych, jak i nie notowanych, na Warszawskiej Giełdzie Papierów Wartościowych. W tej części artykułu zaprezentowano również krótkie porównanie wyników uzyskiwanych przy zastosowaniu metody CAPM z omawianym modelem. Ostatnim rozdziałem jest podsumowanie, w którym przedstawiono wnioski końcowe. Całość artykułu została zamknięta spisem wykorzystanej literatury

47 CFR 54.803 - Universal service zones.

Code of Federal Regulations, 2013 CFR

2013-10-01

... developing this transitional estimate, the loop and port costs estimated by the FCC cost model, or other... chapter. (b) In a price cap study area where the price cap local exchange carrier has not established state-approved prices for UNE loops by zone, the Administrator shall develop an estimate of the local...

47 CFR 54.803 - Universal service zones.

Code of Federal Regulations, 2011 CFR

2011-10-01

... developing this transitional estimate, the loop and port costs estimated by the FCC cost model, or other... chapter. (b) In a price cap study area where the price cap local exchange carrier has not established state-approved prices for UNE loops by zone, the Administrator shall develop an estimate of the local...

47 CFR 54.803 - Universal service zones.

Code of Federal Regulations, 2014 CFR

2014-10-01

... developing this transitional estimate, the loop and port costs estimated by the FCC cost model, or other... chapter. (b) In a price cap study area where the price cap local exchange carrier has not established state-approved prices for UNE loops by zone, the Administrator shall develop an estimate of the local...

47 CFR 54.803 - Universal service zones.

Code of Federal Regulations, 2012 CFR

2012-10-01

... developing this transitional estimate, the loop and port costs estimated by the FCC cost model, or other... chapter. (b) In a price cap study area where the price cap local exchange carrier has not established state-approved prices for UNE loops by zone, the Administrator shall develop an estimate of the local...

47 CFR 54.803 - Universal service zones.

Code of Federal Regulations, 2010 CFR

2010-10-01

... developing this transitional estimate, the loop and port costs estimated by the FCC cost model, or other... chapter. (b) In a price cap study area where the price cap local exchange carrier has not established state-approved prices for UNE loops by zone, the Administrator shall develop an estimate of the local...

Canada's New Generic Pricing Policy: A Reasoned Approach to a Challenging Problem.

PubMed

Hollis, Aidan; Grootendorst, Paul

2015-08-01

Alberta, quickly followed by other Canadian provinces, has introduced a new pricing model for generic drugs, in which prices are inversely related to the number of generic manufacturers of the drug. This paper examines the rationale for the new policy. Copyright © 2015 Longwoods Publishing.

An Econommetric Analysis of the U.S. Hardboard Market

Treesearch

Albert T. Schuler

1978-01-01

An econometric model of U.S. hardboard consumption was developed to identify the major variables affecting hardboard consumption and price. The variables identified were housing starts, residential improvement activity, disposable personal income, hardwood plywood price, productivity, pulpwood and residue price, hardboard tariff, and power cost, Disposable personal...

An equation of state for the financial markets: connecting order flow to price formation.

NASA Astrophysics Data System (ADS)

Gerig, Austin; Mike, Szabolcs; Doyne Farmer, J.

2006-03-01

Many of the peculiarities of price formation in the financial marketplace can be understood as the result of a few regularities in the placement and removal of trading orders. Based on a large data set from the London Stock Exchange we show that the distribution of prices where people place orders to buy or sell follows a surprisingly simple functional form that depends on the current best prices. In addition, whether or not an order is to buy or sell is described by a long-memory process, and the cancellation of orders can be described by a few simple rules. When these results are combined, simply by following the rules of the continuous double auction, the resulting simulation model produces good predictions for the distribution of price changes and transaction costs without any adjustment of parameters. We use the model to empirically derive equations of state relating order flow and the statistical properties of prices. In contrast to previous conjectures, our results demonstrate that these distributions are not universal, but rather depend on parameters of individual markets. They also show that factors other than supply and demand play an important role in price formation.

Risks, prices, and positions: A social network analysis of illegal drug trafficking in the world-economy.

PubMed

Boivin, Rémi

2014-03-01

Illegal drug prices are extremely high, compared to similar goods. There is, however, considerable variation in value depending on place, market level and type of drugs. A prominent framework for the study of illegal drugs is the "risks and prices" model (Reuter & Kleiman, 1986). Enforcement is seen as a "tax" added to the regular price. In this paper, it is argued that such economic models are not sufficient to explain price variations at country-level. Drug markets are analysed as global trade networks in which a country's position has an impact on various features, including illegal drug prices. This paper uses social network analysis (SNA) to explain price markups between pairs of countries involved in the trafficking of illegal drugs between 1998 and 2007. It aims to explore a simple question: why do prices increase between two countries? Using relational data from various international organizations, separate trade networks were built for cocaine, heroin and cannabis. Wholesale price markups are predicted with measures of supply, demand, risks of seizures, geographic distance and global positioning within the networks. Reported prices (in $US) and purchasing power parity-adjusted values are analysed. Drug prices increase more sharply when drugs are headed to countries where law enforcement imposes higher costs on traffickers. The position and role of a country in global drug markets are also closely associated with the value of drugs. Price markups are lower if the destination country is a transit to large potential markets. Furthermore, price markups for cocaine and heroin are more pronounced when drugs are exported to countries that are better positioned in the legitimate world-economy, suggesting that relations in legal and illegal markets are directed in opposite directions. Consistent with the world-system perspective, evidence is found of coherent world drug markets driven by both local realities and international relations. Copyright © 2013 Elsevier B.V. All rights reserved.

Studies on price indexes and innovation

NASA Astrophysics Data System (ADS)

Carreon-Rodriguez, Victor G.

This thesis develops two studies on price indexes and innovation. The first one analyzes the problems on the computation of price indexes when there are improvements in the goods' quality. These problems arise because we use price indexes that measure the prices of the goods that consumers buy rather than the prices of the services that consumers enjoy. In order to see this, I compute a true price for gasoline that is based on the services that it provides. We ask for the cost of moving one ton at a speed of 40 mph for a distance of 100 miles. This true price is compared with the official price for gasoline. The average annual bias (the rise in the official price relative to the true price) is 3.2% per year. We also compute the hours of work required to cover that cost. We find that in 1925 there were needed almost 1.5 hours of work, while by 1992 there were just needed about 8 minutes to move one ton as specified above. The second one develops a model of Cournot competition in innovation. This model introduces two new features. First, firm's investment in research and development is divided into two pieces, expenditures in human capital and expenditures in all other inputs (called R&D for simplicity). Second, the government also allocates resources to research and development, which affect the stock of knowledge available to the firms. Some interesting results arise from this model. First, investments in human capital and in R&D are increasing in the past government's investment. Second, investments per firm are decreasing in the number of firms in the industry, but the totals are larger if some conditions on the elasticities are satisfied. Third, the welfare analysis tells us that if there are entry barriers, each firm is overinvesting in both inputs. On the other hand, if there is free entry, there are too many firms engaged in the innovative race. Finally, we perform an empirical analysis and we find that there are lagged effects of the government's investment on the pharmaceutical industry's investments.

Factors influencing global antiretroviral procurement prices.

PubMed

Wirtz, Veronika J; Forsythe, Steven; Valencia-Mendoza, Atanacio; Bautista-Arredondo, Sergio

2009-11-18

Antiretroviral medicines (ARVs) are one of the most costly parts of HIV/AIDS treatment. Many countries are struggling to provide universal access to ARVs for all people living with HIV and AIDS. Although substantial price reductions of ARVs have occurred, especially between 2002 and 2008, achieving sustainable access for the next several decades remains a major challenge for most low- and middle-income countries. The objectives of the present study were twofold: first, to analyze global ARV prices between 2005 and 2008 and associated factors, particularly procurement methods and key donor policies on ARV procurement efficiency; second, to discuss the options of procurement processes and policies that should be considered when implementing or reforming access to ARV programs. An ARV-medicines price-analysis was carried out using the Global Price Reporting Mechanism from the World Health Organization. For a selection of 12 ARVs, global median prices and price variation were calculated. Linear regression models for each ARV were used to identify factors that were associated with lower procurement prices. Logistic regression models were used to identify the characteristics of those countries which procure below the highest and lowest direct manufactured costs. Three key factors appear to have an influence on a country's ARV prices: (a) whether the product is generic or not; (b) the socioeconomic status of the country; (c) whether the country is a member of the Clinton HIV/AIDS Initiative. Factors which did not influence procurement below the highest direct manufactured costs were HIV prevalence, procurement volume, whether the country belongs to the least developed countries or a focus country of the United States President's Emergency Plan For AIDS Relief. One of the principal mechanisms that can help to lower prices for ARV over the next several decades is increasing procurement efficiency. Benchmarking prices could be one useful tool to achieve this.

Prediction of Change in Prescription Ingredient Costs and Co-payment Rates under a Reference Pricing System in South Korea.

PubMed

Heo, Ji Haeng; Rascati, Karen L; Lee, Eui-Kyung

2017-05-01

The reference pricing system (RPS) establishes reference prices within interchangeable reference groupings. For drugs priced higher than the reference point, patients pay the difference between the reference price and the total price. To predict potential changes in prescription ingredient costs and co-payment rates after implementation of an RPS in South Korea. Korean National Health Insurance claims data were used as a baseline to develop possible RPS models. Five components of a potential RPS policy were varied: reference groupings, reference pricing methods, co-pay reduction programs, manufacturer price reductions, and increased drug substitutions. The potential changes for prescription ingredient costs and co-payment rates were predicted for the various scenarios. It was predicted that transferring the difference (total price minus reference price) from the insurer to patients would reduce ingredient costs from 1.4% to 22.8% for the third-party payer (government), but patient co-payment rates would increase from a baseline of 20.4% to 22.0% using chemical groupings and to 25.0% using therapeutic groupings. Savings rates in prescription ingredient costs (government and patient combined) were predicted to range from 1.6% to 13.7% depending on various scenarios. Although the co-payment rate would increase, a 15% price reduction by manufacturers coupled with a substitution rate of 30% would result in a decrease in the co-payment amount (change in absolute dollars vs. change in rates). Our models predicted that the implementation of RPS in South Korea would lead to savings in ingredient costs for the third-party payer and co-payments for patients with potential scenarios. Copyright © 2017 International Society for Pharmacoeconomics and Outcomes Research (ISPOR). Published by Elsevier Inc. All rights reserved.

Dynamics relationship between stock prices and economic variables in Malaysia

NASA Astrophysics Data System (ADS)

Chun, Ooi Po; Arsad, Zainudin; Huen, Tan Bee

2014-07-01

Knowledge on linkages between stock prices and macroeconomic variables are essential in the formulation of effective monetary policy. This study investigates the relationship between stock prices in Malaysia (KLCI) with four selected macroeconomic variables, namely industrial production index (IPI), quasi money supply (MS2), real exchange rate (REXR) and 3-month Treasury bill (TRB). The variables used in this study are monthly data from 1996 to 2012. Vector error correction (VEC) model and Kalman filter (KF) technique are utilized to assess the impact of macroeconomic variables on the stock prices. The results from the cointegration test revealed that the stock prices and macroeconomic variables are cointegrated. Different from the constant estimate from the static VEC model, the KF estimates noticeably exhibit time-varying attributes over the entire sample period. The varying estimates of the impact coefficients should be better reflect the changing economic environment. Surprisingly, IPI is negatively related to the KLCI with the estimates of the impact slowly increase and become positive in recent years. TRB is found to be generally negatively related to the KLCI with the impact fluctuating along the constant estimate of the VEC model. The KF estimates for REXR and MS2 show a mixture of positive and negative impact on the KLCI. The coefficients of error correction term (ECT) are negative in majority of the sample period, signifying the stock prices responded to stabilize any short term deviation in the economic system. The findings from the KF model indicate that any implication that is based on the usual static model may lead to authorities implementing less appropriate policies.

Transactional price of an expected child and its application in birth control.

PubMed

Li, X

1993-01-01

The theoretical presentation of the impact of the transactional price of an expected child (TPEC) on birth control led to the conclusion that successful birth control was a combination of birth utility theory and TPEC theory. In a hypothetical market, the assumption can be made that an expected price can be attached to a desired child or a transactional price can be attached for giving up the reproductive right to have an excess child. A consumer equilibrium model can characterize the changes in financial resources necessary in deciding on an appropriate number of children. In a general equilibrium model, couples would have to be compensated a certain amount as an inducement to forgo the right to have a second child. Prices of children can be determined by a distributional curve of this transactional price of expected excess children and the estimated marginal price for couples with two children. Under circumstances of limited resources, it would be cheaper to buy some couple's rights to forgo a child, and this price would vary with parity. The exact transactional price of each child by parity by each couple could be theoretically determined, if all couples told the truth about desired number of children. However, the complication is that this condition may not be possible, and couples may charge more for forgoing the right to a subsequent child that what they would actually accept. Also, the seller could ask one price and then charge more. A compromise would be to set prices only for lower parities and to set prices subject to the total funds available to the buyer. Very low prices would also decrease the effectiveness of birth control. The government could be a buyer or seller. Taxing couples for additional children would make the government a seller. When the government is the buyer, couples would be compensated for not having an additional child. Another possibility is a reward for having only a certain number of children and a tax for excess children, which would be a mixed transactional price. The transactional price must be contractual, and breach of contract would mean forfeiture of profit or required sterilization.

Modelling Limit Order Execution Times from Market Data

NASA Astrophysics Data System (ADS)

Kim, Adlar; Farmer, Doyne; Lo, Andrew

2007-03-01

Although the term ``liquidity'' is widely used in finance literatures, its meaning is very loosely defined and there is no quantitative measure for it. Generally, ``liquidity'' means an ability to quickly trade stocks without causing a significant impact on the stock price. From this definition, we identified two facets of liquidity -- 1.execution time of limit orders, and 2.price impact of market orders. The limit order is an order to transact a prespecified number of shares at a prespecified price, which will not cause an immediate execution. On the other hand, the market order is an order to transact a prespecified number of shares at a market price, which will cause an immediate execution, but are subject to price impact. Therefore, when the stock is liquid, market participants will experience quick limit order executions and small market order impacts. As a first step to understand market liquidity, we studied the facet of liquidity related to limit order executions -- execution times. In this talk, we propose a novel approach of modeling limit order execution times and show how they are affected by size and price of orders. We used q-Weibull distribution, which is a generalized form of Weibull distribution that can control the fatness of tail to model limit order execution times.

Optimal Pricing and Power Allocation for Collaborative Jamming with Full Channel Knowledge in Wireless Sensor Networks

PubMed Central

Jeong, Dae-Kyo; Kim, Insook; Kim, Dongwoo

2017-01-01

This paper presents a price-searching model in which a source node (Alice) seeks friendly jammers that prevent eavesdroppers (Eves) from snooping legitimate communications by generating interference or noise. Unlike existing models, the distributed jammers also have data to send to their respective destinations and are allowed to access Alice’s channel if it can transmit sufficient jamming power, which is referred to as collaborative jamming in this paper. For the power used to deliver its own signal, the jammer should pay Alice. The price of the jammers’ signal power is set by Alice and provides a tradeoff between the signal and the jamming power. This paper presents, in closed-form, an optimal price that maximizes Alice’s benefit and the corresponding optimal power allocation from a jammers’ perspective by assuming that the network-wide channel knowledge is shared by Alice and jammers. For a multiple-jammer scenario where Alice hardly has the channel knowledge, this paper provides a distributed and interactive price-searching procedure that geometrically converges to an optimal price and shows that Alice by a greedy selection policy achieves certain diversity gain, which increases log-linearly as the number of (potential) jammers grows. Various numerical examples are presented to illustrate the behavior of the proposed model. PMID:29165373

Feynman path integral application on deriving black-scholes diffusion equation for european option pricing

NASA Astrophysics Data System (ADS)

Utama, Briandhika; Purqon, Acep

2016-08-01

Path Integral is a method to transform a function from its initial condition to final condition through multiplying its initial condition with the transition probability function, known as propagator. At the early development, several studies focused to apply this method for solving problems only in Quantum Mechanics. Nevertheless, Path Integral could also apply to other subjects with some modifications in the propagator function. In this study, we investigate the application of Path Integral method in financial derivatives, stock options. Black-Scholes Model (Nobel 1997) was a beginning anchor in Option Pricing study. Though this model did not successfully predict option price perfectly, especially because its sensitivity for the major changing on market, Black-Scholes Model still is a legitimate equation in pricing an option. The derivation of Black-Scholes has a high difficulty level because it is a stochastic partial differential equation. Black-Scholes equation has a similar principle with Path Integral, where in Black-Scholes the share's initial price is transformed to its final price. The Black-Scholes propagator function then derived by introducing a modified Lagrange based on Black-Scholes equation. Furthermore, we study the correlation between path integral analytical solution and Monte-Carlo numeric solution to find the similarity between this two methods.

Optimal Pricing and Power Allocation for Collaborative Jamming with Full Channel Knowledge in Wireless Sensor Networks.

PubMed

Jeong, Dae-Kyo; Kim, Insook; Kim, Dongwoo

2017-11-22

This paper presents a price-searching model in which a source node (Alice) seeks friendly jammers that prevent eavesdroppers (Eves) from snooping legitimate communications by generating interference or noise. Unlike existing models, the distributed jammers also have data to send to their respective destinations and are allowed to access Alice's channel if it can transmit sufficient jamming power, which is referred to as collaborative jamming in this paper. For the power used to deliver its own signal, the jammer should pay Alice. The price of the jammers' signal power is set by Alice and provides a tradeoff between the signal and the jamming power. This paper presents, in closed-form, an optimal price that maximizes Alice's benefit and the corresponding optimal power allocation from a jammers' perspective by assuming that the network-wide channel knowledge is shared by Alice and jammers. For a multiple-jammer scenario where Alice hardly has the channel knowledge, this paper provides a distributed and interactive price-searching procedure that geometrically converges to an optimal price and shows that Alice by a greedy selection policy achieves certain diversity gain, which increases log-linearly as the number of (potential) jammers grows. Various numerical examples are presented to illustrate the behavior of the proposed model.

“Slimming” of power-law tails by increasing market returns

NASA Astrophysics Data System (ADS)

Sornette, D.

2002-06-01

We introduce a simple generalization of rational bubble models which removes the fundamental problem discovered by Lux and Sornette (J. Money, Credit and Banking, preprint at http://xxx.lanl.gov/abs/cond-mat/9910141) that the distribution of returns is a power law with exponent <1, in contradiction with empirical data. The idea is that the price fluctuations associated with bubbles must on average grow with the mean market return r. When r is larger than the discount rate rδ, the distribution of returns of the observable price, sum of the bubble component and of the fundamental price, exhibits an intermediate tail with an exponent which can be larger than 1. This regime r> rδ corresponds to a generalization of the rational bubble model in which the fundamental price is no more given by the discounted value of future dividends. We explain how this is possible. Our model predicts that, the higher is the market remuneration r above the discount rate, the larger is the power-law exponent and thus the thinner is the tail of the distribution of price returns.

Regional price targets appropriate for advanced coal extraction

NASA Technical Reports Server (NTRS)

Terasawa, K. L.; Whipple, D. M.

1980-01-01

A methodology is presented for predicting coal prices in regional markets for the target time frames 1985 and 2000 that could subsequently be used to guide the development of an advanced coal extraction system. The model constructed is a supply and demand model that focuses on underground mining since the advanced technology is expected to be developed for these reserves by the target years. Coal reserve data and the cost of operating a mine are used to obtain the minimum acceptable selling price that would induce the producer to bring the mine into production. Based on this information, market supply curves can be generated. Demand by region is calculated based on an EEA methodology that emphasizes demand by electric utilities and demand by industry. The demand and supply curves are then used to obtain the price targets. The results show a growth in the size of the markets for compliance and low sulphur coal regions. A significant rise in the real price of coal is not expected even by the year 2000. The model predicts heavy reliance on mines with thick seams, larger block size and deep overburden.

Water allocation for agriculture in southwestern Iran using a programming model

NASA Astrophysics Data System (ADS)

Esmaeili, Abdoulkarim; Shahsavari, Zahra

2015-09-01

Water pricing can play a major role in improving water allocation, encouraging users to conserve scarce water resources, and promoting improvements in productivity. In this study, the economic values of water in farms under Dorodzan Dam in southwestern Iran were calculated using linear programming models. The method was applied to three samples of farms that drew irrigation water from a canal, a well, and both a well and a canal. The results of this study revealed that the shadow prices of water in farms varied based on the water sources and time of year. Additionally, the estimated price for water is obviously higher than the price that farmers currently pay for water in the study area. Due to the different economic values of water calculated for different months, it is recommended that the price of irrigation water be adjusted accordingly during various seasons in a fashion similar to that of electrical energy.

A stochastic model for stationary dynamics of prices in real estate markets. A case of random intensity for Poisson moments of prices changes

NASA Astrophysics Data System (ADS)

Rusakov, Oleg; Laskin, Michael

2017-06-01

We consider a stochastic model of changes of prices in real estate markets. We suppose that in a book of prices the changes happen in points of jumps of a Poisson process with a random intensity, i.e. moments of changes sequently follow to a random process of the Cox process type. We calculate cumulative mathematical expectations and variances for the random intensity of this point process. In the case that the process of random intensity is a martingale the cumulative variance has a linear grows. We statistically process a number of observations of real estate prices and accept hypotheses of a linear grows for estimations as well for cumulative average, as for cumulative variance both for input and output prises that are writing in the book of prises.