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

The Q theory of investment, the capital asset pricing model, and asset valuation: a synthesis.

PubMed

McDonald, John F

2004-05-01

The paper combines Tobin's Q theory of real investment with the capital asset pricing model to produce a new and relatively simple procedure for the valuation of real assets using the income approach. Applications of the new method are provided.

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.

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.)

26 CFR 1.336-3 - Aggregate deemed asset disposition price; various aspects of taxation of the deemed asset...

Code of Federal Regulations, 2014 CFR

2014-04-01

... INTERNAL REVENUE SERVICE, DEPARTMENT OF THE TREASURY (CONTINUED) INCOME TAX (CONTINUED) INCOME TAXES... decrease is required under general principles of tax law with respect to an element of ADADP, the... determined at the beginning of the day after the disposition date of Target. General principles of tax law...

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.

Estimation of option-implied risk-neutral into real-world density by using calibration function

NASA Astrophysics Data System (ADS)

Bahaludin, Hafizah; Abdullah, Mimi Hafizah

2017-04-01

Option prices contain crucial information that can be used as a reflection of future development of an underlying assets' price. The main objective of this study is to extract the risk-neutral density (RND) and the risk-world density (RWD) of option prices. A volatility function technique is applied by using a fourth order polynomial interpolation to obtain the RNDs. Then, a calibration function is used to convert the RNDs into RWDs. There are two types of calibration function which are parametric and non-parametric calibrations. The density is extracted from the Dow Jones Industrial Average (DJIA) index options with a one month constant maturity from January 2009 until December 2015. The performance of RNDs and RWDs extracted are evaluated by using a density forecasting test. This study found out that the RWDs obtain can provide an accurate information regarding the price of the underlying asset in future compared to that of the RNDs. In addition, empirical evidence suggests that RWDs from a non-parametric calibration has a better accuracy than other densities.

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.

26 CFR 1.338-4 - Aggregate deemed sale price; various aspects of taxation of the deemed asset sale.

Code of Federal Regulations, 2010 CFR

2010-04-01

... 26 Internal Revenue 4 2010-04-01 2010-04-01 false Aggregate deemed sale price; various aspects of taxation of the deemed asset sale. 1.338-4 Section 1.338-4 Internal Revenue INTERNAL REVENUE SERVICE... Aggregate deemed sale price; various aspects of taxation of the deemed asset sale. (a) Scope. This section...

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.

Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion.

PubMed

Sun, Jiao-Jiao; Zhou, Shengwu; Zhang, Yan; Han, Miao; Wang, Fei

2014-01-01

The pricing problem of lookback option with a fixed proportion of transaction costs is investigated when the underlying asset price follows a fractional Brownian motion process. Firstly, using Leland's hedging method a partial differential equation satisfied by the value of the lookback option is derived. Then we obtain its numerical solution by constructing a Crank-Nicolson format. Finally, the effectiveness of the proposed form is verified through a numerical example. Meanwhile, the impact of transaction cost rate and volatility on lookback option value is discussed.

Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion

PubMed Central

Sun, Jiao-Jiao; Zhou, Shengwu; Zhang, Yan; Han, Miao; Wang, Fei

2014-01-01

The pricing problem of lookback option with a fixed proportion of transaction costs is investigated when the underlying asset price follows a fractional Brownian motion process. Firstly, using Leland's hedging method a partial differential equation satisfied by the value of the lookback option is derived. Then we obtain its numerical solution by constructing a Crank-Nicolson format. Finally, the effectiveness of the proposed form is verified through a numerical example. Meanwhile, the impact of transaction cost rate and volatility on lookback option value is discussed. PMID:27433525

Retrading, production, and asset market performance

PubMed Central

Gjerstad, Steven D.; Porter, David; Smith, Vernon L.; Winn, Abel

2015-01-01

Prior studies have shown that traders quickly converge to the price–quantity equilibrium in markets for goods that are immediately consumed, but they produce speculative price bubbles in resalable asset markets. We present a stock-flow model of durable assets in which the existing stock of assets is subject to depreciation and producers may produce additional units of the asset. In our laboratory experiments inexperienced consumers who can resell their units disregard the consumption value of the assets and compete vigorously with producers, depressing prices and production. Consumers who have first participated in experiments without resale learn to heed their consumption values and, when they are given the option to resell, trade at equilibrium prices. Reproducibility is therefore the most natural and most effective treatment for suppression of bubbles in asset market experiments. PMID:26553991

Continuous-time safety-first portfolio selection with jump-diffusion processes

NASA Astrophysics Data System (ADS)

Yan, Wei

2012-04-01

This article is concerned with continuous-time portfolio selection based on a safety-first criterion under discontinuous price processes (jump-diffusion processes). The solution of the corresponding Hamilton-Jacobi-Bellman equation of the problem is demonstrated. The analytical solutions are presented when there does not exist any riskless asset. Moreover, the problem is also discussed while there exists one riskless asset.

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.

Robust Active Portfolio Management

DTIC Science & Technology

2006-11-27

the Markowitz mean-variance model led to development of the Capital Asset Pricing Model ( CAPM ) for asset pricing [35, 29, 23] which remains one of the...active portfolio management. Our model uses historical returns and equilibrium expected returns predicted by the CAPM to identify assets that are...incorrectly priced in the market. There is a fundamental inconsistency between the CAPM and active portfolio management. The CAPM assumes that markets are

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.

Survey of DoD Profit Policy and Further Analysis of the Estimation Theory

DTIC Science & Technology

1999-12-01

CAPITAL ASSET PRICING MODEL 21 E. APPLICATION OF THE CAPM TO WEIGHTED TO THE WEIGHTED GUIDLELINES POLICY 24 1. Pure...Working Capital Employed : 9 4. Facilities Capital 11 C. EFFECTIVENESS OF POLICY 12 III. CAPTIAL ASSET PRICING MODEL OF DOD PROFIT 19 A. OVERVIEW 19...and Rogerson’s approach to the weighted guidelines policy using a capital asset pricing model approach. Both models are examined in the

Static and dynamic factors in an information-based multi-asset artificial stock market

NASA Astrophysics Data System (ADS)

Ponta, Linda; Pastore, Stefano; Cincotti, Silvano

2018-02-01

An information-based multi-asset artificial stock market characterized by different types of stocks and populated by heterogeneous agents is presented. In the market, agents trade risky assets in exchange for cash. Beside the amount of cash and of stocks owned, each agent is characterized by sentiments and agents share their sentiments by means of interactions that are determined by sparsely connected networks. A central market maker (clearing house mechanism) determines the price processes for each stock at the intersection of the demand and the supply curves. Single stock price processes exhibit volatility clustering and fat-tailed distribution of returns whereas multivariate price process exhibits both static and dynamic stylized facts, i.e., the presence of static factors and common trends. Static factors are studied making reference to the cross-correlation of returns of different stocks. The common trends are investigated considering the variance-covariance matrix of prices. Results point out that the probability distribution of eigenvalues of the cross-correlation matrix of returns shows the presence of sectors, similar to those observed on real empirical data. As regarding the dynamic factors, the variance-covariance matrix of prices point out a limited number of assets prices series that are independent integrated processes, in close agreement with the empirical evidence of asset price time series of real stock markets. These results remarks the crucial dependence of statistical properties of multi-assets stock market on the agents' interaction structure.

Inside Money, Procyclical Leverage, and Banking Catastrophes

PubMed Central

Brummitt, Charles D.; Sethi, Rajiv; Watts, Duncan J.

2014-01-01

We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices and widespread bank insolvency. The banks and investors share a common belief about the future value of certain long-term assets, but they have different objective functions; changes to this common belief result in portfolio adjustments and trade. Positive belief shocks induce banks to buy risky assets from investors, and the banks finance those purchases by issuing new short-term liabilities. Negative belief shocks induce banks to sell assets in order to reduce their chance of insolvency to a tolerably low level, and they supply more assets at lower prices, which can result in multiple market-clearing prices. A sufficiently severe negative shock causes the set of equilibrium prices to contract (in a manner given by a cusp catastrophe), causing prices to plummet discontinuously and banks to become insolvent. Successive positive and negative shocks of equal magnitude do not cancel; rather, a banking catastrophe can occur even if beliefs simply return to their initial state. Capital requirements can prevent crises by curtailing the expansion of balance sheets when beliefs become more optimistic, but they can also force larger price declines. Emergency asset price supports can be understood as attempts by a central bank to coordinate expectations on an equilibrium with solvency. PMID:25136959

Prediction of future asset prices

NASA Astrophysics Data System (ADS)

Seong, Ng Yew; Hin, Pooi Ah; Ching, Soo Huei

2014-12-01

This paper attempts to incorporate trading volumes as an additional predictor for predicting asset prices. Denoting r(t) as the vector consisting of the time-t values of the trading volume and price of a given asset, we model the time-(t+1) asset price to be dependent on the present and l-1 past values r(t), r(t-1), ....., r(t-1+1) via a conditional distribution which is derived from a (2l+1)-dimensional power-normal distribution. A prediction interval based on the 100(α/2)% and 100(1-α/2)% points of the conditional distribution is then obtained. By examining the average lengths of the prediction intervals found by using the composite indices of the Malaysia stock market for the period 2008 to 2013, we found that the value 2 appears to be a good choice for l. With the omission of the trading volume in the vector r(t), the corresponding prediction interval exhibits a slightly longer average length, showing that it might be desirable to keep trading volume as a predictor. From the above conditional distribution, the probability that the time-(t+1) asset price will be larger than the time-t asset price is next computed. When the probability differs from 0 (or 1) by less than 0.03, the observed time-(t+1) increase in price tends to be negative (or positive). Thus the above probability has a good potential of being used as a market indicator in technical analysis.

Inside money, procyclical leverage, and banking catastrophes.

PubMed

Brummitt, Charles D; Sethi, Rajiv; Watts, Duncan J

2014-01-01

We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices and widespread bank insolvency. The banks and investors share a common belief about the future value of certain long-term assets, but they have different objective functions; changes to this common belief result in portfolio adjustments and trade. Positive belief shocks induce banks to buy risky assets from investors, and the banks finance those purchases by issuing new short-term liabilities. Negative belief shocks induce banks to sell assets in order to reduce their chance of insolvency to a tolerably low level, and they supply more assets at lower prices, which can result in multiple market-clearing prices. A sufficiently severe negative shock causes the set of equilibrium prices to contract (in a manner given by a cusp catastrophe), causing prices to plummet discontinuously and banks to become insolvent. Successive positive and negative shocks of equal magnitude do not cancel; rather, a banking catastrophe can occur even if beliefs simply return to their initial state. Capital requirements can prevent crises by curtailing the expansion of balance sheets when beliefs become more optimistic, but they can also force larger price declines. Emergency asset price supports can be understood as attempts by a central bank to coordinate expectations on an equilibrium with solvency.

From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes

NASA Astrophysics Data System (ADS)

Henkel, Christof

2017-03-01

We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/excited two state system discussed in the context of quantum mechanics to agent socio-economic behavior and provide microfoundations. After we link the endogenous agent behavior to price dynamics we establish the circumstances under which the dynamics converge to an Itô-diffusion price processes in the large market limit.

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.

Intangible asset valuation, damages, and transfer price analyses in the health care industry.

PubMed

Reilly, Robert F

2010-01-01

Most health care industry participants own and operate intangible assets. These intangible assets can be industry-specific (e.g., patient charts and records, certificates of need, professional and other licenses), or they can be general commercial intangible assets (e.g., trademarks, systems and procedures, an assembled workforce). Many industry participants have valued their intangible assets for financial accounting or other purposes. This article summarizes the intangible assets that are common to health care industry participants. This article describes the different types of intangible asset analyses (including valuation, transfer price, damages estimates, etc.), and explains the many different transaction, accounting, taxation, regulatory, litigation, and other reasons why industry participants may wish to value (or otherwise analyze) health care intangible assets.

Initial cash/asset ratio and asset prices: an experimental study.

PubMed

Caginalp, G; Porter, D; Smith, V

1998-01-20

A series of experiments, in which nine participants trade an asset over 15 periods, test the hypothesis that an initial imbalance of asset/cash will influence the trading price over an extended time. Participants know at the outset that the asset or "stock" pays a single dividend with fixed expectation value at the end of the 15th period. In experiments with a greater total value of cash at the start, the mean prices during the trading periods are higher, compared with those with greater amount of asset, with a high degree of statistical significance. The difference is most significant at the outset and gradually tapers near the end of the experiment. The results are very surprising from a rational expectations and classical game theory perspective, because the possession of a large amount of cash does not lead to a simple motivation for a trader to bid excessively on a financial instrument. The gradual erosion of the difference toward the end of trading, however, suggests that fundamental value is approached belatedly, offering some consolation to the rational expectations theory. It also suggests that there is a time scale on which an evolution toward fundamental value occurs. The experimental results are qualitatively compatible with the price dynamics predicted by a system of differential equations based on asset flow. The results have broad implications for the marketing of securities, particularly initial and secondary public offerings, government bonds, etc., where excess supply has been conjectured to suppress prices.

Initial cash/asset ratio and asset prices: An experimental study

PubMed Central

Caginalp, Gunduz; Porter, David; Smith, Vernon

1998-01-01

A series of experiments, in which nine participants trade an asset over 15 periods, test the hypothesis that an initial imbalance of asset/cash will influence the trading price over an extended time. Participants know at the outset that the asset or “stock” pays a single dividend with fixed expectation value at the end of the 15th period. In experiments with a greater total value of cash at the start, the mean prices during the trading periods are higher, compared with those with greater amount of asset, with a high degree of statistical significance. The difference is most significant at the outset and gradually tapers near the end of the experiment. The results are very surprising from a rational expectations and classical game theory perspective, because the possession of a large amount of cash does not lead to a simple motivation for a trader to bid excessively on a financial instrument. The gradual erosion of the difference toward the end of trading, however, suggests that fundamental value is approached belatedly, offering some consolation to the rational expectations theory. It also suggests that there is a time scale on which an evolution toward fundamental value occurs. The experimental results are qualitatively compatible with the price dynamics predicted by a system of differential equations based on asset flow. The results have broad implications for the marketing of securities, particularly initial and secondary public offerings, government bonds, etc., where excess supply has been conjectured to suppress prices. PMID:11038619

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.

Does the Price Multiplier Effect also Hold for Stocks?

NASA Astrophysics Data System (ADS)

Maslov, Sergei; Roehner, Bertrand M.

The price multiplier effect provides precious insight into the behavior of investors during episodes of speculative trading. It tells us that the higher the price of an asset (within a set of similar assets), the more its price is likely to increase during the upgoing phase of a speculative price peak. In short, instead of being risk averse, as is often assumed, investors rather seem to be "risk prone". While this effect is known to hold for several sorts of assets, it has not yet been possible to test it for stocks because the price of one share has no intrinsic significance, which means that one cannot say that stock A is more expensive than stock B on the basis of its price. In this paper we show that the price-dividend ratio gives a good basis for assessing the price of stocks in an intrinsic way. When this alternative measure is used instead, it turns out that the price multiplier effect also holds for stocks, at least if one concentrates on samples of companies which are sufficiently homogeneous.

Entropy-based financial asset pricing.

PubMed

Ormos, Mihály; Zibriczky, Dávid

2014-01-01

We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative measure of risk. Our results show that entropy decreases in the function of the number of securities involved in a portfolio in a similar way to the standard deviation, and that efficient portfolios are situated on a hyperbola in the expected return-entropy system. For empirical investigation we use daily returns of 150 randomly selected securities for a period of 27 years. Our regression results show that entropy has a higher explanatory power for the expected return than the capital asset pricing model beta. Furthermore we show the time varying behavior of the beta along with entropy.

Entropy-Based Financial Asset Pricing

PubMed Central

Ormos, Mihály; Zibriczky, Dávid

2014-01-01

We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative measure of risk. Our results show that entropy decreases in the function of the number of securities involved in a portfolio in a similar way to the standard deviation, and that efficient portfolios are situated on a hyperbola in the expected return – entropy system. For empirical investigation we use daily returns of 150 randomly selected securities for a period of 27 years. Our regression results show that entropy has a higher explanatory power for the expected return than the capital asset pricing model beta. Furthermore we show the time varying behavior of the beta along with entropy. PMID:25545668

Imported Oil and U.S. National Security

DTIC Science & Technology

2009-01-01

reducing some subsidies and devaluing the currency so as to restore fiscal balance. Chavez has provided campaign financing for presidential candidates in...arbitrage, the markets’ influence on Figure 2.6 Price Per Barrel of West Texas Intermediate in Current and Year 2000 Dollars SOURCES: IMF (undated...security whose price is dependent on or derived from one or more underlying assets, such as stocks, bonds, commodities, or currencies . Its value is

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.

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

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.

A prospect theory explanation of the disposition to trade losing investments for less than market price.

PubMed

Johnstone, D J

2002-06-01

Investors have a proven general reluctance to realize losses. The theory of "mental accounting" suggests that losses are easier to accept when mentally integrated with either preceding losses or with compensatory gains. Mental integration is made easier when a failed asset is exchanged against a new, apparently profitable, acquisition. The alternative is to sell the existing asset on the open market before re-investing the proceeds as desired. This is emotionally less appealing than "rolling over" a losing investment into a new venture by way of an asset trade. The psychological benefits of exchanging rather than selling a failed asset come at a cost. It is typical of trade-in arrangements, e.g., where one trades an old car against a new one, that the effective sale price of the existing asset is less than current market value. Acceptance of this low price adds to the investor's total monetary loss on the existing asset but is essential to an overall package deal apart from which that asset would often remain belatedly unsold.

26 CFR 1.597-3 - Other rules.

Code of Federal Regulations, 2012 CFR

2012-04-01

... guaranteed value or the highest price at which the asset can be put. (g) Anti-abuse rule. The regulations... the amount of money and the fair market value of property paid by the new holder in exchange for the... regulations under section 597, an entity's treatment under the regulations applies to its successor. A...

Regulation, the capital-asset pricing model, and the arbitrage pricing theory

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

Roll, R.W.; Ross, S.A.

1983-05-26

This article describes the arbitrage pricing theory (APT) as and compares it with the capital-asset pricing model (CAPM) as a tool for computing the cost of capital in utility regulatory proceedings. The article argues that the APT is a significantly superior method for determining equity cost, and demonstrates that its application to utilities derives more-sensible estimates of the cost of equity capital than the CAPM. 8 references, 1 figure, 2 tables.

Short-selling constraints as cause for price distortions: An experimental study

PubMed Central

Hauser, Florian; Huber, Jürgen

2012-01-01

In this paper we explore the influence of the possibility to short stocks and/or borrow money in laboratory markets. A key innovation of our study is that subjects can simultaneously trade two risky assets on two double-auction markets, allowing us to differentiate between assets with relatively high versus low capitalization. Divergence of opinions is created by providing each trader with noisy information on the intrinsic values of both assets. We find that when borrowing money or shorting stocks is restricted prices are systematically distorted. Specifically, stocks with high (low) capitalization are traded at lower (higher) prices than their fundamental value. Lifting the restrictions leads to more efficient prices and more liquidity, thereby also lowering volatility and bid-ask spreads. PMID:26523081

A Classification and Analysis of National Contract Management Journal Articles from 1990 to 1999 and Journal of Supply Chain Management Articles from 1987 to 2000

DTIC Science & Technology

2001-12-01

defense profits become excessive. Sorenson uses the Capital Asset Pricing Model ( CAPM ) to compare the risk-reward relationship for defense...firms. THEORETICAL, NORMATIVE, EMPIRICAL, INDUCTIVE [58] “A Comment on Using the Capital Asset Pricing ...combination asset revaluation, pensions, post-retirement health benefits, software capitalization , Material Management and Accounting System (MMAS), cost

Modelling of capital asset pricing by considering the lagged effects

NASA Astrophysics Data System (ADS)

Sukono; Hidayat, Y.; Bon, A. Talib bin; Supian, S.

2017-01-01

In this paper the problem of modelling the Capital Asset Pricing Model (CAPM) with the effect of the lagged is discussed. It is assumed that asset returns are analysed influenced by the market return and the return of risk-free assets. To analyse the relationship between asset returns, the market return, and the return of risk-free assets, it is conducted by using a regression equation of CAPM, and regression equation of lagged distributed CAPM. Associated with the regression equation lagged CAPM distributed, this paper also developed a regression equation of Koyck transformation CAPM. Results of development show that the regression equation of Koyck transformation CAPM has advantages, namely simple as it only requires three parameters, compared with regression equation of lagged distributed CAPM.

Pricing real estate index options under stochastic interest rates

NASA Astrophysics Data System (ADS)

Gong, Pu; Dai, Jun

2017-08-01

Real estate derivatives as new financial instruments are not merely risk management tools but also provide a novel way to gain exposure to real estate assets without buying or selling the physical assets. Although real estate derivatives market has exhibited a rapid development in recent years, the valuation challenge of real estate derivatives remains a great obstacle for further development in this market. In this paper, we derive a partial differential equation contingent on a real estate index in a stochastic interest rate environment and propose a modified finite difference method that adopts the non-uniform grids to solve this problem. Numerical results confirm the efficiency of the method and indicate that constant interest rate models lead to the mispricing of options and the effects of stochastic interest rates on option prices depend on whether the term structure of interest rates is rising or falling. Finally, we have investigated and compared the different effects of stochastic interest rates on European and American option prices.

Option pricing for stochastic volatility model with infinite activity Lévy jumps

NASA Astrophysics Data System (ADS)

Gong, Xiaoli; Zhuang, Xintian

2016-08-01

The purpose of this paper is to apply the stochastic volatility model driven by infinite activity Lévy processes to option pricing which displays infinite activity jumps behaviors and time varying volatility that is consistent with the phenomenon observed in underlying asset dynamics. We specially pay attention to three typical Lévy processes that replace the compound Poisson jumps in Bates model, aiming to capture the leptokurtic feature in asset returns and volatility clustering effect in returns variance. By utilizing the analytical characteristic function and fast Fourier transform technique, the closed form formula of option pricing can be derived. The intelligent global optimization search algorithm called Differential Evolution is introduced into the above highly dimensional models for parameters calibration so as to improve the calibration quality of fitted option models. Finally, we perform empirical researches using both time series data and options data on financial markets to illustrate the effectiveness and superiority of the proposed method.

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.

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.

Heterogeneous information-based artificial stock market

NASA Astrophysics Data System (ADS)

Pastore, S.; Ponta, L.; Cincotti, S.

2010-05-01

In this paper, an information-based artificial stock market is considered. The market is populated by heterogeneous agents that are seen as nodes of a sparsely connected graph. Agents trade a risky asset in exchange for cash. Besides the amount of cash and assets owned, each agent is characterized by a sentiment. Moreover, agents share their sentiments by means of interactions that are identified by the graph. Interactions are unidirectional and are supplied with heterogeneous weights. The agent's trading decision is based on sentiment and, consequently, the stock price process depends on the propagation of information among the interacting agents, on budget constraints and on market feedback. A central market maker (clearing house mechanism) determines the price process at the intersection of the demand and supply curves. Both closed- and open-market conditions are considered. The results point out the validity of the proposed model of information exchange among agents and are helpful for understanding the role of information in real markets. Under closed market conditions, the interaction among agents' sentiments yields a price process that reproduces the main stylized facts of real markets, e.g. the fat tails of the returns distributions and the clustering of volatility. Within open-market conditions, i.e. with an external cash inflow that results in asset price inflation, also the unitary root stylized fact is reproduced by the artificial stock market. Finally, the effects of model parameters on the properties of the artificial stock market are also addressed.

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.

Penalty methods for the numerical solution of American multi-asset option problems

NASA Astrophysics Data System (ADS)

Nielsen, Bjørn Fredrik; Skavhaug, Ola; Tveito, Aslak

2008-12-01

We derive and analyze a penalty method for solving American multi-asset option problems. A small, non-linear penalty term is added to the Black-Scholes equation. This approach gives a fixed solution domain, removing the free and moving boundary imposed by the early exercise feature of the contract. Explicit, implicit and semi-implicit finite difference schemes are derived, and in the case of independent assets, we prove that the approximate option prices satisfy some basic properties of the American option problem. Several numerical experiments are carried out in order to investigate the performance of the schemes. We give examples indicating that our results are sharp. Finally, the experiments indicate that in the case of correlated underlying assets, the same properties are valid as in the independent case.

Temporal evolution of financial-market correlations.

PubMed

Fenn, Daniel J; Porter, Mason A; Williams, Stacy; McDonald, Mark; Johnson, Neil F; Jones, Nick S

2011-08-01

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the markets that we consider. We characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in financial markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different markets following the 2007-2008 credit and liquidity crisis.

Temporal evolution of financial-market correlations

NASA Astrophysics Data System (ADS)

Fenn, Daniel J.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Johnson, Neil F.; Jones, Nick S.

2011-08-01

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the markets that we consider. We characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in financial markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different markets following the 2007-2008 credit and liquidity crisis.

Ecosystem-based management and the wealth of ecosystems.

PubMed

Yun, Seong Do; Hutniczak, Barbara; Abbott, Joshua K; Fenichel, Eli P

2017-06-20

We merge inclusive wealth theory with ecosystem-based management (EBM) to address two challenges in the science of sustainable management of ecosystems. First, we generalize natural capital theory to approximate realized shadow prices for multiple interacting natural capital stocks (species) making up an ecosystem. These prices enable ecosystem components to be better included in wealth-based sustainability measures. We show that ecosystems are best envisioned as portfolios of assets, where the portfolio's performance depends on the performance of the underlying assets influenced by their interactions. Second, changes in ecosystem wealth provide an attractive headline index for EBM, regardless of whether ecosystem wealth is ultimately included in a broader wealth index. We apply our approach to the Baltic Sea ecosystem, focusing on the interacting community of three commercially important fish species: cod, herring, and sprat. Our results incorporate supporting services embodied in the shadow price of a species through its trophic interactions. Prey fish have greater shadow prices than expected based on market value, and predatory fish have lower shadow prices than expected based on market value. These results are because correctly measured shadow prices reflect interdependence and limits to substitution. We project that ecosystem wealth in the Baltic Sea fishery ecosystem generally increases conditional on the EBM-inspired multispecies maximum sustainable yield management beginning in 2017, whereas continuing the current single-species management generally results in declining wealth.

Ecosystem-based management and the wealth of ecosystems

PubMed Central

Yun, Seong Do; Hutniczak, Barbara; Abbott, Joshua K.; Fenichel, Eli P.

2017-01-01

We merge inclusive wealth theory with ecosystem-based management (EBM) to address two challenges in the science of sustainable management of ecosystems. First, we generalize natural capital theory to approximate realized shadow prices for multiple interacting natural capital stocks (species) making up an ecosystem. These prices enable ecosystem components to be better included in wealth-based sustainability measures. We show that ecosystems are best envisioned as portfolios of assets, where the portfolio’s performance depends on the performance of the underlying assets influenced by their interactions. Second, changes in ecosystem wealth provide an attractive headline index for EBM, regardless of whether ecosystem wealth is ultimately included in a broader wealth index. We apply our approach to the Baltic Sea ecosystem, focusing on the interacting community of three commercially important fish species: cod, herring, and sprat. Our results incorporate supporting services embodied in the shadow price of a species through its trophic interactions. Prey fish have greater shadow prices than expected based on market value, and predatory fish have lower shadow prices than expected based on market value. These results are because correctly measured shadow prices reflect interdependence and limits to substitution. We project that ecosystem wealth in the Baltic Sea fishery ecosystem generally increases conditional on the EBM-inspired multispecies maximum sustainable yield management beginning in 2017, whereas continuing the current single-species management generally results in declining wealth. PMID:28588145

Structural model for fluctuations in financial markets

NASA Astrophysics Data System (ADS)

Anand, Kartik; Khedair, Jonathan; Kühn, Reimer

2018-05-01

In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market which takes the form of an interacting generalization of the geometric Brownian motion model. It is formally equivalent to a model describing the stochastic dynamics of a system of analog neurons, which is expected to exhibit glassy properties and thus many metastable states in a large portion of its parameter space. We perform a generating functional analysis, introducing a slow driving of the dynamics to mimic the effect of slowly varying macroeconomic conditions. Distributions of asset returns over various time separations are evaluated analytically and are found to be fat-tailed in a manner broadly in line with empirical observations. Our model also allows us to identify collective, interaction-mediated properties of pricing distributions and it predicts pricing distributions which are significantly broader than their noninteracting counterparts, if interactions between prices in the model contain a ferromagnetic bias. Using simulations, we are able to substantiate one of the main hypotheses underlying the original modeling, viz., that the phenomenon of volatility clustering can be rationalized in terms of an interplay between the dynamics within metastable states and the dynamics of occasional transitions between them.

Modeling asset price processes based on mean-field framework

NASA Astrophysics Data System (ADS)

Ieda, Masashi; Shiino, Masatoshi

2011-12-01

We propose a model of the dynamics of financial assets based on the mean-field framework. This framework allows us to construct a model which includes the interaction among the financial assets reflecting the market structure. Our study is on the cutting edge in the sense of a microscopic approach to modeling the financial market. To demonstrate the effectiveness of our model concretely, we provide a case study, which is the pricing problem of the European call option with short-time memory noise.

Asset Attribution Stability and Portfolio Construction: An Educational Example

ERIC Educational Resources Information Center

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

2014-01-01

This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using…

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

Inflation Accounting Methods and their Effectiveness

DTIC Science & Technology

1992-06-01

security is measured by the standard deviation of its returns in the past periods and is reflected in the security’ s market price . The Capital Asset Pricing ...purchasing power should be limited to items which are used by an average consumer. Economists tend to perceive the general price level as the cost of living...accounting. Two common measures of business performance are income and rate of return on capital . Since depreciation charges for long-lived assets do

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.

Neural Insensitivity to Upticks in Value is Associated with the Disposition Effect

PubMed Central

Brooks, Andrew M.; Capra, C. Monica; Berns, Gregory S.

2011-01-01

The disposition effect is a phenomenon in which investors hold onto losing assets longer than they hold onto gaining assets. In this study, we used functional magnetic resonance imaging (fMRI) to measure the response of valuation regions in the brain during the decision to keep or to sell an asset that followed a random walk in price. The most common explanation for the disposition effect is preference-based: namely, that people are risk-averse over gains and risk-seeking over losses. This explanation would predict correlations between individuals’ risk-preferences, the magnitude of their disposition effect, and activation in valuation structures of the brain. We did not observe these correlations. Nor did we find evidence for a realization utility explanation, which would predict differential responses in valuation regions during the decision to sell versus keep an asset that correlated with the magnitude of the disposition effect. Instead, we found an attenuated ventral striatum response to upticks in value below the purchase price in some individuals with a large disposition effect. Given the role of the striatum in signaling prediction error, the blunted striatal response is consistent with the expectation that an asset will rise when it is below the purchase price, thus spurring loss-holding behavior. This suggests that for some individuals, the disposition effect is likely driven by a belief that the asset will eventually return to the purchase price, also known as mean reversion. PMID:22079448

Toward economics as a new complex system

NASA Astrophysics Data System (ADS)

Kaizoji, Taisei

2016-12-01

The 2015 Nobel Prize in Economic Sciences was awarded to Eugene Fama, Lars Peter Hansen and Robert Shiller for their contributions to the empirical analysis of asset prices. Eugene Fama [J. Finance 25(2), 383 (1970)] is an advocate of the efficient market hypothesis. The efficient market hypothesis assumes that asset price is determined by using all available information and only reacts to new information not incorporated into the fundamentals. Thus, the movement of stock prices is unpredictable. Robert Shiller [ Irrational Exuberance (Princeton Univ. Press, 2015)] has been studying the existence of irrational bubbles, which are defined as the long term deviations of asset price from the fundamentals. This drives us to the unsettled question of how the market actually works. In this paper, I look back at the development of economics and consider the direction in which we should move in order to truly understand the workings of an economic society.

Analytic Approximations to the Free Boundary and Multi-dimensional Problems in Financial Derivatives Pricing

NASA Astrophysics Data System (ADS)

Lau, Chun Sing

This thesis studies two types of problems in financial derivatives pricing. The first type is the free boundary problem, which can be formulated as a partial differential equation (PDE) subject to a set of free boundary condition. Although the functional form of the free boundary condition is given explicitly, the location of the free boundary is unknown and can only be determined implicitly by imposing continuity conditions on the solution. Two specific problems are studied in details, namely the valuation of fixed-rate mortgages and CEV American options. The second type is the multi-dimensional problem, which involves multiple correlated stochastic variables and their governing PDE. One typical problem we focus on is the valuation of basket-spread options, whose underlying asset prices are driven by correlated geometric Brownian motions (GBMs). Analytic approximate solutions are derived for each of these three problems. For each of the two free boundary problems, we propose a parametric moving boundary to approximate the unknown free boundary, so that the original problem transforms into a moving boundary problem which can be solved analytically. The governing parameter of the moving boundary is determined by imposing the first derivative continuity condition on the solution. The analytic form of the solution allows the price and the hedging parameters to be computed very efficiently. When compared against the benchmark finite-difference method, the computational time is significantly reduced without compromising the accuracy. The multi-stage scheme further allows the approximate results to systematically converge to the benchmark results as one recasts the moving boundary into a piecewise smooth continuous function. For the multi-dimensional problem, we generalize the Kirk (1995) approximate two-asset spread option formula to the case of multi-asset basket-spread option. Since the final formula is in closed form, all the hedging parameters can also be derived in closed form. Numerical examples demonstrate that the pricing and hedging errors are in general less than 1% relative to the benchmark prices obtained by numerical integration or Monte Carlo simulation. By exploiting an explicit relationship between the option price and the underlying probability distribution, we further derive an approximate distribution function for the general basket-spread variable. It can be used to approximate the transition probability distribution of any linear combination of correlated GBMs. Finally, an implicit perturbation is applied to reduce the pricing errors by factors of up to 100. When compared against the existing methods, the basket-spread option formula coupled with the implicit perturbation turns out to be one of the most robust and accurate approximation methods.

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.

Optimal Investment Under Transaction Costs: A Threshold Rebalanced Portfolio Approach

NASA Astrophysics Data System (ADS)

Tunc, Sait; Donmez, Mehmet Ali; Kozat, Suleyman Serdar

2013-06-01

We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the distribution of the funds over these assets to maximize the cumulative wealth over any investment period. In particular, we introduce a portfolio selection algorithm that maximizes the expected cumulative wealth in i.i.d. two-asset discrete-time markets where the market levies proportional transaction costs in buying and selling stocks. We achieve this using "threshold rebalanced portfolios", where trading occurs only if the portfolio breaches certain thresholds. Under the assumption that the relative price sequences have log-normal distribution from the Black-Scholes model, we evaluate the expected wealth under proportional transaction costs and find the threshold rebalanced portfolio that achieves the maximal expected cumulative wealth over any investment period. Our derivations can be readily extended to markets having more than two stocks, where these extensions are pointed out in the paper. As predicted from our derivations, we significantly improve the achieved wealth over portfolio selection algorithms from the literature on historical data sets.

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.

Adaptive [theta]-methods for pricing American options

NASA Astrophysics Data System (ADS)

Khaliq, Abdul Q. M.; Voss, David A.; Kazmi, Kamran

2008-12-01

We develop adaptive [theta]-methods for solving the Black-Scholes PDE for American options. By adding a small, continuous term, the Black-Scholes PDE becomes an advection-diffusion-reaction equation on a fixed spatial domain. Standard implementation of [theta]-methods would require a Newton-type iterative procedure at each time step thereby increasing the computational complexity of the methods. Our linearly implicit approach avoids such complications. We establish a general framework under which [theta]-methods satisfy a discrete version of the positivity constraint characteristic of American options, and numerically demonstrate the sensitivity of the constraint. The positivity results are established for the single-asset and independent two-asset models. In addition, we have incorporated and analyzed an adaptive time-step control strategy to increase the computational efficiency. Numerical experiments are presented for one- and two-asset American options, using adaptive exponential splitting for two-asset problems. The approach is compared with an iterative solution of the two-asset problem in terms of computational efficiency.

Comparison of volatility function technique for risk-neutral densities estimation

NASA Astrophysics Data System (ADS)

Bahaludin, Hafizah; Abdullah, Mimi Hafizah

2017-08-01

Volatility function technique by using interpolation approach plays an important role in extracting the risk-neutral density (RND) of options. The aim of this study is to compare the performances of two interpolation approaches namely smoothing spline and fourth order polynomial in extracting the RND. The implied volatility of options with respect to strike prices/delta are interpolated to obtain a well behaved density. The statistical analysis and forecast accuracy are tested using moments of distribution. The difference between the first moment of distribution and the price of underlying asset at maturity is used as an input to analyze forecast accuracy. RNDs are extracted from the Dow Jones Industrial Average (DJIA) index options with a one month constant maturity for the period from January 2011 until December 2015. The empirical results suggest that the estimation of RND using a fourth order polynomial is more appropriate to be used compared to a smoothing spline in which the fourth order polynomial gives the lowest mean square error (MSE). The results can be used to help market participants capture market expectations of the future developments of the underlying asset.

Relative Pricing of Publicly Traded U.S. Electric Utility Companies

NASA Astrophysics Data System (ADS)

Jewczyn, Nicholas Stephen

In the financial turmoil of 2008, U.S. firms reported debt-ratios that differed from the debt-ratios calculated from balance sheets. The problem is that investors bought common stock expecting initial investment return and lost money when companies delisted. The purpose of this quantitative study was to determine sample securities pricing with the application of synthetic assets and debt accrued. Addressed in the research questions was whether those securities were (a) underpriced compared with return-on-assets (ROA), (b) overpriced compared with ROA, (c) a debt-ratio higher than 60% and also overpriced, (d) underpriced with a synthetic asset added, or (e) related by relative pricing to variant pricing and market capitalization. The study's base theory was Pan's efficient market hypothesis (EMH) of security price prediction of market prices versus model prices. The data from the financial statements of 16 publicly traded U.S. electric utility companies were analyzed via correlations and multiple regression analyses to determine securities pricing and suitability. The findings from the analyses of the sample's variables of market price, book value, market-to-book, and study constructed variables from those variable data were statistically significant. The alternate hypotheses were accepted for all 5 research questions since the analytical operationalization of the hypothetical constructs led to significant relationships. Results suggest that the use of more pricing determinants in securities evaluation may lead to investors losing less money and earning the expected returns for a more efficient capital market, leading to a stronger economy and macroeconomic stability.

Consumption Risk and the Cross Section of Expected Returns.

ERIC Educational Resources Information Center

Parker, Jonathan A.; Julliard, Christian

2005-01-01

This paper evaluates the central insight of the consumption capital asset pricing model that an asset's expected return is determined by its equilibrium risk to consumption. Rather than measure risk by the contemporaneous covariance of an asset's return and consumption growth, we measure risk by the covariance of an asset's return and consumption…

Valuing natural gas power generation assets in the new competitive marketplace

NASA Astrophysics Data System (ADS)

Hsu, Michael Chun-Wei

1999-10-01

The profitability of natural gas fired power plants depends critically on the spread between electricity and natural gas prices. The price levels of these two energy commodities are the key uncertain variables in determining the operating margin and therefore the value of a power plant. The owner of a generation unit has the decision of dispatching the plant only when profit margins are positive. This operating flexibility is a real option with real value. In this dissertation I introduce the spark spread call options and illustrate how such paper contracts replicate the uncertain payoff space facing power asset owners and, therefore, how the financial options framework can be applied in estimating the value of natural gas generation plants. The intrinsic value of gas power plants is approximated as the sum of a series of spark spread call options with succeeding maturity dates. The Black-Scholes spread option pricing model, with volatility and correlation term structure adjustments, is utilized to price the spark spread options. Sensitivity analysis is also performed on the BS spread option formulation to compare different asset types. In addition I explore the potential of using compound and compound-exchange option concepts to evaluate, respectively, the benefits of delaying investment in new generation and in repowering existing antiquated units. The compound option designates an option on top of another option. In this case the series of spark spread call options is the 'underlying' option while the option to delay new investments is the 'overlying.' The compound-exchange option characterizes the opportunity to 'exchange' the old power plant, with its series of spark spread call options, for a set of new spark spread call options that comes with the new generation unit. The strike price of the compound-exchange option is the repowering capital investment and typically includes the purchase of new steam generators and combustion turbines, as well as other facility upgrades. The pricing results using the proposed repowering option approach is compared to the sale prices from recent power plant auctions. Sensitivity of the repowering option model is also examined and the critical parameters al parameters identified.

A parabolic variational inequality arising from the valuation of strike reset options

NASA Astrophysics Data System (ADS)

Yang, Zhou; Yi, Fahuai; Dai, Min

A strike reset option is an option that allows its holder to reset the strike price to the prevailing underlying asset price at a moment chosen by the holder. The pricing model of the option can be formulated as a one-dimensional parabolic variational inequality, or equivalently, a free boundary problem, where the free boundary just corresponds to the optimal reset strategy adopted by the holder of the option. This paper is concerned with the theoretical analysis of the model. The existence and uniqueness of the solution are established. Furthermore, we study properties of the free boundary. The monotonicity and C smoothness of the free boundary are proven in some situations.

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.

77 FR 18109 - Assessments, Large Bank Pricing

Federal Register 2010, 2011, 2012, 2013, 2014

2012-03-27

... higher-risk assets to Tier 1 capital and reserves.\\7\\ Higher-risk assets are defined as the sum of... defined as the higher of: (a) The higher-risk assets to Tier 1 capital and reserves score or (b) the... higher of: (a) The higher-risk assets to Tier 1 capital and reserves score or (b) the largest or top 20...

An inverse finance problem for estimation of the volatility

NASA Astrophysics Data System (ADS)

Neisy, A.; Salmani, K.

2013-01-01

Black-Scholes model, as a base model for pricing in derivatives markets has some deficiencies, such as ignoring market jumps, and considering market volatility as a constant factor. In this article, we introduce a pricing model for European-Options under jump-diffusion underlying asset. Then, using some appropriate numerical methods we try to solve this model with integral term, and terms including derivative. Finally, considering volatility as an unknown parameter, we try to estimate it by using our proposed model. For the purpose of estimating volatility, in this article, we utilize inverse problem, in which inverse problem model is first defined, and then volatility is estimated using minimization function with Tikhonov regularization.

Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles—Evidence from China’s Stock Market

PubMed Central

Sun, Ou; Liu, Zhixin

2016-01-01

We examine the different effects of monetary policy actions and central bank communication on China’s stock market bubbles with a Time-varying Parameter SVAR model. We find that with negative responses of fundamental component and positive responses of bubble component of asset prices, contractionary monetary policy induces the observed stock prices to rise during periods of large bubbles. By contrast, central bank communication acts on the market through expectation guidance and has more significant effects on stock prices in the long run, which implies that central bank communication be used as an effective long-term instrument for the central bank’s policymaking. PMID:27851796

Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles-Evidence from China's Stock Market.

PubMed

Sun, Ou; Liu, Zhixin

2016-01-01

We examine the different effects of monetary policy actions and central bank communication on China's stock market bubbles with a Time-varying Parameter SVAR model. We find that with negative responses of fundamental component and positive responses of bubble component of asset prices, contractionary monetary policy induces the observed stock prices to rise during periods of large bubbles. By contrast, central bank communication acts on the market through expectation guidance and has more significant effects on stock prices in the long run, which implies that central bank communication be used as an effective long-term instrument for the central bank's policymaking.

Managing Uncertainty and Risk in Public-sector Investments

DTIC Science & Technology

2007-04-30

parameters with the most predictive power. There are, of course , methods other than market-based Capital Asset Pricing for determining asset...harness new information as it becomes available. For private-sector firms, prices provide two important types of information: 1. The rate at which...based valuation, thus providing a basis for testing the validity of using the internal efficiencies to derive a “synthetic price” for the value of a

12 CFR 327.9 - Assessment pricing methods.

Code of Federal Regulations, 2013 CFR

2013-01-01

...: Capital adequacy—25%, Asset quality—20%, Management—25%, Earnings—10%, Liquidity—10%, and Sensitivity to... Asset-Related Stress 50 Tier 1 Leverage Ratio 10 Concentration Measure 35 Core Earnings/Average Quarter-End Total Assets * 20 Credit Quality Measure 35 P.3 Ability to Withstand Funding-Related Stress 20...

12 CFR 327.9 - Assessment pricing methods.

Code of Federal Regulations, 2014 CFR

2014-01-01

...: Capital adequacy—25%, Asset quality—20%, Management—25%, Earnings—10%, Liquidity—10%, and Sensitivity to... Asset-Related Stress 50 Tier 1 Leverage Ratio 10 Concentration Measure 35 Core Earnings/Average Quarter-End Total Assets * 20 Credit Quality Measure 35 P.3 Ability to Withstand Funding-Related Stress 20...

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.

Crude oil prices: Speculation versus fundamentals

NASA Astrophysics Data System (ADS)

Kolodziej, Marek Krzysztof

Beginning in 2004, the price of crude oil fluctuates rapidly over a wide range. Large and rapid price increases have recessionary consequences and dampen long-term infrastructural investment. I investigate whether price changes are driven by market fundamentals or speculation. With regard to market fundamentals, I revisit econometric evidence for the importance of demand shocks, as proxied by dry maritime cargo rates, on oil prices. When I eliminate transportation costs from both sides of the equation, disaggregate OPEC and non-OPEC production, and allow for more than one cointegrating relation, I find that previous specifications are inconsistent with arguments that demand shocks play an important role. Instead, results confirm the importance of OPEC supply shocks. I investigate two channels by which speculation may affect oil prices; the direct effect of trader behavior and changes in oil from a commodity to a financial asset. With regard to trader behavior, I find evidence that trader positions are required to explain the spread between spot and futures prices of crude oil on the New York Mercantile Exchange. The inclusion of trader positions clarifies the process of equilibrium error correction, such that there is bidirectional causality between prices and trader positions. This creates the possibility of speculative bubbles. With regard to oil as a commodity and/or financial asset, I use a Kalman Filter model to estimate the time-varying partial correlation between returns to investments in equity and oil markets. This correlation changes from negative to positive at the onset of the 2008 financial crisis. The low interest rates used to rescue the economy depress convenience yields, which reduces the benefits of holding oil as a commodity. Instead, oil becomes a financial asset (on net) as the oil market changed from contango to backwardation. Contradicting simple political narratives, my research suggests that both market fundamentals and speculation drive large oil prices. Chinese oil demand is not responsible for large increases in oil prices; nor are they caused by behavioral idiosyncrasies by oil traders. Finally, oil will be treated largely as a financial asset so long as interest rates are held near their all-time lows.

Wavelet multiscale analysis for Hedge Funds: Scaling and strategies

NASA Astrophysics Data System (ADS)

Conlon, T.; Crane, M.; Ruskin, H. J.

2008-09-01

The wide acceptance of Hedge Funds by Institutional Investors and Pension Funds has led to an explosive growth in assets under management. These investors are drawn to Hedge Funds due to the seemingly low correlation with traditional investments and the attractive returns. The correlations and market risk (the Beta in the Capital Asset Pricing Model) of Hedge Funds are generally calculated using monthly returns data, which may produce misleading results as Hedge Funds often hold illiquid exchange-traded securities or difficult to price over-the-counter securities. In this paper, the Maximum Overlap Discrete Wavelet Transform (MODWT) is applied to measure the scaling properties of Hedge Fund correlation and market risk with respect to the S&P 500. It is found that the level of correlation and market risk varies greatly according to the strategy studied and the time scale examined. Finally, the effects of scaling properties on the risk profile of a portfolio made up of Hedge Funds is studied using correlation matrices calculated over different time horizons.

Endogenous time-varying risk aversion and asset returns.

PubMed

Berardi, Michele

2016-01-01

Stylized facts about statistical properties for short horizon returns in financial markets have been identified in the literature, but a satisfactory understanding for their manifestation is yet to be achieved. In this work, we show that a simple asset pricing model with representative agent is able to generate time series of returns that replicate such stylized facts if the risk aversion coefficient is allowed to change endogenously over time in response to unexpected excess returns under evolutionary forces. The same model, under constant risk aversion, would instead generate returns that are essentially Gaussian. We conclude that an endogenous time-varying risk aversion represents a very parsimonious way to make the model match real data on key statistical properties, and therefore deserves careful consideration from economists and practitioners alike.

Heterogeneous belief and asset returns

NASA Astrophysics Data System (ADS)

Lei-Sun, Wen-Zou, Hui

2014-10-01

Based on DSSW model, this paper introduces the noise traders with heterogeneous belief. With an equilibrium analysis, this paper examines the return of risky asset. The results show that the belief biases, the probability of economy state, the degree of the heterogeneous noise trader's aversion risk, the coefficient between heterogeneous noise traders are all the factors that have effects on the risky asset pricing and the return of risky asset.

Numerical methods on European option second order asymptotic expansions for multiscale stochastic volatility

NASA Astrophysics Data System (ADS)

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

2017-01-01

After Black-Scholes proposed a model for pricing European Options in 1973, Cox, Ross and Rubinstein in 1979, and Heston in 1993, showed that the constant volatility assumption made by Black-Scholes was one of the main reasons for the model to be unable to capture some market details. Instead of constant volatilities, they introduced stochastic volatilities to the asset dynamic modeling. In 2009, Christoffersen empirically showed "why multifactor stochastic volatility models work so well". Four years later, Chiarella and Ziveyi solved the model proposed by Christoffersen. They considered an underlying asset whose price is governed by two factor stochastic volatilities of mean reversion type. Applying Fourier transforms, Laplace transforms and the method of characteristics they presented a semi-analytical formula to compute an approximate price for American options. The huge calculation involved in the Chiarella and Ziveyi approach motivated the authors of this paper in 2014 to investigate another methodology to compute European Option prices on a Christoffersen type model. Using the first and second order asymptotic expansion method we presented a closed form solution for European option, and provided experimental and numerical studies on investigating the accuracy of the approximation formulae given by the first order asymptotic expansion. In the present paper we will perform experimental and numerical studies for the second order asymptotic expansion and compare the obtained results with results presented by Chiarella and Ziveyi.

Estimating the ROI on Implementation of RFID at the Ammunition Storage Warehouse and the 40th Supply Depot: KVA as a Methodology

DTIC Science & Technology

2009-12-01

Balanced Scorecard CAPM Capital Asset Pricing Model DIS Defense Information System DoD Department of...Measurement Tool (PMT) is the Balanced Scorecard (BSC) based on critical success factors and key performance indicators. The MND has referred to Jung’s...authors can replicate the methodology for multiple projects to generate a portfolio of projects. Similar to the Capital Asset Pricing Model ( CAPM ) or

Essays in microeconomics

NASA Astrophysics Data System (ADS)

Davies, Tim

This dissertation consists of three essays in applied microeconomics. Each essay explores a different issue of economic interest. The essay in Chapter 2 describes an experiment designed to investigate if using assets with an intrinsic value that increases over time leads to persistent undervaluation in laboratory asset trading markets. This question has not previously been investigated by researchers. Results from ten sessions are reported. Three used assets with an intrinsic value that decreased over time. The results from these sessions are consistent with the findings by prior researchers who frequently observed price bubbles in laboratory asset trading experiments. The remaining seven sessions used assets with an intrinsic value that increased over time. In all these sessions trading generally occurred at prices below the asset's intrinsic value. In Chapter 3, in an essay co-authored with Adrian Stoian, we study road running races. Tournaments, where ordinal position determines rewards, are an important component of our economy. By studying sporting tournaments, we hope to shed light on the nature of other economically significant tournaments where data may be less readily available. We separately quantify the sorting and incentive effects of tournament prizes by employing a novel two-part model which we apply to a unique data set of road running race results. We present a counterfactual example of how a hypothetical change in prizes would be predicted to change race participation and speed. In Chapter 4, in an essay co-authored with Jedidiah Brewer and Joseph Cullen, we examine the combined effects of the locations and the brands of retail gasoline outlets in Tucson, Arizona on market prices. We apply an innovative approach to model the impact of competing gas stations that avoids limiting analysis to predetermined nearby locations. We show that increased brand diversity is associated with higher prices and that gas stations affiliated with mass-merchandisers and grocery stores reduce market prices by a larger amount and over a greater distance than other types of gas stations. We demonstrate that our conclusions are not sensitive to the choice of distance metric.

Who wins? Study of long-run trader survival in an artificial stock market

NASA Astrophysics Data System (ADS)

Cincotti, Silvano; M. Focardi, Sergio; Marchesi, Michele; Raberto, Marco

2003-06-01

We introduce a multi-asset artificial financial market with finite amount of cash and number of stocks. The background trading is characterized by a random trading strategy constrained by the finiteness of resources and by market volatility. Stock price processes exhibit volatility clustering, fat-tailed distribution of returns and reversion to the mean. Three active trading strategies have been introduced and studied in two different market conditions: steady market and growing market with asset inflation. We show that the profitability of each strategy depends both on the periodicity of portfolio reallocation and on the market condition. The best performing strategy is the one that exploits the mean reversion characteristic of asset price processes.

The US Flag Merchant Marine: A National Asset?

DTIC Science & Technology

1994-06-03

to handle large, Western style shipping . Despite the increased fuel prices and high capital costs which prompted a worldwide depression in maritime...to the shipping industry. Without such preference cargoes , the expense associated with conducting business under the American flag was simply too high ...and high cost ships and labor. Rate Wars of the 1980s Seatrain had successfully pioneered intermodalism, direct transloading of containerized cargoes

A Robust Measure of Investor Contrarian Behaviour

NASA Astrophysics Data System (ADS)

Challet, Damien; Morton de Lachapelle, David

Using the transaction history of all the clients of an on-line broker, we analyse the daily aggregated investment fluxes of individual investors, companies, and asset managers. Computing the probability that price returns and daily investment fluxes have the same sign provides a robust characterisation of contrarian behaviour. The three categories are found to be contrarian, but with widely different intensities. Individual investors are by far the most contrarian of the three, followed by companies. Asset managers are only mildly contrarian with respect positive price returns.

Stranded cost recovery presents stumbling block to open access

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

Del Roccili, J.A.

Much of the impetus for the movement to competitive power markets is a result of the tremendous variance in energy prices across the country. Large commercial and industrial customers are becoming increasingly aware of these discrepancies and are marshaling the market and political forces required to guarantee the eventual development of a national open-access transmission policy. Such a policy will facilitate competition and equalize prices on a regional, and to some extent, national level. The stumbling block, however, is the recovery of stranded investment. Under traditional regulation, historical costs could be collected through approved rates for a bundled service. Withmore » the protection of a monopoly franchise, average electricity prices provide the possibility of cost recovery for assets that might not be recoverable in a competitive market.« less

Numerical pricing of options using high-order compact finite difference schemes

NASA Astrophysics Data System (ADS)

Tangman, D. Y.; Gopaul, A.; Bhuruth, M.

2008-09-01

We consider high-order compact (HOC) schemes for quasilinear parabolic partial differential equations to discretise the Black-Scholes PDE for the numerical pricing of European and American options. We show that for the heat equation with smooth initial conditions, the HOC schemes attain clear fourth-order convergence but fail if non-smooth payoff conditions are used. To restore the fourth-order convergence, we use a grid stretching that concentrates grid nodes at the strike price for European options. For an American option, an efficient procedure is also described to compute the option price, Greeks and the optimal exercise curve. Comparisons with a fourth-order non-compact scheme are also done. However, fourth-order convergence is not experienced with this strategy. To improve the convergence rate for American options, we discuss the use of a front-fixing transformation with the HOC scheme. We also show that the HOC scheme with grid stretching along the asset price dimension gives accurate numerical solutions for European options under stochastic volatility.

A regularization approach to continuous learning with an application to financial derivatives pricing.

PubMed

Ormoneit, D

1999-12-01

We consider the training of neural networks in cases where the nonlinear relationship of interest gradually changes over time. One possibility to deal with this problem is by regularization where a variation penalty is added to the usual mean squared error criterion. To learn the regularized network weights we suggest the Iterative Extended Kalman Filter (IEKF) as a learning rule, which may be derived from a Bayesian perspective on the regularization problem. A primary application of our algorithm is in financial derivatives pricing, where neural networks may be used to model the dependency of the derivatives' price on one or several underlying assets. After giving a brief introduction to the problem of derivatives pricing we present experiments with German stock index options data showing that a regularized neural network trained with the IEKF outperforms several benchmark models and alternative learning procedures. In particular, the performance may be greatly improved using a newly designed neural network architecture that accounts for no-arbitrage pricing restrictions.

Illiquidity premium and expected stock returns in the UK: A new approach

NASA Astrophysics Data System (ADS)

Chen, Jiaqi; Sherif, Mohamed

2016-09-01

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in the UK. We propose a simple way to capture the multidimensionality of illiquidity. Our analysis indicates that existing illiquidity measures have considerable asset specific components, which justifies our new approach. Further, we use an alternative test of the Amihud (2002) measure and parametric and non-parametric methods to investigate whether liquidity risk is priced in the UK. We find that the inclusion of the illiquidity factor in the capital asset pricing model plays a significant role in explaining the cross-sectional variation in stock returns, in particular with the Fama-French three-factor model. Further, using Hansen-Jagannathan non-parametric bounds, we find that the illiquidity-augmented capital asset pricing models yield a small distance error, other non-liquidity based models fail to yield economically plausible distance values. Our findings have important implications for managing the liquidity risk of equity portfolios.

78 FR 79286 - Truth in Lending (Regulation Z): Adjustment to Asset-Size Exemption Threshold

Federal Register 2010, 2011, 2012, 2013, 2014

2013-12-30

...The Bureau is amending the official commentary that interprets the requirements of the Bureau's Regulation Z (Truth in Lending) to reflect a change in the asset size threshold for certain creditors to qualify for an exemption to the requirement to establish an escrow account for a higher-priced mortgage loan based on the annual percentage change in the average of the Consumer Price Index for Urban Wage Earners and Clerical Workers (CPI-W) for the 12-month period ending in November. The exemption threshold is adjusted to increase to $2.028 billion from $2 billion. The adjustment is based on the 1.4 percent increase in the average of the CPI-W for the 12-month period ending in November 2013. Therefore, creditors with assets of $2.028 billion or less as of December 31, 2013, are exempt, if other requirements of Regulation Z also are met, from establishing escrow accounts for higher-priced mortgage loans in 2014.

Re-powering and site recycling in a competitive environment

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

Taylor, A.; Kahn, E.P.

1991-03-01

Re-powering and site recycling are strategies designed to expand electric generating capacity by using depreciated assets. The resource base for the these strategies is large. By 1995, over 170,000 MW of fossil-fired capacity will be in excess of thirty years old, and approaching the end of its conventional economic lifetime. This paper explores how these assets might be developed using competitive market forces. While some re-powering is being pursued under traditional ratebase regulation, there are four other generic alternatives. These are: (1) utility investment at fixed prices with regulatory pre-approval, (2) utility investment under competitive bidding, (3) utility leasing formore » private producer development, and (4) utility sale of sites for private producer development. Issues associated with each alternative are explored and illustrated with examples. State regulatory policy will be the critical determinant of whether a market develops for depreciated power plants. Financial incentives will stimulate utilities to re-deploy depreciated assets. This means some form of profit-sharing between customers and shareholders of the grains from asset sales. Different approaches to profit sharing are reviewed. These developments are still in an experimental state, however, and no single approach appears to have emerged as a dominant trend. 36 refs., 1 tab.« less

The Multi-Frequency Correlation Between Eua and sCER Futures Prices: Evidence from the Emd Approach

NASA Astrophysics Data System (ADS)

Zhang, Yue-Jun; Huang, Yi-Song

2015-05-01

Currently European Union Allowances (EUA) and secondary Certified Emission Reduction (sCER) have become two dominant carbon trading assets for investors and their linkage attracts much attention from academia and practitioners in recent years. Under this circumstance, we use the empirical mode decomposition (EMD) approach to decompose the two carbon futures contract prices and discuss their correlation from the multi-frequency perspective. The empirical results indicate that, first, the EUA and sCER futures price movements can be divided into those triggered by the long-term, medium-term and short-term market impacts. Second, the price movements in the EUA and sCER futures markets are primarily caused by the long-term impact, while the short-term impact can only explain a small fraction. Finally, the long-term (short-term) effect on EUA prices is statistically uncorrelated with the short-term (long-term) effect of sCER prices, and there is a medium or strong lead-and-lag correlation between the EUA and sCER price components with the same time scales. These results may provide some important insights of price forecast and arbitraging activities for carbon futures market investors, analysts and regulators.

Inflation and the Capital Budgeting Process.

DTIC Science & Technology

1985-04-01

model . [10:22] Friend, Landskroner and Losq assert that the traditional capital asset pricing model *( CAPM ...value (NPV) capital budgeting model is used extensively in this report and the Consumer Price Index - Urban (CPI-U) and the Wholesale Price Index (WPI...general price level adjustments into the capital budgeting model . The consideration of inflation risk is also warranted. The effects of inflation

Reasons to value the health care intangible asset valuation.

PubMed

Reilly, Robert F

2012-01-01

There are numerous individual reasons to conduct a health care intangible asset valuation. This discussion summarized many of these reasons and considered the common categories of these individual reasons. Understanding the reason for the intangible asset analysis is an important prerequisite to conducting the valuation, both for the analyst and the health care owner/operator. This is because an intangible asset valuation may not be the type of analysis that the owner/operator really needs. Rather, the owner/operator may really need an economic damages measurement, a license royalty rate analysis, an intercompany transfer price study, a commercialization potential evaluation, or some other type of intangible asset analysis. In addition, a clear definition of the reason for the valuation will allow the analyst to understand if (1) any specific analytical guidelines, procedures, or regulations apply and (2) any specific reporting requirement applies. For example, intangible asset valuations prepared for fair value accounting purposes should meet specific ASC 820 fair value accounting guidance. Intangible asset valuations performed for intercompany transfer price tax purposes should comply with the guidance provided in the Section 482 regulations. Likewise, intangible asset valuations prepared for Section 170 charitable contribution purposes should comply with specific reporting requirements. The individual reasons for the health care intangible asset valuation may influence the standard of value applied, the valuation date selected, the valuation approaches and methods applied, the form and format of valuation report prepared, and even the type of professional employed to perform the valuation.

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.

Information-based models for finance and insurance

NASA Astrophysics Data System (ADS)

Hoyle, Edward

2010-10-01

In financial markets, the information that traders have about an asset is reflected in its price. The arrival of new information then leads to price changes. The `information-based framework' of Brody, Hughston and Macrina (BHM) isolates the emergence of information, and examines its role as a driver of price dynamics. This approach has led to the development of new models that capture a broad range of price behaviour. This thesis extends the work of BHM by introducing a wider class of processes for the generation of the market filtration. In the BHM framework, each asset is associated with a collection of random cash flows. The asset price is the sum of the discounted expectations of the cash flows. Expectations are taken with respect (i) an appropriate measure, and (ii) the filtration generated by a set of so-called information processes that carry noisy or imperfect market information about the cash flows. To model the flow of information, we introduce a class of processes termed Lévy random bridges (LRBs), generalising the Brownian and gamma information processes of BHM. Conditioned on its terminal value, an LRB is identical in law to a Lévy bridge. We consider in detail the case where the asset generates a single cash flow X_T at a fixed date T. The flow of information about X_T is modelled by an LRB with random terminal value X_T. An explicit expression for the price process is found by working out the discounted conditional expectation of X_T with respect to the natural filtration of the LRB. New models are constructed using information processes related to the Poisson process, the Cauchy process, the stable-1/2 subordinator, the variance-gamma process, and the normal inverse-Gaussian process. These are applied to the valuation of credit-risky bonds, vanilla and exotic options, and non-life insurance liabilities.

Accounting for Excess Purchase Price: Goodwill or Expense? Instructional Issues.

ERIC Educational Resources Information Center

Reed, Ronald O.; Elsea, John; Lilly, Martha S.

2000-01-01

Presents the issue of the accounting practice used when a business is acquired by another for a price exceeding its net assets. Discusses implications for instruction in financial accounting. (Contains 25 references.) (SK)

The valuation of health care intangible assets.

PubMed

Reilly, R F; Rabe, J R

1997-01-01

Health care entities (and especially medical practices) are valued for a number of reasons: sale transaction pricing and structuring, merger formation and dissolution, taxation and regulatory compliance, and litigation support and dispute resolution. The identification and quantification of the entity's intangible assets are often the most important aspects of the valuation. This article illustrates the generally accepted methods for valuing health care-related intangible assets.

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.

77 FR 76106 - Order Granting Limited Exemptions From Exchange Act Rule 10b-17 and Rules 101 and 102 of...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-12-26

... continuously redeem Creation Units at net asset value (``NAV'') and the secondary market price of the Shares... between each Fund's market price and its NAV; and A close alignment between the market price of Shares and... aggregations of the Shares of the Funds and that a close alignment between the market price of Shares and each...

A queueing theory description of fat-tailed price returns in imperfect financial markets

NASA Astrophysics Data System (ADS)

Lamba, H.

2010-09-01

In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of price thresholds to simulate agent behavior over much longer timescales than are currently used in models of order-books. We show that many phenomena, routinely ignored in efficient market theory, can be systematically introduced into an otherwise efficient market, resulting in models that robustly replicate the most important stylized facts. We then demonstrate a close link between such threshold models and queueing theory, with large price changes corresponding to the busy periods of a single-server queue. The distribution of the busy periods is known to have excess kurtosis and non-exponential decay under various assumptions on the queue parameters. Such an approach may prove useful in the development of mathematical models for rapid deleveraging and panics in financial markets, and the stress-testing of financial institutions.

Dynamic option pricing with endogenous stochastic arbitrage

NASA Astrophysics Data System (ADS)

Contreras, Mauricio; Montalva, Rodrigo; Pellicer, Rely; Villena, Marcelo

2010-09-01

Only few efforts have been made in order to relax one of the key assumptions of the Black-Scholes model: the no-arbitrage assumption. This is despite the fact that arbitrage processes usually exist in the real world, even though they tend to be short-lived. The purpose of this paper is to develop an option pricing model with endogenous stochastic arbitrage, capable of modelling in a general fashion any future and underlying asset that deviate itself from its market equilibrium. Thus, this investigation calibrates empirically the arbitrage on the futures on the S&P 500 index using transaction data from September 1997 to June 2009, from here a specific type of arbitrage called “arbitrage bubble”, based on a t-step function, is identified and hence used in our model. The theoretical results obtained for Binary and European call options, for this kind of arbitrage, show that an investment strategy that takes advantage of the identified arbitrage possibility can be defined, whenever it is possible to anticipate in relative terms the amplitude and timespan of the process. Finally, the new trajectory of the stock price is analytically estimated for a specific case of arbitrage and some numerical illustrations are developed. We find that the consequences of a finite and small endogenous arbitrage not only change the trajectory of the asset price during the period when it started, but also after the arbitrage bubble has already gone. In this context, our model will allow us to calibrate the B-S model to that new trajectory even when the arbitrage already started.

Option pricing, stochastic volatility, singular dynamics and constrained path integrals

NASA Astrophysics Data System (ADS)

Contreras, Mauricio; Hojman, Sergio A.

2014-01-01

Stochastic volatility models have been widely studied and used in the financial world. The Heston model (Heston, 1993) [7] is one of the best known models to deal with this issue. These stochastic volatility models are characterized by the fact that they explicitly depend on a correlation parameter ρ which relates the two Brownian motions that drive the stochastic dynamics associated to the volatility and the underlying asset. Solutions to the Heston model in the context of option pricing, using a path integral approach, are found in Lemmens et al. (2008) [21] while in Baaquie (2007,1997) [12,13] propagators for different stochastic volatility models are constructed. In all previous cases, the propagator is not defined for extreme cases ρ=±1. It is therefore necessary to obtain a solution for these extreme cases and also to understand the origin of the divergence of the propagator. In this paper we study in detail a general class of stochastic volatility models for extreme values ρ=±1 and show that in these two cases, the associated classical dynamics corresponds to a system with second class constraints, which must be dealt with using Dirac’s method for constrained systems (Dirac, 1958,1967) [22,23] in order to properly obtain the propagator in the form of a Euclidean Hamiltonian path integral (Henneaux and Teitelboim, 1992) [25]. After integrating over momenta, one gets an Euclidean Lagrangian path integral without constraints, which in the case of the Heston model corresponds to a path integral of a repulsive radial harmonic oscillator. In all the cases studied, the price of the underlying asset is completely determined by one of the second class constraints in terms of volatility and plays no active role in the path integral.

How does money memorize social interactions? Understanding time-homogeneity in monetary systems

NASA Astrophysics Data System (ADS)

Braun, Dieter; Schmitt, Matthias; Schacker, Andreas

2013-03-01

Understanding how money shapes and memorizes our social interactions is central to modern life. There are many schools of thought on as to how monetary systems contribute to crises or boom/bust cycles and how monetary policy can try to avert them. We find that statistical physics gives a refreshing perspective. We analyze how credit mechanisms introduce non-locality and time-heterogeneity to the monetary memory. Motivated by an analogy to particle physics, locality and time-homogeneity can be imposed to monetary systems. As a result, a full reserve banking system is complemented with a bi-currency system of non-bank assets (``money'') and bank assets (``antimoney''). Payment can either be made by passing on money or by receiving antimoney. As a result, a free floating exchange rate between non-bank assets and bank assets is established. Interestingly, this monetary memory allows for credit creation by the simultaneous transfer of money and antimoney at a negotiated exchange rate. We analyze this novel mechanism of liquidity transfer in a model of random social interactions, yielding analytical results for all relevant distributions and the price of liquidity under the conditions of a fully transparent credit market.

A Pilot Study Using an Online, Experimental, Two-Asset Market.

ERIC Educational Resources Information Center

Lypny, Gregory

2003-01-01

Describes an online, securities market, research tool, called Borsa, to engage students in the exploration of asset pricing in microeconomics courses. Defines Borsa as related database files served on the Internet using a dedicated IP address. Discusses practical considerations in running the market. Offers questions that arise from using the…

77 FR 64170 - Self-Regulatory Organizations; NASDAQ OMX PHLX LLC; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-10-18

...] simultaneously trade different asset classes within a single strategy. Phlx also notes that cash equities and... asset classes, Phlx is introducing a pricing incentive to encourage market participants that are active... equitable allocation of reasonable dues, fees and other charges among members and issuers and other persons...

Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations

NASA Astrophysics Data System (ADS)

Rypdal, Martin; Sirnes, Espen; Løvsletten, Ola; Rypdal, Kristoffer

2013-08-01

Maximum likelihood estimation techniques for multifractal processes are applied to high-frequency data in order to quantify intermittency in the fluctuations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency parameter λ characterising the degree of volatility clustering. We can therefore study the time evolution of volatility clustering and test the statistical significance of this variability. By analysing data from the Oslo Stock Exchange, and comparing the results with the investment grade spread, we find that the estimates of λ are lower at times of high market uncertainty.

Statistical Forecasting of Bankruptcy of Defense Contractors. Problems and Prospects

DTIC Science & Technology

1994-01-01

investors is along the lines of the Capital Asset Pricing Model ( CAPM ). In portfolio theory generally, investors demand an expected-return premium for...Ellen Pint, Rachel Schmidt, and especially Dennis Smallwood of RAND also contributed useful insights and comments. xv Acronyms CAPM Capital Asset ...Bond Yields ............................................. 26 Bond Model Performance ................................. 27 Extensions and Limitations

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.

The internalist perspective on inevitable arbitrage in financial markets

NASA Astrophysics Data System (ADS)

Matsuno, Koichiro

2003-06-01

Arbitrage as an inevitable component of financial markets is due to the robust interplay between the continuous and the discontinuous stochastic variables appearing in the underlying dynamics. We present empirical evidence of such an arbitrage through the laboratory experiment on a portfolio management in the Japan-United States financial markets over the last several years, under the condition that the asset allocation was updated every day over the entire period. The portfolio management addressing the foreign exchange, the stock, and the bond markets was accomplished as referring to and processing only those empirical data that have been complied by and made available from the monetary authorities and the relevant financial markets so far. The averaged annual yield of the portfolio counted in the denomination of US currency was slightly greater than the averaged yield of the same physical assets counted in the denomination of Japanese currency, indicating the occurrence of arbitrage pricing in the financial markets. Daily update of asset allocation was conducted as referring to the predictive movement internal to the dynamics such that monetary flow variables, that are discontinuously stochastic upon the act of measurement internal to the markets, generate monetary stock variables that turn out to be both continuously stochastic and robust in the effect.

A Financial Market Model Incorporating Herd Behaviour.

PubMed

Wray, Christopher M; Bishop, Steven R

2016-01-01

Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents' accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents' accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option.

Do Market Incentives Crowd Out Charitable Giving?

PubMed Central

Deck, Cary; Kimbrough, Erik O.

2013-01-01

Donations and volunteerism can be conceived as market transactions with a zero explicit price. However, evidence suggests people may not view zero as just another price when it comes to pro-social behavior. Thus, while markets might be expected to increase the supply of assets available to those in need, some worry such financial incentives will crowd out altruistic giving. This paper reports laboratory experiments directly investigating the degree to which market incentives crowd out large, discrete charitable donations in a setting related to deceased organ donation. The results suggest markets increase the supply of assets available to those in need. However, as some critics fear, market incentives disproportionately influence the relatively poor. PMID:24348002

17 CFR 230.457 - Computation of fee.

Code of Federal Regulations, 2012 CFR

2012-04-01

... offered solely for market-making purposes by an affiliate of the registrant. (r) Where securities are to... fluctuating market prices, the registration fee is to be calculated upon the basis of the price of securities... registration fee is to be calculated upon the basis of the market value of such assets as of a specified date...

17 CFR 230.457 - Computation of fee.

Code of Federal Regulations, 2014 CFR

2014-04-01

... offered solely for market-making purposes by an affiliate of the registrant. (r) Where securities are to... fluctuating market prices, the registration fee is to be calculated upon the basis of the price of securities... registration fee is to be calculated upon the basis of the market value of such assets as of a specified date...

17 CFR 230.457 - Computation of fee.

Code of Federal Regulations, 2011 CFR

2011-04-01

... offered solely for market-making purposes by an affiliate of the registrant. (r) Where securities are to... fluctuating market prices, the registration fee is to be calculated upon the basis of the price of securities... registration fee is to be calculated upon the basis of the market value of such assets as of a specified date...

17 CFR 230.457 - Computation of fee.

Code of Federal Regulations, 2010 CFR

2010-04-01

... offered solely for market-making purposes by an affiliate of the registrant. (r) Where securities are to... fluctuating market prices, the registration fee is to be calculated upon the basis of the price of securities... registration fee is to be calculated upon the basis of the market value of such assets as of a specified date...

17 CFR 230.457 - Computation of fee.

Code of Federal Regulations, 2013 CFR

2013-04-01

... offered solely for market-making purposes by an affiliate of the registrant. (r) Where securities are to... fluctuating market prices, the registration fee is to be calculated upon the basis of the price of securities... registration fee is to be calculated upon the basis of the market value of such assets as of a specified date...

Debiasing the disposition effect by reducing the saliency of information about a stock’s purchase priceα

PubMed Central

Rangel, Antonio

2015-01-01

The disposition effect refers to the empirical fact that investors have a higher propensity to sell risky assets with capital gains compared to risky assets with capital losses, and it has been associated with low trading performance. We use a stock trading laboratory experiment to investigate if it is possible to reduce subjects’ tendency to exhibit a disposition effect by making information about a stock’s purchase price, and thus about capital gains and losses, less salient. We compare two experimental conditions: a high-saliency condition in which the purchase price of a stock is prominently displayed by the trading software, and a low-saliency condition in which it is not displayed at all. We find that individuals exhibit a disposition effect in the high-saliency condition, and that the effect is 25% smaller in the low-saliency condition. This suggests that it is possible to debias the disposition effect by reducing the saliency with which information about a stock’s purchase price is displayed on financial statements and online trading platforms. PMID:25774069

Debiasing the disposition effect by reducing the saliency of information about a stock's purchase price.

PubMed

Frydman, Cary; Rangel, Antonio

2014-11-01

The disposition effect refers to the empirical fact that investors have a higher propensity to sell risky assets with capital gains compared to risky assets with capital losses, and it has been associated with low trading performance. We use a stock trading laboratory experiment to investigate if it is possible to reduce subjects' tendency to exhibit a disposition effect by making information about a stock's purchase price, and thus about capital gains and losses, less salient. We compare two experimental conditions: a high-saliency condition in which the purchase price of a stock is prominently displayed by the trading software, and a low-saliency condition in which it is not displayed at all. We find that individuals exhibit a disposition effect in the high-saliency condition, and that the effect is 25% smaller in the low-saliency condition. This suggests that it is possible to debias the disposition effect by reducing the saliency with which information about a stock's purchase price is displayed on financial statements and online trading platforms.

17 CFR 270.2a-4 - Definition of “current net asset value” for use in computing periodically the current price of...

Code of Federal Regulations, 2010 CFR

2010-04-01

... AND REGULATIONS, INVESTMENT COMPANY ACT OF 1940 § 270.2a-4 Definition of “current net asset value” for... value of any redeemable security issued by a registered investment company used in computing... which reflects calculations, whether or not recorded in the books of account, made substantially in...

Buying on margin, selling short in an agent-based market model

NASA Astrophysics Data System (ADS)

Zhang, Ting; Li, Honggang

2013-09-01

Credit trading, or leverage trading, which includes buying on margin and selling short, plays an important role in financial markets, where agents tend to increase their leverages for increased profits. This paper presents an agent-based asset market model to study the effect of the permissive leverage level on traders’ wealth and overall market indicators. In this model, heterogeneous agents can assume fundamental value-converging expectations or trend-persistence expectations, and their effective demands of assets depend both on demand willingness and wealth constraints, where leverage can relieve the wealth constraints to some extent. The asset market price is determined by a market maker, who watches the market excess demand, and is influenced by noise factors. By simulations, we examine market results for different leverage ratios. At the individual level, we focus on how the leverage ratio influences agents’ wealth accumulation. At the market level, we focus on how the leverage ratio influences changes in the asset price, volatility, and trading volume. Qualitatively, our model provides some meaningful results supported by empirical facts. More importantly, we find a continuous phase transition as we increase the leverage threshold, which may provide a further prospective of credit trading.

Neural basis of economic bubble behavior.

PubMed

Ogawa, A; Onozaki, T; Mizuno, T; Asamizuya, T; Ueno, K; Cheng, K; Iriki, A

2014-04-18

Throughout human history, economic bubbles have formed and burst. As a bubble grows, microeconomic behavior ceases to be constrained by realistic predictions. This contradicts the basic assumption of economics that agents have rational expectations. To examine the neural basis of behavior during bubbles, we performed functional magnetic resonance imaging while participants traded shares in a virtual stock exchange with two non-bubble stocks and one bubble stock. The price was largely deflected from the fair price in one of the non-bubble stocks, but not in the other. Their fair prices were specified. The price of the bubble stock showed a large increase and battering, as based on a real stock-market bust. The imaging results revealed modulation of the brain circuits that regulate trade behavior under different market conditions. The premotor cortex was activated only under a market condition in which the price was largely deflected from the fair price specified. During the bubble, brain regions associated with the cognitive processing that supports order decisions were identified. The asset preference that might bias the decision was associated with the ventrolateral prefrontal cortex and the dorsolateral prefrontal cortex (DLPFC). The activity of the inferior parietal lobule (IPL) was correlated with the score of future time perspective, which would bias the estimation of future price. These regions were deemed to form a distinctive network during the bubble. A functional connectivity analysis showed that the connectivity between the DLPFC and the IPL was predominant compared with other connectivities only during the bubble. These findings indicate that uncertain and unstable market conditions changed brain modes in traders. These brain mechanisms might lead to a loss of control caused by wishful thinking, and to microeconomic bubbles that expand, on the macroscopic scale, toward bust. Copyright © 2014 The Authors. Published by Elsevier Ltd.. All rights reserved.

Self-organization and phase transition in financial markets with multiple choices

NASA Astrophysics Data System (ADS)

Zhong, Li-Xin; Xu, Wen-Juan; Huang, Ping; Qiu, Tian; He, Yun-Xin; Zhong, Chen-Yang

2014-09-01

Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. It is found that the roles of market confidence are closely related to whether or not there exists another market. When there exists another investment opportunity, different market confidence may lead to the same price fluctuations and the same investment attainment. There are two feedback effects. Being overly optimistic about a particular asset makes an investor become insensitive to losses. A delayed strategy adjustment leads to a decline in wealth and one's runaway from the market. The withdrawal of the agents results in the optimization of the strategy distributions and an increase in wealth. Being overly pessimistic about a particular asset makes an investor over-sensitive to losses. One's too frequent strategy adjustment leads to a decline in wealth. The withdrawal of the agents results in the improvement of the market environment and an increase in wealth.

77 FR 75207 - The Adams Express Company and Petroleum & Resources Corporation; Notice of Application

Federal Register 2010, 2011, 2012, 2013, 2014

2012-12-19

... the Fund's long-term total return (in relation to market price and net asset value per common share... fixed percentage of the market price of such Fund's common shares at a particular point in time, or a..., dealer, bank or other person (``financial intermediary'') holds common shares issued by a Fund in nominee...

76 FR 59458 - Stone Harbor Emerging Markets Income Fund, et al.; Notice of Application

Federal Register 2010, 2011, 2012, 2013, 2014

2011-09-26

... market price and its net asset value per common share (``NAV'')) and the relationship between such Fund's... the market price of such Fund's common shares at a particular point in time or a fixed monthly... person (``financial intermediary'') holds common shares issued by the Fund in nominee name, or otherwise...

Price Bubbles with Discounting: A Web-Based Classroom Experiment

ERIC Educational Resources Information Center

Bostian, AJ A.; Holt, Charles A.

2009-01-01

The authors describe a Web-based classroom experiment with two assets: cash and a stock that pays a random dividend. The interest rate on cash, coupled with a well-chosen final redemption value for the stock, induces a flat trajectory for the fundamental value of the stock. However, prices typically rise above this value during a session. The…

17 CFR 270.23c-1 - Repurchase of securities by closed-end companies.

Code of Federal Regulations, 2010 CFR

2010-04-01

... issuer. (5) Payment of the purchase price is accompanied or preceded by a written confirmation of the purchase. (6) The purchase is made at a price not above the market value, if any, or the asset value of..., within the preceding six months, informed stockholders of its intention to purchase stock of such class...

Is College Affordable? In Search of a Meaningful Definition. Issue Brief

ERIC Educational Resources Information Center

Baum, Sara; Schwartz, Saul

2012-01-01

Rising college prices, stagnating incomes, and diminished asset values have led to the widespread perception that college is "unaffordable" for more and more people. The role of student aid in reducing the prices many students pay is too complex to be widely understood, and in spite of increasing enrollment rates, most people do not question the…

17 CFR 270.30b1-6T - Weekly portfolio report for certain money market funds.

Code of Federal Regulations, 2011 CFR

2011-04-01

...; (I) The amortized cost value; and (J) In the case of a tax-exempt security, whether there is a demand... the fund's stable net asset value per share or stable price per share pursuant to § 270.2a-7(c)(1...) Market-based NAV means a money market fund's net asset value per share calculated using available market...

A Model-Free No-arbitrage Price Bound for Variance Options

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

Bonnans, J. Frederic, E-mail: frederic.bonnans@inria.fr; Tan Xiaolu, E-mail: xiaolu.tan@polytechnique.edu

2013-08-01

We suggest a numerical approximation for an optimization problem, motivated by its applications in finance to find the model-free no-arbitrage bound of variance options given the marginal distributions of the underlying asset. A first approximation restricts the computation to a bounded domain. Then we propose a gradient projection algorithm together with the finite difference scheme to solve the optimization problem. We prove the general convergence, and derive some convergence rate estimates. Finally, we give some numerical examples to test the efficiency of the algorithm.

Econophysics: Master curve for price-impact function

NASA Astrophysics Data System (ADS)

Lillo, Fabrizio; Farmer, J. Doyne; Mantegna, Rosario N.

2003-01-01

The price reaction to a single transaction depends on transaction volume, the identity of the stock, and possibly many other factors. Here we show that, by taking into account the differences in liquidity for stocks of different size classes of market capitalization, we can rescale both the average price shift and the transaction volume to obtain a uniform price-impact curve for all size classes of firm for four different years (1995-98). This single-curve collapse of the price-impact function suggests that fluctuations from the supply-and-demand equilibrium for many financial assets, differing in economic sectors of activity and market capitalization, are governed by the same statistical rule.

Factors affecting the valuation of physician practices.

PubMed

Cleverley, W O

1997-12-01

Valuation of physician practices provides physicians with a benchmark of their business success and helps purchasers negotiate a purchase price. The Center for Healthcare Industry Performance Studies (CHIPS) recently conducted a survey of physician practice acquisitions. The survey collected data on salaries and benefits paid to physicians after practice acquisition, historical profitability of the acquired practice, and specific values assigned to both tangible and intangible assets in the practice. Some of the survey's critical conclusions include: hospitals tend to acquire unprofitable practices, value is based on historical revenues rather than historical profits, the importance of valuation methodology and payer mix is underestimated, tangible assets represent a large part of the purchase price, and hospitals tend to pay higher physician compensation than do other purchasers.

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.

Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices

NASA Astrophysics Data System (ADS)

Lillo, F.

2007-02-01

I consider the problem of the optimal limit order price of a financial asset in the framework of the maximization of the utility function of the investor. The analytical solution of the problem gives insight on the origin of the recently empirically observed power law distribution of limit order prices. In the framework of the model, the most likely proximate cause of this power law is a power law heterogeneity of traders' investment time horizons.

Spectral method for pricing options in illiquid markets

NASA Astrophysics Data System (ADS)

Pindza, Edson; Patidar, Kailash C.

2012-09-01

We present a robust numerical method to solve a problem of pricing options in illiquid markets. The governing equation is described by a nonlinear Black-Scholes partial differential equation (BS-PDE) of the reaction-diffusion-advection type. To discretise this BS-PDE numerically, we use a spectral method in the asset (spatial) direction and couple it with a fifth order RADAU method for the discretisation in the time direction. Numerical experiments illustrate that our approach is very efficient for pricing financial options in illiquid markets.

Accounting-Induced Distortion in Public Enterprise Pricing

NASA Astrophysics Data System (ADS)

Moncur, James E. T.; Pollock, Richard L.

1996-11-01

Municipal water utilities commonly aim to set prices at average cost. Because of various omissions and owing to inflation, unadjusted accounting data understate the economic costs of fixed assets and thus generate inefficiently low prices and high consumption rates for the output of these enterprises. We investigate the nature and extent of undercosting and underpricing for a group of large urban water utilities in the United States. Economic costs appear to be significantly greater than the corresponding accounting measures for the cases studied.

10 CFR 207.2 - Definitions.

Code of Federal Regulations, 2010 CFR

2010-01-01

... to energy and fuels such as corporate structure and proprietary relationships, costs, prices, capital investment, and assets, and other matters directly related thereto, wherever they exist. ESECA means the...

A real options approach to clinical faculty salary structure.

PubMed

Kahn, Marc J; Long, Hugh W

2012-01-01

One can use the option theory model originally developed to price financial opportunities in security markets to analyze many other economic arrangements such as the salary structures of clinical faculty in an academic medical center practice plan. If one views the underlying asset to be the portion (labeled "salary") of the economic value of the collections made for the care provided patients by the physician, then a salary guarantee can be considered a put option provided the physician, the guarantee having value to the physician only when the actual salary earned is less than the salary guarantee. Similarly, within an incentive plan, a salary cap can be thought of as a call option provided to the practice plan since a salary cap only has value to the practice plan when a physician's earnings exceed the cap. Further, based on analysis of prior earnings, the Black-Scholes options pricing model can be used both to price each option and to determine a financially neutral balance between a salary guarantee and a salary cap by equating the prices of the implied put and call options. We suggest that such analysis is superior to empirical methods for setting clinical faculty salary structure in the academic practice plan setting.

How to recover from the financial market flu.

PubMed

Doody, Dennis

2008-05-01

The widely publicized subprime mortgage crisis and soaring crude oil prices have contributed to considerable market volatility in recent months, inducing queasiness among institutional investors. A four-layer approach to asset allocation that carefully considers assets, liquidity, currency, and risk may be the best strategy for maintaining an institution's financial health through today's volatile market. Perhaps the biggest challenge in such financially turbulent times is keeping fear in check.

12 CFR 208.34 - Recordkeeping and confirmation of certain securities transactions effected by State member banks.

Code of Federal Regulations, 2011 CFR

2011-01-01

... reasonable time upon written request of such customer specifying the identity, price and number of shares or... primarily by the cash flows of a discrete pool of receivables or other financial assets, either fixed or... when the customer pays the bank any part of the purchase price (or the time when the bank makes the...

75 FR 2897 - Self-Regulatory Organizations; Financial Industry Regulatory Authority, Inc.; Notice of Filing of...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-01-19

... of a mutual fund to investors at the fund's current net asset value, plus any applicable sales load... codified as NASD IM-2830-2, that requires members to sell mutual funds at the public offering price not... sell shares of mutual funds to non-member broker-dealers at a price below the current public offering...

Rational expectations, psychology and inductive learning via moving thresholds

NASA Astrophysics Data System (ADS)

Lamba, H.; Seaman, T.

2008-06-01

This paper modifies a previously introduced class of heterogeneous agent models in a way that allows for the inclusion of different types of agent motivations and behaviours in a consistent manner. The agents operate within a highly simplified environment where they are only able to be long or short one unit of the asset. The price of the asset is influenced by both an external information stream and the demand of the agents. The current strategy of each agent is defined by a pair of moving thresholds straddling the current price. When the price crosses either of the thresholds for a particular agent, that agent switches position and a new pair of thresholds is generated. The threshold dynamics can mimic different sources of investor motivation, running the gamut from purely rational information-processing, through rational (but often undesirable) behaviour induced by perverse incentives and moral hazards, to purely psychological effects. The simplest model of this kind precisely conforms to the Efficient Market Hypothesis (EMH) and this allows causal relationships to be established between actions at the agent level and violations of EMH price statistics at the global level. In particular, the effects of herding behaviour and perverse incentives are examined.

Resilience of Socio-Hydrological Systems in Canadian Prairies to Agricultural Drainage: Policy Analysis and Modelling Approach

NASA Astrophysics Data System (ADS)

Wheater, H. S.; Xu, L.; Gober, P.; Pomeroy, J. W.; Wong, J.

2017-12-01

Extensive agricultural drainage of lakes and wetlands in the Canadian Prairies has led to benefits for agricultural production, but has had a substantial influence on hydrological regimes and wetland extent. There is need for the potential impacts of current policy in changing the socio-hydrological resilience of prairie wetland basins in response to agricultural drainage to be examined. Whilst wetland drainage can increase agricultural productivity, it can also reduce stocks of natural capital and decrease ecosystem services, such as pollutant retention, habitat for waterfowls, carbon sequestration, and downstream flood attenuation. Effective policies that balance drainage benefits and negative externalities have to consider pricing. This is explored here using the Cold Regions Hydrological Model for hydrological simulations and the Inclusive Wealth approach for modelling in support of cost-benefit analysis. Inclusive wealth aggregates the value of natural, human, and technological assets used to produce social welfare. A shadow price, defined as the marginal change in social value for a marginal change in the current stock quantity, is used to valuate assets that contribute to social welfare. The shadow price of each asset is estimated by taking into account the social and economic benefits and external losses of wetland services caused by wetland drainage. The coupled model was applied to the Smith Creek Research Basin in south-eastern Saskatchewan, Canada where wetland drainage has caused major alterations of the hydrological regime including increased peak flows, discharge volumes and duration of streamflow. Changes in depressional storage in wetlands was used to calculate the corresponding changes of inclusive wealth over a 30-year period under the impacts from the limitation proposed in the Agricultural Water Management Strategy of Saskatchewan. The adjusted societal values of drainage demonstrate the dynamics between changes in hydrological conditions of wetland basins and social welfare, which help to evaluate potential impacts of the current policy on the resilience and sustainability of socio-hydrological systems. The results also help determine effective goals for management to maximize the societal benefits of drainage and minimize its negative impacts on ecosystem functions.

Risk factors.

PubMed

Robbins, Catherine J; Connors, K C; Sheehan, Timothy J; Vaughan, James S

2005-06-01

Minimize surprises on your financial statement by adopting a model for integrated risk management that: Examines interrelationships among operations, investments, and financing. Incorporates concepts of the capital asset pricing model to manage unexpected volatility

Agent-based simulation of a financial market

NASA Astrophysics Data System (ADS)

Raberto, Marco; Cincotti, Silvano; Focardi, Sergio M.; Marchesi, Michele

2001-10-01

This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a given finite portfolio of assets. There is no money-creation process; the total available cash is conserved in time. In each period, agents make random buy and sell decisions that are constrained by available resources, subject to clustering, and dependent on the volatility of previous periods. The model proposed herein is able to reproduce the leptokurtic shape of the probability density of log price returns and the clustering of volatility. Implemented using extreme programming and object-oriented technology, the simulator is a flexible computational experimental facility that can find applications in both academic and industrial research projects.

A Financial Market Model Incorporating Herd Behaviour

PubMed Central

2016-01-01

Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents’ accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents’ accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option. PMID:27007236

The inevitable commoditization of electric power markets

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

Mango, B.; Woodley, J.A.C.

1994-11-01

As competition grows between electric suppliers it is inevitable that a spot market in electricity will evolve. The impetus is the market demand for greater asset productivity. With prices revealed, a commodity market will follow. With spot and commodity markets will come the power to reallocate risk and make capital investment more productive. Given price volatility, separate markets will develop for near- and long-term hedging instruments.

Impacts of Variable Renewable Energy on Bulk Power System Assets, Pricing, and Costs

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

Wiser, Ryan H.; Mills, Andrew; Seel, Joachim

We synthesize available literature, data, and analysis on the degree to which growth in variable renewable energy (VRE) has impacted to date or might in the future impact bulk power system assets, pricing, and costs. We do not analyze impacts on specific power plants, instead focusing on national and regional system-level trends. The issues addressed are highly context dependent—affected by the underlying generation mix of the system, the amount of wind and solar penetration, and the design and structure of the bulk power system in each region. Moreover, analyzing the impacts of VRE on the bulk power system is amore » complex area of research and there is much more to be done to increase understanding of how VRE impacts the dynamics of current and future electricity markets. While more analysis is warranted, including additional location-specific assessments, several high-level findings emerge from this synthesis: -VRE Is Already Impacting the Bulk Power Market -VRE Impacts on Average Wholesale Prices Have Been Modest -VRE Impacts on Power Plant Retirements Have So Far Been Limited -VRE Impacts on the Bulk Power Market will Grow with Penetration -The ’System Value’ of VRE will Decline with Penetration -Power System Flexibility Can Reduce the Rate of VRE Value Decline All generation types are unique in some respect—bringing benefits and challenges to the power system—and wholesale markets, industry investments, and operational procedures have evolved over time to manage the characteristics of a changing generation fleet. With increased VRE penetrations, power system planners, operators, regulators, and policymakers will continue to be challenged to develop methods to smoothly and cost-effectively manage the reliable integration of these new and growing sources of electricity supply.« less

Carbon dioxide removal and tradeable put options at scale

NASA Astrophysics Data System (ADS)

Lockley, Andrew; Coffman, D.’Maris

2018-05-01

Options are derivative contracts that give the purchaser the right to buy (call options) or sell (put options) a given underlying asset at a particular price at a future date. The purchaser of a put option may exercise the right to sell the asset to the issuer at any point in the future before the expiration of the contract. These rights may be contracted directly between two parties (i.e. over-the-counter), or may be sold publicly on formal exchanges, such as the Chicago Board Options Exchange. If the latter, they are called tradeable put options (TPOs) because they can be bought and sold by third-parties via a secondary market. The World Bank has a Pilot Auction Facility for methane and carbon mediation which uses TPOs in carbon-relevant markets, giving producers (of e.g. forest restoration) a floor price for their product [1]. This enables long-term producer planning. We discuss the potentially broader use of these options contracts in carbon dioxide removal (CDR) markets generally and at scale. We conclude that they can, if priced correctly, encourage rapid investment both in CDR technology and in operational capacity. TPOs could do this without creating the same type of systemic risk associated with other instruments (e.g. long-dated futures). Nevertheless, the widespread use of such instruments potentially creates novel risks. These include the political risk of premature closure [2] (conventionally rendered as ‘counting your chickens before they are hatched’) and the economic risk of overpaying for carbon removal services. These instruments require careful structuring, and do not inoculate the CDR market against regulatory disruption, or political pressure. Accordingly, we note the potential for the development of TPO markets in CDR, but we urge caution in respect of identified risks.

78 FR 4725 - Escrow Requirements Under the Truth in Lending Act (Regulation Z)

Federal Register 2010, 2011, 2012, 2013, 2014

2013-01-22

...The Bureau of Consumer Financial Protection (Bureau) is publishing a final rule that amends Regulation Z (Truth in Lending) to implement certain amendments to the Truth in Lending Act made by the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). Regulation Z currently requires creditors to establish escrow accounts for higher-priced mortgage loans secured by a first lien on a principal dwelling. The rule implements statutory changes made by the Dodd-Frank Act that lengthen the time for which a mandatory escrow account established for a higher-priced mortgage loan must be maintained. The rule also exempts certain transactions from the statute's escrow requirement. The primary exemption applies to mortgage transactions extended by creditors that operate predominantly in rural or underserved areas, originate a limited number of first-lien covered transactions, have assets below a certain threshold, and do not maintain escrow accounts on mortgage obligations they currently service.

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.

Is there time discounting for risk premium?

PubMed

Shavit, Tal; Rosenboim, Mosi

2015-03-01

Individuals with a higher subjective discount rate concentrate more on the present and delay is more significant for them. However, when a risky asset is delayed, not only is the outcome delayed but also the risk. In this paper, we suggest a new, two-stage experimental method with real monetary incentives that allows us to distinguish between the effect of the risk and the effect of the time when pricing a risky asset. We show that when individuals have greater preference for the present, their risk aversion for a risky asset realized in the future decreases. We argue that the effect of the risk for future asset is lower for individuals with higher time preference because they discount not only the outcome but also the risks. © Society for the Experimental Analysis of Behavior.

48 CFR 31.205-49 - Goodwill.

Code of Federal Regulations, 2010 CFR

2010-10-01

... accounting for a business combination when the price paid by the acquiring company exceeds the sum of the identifiable individual assets acquired less liabilities assumed, based upon their fair values. The excess is...

What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis

PubMed Central

Kristoufek, Ladislav

2015-01-01

The Bitcoin has emerged as a fascinating phenomenon in the Financial markets. Without any central authority issuing the currency, the Bitcoin has been associated with controversy ever since its popularity, accompanied by increased public interest, reached high levels. Here, we contribute to the discussion by examining the potential drivers of Bitcoin prices, ranging from fundamental sources to speculative and technical ones, and we further study the potential influence of the Chinese market. The evolution of relationships is examined in both time and frequency domains utilizing the continuous wavelets framework, so that we not only comment on the development of the interconnections in time but also distinguish between short-term and long-term connections. We find that the Bitcoin forms a unique asset possessing properties of both a standard financial asset and a speculative one. PMID:25874694

What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis.

PubMed

Kristoufek, Ladislav

2015-01-01

The Bitcoin has emerged as a fascinating phenomenon in the Financial markets. Without any central authority issuing the currency, the Bitcoin has been associated with controversy ever since its popularity, accompanied by increased public interest, reached high levels. Here, we contribute to the discussion by examining the potential drivers of Bitcoin prices, ranging from fundamental sources to speculative and technical ones, and we further study the potential influence of the Chinese market. The evolution of relationships is examined in both time and frequency domains utilizing the continuous wavelets framework, so that we not only comment on the development of the interconnections in time but also distinguish between short-term and long-term connections. We find that the Bitcoin forms a unique asset possessing properties of both a standard financial asset and a speculative one.

Addressing oil price changes through business profitability in oil and gas industry in the United Kingdom.

PubMed

Vătavu, Sorana; Lobonț, Oana-Ramona; Para, Iulia; Pelin, Andrei

2018-01-01

In this paper, we investigate how crude oil price and volume traded affected the profitability of oil and gas companies in the United Kingdom (UK) since the financial crisis started in 2008. The study benefit from insights of the financial statements, to develop a model that focuses on how changes in oil price impact corporate performance. In order to observe the financial indicators that influence the performance, as well as the effects that changes in oil prices and demand of crude oil have on the profitability of oil and gas companies, we apply comparative regression analysis, including the generalised method of moments estimation technique for panel data set. The sample is consisting of 31 oil and gas companies in the UK, and the period analysed is 2006-2014. Results show that profitable oil and gas companies managed to face the drop in oil price and recover, characterized by significant cash flows and stock turnover, efficient use of assets, and high solvency rates. Although the oil price and volume traded do not significantly affect profitability and other financial ratios, if the oil price continues to decrease, it would permanently alter both the UK economy and oil and gas companies. In order to survive, companies make drastic cuts and defer essential investments, often at the long-term expense of asset performance. This study is important in a world where the energy consumption steadily grew over time. However, the renewable energy is cheaper and more environmentally friendly, and thus, countries where oil and gas industry is one of the most popular sectors face an economic decline. These results could be useful for investors, managers or decision makers, reclaiming strategic decisions in the current uncertain and volatile environment.

Market dynamics and stock price volatility

NASA Astrophysics Data System (ADS)

Li, H.; Rosser, J. B., Jr.

2004-06-01

This paper presents a possible explanation for some of the empirical properties of asset returns within a heterogeneous-agents framework. The model turns out, even if we assume the input fundamental value follows an simple Gaussian distribution lacking both fat tails and volatility dependence, these features can show up in the time series of asset returns. In this model, the profit comparison and switching between heterogeneous play key roles, which build a connection between endogenous market and the emergence of stylized facts.

Multifractal features in stock and foreign exchange markets

NASA Astrophysics Data System (ADS)

Kim, Kyungsik; Yoon, Seong-Min

2004-03-01

We investigate the tick dynamical behavior of three assets(the yen-dollar exchange rate, the won-dollar exchange rate, and the KOSPI) using the rescaled range analysis in stock and foreign exchange markets. The multifractal Hurst exponents with long-run memory effects can be obtained from assets, and we discuss whether it exists the crossover or not for the Hurst exponents at charateristic time scales. Particularly, we find that the probability distribution of prices is approached to a Lorentz distribution, different from fat-tailed properties.

Portfolio optimization and the random magnet problem

NASA Astrophysics Data System (ADS)

Rosenow, B.; Plerou, V.; Gopikrishnan, P.; Stanley, H. E.

2002-08-01

Diversification of an investment into independently fluctuating assets reduces its risk. In reality, movements of assets are mutually correlated and therefore knowledge of cross-correlations among asset price movements are of great importance. Our results support the possibility that the problem of finding an investment in stocks which exposes invested funds to a minimum level of risk is analogous to the problem of finding the magnetization of a random magnet. The interactions for this "random magnet problem" are given by the cross-correlation matrix C of stock returns. We find that random matrix theory allows us to make an estimate for C which outperforms the standard estimate in terms of constructing an investment which carries a minimum level of risk.

Cortisol and testosterone increase financial risk taking and may destabilize markets.

PubMed

Cueva, Carlos; Roberts, R Edward; Spencer, Tom; Rani, Nisha; Tempest, Michelle; Tobler, Philippe N; Herbert, Joe; Rustichini, Aldo

2015-07-02

It is widely known that financial markets can become dangerously unstable, yet it is unclear why. Recent research has highlighted the possibility that endogenous hormones, in particular testosterone and cortisol, may critically influence traders' financial decision making. Here we show that cortisol, a hormone that modulates the response to physical or psychological stress, predicts instability in financial markets. Specifically, we recorded salivary levels of cortisol and testosterone in people participating in an experimental asset market (N = 142) and found that individual and aggregate levels of endogenous cortisol predict subsequent risk-taking and price instability. We then administered either cortisol (single oral dose of 100 mg hydrocortisone, N = 34) or testosterone (three doses of 10 g transdermal 1% testosterone gel over 48 hours, N = 41) to young males before they played an asset trading game. We found that both cortisol and testosterone shifted investment towards riskier assets. Cortisol appears to affect risk preferences directly, whereas testosterone operates by inducing increased optimism about future price changes. Our results suggest that changes in both cortisol and testosterone could play a destabilizing role in financial markets through increased risk taking behaviour, acting via different behavioural pathways.

Cortisol and testosterone increase financial risk taking and may destabilize markets

PubMed Central

Cueva, Carlos; Roberts, R. Edward; Spencer, Tom; Rani, Nisha; Tempest, Michelle; Tobler, Philippe N.; Herbert, Joe; Rustichini, Aldo

2015-01-01

It is widely known that financial markets can become dangerously unstable, yet it is unclear why. Recent research has highlighted the possibility that endogenous hormones, in particular testosterone and cortisol, may critically influence traders’ financial decision making. Here we show that cortisol, a hormone that modulates the response to physical or psychological stress, predicts instability in financial markets. Specifically, we recorded salivary levels of cortisol and testosterone in people participating in an experimental asset market (N = 142) and found that individual and aggregate levels of endogenous cortisol predict subsequent risk-taking and price instability. We then administered either cortisol (single oral dose of 100 mg hydrocortisone, N = 34) or testosterone (three doses of 10 g transdermal 1% testosterone gel over 48 hours, N = 41) to young males before they played an asset trading game. We found that both cortisol and testosterone shifted investment towards riskier assets. Cortisol appears to affect risk preferences directly, whereas testosterone operates by inducing increased optimism about future price changes. Our results suggest that changes in both cortisol and testosterone could play a destabilizing role in financial markets through increased risk taking behaviour, acting via different behavioural pathways. PMID:26135946

Noncommutative Valuation of Options

NASA Astrophysics Data System (ADS)

Herscovich, Estanislao

2016-12-01

The aim of this note is to show that the classical results in finance theory for pricing of derivatives, given by making use of the replication principle, can be extended to the noncommutative world. We believe that this could be of interest in quantum probability. The main result called the First fundamental theorem of asset pricing, states that a noncommutative stock market admits no-arbitrage if and only if it admits a noncommutative equivalent martingale probability.

Command History, 1970. Volume 1. Sanitized

DTIC Science & Technology

1970-01-01

Increased spending would drive up local prices, and the hoarding of rice would drive up food prices in urban areas. The introduction of counterfeit money ...essential assetR of food, money , manpower, concealment, and intelligence which the enemy needed to continue the war. The majority of the population and the...Communist line. (C) The VCI had two missions. The first was to provide military units with the money , food, recruits, intelligence, refuge, and guides without

Auditing: Perspectives from Multiperson Decision Theory.

DTIC Science & Technology

1982-10-01

Transmission" by W.P. Rogerson 378. "Unemployment Equilibrium with Stochastic Rationing of Supplies" by Ho-mo i WU. 379. " Optimal Price and Income... rational with enormous powers of calculation. At first this may seem utterly inappropriate for the study of problems in accounting. Nevertheless, there...that at any price the investor offers he will tend to get acceptance only from an owner with assets having a lesser value. Similarly, if the owner

JPRS Report, Near East & South Asia.

DTIC Science & Technology

1990-08-21

selling it and getting their price in Cairo. For most of the capital of the 192 Palestinian millionaires in Egypt is Jewish- Israeli, according to...in all candor that the question of pricing , and the distribution of 10 percent of the net profits without an upper limit , can only be redressed by...exemptions, providing that these expansions are done by increasing the project’s capital and its fixed assets , without the use of new loans

Continuous time Black-Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime

NASA Astrophysics Data System (ADS)

Wang, Jun; Liang, Jin-Rong; Lv, Long-Jin; Qiu, Wei-Yuan; Ren, Fu-Yao

2012-02-01

In this paper, we study the problem of continuous time option pricing with transaction costs by using the homogeneous subdiffusive fractional Brownian motion (HFBM) Z(t)=X(Sα(t)), 0<α<1, here dX(τ)=μX(τ)(2H+σX(τ)dBH(τ), as a model of asset prices, which captures the subdiffusive characteristic of financial markets. We find the corresponding subdiffusive Black-Scholes equation and the Black-Scholes formula for the fair prices of European option, the turnover and transaction costs of replicating strategies. We also give the total transaction costs.

Price returns efficiency of the Shanghai A-Shares

NASA Astrophysics Data System (ADS)

Long, Wang Jiang; Jaaman, Saiful Hafizah; Samsudin, Humaida Banu

2014-06-01

Beta measured from the capital asset pricing model (CAPM) is the most widely used risk to estimate expected return. In this paper factors that influence Shanghai A-share stock return based on CAPM are explored and investigated. Price data of 312 companies listed on Shanghai Stock Exchange (SSE) from the year 2000 to 2011 are investigated. This study employed the Fama-MacBeth cross-sectional method to avoid weakness of traditional CAPM. In addition, this study improves the model by adjusting missing data. Findings of this study justifies that systematic risk can explain the portfolios' returns of China SSE stock market.

78 FR 44981 - Agency Information Collection Activities; Submission for OMB Review; Comment Request; Plan Asset...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-07-25

... for OMB Review; Comment Request; Plan Asset Transactions Determined by In-House Asset Managers Under...) titled, ``Plan Asset Transactions Determined by In-House Asset Managers under Prohibited Transaction... Transaction Class Exemption for Plan Asset Transactions Determined by In-House Asset Managers (PTE 96-23...

75 FR 45606 - Department of Commerce Measuring and Enhancing Services Trade Data Conference

Federal Register 2010, 2011, 2012, 2013, 2014

2010-08-03

... that the measurement of economic activity and trade in the services sector is more robust, granular and... services, accounting for intangible assets, and accuracy of service price indices. The target audience for...

Marketing Electronic Information.

ERIC Educational Resources Information Center

Davenport, Lizzie; Cronin, Blaise

1987-01-01

The history of DIALOG, Mead Data Central, and other vendors of online business databases is surveyed to illustrate their use of classic business strategy by balancing consolidation of assets and differentiation of products. A discussion of pricing strategies is also included. (EM)

Bigger is Better, but at What Cost? Estimating the Economic Value of Incremental Data Assets.

PubMed

Dalessandro, Brian; Perlich, Claudia; Raeder, Troy

2014-06-01

Many firms depend on third-party vendors to supply data for commercial predictive modeling applications. An issue that has received very little attention in the prior research literature is the estimation of a fair price for purchased data. In this work we present a methodology for estimating the economic value of adding incremental data to predictive modeling applications and present two cases studies. The methodology starts with estimating the effect that incremental data has on model performance in terms of common classification evaluation metrics. This effect is then translated into economic units, which gives an expected economic value that the firm might realize with the acquisition of a particular data asset. With this estimate a firm can then set a data acquisition price that targets a particular return on investment. This article presents the methodology in full detail and illustrates it in the context of two marketing case studies.

The role of the US in the geopolitics of climate policy and stranded oil reserves

NASA Astrophysics Data System (ADS)

Jaffe, Amy Myers

2016-10-01

Computer-assisted technological innovation and breakthroughs in drilling are revolutionizing the energy landscape, creating greater uncertainty about the future trends for oil use. These new dynamics are prompting major oil producers to reconsider the commercial value of their assets, potentially changing the long-term outlook for oil prices. A shift in investment and production strategy by major oil-producing countries and large multinational companies to pre-empt the risk of stranded assets would have significant implications on energy markets. This Perspective surveys the competitive forces at play that are able to shift the dynamics of the global oil market and discusses their implications for US climate and energy policy. A declining long-term oil price might imply that energy and climate scientists and policymakers should revisit the road map of the optimum policies to promote the transition to lower carbon energy and to defend technology gains already achieved.

Network formation in a multi-asset artificial stock market

NASA Astrophysics Data System (ADS)

Wu, Songtao; He, Jianmin; Li, Shouwei; Wang, Chao

2018-04-01

A multi-asset artificial stock market is developed. In the market, stocks are assigned to a number of sectors and traded by heterogeneous investors. The mechanism of continuous double auction is employed to clear order book and form daily closed prices. Simulation results of prices at the sector level show an intra-sector similarity and inter-sector distinctiveness, and returns of individual stocks have stylized facts that are ubiquitous in the real-world stock market. We find that the market risk factor has critical impact on both network topology transition and connection formation, and that sector risk factors account for the formation of intra-sector links and sector-based local interaction. In addition, the number of community in threshold-based networks is correlated negatively and positively with the value of correlation coefficients and the ratio of intra-sector links, which are respectively determined by intensity of sector risk factors and the number of sectors.

Population age structure and asset returns: an empirical investigation.

PubMed

Poterba, J M

1998-10-01

"This paper investigates the association between population age structure, particularly the share of the population in the 'prime saving years' 45-60, and the returns on stocks and bonds. The paper is motivated by the claim that the aging of the 'Baby Boom' cohort in the United States is a key factor in explaining the recent rise in asset values. It also addresses the associated claim that asset prices will decline when this large cohort reaches retirement age and begins to reduce its asset holdings. This paper begins by considering household age-asset accumulation profiles. Data from the Survey of Consumer Finances suggest that while cross-sectional age-wealth profiles peak for households in their early 60s, cohort data on the asset ownership of the same households show a much less pronounced peak.... The paper then considers the historical relationship between demographic structure and real returns on Treasury bills, long-term government bonds, and corporate stock. The results do not suggest any robust relationship between demographic structure and asset returns.... The paper concludes by discussing factors such as international capital flows and forward-looking behavior on the part of market participants that could weaken the relationship between age structure and asset returns in a single nation." excerpt

Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump

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

Kharroubi, Idris, E-mail: kharroubi@ceremade.dauphine.fr; Lim, Thomas, E-mail: lim@ensiie.fr; Ngoupeyou, Armand, E-mail: armand.ngoupeyou@univ-paris-diderot.fr

2013-12-15

In this work, we study the problem of mean-variance hedging with a random horizon T∧τ, where T is a deterministic constant and τ is a jump time of the underlying asset price process. We first formulate this problem as a stochastic control problem and relate it to a system of BSDEs with a jump. We then provide a verification theorem which gives the optimal strategy for the mean-variance hedging using the solution of the previous system of BSDEs. Finally, we prove that this system of BSDEs admits a solution via a decomposition approach coming from filtration enlargement theory.

Measuring the value of groundwater and other forms of natural capital

PubMed Central

Fenichel, Eli P.; Abbott, Joshua K.; Bayham, Jude; Boone, Whitney; Haacker, Erin M. K.; Pfeiffer, Lisa

2016-01-01

Valuing natural capital is fundamental to measuring sustainability. The United Nations Environment Programme, World Bank, and other agencies have called for inclusion of the value of natural capital in sustainability metrics, such as inclusive wealth. Much has been written about the importance of natural capital, but consistent, rigorous valuation approaches compatible with the pricing of traditional forms of capital have remained elusive. We present a guiding quantitative framework enabling natural capital valuation that is fully consistent with capital theory, accounts for biophysical and economic feedbacks, and can guide interdisciplinary efforts to measure sustainability. We illustrate this framework with an application to groundwater in the Kansas High Plains Aquifer, a rapidly depleting asset supporting significant food production. We develop a 10-y time series (1996−2005) of natural capital asset prices that accounts for technological, institutional, and physical changes. Kansas lost approximately $110 million per year (2005 US dollars) of capital value through groundwater withdrawal and changes in aquifer management during the decade spanning 1996–2005. This annual loss in wealth is approximately equal to the state’s 2005 budget surplus, and is substantially more than investments in schools over this period. Furthermore, real investment in agricultural capital also declined over this period. Although Kansas’ depletion of water wealth is substantial, it may be tractably managed through careful groundwater management and compensating investments in other natural and traditional assets. Measurement of natural capital value is required to inform management and ongoing investments in natural assets. PMID:26858431

Measuring the value of groundwater and other forms of natural capital.

PubMed

Fenichel, Eli P; Abbott, Joshua K; Bayham, Jude; Boone, Whitney; Haacker, Erin M K; Pfeiffer, Lisa

2016-03-01

Valuing natural capital is fundamental to measuring sustainability. The United Nations Environment Programme, World Bank, and other agencies have called for inclusion of the value of natural capital in sustainability metrics, such as inclusive wealth. Much has been written about the importance of natural capital, but consistent, rigorous valuation approaches compatible with the pricing of traditional forms of capital have remained elusive. We present a guiding quantitative framework enabling natural capital valuation that is fully consistent with capital theory, accounts for biophysical and economic feedbacks, and can guide interdisciplinary efforts to measure sustainability. We illustrate this framework with an application to groundwater in the Kansas High Plains Aquifer, a rapidly depleting asset supporting significant food production. We develop a 10-y time series (1996-2005) of natural capital asset prices that accounts for technological, institutional, and physical changes. Kansas lost approximately $110 million per year (2005 US dollars) of capital value through groundwater withdrawal and changes in aquifer management during the decade spanning 1996-2005. This annual loss in wealth is approximately equal to the state's 2005 budget surplus, and is substantially more than investments in schools over this period. Furthermore, real investment in agricultural capital also declined over this period. Although Kansas' depletion of water wealth is substantial, it may be tractably managed through careful groundwater management and compensating investments in other natural and traditional assets. Measurement of natural capital value is required to inform management and ongoing investments in natural assets.

Toward a new spacecraft optimal design lifetime? Impact of marginal cost of durability and reduced launch price

NASA Astrophysics Data System (ADS)

Snelgrove, Kailah B.; Saleh, Joseph Homer

2016-10-01

The average design lifetime of satellites continues to increase, in part due to the expectation that the satellite cost per operational day decreases monotonically with increased design lifetime. In this work, we challenge this expectation by revisiting the durability choice problem for spacecraft in the face of reduced launch price and under various cost of durability models. We first provide a brief overview of the economic thought on durability and highlight its limitations as they pertain to our problem (e.g., the assumption of zero marginal cost of durability). We then investigate the merging influence of spacecraft cost of durability and launch price, and we identify conditions that give rise cost-optimal design lifetimes that are shorter than the longest lifetime technically achievable. For example, we find that high costs of durability favor short design lifetimes, and that under these conditions the optimal choice is relatively robust to reduction in launch prices. By contrast, lower costs of durability favor longer design lifetimes, and the optimal choice is highly sensitive to reduction in launch price. In both cases, reduction in launch prices translates into reduction of the optimal design lifetime. Our results identify a number of situations for which satellite operators would be better served by spacecraft with shorter design lifetimes. Beyond cost issues and repeat purchases, other implications of long design lifetime include the increased risk of technological slowdown given the lower frequency of purchases and technology refresh, and the increased risk for satellite operators that the spacecraft will be technologically obsolete before the end of its life (with the corollary of loss of value and competitive advantage). We conclude with the recommendation that, should pressure to extend spacecraft design lifetime continue, satellite manufacturers should explore opportunities to lease their spacecraft to operators, or to take a stake in the ownership of the asset on orbit.

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.

Extraction of phase information in daily stock prices

NASA Astrophysics Data System (ADS)

Fujiwara, Yoshi; Maekawa, Satoshi

2000-06-01

It is known that, in an intermediate time-scale such as days, stock market fluctuations possess several statistical properties that are common to different markets. Namely, logarithmic returns of an asset price have (i) truncated Pareto-Lévy distribution, (ii) vanishing linear correlation, (iii) volatility clustering and its power-law autocorrelation. The fact (ii) is a consequence of nonexistence of arbitragers with simple strategies, but this does not mean statistical independence of market fluctuations. Little attention has been paid to temporal structure of higher-order statistics, although it contains some important information on market dynamics. We applied a signal separation technique, called Independent Component Analysis (ICA), to actual data of daily stock prices in Tokyo and New York Stock Exchange (TSE/NYSE). ICA does a linear transformation of lag vectors from time-series to find independent components by a nonlinear algorithm. We obtained a similar impulse response for these dataset. If it were a Martingale process, it can be shown that impulse response should be a delta-function under a few conditions that could be numerically checked and as was verified by surrogate data. This result would provide information on the market dynamics including speculative bubbles and arbitrating processes. .

Does price efficiency increase with trading volume? Evidence of nonlinearity and power laws in ETFs

NASA Astrophysics Data System (ADS)

Caginalp, Gunduz; DeSantis, Mark

2017-02-01

Whether efficiency increases with increasing volume is an important issue that may illuminate trader strategies and distinguish between market theories. This relationship is tested using 124,236 daily observations comprising 68 large and liquid U.S. equity exchange traded funds (ETFs). ETFs have the advantage that efficiency can be measured in terms of the deviation between the trading price and the underlying net asset value that is reported each day. Our findings support the hypothesis that the relationship between volume and efficiency is nonlinear. Indeed, efficiency increases as volume increases from low to moderately high levels, but then decreases as volume increases further. The first part tends to support the idea that higher volume simply facilitates transactions and maintains efficiency, while the latter part, i.e., even higher volumes, supports the ansatz that increased volume is associated with increased speculation that ignores valuation and decreases efficiency. The results are consistent with the hypothesis that valuation is only part of the motivation for traders. Our methodology accounts for fund heterogeneity and contemporaneous correlations. Similar results are obtained when daily price volatility is introduced as an additional independent variable.

A pricing rule for affiliate transactions: Room for consensus

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

Costello, K.W.

1998-12-01

Because it conforms to politically acceptable notions of fairness, state and federal regulators have relied heavily on the concept of fully distributed cost to govern affiliate transactions. This should be leavened by alternative transfer-pricing measures to balance the goals of economic efficiency and fairness. This discussion, particularly the principles set down, although focusing on products or services, is also relevant to the outright sale of assets by a utility to an affiliate or vice versa. The author also proposes language for the pricing of affiliate transactions that attempts to accommodate the widely divergent positions currently being debated in the regulatorymore » arena.« less

Pricing foreign equity option under stochastic volatility tempered stable Lévy processes

NASA Astrophysics Data System (ADS)

Gong, Xiaoli; Zhuang, Xintian

2017-10-01

Considering that financial assets returns exhibit leptokurtosis, asymmetry properties as well as clustering and heteroskedasticity effect, this paper substitutes the logarithm normal jumps in Heston stochastic volatility model by the classical tempered stable (CTS) distribution and normal tempered stable (NTS) distribution to construct stochastic volatility tempered stable Lévy processes (TSSV) model. The TSSV model framework permits infinite activity jump behaviors of return dynamics and time varying volatility consistently observed in financial markets through subordinating tempered stable process to stochastic volatility process, capturing leptokurtosis, fat tailedness and asymmetry features of returns. By employing the analytical characteristic function and fast Fourier transform (FFT) technique, the formula for probability density function (PDF) of TSSV returns is derived, making the analytical formula for foreign equity option (FEO) pricing available. High frequency financial returns data are employed to verify the effectiveness of proposed models in reflecting the stylized facts of financial markets. Numerical analysis is performed to investigate the relationship between the corresponding parameters and the implied volatility of foreign equity option.

Inferring the interplay between network structure and market effects in Bitcoin

NASA Astrophysics Data System (ADS)

Kondor, Dániel; Csabai, István; Szüle, János; Pósfai, Márton; Vattay, Gábor

2014-12-01

A main focus in economics research is understanding the time series of prices of goods and assets. While statistical models using only the properties of the time series itself have been successful in many aspects, we expect to gain a better understanding of the phenomena involved if we can model the underlying system of interacting agents. In this article, we consider the history of Bitcoin, a novel digital currency system, for which the complete list of transactions is available for analysis. Using this dataset, we reconstruct the transaction network between users and analyze changes in the structure of the subgraph induced by the most active users. Our approach is based on the unsupervised identification of important features of the time variation of the network. Applying the widely used method of Principal Component Analysis to the matrix constructed from snapshots of the network at different times, we are able to show how structural changes in the network accompany significant changes in the exchange price of bitcoins.

A path integral approach to asset-liability management

NASA Astrophysics Data System (ADS)

Decamps, Marc; De Schepper, Ann; Goovaerts, Marc

2006-05-01

Functional integrals constitute a powerful tool in the investigation of financial models. In the recent econophysics literature, this technique was successfully used for the pricing of a number of derivative securities. In the present contribution, we introduce this approach to the field of asset-liability management. We work with a representation of cash flows by means of a two-dimensional delta-function perturbation, in the case of a Brownian model and a geometric Brownian model. We derive closed-form solutions for a finite horizon ALM policy. The results are numerically and graphically illustrated.

A Real Options Approach to Valuing the Risk Transfer in a Multi-Year Procurement Contract

DTIC Science & Technology

2009-10-01

asset follows a Brownian motion process where the returns have a lognormal distribution. H. BLACK-SCHOLES MODEL The value of the put option p on...risk in a firm-fixed-price contract. The government also provides interest-free financing that can greatly reduce the amount of capital a contractor...structured finance and credit default swap applications. 8 E. OPTIONS THEORY We will use closed form BS-type option pricing methods to estimate the

Distortionary effects of a production-sharing fiscal system in a sequential modular offshore petroleum project

NASA Astrophysics Data System (ADS)

Neves de Campos, Thiago

This research examines the distortionary effects of a discovered and undeveloped sequential modular offshore project under five different designs for a production-sharing agreement (PSA). The model differs from previous research by looking at the effect of taxation from the perspective of a host government, where the objective is to maximize government utility over government revenue generated by the project and the non-pecuniary benefits to society. This research uses Modern Asset Pricing (MAP) theory, which is able to provide a good measure of the asset value accruing to various stakeholders in the project combined with the optimal decision rule for the development of the investment opportunity. Monte Carlo simulation was also applied to incorporate into the model the most important sources of risk associated with the project and to account for non-linearity in the cash flows. For a complete evaluation of how the fiscal system affects the project development, an investor's behavioral model was constructed, incorporating three operational decisions: investment timing, capacity size and early abandonment. The model considers four sources of uncertainty that affect the project value and the firm's optimal decision: the long run oil price and short-run deviations from that price, cost escalation and the reservoir recovery rate. The optimizations outcomes show that all fiscal systems evaluated produce distortion over the companies' optimal decisions, and companies adjust their choices to avoid taxation in different ways according to the fiscal system characteristics. Moreover, it is revealed that fiscal systems with tax provisions that try to capture additional project profits based on production profitability measures leads to stronger distortions in the project investment and output profile. It is also shown that a model based on a fixed percentage rate is the system that creates the least distortion. This is because companies will be subjected to the same government share of profit oil independently of any operational decision which they can make to change the production profile to evade taxation.

The asset pricing model of musharakah factors

NASA Astrophysics Data System (ADS)

Simon, Shahril; Omar, Mohd; Lazam, Norazliani Md

2015-02-01

The existing three-factor model developed by Fama and French for conventional investment was formulated based on risk-free rates element in which contradict with Shariah principles. We note that the underlying principles that govern Shariah investment were mutual risk and profit sharing between parties, the assurance of fairness for all and that transactions were based on an underlying asset. In addition, the three-factor model did not exclude stock that was not permissible by Shariah such as financial services based on riba (interest), gambling operator, manufacture or sale of non-halal products or related products and other activities deemed non-permissible according to Shariah. Our approach to construct the factor model for Shariah investment was based on the basic tenets of musharakah in tabulating the factors. We start by noting that Islamic stocks with similar characteristics should have similar returns and risks. This similarity between Islamic stocks was defined by the similarity of musharakah attributes such as business, management, profitability and capital. These attributes define factor exposures (or betas) to factors. The main takeaways were that musharakah attributes we chose had explain stock returns well in cross section and were significant in different market environments. The management factor seemed to be responsible for the general dynamics of the explanatory power.

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.

Is flood risk capitalized into real estate market values? : a Mahalanobis-metric matching approach to housing market in Busan, South Korea

NASA Astrophysics Data System (ADS)

Jung, E.; Yoon, H.

2016-12-01

Natural disasters are substantial source of social and economic damage around the globe. The amount of damage is larger when such catastrophe events happen in urbanized areas where the wealth is concentrated. Disasters cause losses in real estate assets, incurring additional cost of repair and maintenance of the properties. For this reason, natural hazard risk such as flooding and landslide is regarded as one of the important determinants of homebuyers' choice and preference. In this research, we aim to reveal whether the past records of flood affect real estate market values in Busan, Korea in 2014, under a hypothesis that homebuyers' perception of natural hazard is reflected on housing values, using the Mahalanobis-metric matching method. Unlike conventionally used hedonic pricing model to estimate capitalization of flood risk into the sales price of properties, the analytical method we adopt here enables inferring causal effects by efficiently controlling for observed/unobserved omitted variable bias. This matching approach pairs each inundated property (treatment variable) with a non-inundated property (control variable) with the closest Mahalanobis distance between them, and comparing their effects on residential property sales price (outcome variable). As a result, we expect price discounts for inundated properties larger than the one for comparable non-inundated properties. This research will be valuable in establishing the mitigation policies of future climate change to relieve the possible negative economic consequences from the disaster by estimating how people perceive and respond to natural hazard. This work was supported by the Korea Environmental Industry and Technology Institute (KEITI) under Grant (No. 2014-001-310007).

A causality between fund performance and stock market

NASA Astrophysics Data System (ADS)

Kim, Ho-Yong; Kwon, Okyu; Oh, Gabjin

2016-02-01

We investigate whether the characteristic fund performance indicators (FPI), such as the fund return, the Net asset value (NAV) and the cash flow, are correlated with the asset price movement using information flows estimated by the Granger causality test. First, we find that the information flow of FPI is most sensitive to extreme events of the Korean stock market, which include negative events such as the sub-prime crisis and the impact of QE (quantitative easing) by the US subprime and Europe financial crisis as well as the positive events of the golden period of Korean Composite Stock Price Index (KOSPI), except for the fund cash flow. Second, both the fund return and the NAV exhibit significant correlations with the KOSPI, whereas the cash flow is not correlated with the stock market. This result suggests that the information resulting from the ability of the fund manager should influence stock market. Finally, during market crisis period, information flows between FPI and the Korean stock market are significantly positively correlated with the market volatility.

78 FR 41423 - Agency Information Collection Activities; Submission for OMB Review; Comment Request; Plan Asset...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-07-10

... Professional Asset Managers Under Prohibited Transaction Class Exemption 84-14 ACTION: Notice. SUMMARY: The... Professional Asset Managers under Prohibited Transaction Class Exemption 84-14,'' to the Office of Management... assets are managed by a qualified professional asset manager (QPAM) that is independent of the parties in...

Linking Financial Market Dynamics and the Impact of News

NASA Astrophysics Data System (ADS)

Nacher, J. C.; Ochiai, T.

2011-09-01

In financial markets, he behavior of investors determines the prices of financial products. However, these investors can also be influenced by good and bad news. Here, we present a mathematical model to reproduce the price dynamics 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 different 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. For comparison with real market, we have used the Forex data corresponding to the time period of the recent Tohoku-Kanto earthquake in Japan.

A study about the existence of the leverage effect in stochastic volatility models

NASA Astrophysics Data System (ADS)

Florescu, Ionuţ; Pãsãricã, Cristian Gabriel

2009-02-01

The empirical relationship between the return of an asset and the volatility of the asset has been well documented in the financial literature. Named the leverage effect or sometimes risk-premium effect, it is observed in real data that, when the return of the asset decreases, the volatility increases and vice versa. Consequently, it is important to demonstrate that any formulated model for the asset price is capable of generating this effect observed in practice. Furthermore, we need to understand the conditions on the parameters present in the model that guarantee the apparition of the leverage effect. In this paper we analyze two general specifications of stochastic volatility models and their capability of generating the perceived leverage effect. We derive conditions for the apparition of leverage effect in both of these stochastic volatility models. We exemplify using stochastic volatility models used in practice and we explicitly state the conditions for the existence of the leverage effect in these examples.

Cuba Country Analysis Brief

EIA Publications

2016-01-01

Cuba imports the majority of their energy needs, but offshore oil and gas potential could help mitigate their reliance imports. Cuba has entered into many agreements with various countries to help with exploration and drilling efforts. As a result of the ongoing U.S. trade embargo against Cuba, U.S. companies are unable to own any Cuban oil assets. However, U.S. oil companies are allowed to participate in drilling as well as sending technology and supplies with an executive license. While there is interest in Cuban offshore assets, the combination of low oil prices and technically challenging fields could be stumbling blocks for foreign investment.

75 FR 80675 - Home Mortgage Disclosure

Federal Register 2010, 2011, 2012, 2013, 2014

2010-12-23

...The Board is publishing a final rule amending the staff commentary that interprets the requirements of Regulation C (Home Mortgage Disclosure). The staff commentary is amended to increase the asset-size exemption threshold for depository institutions based on the annual percentage change in the Consumer Price Index for Urban Wage Earners and Clerical Workers (CPIW). The adjustment from $39 million to $40 million reflects the increase of that index by 2.21 percent during the twelve-month period ending in November 2010. Thus, depository institutions with assets of $40 million or less as of December 31, 2010 are exempt from collecting data in 2011.

Speculation on commodities futures markets and destabilization of global food prices: exploring the connections.

PubMed

Ghosh, Jayati; Heintz, James; Pollin, Robert

2012-01-01

In December 2010, the United Nations Food and Agriculture Organization's Food Price Index surpassed its previous peak of June 2008, and prices remained at this level through September 2011. This pattern is creating justified fears of a renewal or intensification of the global food crisis. This paper reviews arguments and evidence to inform debates on how to regulate commodity futures markets in the face of such price volatility and sustained high prices. We focus on the relationship between market liquidity and price patterns in asset markets in general and in commodities futures markets in particular, as well as the relationship between spot and futures market prices for food. We find strong evidence supporting the need to limit huge increases in trading volume on futures markets through regulations. We find that arguments opposing regulation are not supported. We find no support for the claim that liquidity in futures markets stabilizes prices at "fundamental" values or that spot market prices are free of any significant influence from futures markets. Given these results, the most appropriate position for regulators is precautionary: they should enact and enforce policies capable of effectively dampening excessive speculative trading on the commodities markets for food.

Wavelet methods for Black-Scholes model of one and two assets

NASA Astrophysics Data System (ADS)

Al-Lawatia, M.

2012-07-01

A review of application of wavelet methods to Black-Scholes model of option pricing technology along wih some new results is presented. This paper is essentially based on interesting papers; Bouchouev and Isakov [8], Bouchouev, Isakov and Valadivia [9] and Shen and Strang [40].

77 FR 74549 - Submission for OMB Review; Comment Request

Federal Register 2010, 2011, 2012, 2013, 2014

2012-12-14

... allocation of the purchase price among the transferred assets. Affected Public: Private Sector: Businesses or... Transactions With Foreign Trusts and on Large Foreign Gifts. Abstract: This notice provides guidance on the foreign trust and foreign gift information reporting provisions contained in the Small Business Job...

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.

Arbitrage model for optimal capital transactions in petroleum reserves

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

Ten Eyck, D.K.

1986-01-01

This dissertation provides a methodology for identifying price differentials in the market for petroleum reserves, enabling petroleum-producing firms to engage in a variation of classical arbitrage. This approach enables the petroleum-producing firm to evaluate and rank reserve-replacement projects from the three principal sources listed below in order to maximize the return on invested capital. The methodology is based on the discounted cash flow approach to valuation of the oil and gas reserves obtained (1) by exploration, (2) by direct purchase of reserves, and (3) by acquisition of an entire petroleum firm. The reserve-replacement projects are evaluated and ranked to determinemore » an optimal portfolio of reserve-replacement projects. Cost per barrel alone is shown to be ineffective as an evaluation tool because it may lead to economic decisions that do not maximize the value of the firm. When used with other economic decision criteria, cost per barrel is useful as a downside economic indicator by showing which projects will fare better under unfavorable price scenarios. Important factors affecting the valuation of an acquisition (in addition to the oil and gas reserves) are shown by this study to be purchase price, other assets including cash, future tax savings from operating losses carried forward, and liabilities, primarily long-term debt.« less

On CAPM and Black-Scholes differing risk-return strategies

NASA Astrophysics Data System (ADS)

McCauley, Joseph L.; Gunaratne, Gemunu H.

2003-11-01

In their path-finding 1973 paper, Black and Scholes presented two separate derivations of their famous option pricing partial differential equation. The second derivation was from the standpoint that was Black's original motivation, namely, the capital asset pricing model (CAPM). We show here, in contrast, that the option valuation is not uniquely determined; in particular, strategies based on the delta-hedge and CAPM provide different valuations of an option although both hedges are instantaneouly riskfree. Second, we show explicitly that CAPM is not, as economists claim, an equilibrium theory.

Cost of capital to the hospital sector.

PubMed

Sloan, F A; Valvona, J; Hassan, M; Morrisey, M A

1988-03-01

This paper provides estimates of the cost of equity and debt capital to for-profit and non-profit hospitals in the U.S. for the years 1972-83. The cost of equity is estimated using, alternatively, the Capital Asset Pricing Model and Arbitrage Pricing Theory. We find that the cost of equity capital, using either model, substantially exceeded anticipated inflation. The cost of debt capital was much lower. Accounting for the corporate tax shield on debt and capital paybacks by cost-based insurers lowered the net cost of capital to hospitals.

77 FR 76839 - Home Mortgage Disclosure (Regulation C): Adjustment To Asset-Size Exemption Threshold

Federal Register 2010, 2011, 2012, 2013, 2014

2012-12-31

...The Bureau of Consumer Financial Protection (Bureau) is publishing a final rule amending the official commentary that interprets the requirements of the Bureau's Regulation C (Home Mortgage Disclosure) to reflect a change in the asset-size exemption threshold for banks, savings associations, and credit unions based on the annual percentage change in the Consumer Price Index for Urban Wage Earners and Clerical Workers (CPI-W). The exemption threshold is adjusted to increase to $42 million from $41 million. The adjustment is based on the 2.23 percent increase in the average of the CPI-W for the 12-month period ending in November 2012. Therefore, banks, savings associations, and credit unions with assets of $42 million or less as of December 31, 2012, are exempt from collecting data in 2013.

78 FR 79285 - Home Mortgage Disclosure (Regulation C): Adjustment to Asset-Size Exemption Threshold

Federal Register 2010, 2011, 2012, 2013, 2014

2013-12-30

...The Bureau of Consumer Financial Protection (Bureau) is publishing a final rule amending the official commentary that interprets the requirements of the Bureau's Regulation C (Home Mortgage Disclosure) to reflect a change in the asset-size exemption threshold for banks, savings associations, and credit unions based on the annual percentage change in the Consumer Price Index for Urban Wage Earners and Clerical Workers (CPI-W). The exemption threshold is adjusted to increase to $43 million from $42 million. The adjustment is based on the 1.4 percent increase in the average of the CPI-W for the 12-month period ending in November 2013. Therefore, banks, savings associations, and credit unions with assets of $43 million or less as of December 31, 2013, are exempt from collecting data in 2014.

Estimating inpatient hospital prices from state administrative data and hospital financial reports.

PubMed

Levit, Katharine R; Friedman, Bernard; Wong, Herbert S

2013-10-01

To develop a tool for estimating hospital-specific inpatient prices for major payers. AHRQ Healthcare Cost and Utilization Project State Inpatient Databases and complete hospital financial reporting of revenues mandated in 10 states for 2006. Hospital discharge records and hospital financial information were merged to estimate revenue per stay by payer. Estimated prices were validated against other data sources. Hospital prices can be reasonably estimated for 10 geographically diverse states. All-payer price-to-charge ratios, an intermediate step in estimating prices, compare favorably to cost-to-charge ratios. Estimated prices also compare well with Medicare, MarketScan private insurance, and the Medical Expenditure Panel Survey prices for major payers, given limitations of each dataset. Public reporting of prices is a consumer resource in making decisions about health care treatment; for self-pay patients, they can provide leverage in negotiating discounts off of charges. Researchers can also use prices to increase understanding of the level and causes of price differentials among geographic areas. Prices by payer expand investigational tools available to study the interaction of inpatient hospital price setting among public and private payers--an important asset as the payer mix changes with the implementation of the Affordable Care Act. © Published 2013. This article is a U.S. Government work and is in the public domain in the USA.

7 CFR 766.104 - Borrower eligibility requirements.

Code of Federal Regulations, 2010 CFR

2010-01-01

... economic conditions such as low commodity prices; (iv) Damage or destruction of property essential to the farming operation; or (v) Loss of, or reduction in, the borrower or spouse's essential non-farm income. (2) The borrower does not have non-essential assets for which the net recovery value is sufficient to...

12 CFR 615.5131 - Definitions.

Code of Federal Regulations, 2013 CFR

2013-01-01

... economic value of an individual instrument, a portfolio, or the entire institution. (h) Mortgage securities... because the value of your holdings may decline if interest rates or market prices change. Exposure to... “asset-backed securities (ABS)” and adding in its place the words “this section”; and adding in...

Exchange Rates and Fundamentals.

ERIC Educational Resources Information Center

Engel, Charles; West, Kenneth D.

2005-01-01

We show analytically that in a rational expectations present-value model, an asset price manifests near-random walk behavior if fundamentals are I (1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well-known puzzle that fundamental variables such as relative money supplies, outputs,…

Cryptocurrency price drivers: Wavelet coherence analysis revisited

PubMed Central

2018-01-01

Cryptocurrencies have experienced recent surges in interest and price. It has been discovered that there are time intervals where cryptocurrency prices and certain online and social media factors appear related. In addition it has been noted that cryptocurrencies are prone to experience intervals of bubble-like price growth. The hypothesis investigated here is that relationships between online factors and price are dependent on market regime. In this paper, wavelet coherence is used to study co-movement between a cryptocurrency price and its related factors, for a number of examples. This is used alongside a well-known test for financial asset bubbles to explore whether relationships change dependent on regime. The primary finding of this work is that medium-term positive correlations between online factors and price strengthen significantly during bubble-like regimes of the price series; this explains why these relationships have previously been seen to appear and disappear over time. A secondary finding is that short-term relationships between the chosen factors and price appear to be caused by particular market events (such as hacks / security breaches), and are not consistent from one time interval to another in the effect of the factor upon the price. In addition, for the first time, wavelet coherence is used to explore the relationships between different cryptocurrencies. PMID:29668765

Cryptocurrency price drivers: Wavelet coherence analysis revisited.

PubMed

Phillips, Ross C; Gorse, Denise

2018-01-01

Cryptocurrencies have experienced recent surges in interest and price. It has been discovered that there are time intervals where cryptocurrency prices and certain online and social media factors appear related. In addition it has been noted that cryptocurrencies are prone to experience intervals of bubble-like price growth. The hypothesis investigated here is that relationships between online factors and price are dependent on market regime. In this paper, wavelet coherence is used to study co-movement between a cryptocurrency price and its related factors, for a number of examples. This is used alongside a well-known test for financial asset bubbles to explore whether relationships change dependent on regime. The primary finding of this work is that medium-term positive correlations between online factors and price strengthen significantly during bubble-like regimes of the price series; this explains why these relationships have previously been seen to appear and disappear over time. A secondary finding is that short-term relationships between the chosen factors and price appear to be caused by particular market events (such as hacks / security breaches), and are not consistent from one time interval to another in the effect of the factor upon the price. In addition, for the first time, wavelet coherence is used to explore the relationships between different cryptocurrencies.

Applying the partitioned multiobjective risk method (PMRM) to portfolio selection.

PubMed

Reyes Santos, Joost; Haimes, Yacov Y

2004-06-01

The analysis of risk-return tradeoffs and their practical applications to portfolio analysis paved the way for Modern Portfolio Theory (MPT), which won Harry Markowitz a 1992 Nobel Prize in Economics. A typical approach in measuring a portfolio's expected return is based on the historical returns of the assets included in a portfolio. On the other hand, portfolio risk is usually measured using volatility, which is derived from the historical variance-covariance relationships among the portfolio assets. This article focuses on assessing portfolio risk, with emphasis on extreme risks. To date, volatility is a major measure of risk owing to its simplicity and validity for relatively small asset price fluctuations. Volatility is a justified measure for stable market performance, but it is weak in addressing portfolio risk under aberrant market fluctuations. Extreme market crashes such as that on October 19, 1987 ("Black Monday") and catastrophic events such as the terrorist attack of September 11, 2001 that led to a four-day suspension of trading on the New York Stock Exchange (NYSE) are a few examples where measuring risk via volatility can lead to inaccurate predictions. Thus, there is a need for a more robust metric of risk. By invoking the principles of the extreme-risk-analysis method through the partitioned multiobjective risk method (PMRM), this article contributes to the modeling of extreme risks in portfolio performance. A measure of an extreme portfolio risk, denoted by f(4), is defined as the conditional expectation for a lower-tail region of the distribution of the possible portfolio returns. This article presents a multiobjective problem formulation consisting of optimizing expected return and f(4), whose solution is determined using Evolver-a software that implements a genetic algorithm. Under business-as-usual market scenarios, the results of the proposed PMRM portfolio selection model are found to be compatible with those of the volatility-based model. However, under extremely unfavorable market conditions, results indicate that f(4) can be a more valid measure of risk than volatility.

Multifractal analysis of implied volatility in index options

NASA Astrophysics Data System (ADS)

Oh, GabJin

2014-06-01

In this paper, we analyze the statistical and the non-linear properties of the log-variations in implied volatility for the CAC40, DAX and S& P500 daily index options. The price of an index option is generally represented by its implied volatility surface, including its smile and skew properties. We utilize a Lévy process model as the underlying asset to deepen our understanding of the intrinsic property of the implied volatility in the index options and estimate the implied volatility surface. We find that the options pricing models with the exponential Lévy model can reproduce the smile or sneer features of the implied volatility that are observed in real options markets. We study the variation in the implied volatility for at-the-money index call and put options, and we find that the distribution function follows a power-law distribution with an exponent of 3.5 ≤ γ ≤ 4.5. Especially, the variation in the implied volatility exhibits multifractal spectral characteristics, and the global financial crisis has influenced the complexity of the option markets.

A unified econophysics explanation for the power-law exponents of stock market activity

NASA Astrophysics Data System (ADS)

Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki; Stanley, Eugene

2007-08-01

We survey a theory (first sketched in Nature in 2003, then fleshed out in the Quarterly Journal of Economics in 2006) of the economic underpinnings of the fat-tailed distributions of a number of financial variables, such as returns and trading volume. Our theory posits that they have a common origin in the strategic trading behavior of very large financial institutions in a relatively illiquid market. We show how the fat-tailed distribution of fund sizes can indeed generate extreme returns and volumes, even in the absence of fundamental news. Moreover, we are able to replicate the individually different empirical values of the power-law exponents for each distribution: 3 for returns, 3/2 for volumes, 1 for the assets under management of large investors. Large investors moderate their trades to reduce their price impact; coupled with a concave price impact function, this leads to volumes being more fat-tailed than returns but less fat-tailed than fund sizes. The trades of large institutions also offer a unified explanation for apparently disconnected empirical regularities that are otherwise a challenge for economic theory.

Estimation of the Continuous and Discontinuous Leverage Effects

PubMed Central

Aït-Sahalia, Yacine; Fan, Jianqing; Laeven, Roger J. A.; Wang, Christina Dan; Yang, Xiye

2017-01-01

This paper examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Itô semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate them. We establish the asymptotic properties of these estimators. We also extend our methods and results (for the continuous leverage) to the situation where there is market microstructure noise in the observed returns. We show in Monte Carlo simulations that our estimators have good finite sample performance. When applying our methods to real data, our empirical results provide convincing evidence of the presence of the two leverage effects, especially the discontinuous one. PMID:29606780

Estimation of the Continuous and Discontinuous Leverage Effects.

PubMed

Aït-Sahalia, Yacine; Fan, Jianqing; Laeven, Roger J A; Wang, Christina Dan; Yang, Xiye

2017-01-01

This paper examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Itô semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate them. We establish the asymptotic properties of these estimators. We also extend our methods and results (for the continuous leverage) to the situation where there is market microstructure noise in the observed returns. We show in Monte Carlo simulations that our estimators have good finite sample performance. When applying our methods to real data, our empirical results provide convincing evidence of the presence of the two leverage effects, especially the discontinuous one.

The quotient of normal random variables and application to asset price fat tails

NASA Astrophysics Data System (ADS)

Caginalp, Carey; Caginalp, Gunduz

2018-06-01

The quotient of random variables with normal distributions is examined and proven to have power law decay, with density f(x) ≃f0x-2, with the coefficient depending on the means and variances of the numerator and denominator and their correlation. We also obtain the conditional probability densities for each of the four quadrants given by the signs of the numerator and denominator for arbitrary correlation ρ ∈ [ - 1 , 1) . For ρ = - 1 we obtain a particularly simple closed form solution for all x ∈ R. The results are applied to a basic issue in economics and finance, namely the density of relative price changes. Classical finance stipulates a normal distribution of relative price changes, though empirical studies suggest a power law at the tail end. By considering the supply and demand in a basic price change model, we prove that the relative price change has density that decays with an x-2 power law. Various parameter limits are established.

CAPITAL FLOWS, CONSUMPTION BOOMS AND ASSET BUBBLES: A BEHAVIOURAL ALTERNATIVE TO THE SAVINGS GLUT HYPOTHESIS

PubMed Central

Laibson, David; Mollerstrom, Johanna

2012-01-01

Bernanke (2005) hypothesized that a “global savings glut” was causing large trade imbalances. However, we show that the global savings rates did not show a robust upward trend during the relevant period. Moreover, if there had been a global savings glut there should have been a large investment boom in the countries that imported capital. Instead, those countries experienced consumption booms. National asset bubbles explain the international imbalances. The bubbles raised consumption, resulting in large trade deficits. In a sample of 18 OECD countries plus China, movements in home prices alone explain half of the variation in trade deficits. PMID:23750045

77 FR 17530 - Proposed Collection; Comment Request

Federal Register 2010, 2011, 2012, 2013, 2014

2012-03-26

... purchase price is accompanied or preceded by a written confirmation of the purchase; (ii) the asset coverage per unit of the security to be purchased is disclosed to the seller or his agent; and (iii) if the security is a stock, the fund has, within the preceding six months, informed stockholders of its intention...

77 FR 37706 - Agency Information Collection Activities: 30-Day Notice of Intention To Request Clearance of...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-06-22

... purchase price is attributable either directly or indirectly to such assets, the transaction may not be... DEPARTMENT OF THE INTERIOR National Park Service [NPS-BSD-CONC-10370; 2410-OYC] Agency Information Collection Activities: 30-Day Notice of Intention To Request Clearance of Collection of Information...

The Spillover of Systemic Ethical Behaviour

ERIC Educational Resources Information Center

Canadas, Alejandro

2010-01-01

The current financial crisis not only brought us high levels of unemployment, abrupt international disruption in economic growth, disinflation of assets prices and a dry up in the credit markets, among many other things; but it also brought us a crisis in the theory of economics and finance. Even though, a discussion concerning "a crisis in the…

75 FR 20028 - Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting Accelerated Approval of Proposed...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-04-16

... a ``neutral'' investment strategy intended to track the changes in the price of the Benchmark... regarding the Units, USBO, the investment objective, policies, investment strategies, accountability levels... at the same time. \\6\\ 17 CFR 240.10A-3. The net assets of USBO will consist primarily of investments...

26 CFR 1.642(c)-5 - Definition of pooled income fund.

Code of Federal Regulations, 2010 CFR

2010-04-01

... contribution to the fund or of the purchase price of those assets purchased by the fund. This definition of... the income interest is designated, such beneficiaries may enjoy their shares of income concurrently... beneficiaries to whom the income is payable and the share of income distributable to each person so specified...

76 FR 78594 - Reporting of Specified Foreign Financial Assets

Federal Register 2010, 2011, 2012, 2013, 2014

2011-12-19

... Reporting of Specified Foreign Financial Assets AGENCY: Internal Revenue Service (IRS), Treasury. ACTION... foreign financial assets and the value of those assets is more than the applicable reporting threshold... hold specified foreign financial assets generally will be excepted from reporting such assets under...

An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran

NASA Astrophysics Data System (ADS)

Abounoori, Esmaiel; Shahrazi, Mahdi; Rasekhi, Saeed

2012-06-01

The efficient market hypothesis (EMH) states that asset prices fully reflect all available information. As a result, speculators cannot predict the future behavior of asset prices and earn excess profits at least after adjusting for risk. Although initial tests of the EMH were performed on stock market data, the EMH was soon applied to other markets including foreign exchange (FX). This study uses the detrended fluctuation analysis (DFA) technique to test 01:12:2005-18:04:2010 Iranian Rial/US Dollar exchange rate time series data to see if it can be explained by the weak form of the EMH. Moreover, to determine changes in the degree of inefficiency over time, the whole period has been divided into four subperiods. The study shows that the Iranian Forex market (the Rial/Dollar case) is weak-form inefficient over the whole period and in each of the subperiods. However, the degree of inefficiency is not constant over time. The findings suggest that profitable risk-adjusted trades could be made using past data.

Stochastic modelling of non-stationary financial assets

NASA Astrophysics Data System (ADS)

Estevens, Joana; Rocha, Paulo; Boto, João P.; Lind, Pedro G.

2017-11-01

We model non-stationary volume-price distributions with a log-normal distribution and collect the time series of its two parameters. The time series of the two parameters are shown to be stationary and Markov-like and consequently can be modelled with Langevin equations, which are derived directly from their series of values. Having the evolution equations of the log-normal parameters, we reconstruct the statistics of the first moments of volume-price distributions which fit well the empirical data. Finally, the proposed framework is general enough to study other non-stationary stochastic variables in other research fields, namely, biology, medicine, and geology.

Stochastic differential game formulation on the reinsurance and investment problem

NASA Astrophysics Data System (ADS)

Li, Danping; Rong, Ximin; Zhao, Hui

2015-09-01

This paper focuses on a stochastic differential game between two insurance companies, a big one and a small one. The big company has sufficient asset to invest in a risk-free asset and a risky asset and is allowed to purchase proportional reinsurance or acquire new business, and the small company can transfer part of the risk to a reinsurer via proportional reinsurance. The game studied here is zero-sum, where the big company is trying to maximise the expected exponential utility of the difference between two insurance companies' surpluses at the terminal time to keep its advantage on surplus, while simultaneously the small company is trying to minimise the same quantity to reduce its disadvantage. Particularly, the relationships between the surplus processes and the price process of the risky asset are considered. By applying stochastic control theory, we provide and prove the verification theorem and obtain the Nash equilibrium strategy of the game, explicitly. Furthermore, numerical simulations are presented to illustrate the effects of parameters on the equilibrium strategy as well as the economic meanings behind.

Three essays on resource economics. Demand systems for energy forecasting: Practical considerations for estimating a generalized logit model, To borrow or not to borrow: A variation on the MacDougal-Kemp theme, and, Valuing reduced risk for households with children or the retired

NASA Astrophysics Data System (ADS)

Weng, Weifeng

This thesis presents papers on three areas of study within resource and environmental economics. "Demand Systems For Energy Forecasting" provides some practical considerations for estimating a Generalized Logit model. The main reason for using this demand system for energy and other factors is that the derived price elasticities are robust when expenditure shares are small. The primary objective of the paper is to determine the best form of the cross-price weights, and a simple inverse function of the expenditure share is selected. A second objective is to demonstrate that the estimated elasticities are sensitive to the units specified for the prices, and to show how price scales can be estimated as part of the model. "To Borrow or Not to Borrow: A Variation on the MacDougal-Kemp Theme" studies the impact of international capital movements on the conditional convergence of economies differing from each other only in initial wealth. We found that in assets, income, consumption and utility, convergence obtains, with and only with, the absence of international capital movement. When a rich country invests in a poor country, the balance of debt increases forever. Asset ownership is increased in all periods for the lender, and asset ownership of the borrower is deceased. Also, capital investment decreases the lender's utility for early periods, but increases it forever after a cross-over point. In contrast, the borrower's utility increases for early periods, but then decreases forever. "Valuing Reduced Risk for Households with Children or the Retired" presents a theoretical model of how families value risk and then exams family automobile purchases to impute the average Value of a Statistical Life (VSL) for each type of family. Data for fatal accidents are used to estimate survival rates for individuals in different types of accidents, and the probabilities of having accidents for different types of vehicle. These models are used to determine standardized risks for vehicles in hedonic models of the purchase price and fuel efficiency. The hedonic models determine the marginal capital and operating costs of reducing the risk of mortality. We find that households with children are valued much more highly than the average VSL of $2 million, and households with seniors are valued less than average.

48 CFR 9904.417 - Cost of money as an element of the cost of capital assets under construction.

Code of Federal Regulations, 2010 CFR

2010-10-01

... element of the cost of capital assets under construction. 9904.417 Section 9904.417 Federal Acquisition Regulations System COST ACCOUNTING STANDARDS BOARD, OFFICE OF FEDERAL PROCUREMENT POLICY, OFFICE OF MANAGEMENT... of money as an element of the cost of capital assets under construction. ...

Large deviations and portfolio optimization

NASA Astrophysics Data System (ADS)

Sornette, Didier

Risk control and optimal diversification constitute a major focus in the finance and insurance industries as well as, more or less consciously, in our everyday life. We present a discussion of the characterization of risks and of the optimization of portfolios that starts from a simple illustrative model and ends by a general functional integral formulation. A major item is that risk, usually thought of as one-dimensional in the conventional mean-variance approach, has to be addressed by the full distribution of losses. Furthermore, the time-horizon of the investment is shown to play a major role. We show the importance of accounting for large fluctuations and use the theory of Cramér for large deviations in this context. We first treat a simple model with a single risky asset that exemplifies the distinction between the average return and the typical return and the role of large deviations in multiplicative processes, and the different optimal strategies for the investors depending on their size. We then analyze the case of assets whose price variations are distributed according to exponential laws, a situation that is found to describe daily price variations reasonably well. Several portfolio optimization strategies are presented that aim at controlling large risks. We end by extending the standard mean-variance portfolio optimization theory, first within the quasi-Gaussian approximation and then using a general formulation for non-Gaussian correlated assets in terms of the formalism of functional integrals developed in the field theory of critical phenomena.

A multidimensional subdiffusion model: An arbitrage-free market

NASA Astrophysics Data System (ADS)

Li, Guo-Hua; Zhang, Hong; Luo, Mao-Kang

2012-12-01

To capture the subdiffusive characteristics of financial markets, the subordinated process, directed by the inverse α-stale subordinator Sα(t) for 0 < α < 1, has been employed as the model of asset prices. In this article, we introduce a multidimensional subdiffusion model that has a bond and K correlated stocks. The stock price process is a multidimensional subdiffusion process directed by the inverse α-stable subordinator. This model describes the period of stagnation for each stock and the behavior of the dependency between multiple stocks. Moreover, we derive the multidimensional fractional backward Kolmogorov equation for the subordinated process using the Laplace transform technique. Finally, using a martingale approach, we prove that the multidimensional subdiffusion model is arbitrage-free, and also gives an arbitrage-free pricing rule for contingent claims associated with the martingale measure.

Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis

NASA Astrophysics Data System (ADS)

Střelec, Luboš

2011-09-01

The weak form of the efficient markets hypothesis states that prices incorporate only past information about the asset. An implication of this form of the efficient markets hypothesis is that one cannot detect mispriced assets and consistently outperform the market through technical analysis of past prices. One of possible formulations of the efficient market hypothesis used for weak form tests is that share prices follow a random walk. It means that returns are realizations of IID sequence of random variables. Consequently, for verifying the weak form of the efficient market hypothesis, we can use distribution tests, among others, i.e. some tests of normality and/or some graphical methods. Many procedures for testing the normality of univariate samples have been proposed in the literature [7]. Today the most popular omnibus test of normality for a general use is the Shapiro-Wilk test. The Jarque-Bera test is the most widely adopted omnibus test of normality in econometrics and related fields. In particular, the Jarque-Bera test (i.e. test based on the classical measures of skewness and kurtosis) is frequently used when one is more concerned about heavy-tailed alternatives. As these measures are based on moments of the data, this test has a zero breakdown value [2]. In other words, a single outlier can make the test worthless. The reason so many classical procedures are nonrobust to outliers is that the parameters of the model are expressed in terms of moments, and their classical estimators are expressed in terms of sample moments, which are very sensitive to outliers. Another approach to robustness is to concentrate on the parameters of interest suggested by the problem under this study. Consequently, novel robust testing procedures of testing normality are presented in this paper to overcome shortcomings of classical normality tests in the field of financial data, which are typical with occurrence of remote data points and additional types of deviations from normality. This study also discusses some results of simulation power studies of these tests for normality against selected alternatives. Based on outcome of the power simulation study, selected normality tests were consequently used to verify weak form of efficiency in Central Europe stock markets.

Optimal investment horizons

NASA Astrophysics Data System (ADS)

Simonsen, I.; Jensen, M. H.; Johansen, A.

2002-06-01

In stochastic finance, one traditionally considers the return as a competitive measure of an asset, i.e., the profit generated by that asset after some fixed time span Δt, say one week or one year. This measures how well (or how bad) the asset performs over that given period of time. It has been established that the distribution of returns exhibits ``fat tails'' indicating that large returns occur more frequently than what is expected from standard Gaussian stochastic processes [1-3]. Instead of estimating this ``fat tail'' distribution of returns, we propose here an alternative approach, which is outlined by addressing the following question: What is the smallest time interval needed for an asset to cross a fixed return level of say 10%? For a particular asset, we refer to this time as the investment horizon and the corresponding distribution as the investment horizon distribution. This latter distribution complements that of returns and provides new and possibly crucial information for portfolio design and risk-management, as well as for pricing of more exotic options. By considering historical financial data, exemplified by the Dow Jones Industrial Average, we obtain a novel set of probability distributions for the investment horizons which can be used to estimate the optimal investment horizon for a stock or a future contract.

76 FR 52363 - Tortoise Power and Energy Infrastructure Fund, Inc. and Tortoise Capital Advisors, L.L.C.; Notice...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-08-22

... relation to market price and net asset value (``NAV'') per common share) and the relationship between the... relation to NAV per share). Applicants state that the Independent Directors also considered what conflicts... appropriate in the public interest and consistent with the protection of investors and the purposes fairly...

26 CFR 1.246-5 - Reduction of holding periods in certain situations.

Code of Federal Regulations, 2012 CFR

2012-04-01

... hold gold as their primary asset, and historically changes in the fair market value of Corporation C..., property is substantially similar or related to stock when— (i) The fair market values of the stock and the... prices, or foreign-currency exchange rates; and (ii) Changes in the fair market value of the stock are...

26 CFR 1.246-5 - Reduction of holding periods in certain situations.

Code of Federal Regulations, 2013 CFR

2013-04-01

... hold gold as their primary asset, and historically changes in the fair market value of Corporation C..., property is substantially similar or related to stock when— (i) The fair market values of the stock and the... prices, or foreign-currency exchange rates; and (ii) Changes in the fair market value of the stock are...

26 CFR 1.246-5 - Reduction of holding periods in certain situations.

Code of Federal Regulations, 2014 CFR

2014-04-01

... hold gold as their primary asset, and historically changes in the fair market value of Corporation C..., property is substantially similar or related to stock when— (i) The fair market values of the stock and the... prices, or foreign-currency exchange rates; and (ii) Changes in the fair market value of the stock are...

77 FR 47131 - Self-Regulatory Organizations; NYSE Arca, Inc.; Order Granting Approval of Proposed Rule Change...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-08-07

... exercised or assigned, the writer of the option is obligated to purchase the requisite amount of the asset... put option segregates an amount of cash or cash equivalents sufficient to cover the purchase price of... when the seller executes a closing purchase transaction with respect to such option. All put options...

17 CFR 229.904 - (Item 904) Risk factors and other considerations.

Code of Federal Regulations, 2010 CFR

2010-04-01

... 1934 AND ENERGY POLICY AND CONSERVATION ACT OF 1975-REGULATION S-K Roll-Up Transactions § 229.904 (Item... successor received by investors in the roll-up transaction will trade in the securities markets at a price... assets of the successor, and the effects on investors of such a trading market discount. (b) Quantify...

Information Integration for Concurrent Engineering (IICE) IDEF3 Process Description Capture Method Report

DTIC Science & Technology

1992-05-01

methodology, knowledge acquisition, 140 requirements definition, information systems, information engineering, 16. PRICE CODE systems engineering...and knowledge resources. Like manpower, materials, and machines, information and knowledge assets are recognized as vital resources that can be...evolve towards an information -integrated enterprise. These technologies are designed to leverage information and knowledge resources as the key

Refinery buyers and sellers hunt cash

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

Gill, D.

1995-07-01

There`s a high-risk premium in the petroleum refining business today. The ability to transfer assets is viewed with a high degree of skepticism, and capital is not freely available. There are willing buyers and sellers for refinery assets today, but it is tough to qualify for a loan. Private financing also was responsible for a refinery deal that closed recently - the sale of Kerr-McGee`s 100,000-b/d unit in Corpus Christi, Texas. After nearly 3 years on the market, this unit was finally bought by a deep-pocketed private firm, Koch Industries of Wichita, Kan. The purchase price has not been disclosed,more » but it was probably not rich.« less

Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets

NASA Astrophysics Data System (ADS)

Zeng, Yan; Li, Zhongfei; Wu, Huiling

2013-03-01

This article considers an investor who has an exogenous cash flow evolving according to a Lévy process and invests in a financial market consisting of only risky assets, whose prices are governed by exponential Lévy processes. Two continuous-time portfolio selection problems are studied for the investor. One is a benchmark problem, and the other is a mean-variance problem. The first problem is solved by adopting the stochastic dynamic programming approach, and the obtained results are extended to the second problem by employing the duality theory. Closed-form solutions of these two problems are derived. Some existing results are found to be special cases of our results.

Thermal and nuclear power plants: Competitiveness in the new economic conditions

NASA Astrophysics Data System (ADS)

Aminov, R. Z.; Shkret, A. F.; Garievskii, M. V.

2017-05-01

In recent years, the conditions of development and functionality of power generating assets have notably changed. Considering the decline in the price of hydrocarbon fuel on the global market, the efficiency of combined-cycle gas-turbine plants in the European part of Russia is growing in comparison with nuclear power plants. Capital investments in the construction of nuclear power plants have also increased as a result of stiffening the safety requirements. In view of this, there has been an increasing interest in exploration of effective lines of development of generating assets in the European part of Russia, taking consideration of the conditions that may arise in the nearest long-term perspective. In particular, the assessment of comparative efficiency of developing combined-cycle gas-turbine plants (operating on natural gas) in the European part of Russia and nuclear power plants is of academic and practical interest. In this article, we analyze the trends of changes in the regional price of hydrocarbon fuel. Using the prognosis of net-weighted import prices of natural gas in Western European countries—prepared by the International Energy Agency (IEA) and the Energy Research Institute of the Russian Academy of Sciences (ERIRAS)—the prices of natural gas in the European part of Russia equilibrated with import prices of this heat carrier in Western Europe were determined. The methodology of determining the comparative efficiency of combined-cycle gas turbine plants (CCGT) and nuclear power plants (NPP) were described; based on this, the possible development of basic CCGTs and NPPs with regard to the European part of Russia for various scenarios in the prognosis of prices of gaseous fuel in a broad range of change of specific investments in the given generating sources were assessed, and the extents of their comparative efficiency were shown. It was proven that, at specific investments in the construction of new NPPs in the amount of 5000 dollars/kW, nuclear power plants in the European part of Russia become less efficient as compared to CCGTs operating on natural gas.

Strategic positioning. Part 2: Positioning challenges in an evolving health care marketplace.

PubMed

Kauer, R T; Berkowitz, E

1997-01-01

Why is strategic positioning so important to health care organizations struggling in a managed care environment and what are the sources of value? In Part 1 of this article, entitled "The Sources of Value under Managed Care," the authors presented four sources of value relative to the evolution of the market from fee-for-service to managed care. These value sources are: (1) assets, (2) price/performance, (3) distribution, and, ultimately, (4) capabilities and brand equity. In this article, the authors further elaborate on the sources of value as the market moves beyond the historical fee-for-service position to a managed care marketplace. Part 2 presents the marketing and financial challenges to organizational positioning and performance across the four stages of managed care.

17 CFR 275.203A-1 - Eligibility for SEC registration; switching to or from SEC registration.

Code of Federal Regulations, 2010 CFR

2010-04-01

... adviser statute, you are not required to register with the Commission, unless: (i) You have assets under... investment adviser statute, you may register with the Commission if you have assets under management of at... updating amendment to your Form ADV reporting that you have at least $30 million of assets under management...

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.

Algorithmic Trading with Developmental and Linear Genetic Programming

NASA Astrophysics Data System (ADS)

Wilson, Garnett; Banzhaf, Wolfgang

A developmental co-evolutionary genetic programming approach (PAM DGP) and a standard linear genetic programming (LGP) stock trading systemare applied to a number of stocks across market sectors. Both GP techniques were found to be robust to market fluctuations and reactive to opportunities associated with stock price rise and fall, with PAMDGP generating notably greater profit in some stock trend scenarios. Both algorithms were very accurate at buying to achieve profit and selling to protect assets, while exhibiting bothmoderate trading activity and the ability to maximize or minimize investment as appropriate. The content of the trading rules produced by both algorithms are also examined in relation to stock price trend scenarios.

NBER working paper series: oil and the dollar. Working Paper No. 554

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

Krugman, P.

1980-01-01

This paper develops a simple theoretical model of the effect of an oil price increase on exchange rates. The model shows that the direction of this effect depends on a comparison of the direct balance of payments burden of the higher oil price with the indirect balance of payments benefits of OPEC spending and investment. In the short run, what matters is whether the US share of world oil imports is more or less than its share of OPEC asset holdings; in the long run, whether its share of oil imports is more or less than its share of OPECmore » imports. Casual empiricism suggests that the initial effect and the long run effect will run in opposite directions; an oil price increase will initially lead to dollar appreciation, but eventually leads to dollar depreciation.« less

Detection of algorithmic trading

NASA Astrophysics Data System (ADS)

Bogoev, Dimitar; Karam, Arzé

2017-10-01

We develop a new approach to reflect the behavior of algorithmic traders. Specifically, we provide an analytical and tractable way to infer patterns of quote volatility and price momentum consistent with different types of strategies employed by algorithmic traders, and we propose two ratios to quantify these patterns. Quote volatility ratio is based on the rate of oscillation of the best ask and best bid quotes over an extremely short period of time; whereas price momentum ratio is based on identifying patterns of rapid upward or downward movement in prices. The two ratios are evaluated across several asset classes. We further run a two-stage Artificial Neural Network experiment on the quote volatility ratio; the first stage is used to detect the quote volatility patterns resulting from algorithmic activity, while the second is used to validate the quality of signal detection provided by our measure.

75 FR 1632 - Public Housing Assessment System (PHAS): Asset Management Transition Year 2 Information

Federal Register 2010, 2011, 2012, 2013, 2014

2010-01-12

... accounting under asset management, also known as ``Transition Year 2.'' FOR FURTHER INFORMATION CONTACT: The... System (PHAS): Asset Management Transition Year 2 Information AGENCY: Office of the Assistant Secretary... by HUD under the Public Housing Management Assessment Program (PHMAP), the regulations for which are...

Towards resiliency with micro-grids: Portfolio optimization and investment under uncertainty

NASA Astrophysics Data System (ADS)

Gharieh, Kaveh

Energy security and sustained supply of power are critical for community welfare and economic growth. In the face of the increased frequency and intensity of extreme weather conditions which can result in power grid outage, the value of micro-grids to improve the communities' power reliability and resiliency is becoming more important. Micro-grids capability to operate in islanded mode in stressed-out conditions, dramatically decreases the economic loss of critical infrastructure in power shortage occasions. More wide-spread participation of micro-grids in the wholesale energy market in near future, makes the development of new investment models necessary. However, market and price risks in short term and long term along with risk factors' impacts shall be taken into consideration in development of new investment models. This work proposes a set of models and tools to address different problems associated with micro-grid assets including optimal portfolio selection, investment and financing in both community and a sample critical infrastructure (i.e. wastewater treatment plant) levels. The models account for short-term operational volatilities and long-term market uncertainties. A number of analytical methodologies and financial concepts have been adopted to develop the aforementioned models as follows. (1) Capital budgeting planning and portfolio optimization models with Monte Carlo stochastic scenario generation are applied to derive the optimal investment decision for a portfolio of micro-grid assets considering risk factors and multiple sources of uncertainties. (2) Real Option theory, Monte Carlo simulation and stochastic optimization techniques are applied to obtain optimal modularized investment decisions for hydrogen tri-generation systems in wastewater treatment facilities, considering multiple sources of uncertainty. (3) Public Private Partnership (PPP) financing concept coupled with investment horizon approach are applied to estimate public and private parties' revenue shares from a community-level micro-grid project over the course of assets' lifetime considering their optimal operation under uncertainty.

Using Derivatives to Hedge Interest Rate Risk: A Student Exercise

ERIC Educational Resources Information Center

Donaldson, Jeff; Flagg, Donald

2014-01-01

In a world of fluctuating asset prices, many firms find the need to hedge in order to avoid or reduce losses. From a gold miner selling gold derivatives to airlines buying oil futures to protect against rising fuel costs, hedging is common practice across many different industries. In this paper, we provide students with a simplified example of a…

26 CFR 1.338-4 - Aggregate deemed sale price; various aspects of taxation of the deemed asset sale.

Code of Federal Regulations, 2012 CFR

2012-04-01

... the recognition of gain or loss on the deemed sale of target affiliate stock. Notwithstanding section... (although it may be taken into account at some later date). (e) Deemed sale tax consequences. Gain or loss... function of the size of the deemed sale tax consequences. Thus, these determinations may require trial and...

26 CFR 1.338-4 - Aggregate deemed sale price; various aspects of taxation of the deemed asset sale.

Code of Federal Regulations, 2013 CFR

2013-04-01

... the recognition of gain or loss on the deemed sale of target affiliate stock. Notwithstanding section... (although it may be taken into account at some later date). (e) Deemed sale tax consequences. Gain or loss... function of the size of the deemed sale tax consequences. Thus, these determinations may require trial and...

26 CFR 1.338-4 - Aggregate deemed sale price; various aspects of taxation of the deemed asset sale.

Code of Federal Regulations, 2014 CFR

2014-04-01

... the recognition of gain or loss on the deemed sale of target affiliate stock. Notwithstanding section... (although it may be taken into account at some later date). (e) Deemed sale tax consequences. Gain or loss... function of the size of the deemed sale tax consequences. Thus, these determinations may require trial and...

A quantile-based Time at Risk: A new approach for assessing risk in financial markets

NASA Astrophysics Data System (ADS)

Bolgorian, Meysam; Raei, Reza

2013-11-01

In this paper, we provide a new measure for evaluation of risk in financial markets. This measure is based on the return interval of critical events in financial markets or other investment situations. Our main goal was to devise a model like Value at Risk (VaR). As VaR, for a given financial asset, probability level and time horizon, gives a critical value such that the likelihood of loss on the asset over the time horizon exceeds this value is equal to the given probability level, our concept of Time at Risk (TaR), using a probability distribution function of return intervals, provides a critical time such that the probability that the return interval of a critical event exceeds this time equals the given probability level. As an empirical application, we applied our model to data from the Tehran Stock Exchange Price Index (TEPIX) as a financial asset (market portfolio) and reported the results.

Allan deviation analysis of financial return series

NASA Astrophysics Data System (ADS)

Hernández-Pérez, R.

2012-05-01

We perform a scaling analysis for the return series of different financial assets applying the Allan deviation (ADEV), which is used in the time and frequency metrology to characterize quantitatively the stability of frequency standards since it has demonstrated to be a robust quantity to analyze fluctuations of non-stationary time series for different observation intervals. The data used are opening price daily series for assets from different markets during a time span of around ten years. We found that the ADEV results for the return series at short scales resemble those expected for an uncorrelated series, consistent with the efficient market hypothesis. On the other hand, the ADEV results for absolute return series for short scales (first one or two decades) decrease following approximately a scaling relation up to a point that is different for almost each asset, after which the ADEV deviates from scaling, which suggests that the presence of clustering, long-range dependence and non-stationarity signatures in the series drive the results for large observation intervals.

17 CFR 275.205-2 - Definition of “specified period” over which the asset value of the company or fund under...

Code of Federal Regulations, 2010 CFR

2010-04-01

... periodâ over which the asset value of the company or fund under management is averaged. 275.205-2 Section... REGULATIONS, INVESTMENT ADVISERS ACT OF 1940 § 275.205-2 Definition of “specified period” over which the asset value of the company or fund under management is averaged. (a) For purposes of this rule: (1) Fulcrum...

31 CFR 515.521 - U.S. assets of certain Cuban corporations.

Code of Federal Regulations, 2010 CFR

2010-07-01

... designated nationals, in U.S.-located assets of corporations formed under the laws of Cuba, after deducting... in Cuba under the management or control of the applicant(s) after the effective date; (3) In cases where the blocked assets purportedly have been nationalized by Cuba, compensation has not been paid to...

Estimating Phenomenological Parameters in Multi-Assets Markets

NASA Astrophysics Data System (ADS)

Raffaelli, Giacomo; Marsili, Matteo

Financial correlations exhibit a non-trivial dynamic behavior. This is reproduced by a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This captures the fact that correlations determine the optimal portfolio but are affected by investment based on it. Such a feedback on correlations gives rise to an instability when the volume of investment exceeds a critical value. Close to the critical point the model exhibits dynamical correlations very similar to those observed in real markets. We discuss how the model's parameter can be estimated in real market data with a maximum likelihood principle. This confirms the main conclusion that real markets operate close to a dynamically unstable point.

Economies of scale and asset values in power production

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

Considine, T.J.

While innovative trading tools have become an increasingly important aspect of the electricity business, the future of any firm in the industry boils down to a basic bread and butter issue of generating power at competitive costs. While buying electricity from power pools at spot prices instead of generating power to service load may be profitable for some firms in the short run, the need to efficiently utilize existing plants in the long run remains. These competitive forces will force the closure of many inefficient plants. As firms close plants and re-evaluate their generating asset portfolios, the basic structure ofmore » the industry will change. This article presents some quantitative analysis that sheds light on this unfolding transformation.« less

Determinant of securitization asset pricing in Malaysia

NASA Astrophysics Data System (ADS)

Bakri, M. H.; Ali, R.; Ismail, S.; Sufian, F.; Baharom, A. H.

2014-12-01

Malaysian firms have been reported involve in Asset Back Securities since 1986s where Cagamas is a pioneer. This research aims to examine the factor influencing primary market spread. Least square method and regression analysis are applied for the study period 2004-2012. The result shows one determinants in internal regression model and three determinants in external regression influence or contribute to the primary market spread and are statistically significant in developing the securitization in Malaysia. It can be concluded that transaction size significantly contribute to the determinant primary market spread in internal regression model while liquidity, transaction size and crisis is significant in both regression model. From five hypotheses, three hypotheses support that the determinants have a relationship with primary market spread.

Ethnic diversity deflates price bubbles

PubMed Central

Levine, Sheen S.; Apfelbaum, Evan P.; Bernard, Mark; Bartelt, Valerie L.; Zajac, Edward J.; Stark, David

2014-01-01

Markets are central to modern society, so their failures can be devastating. Here, we examine a prominent failure: price bubbles. Bubbles emerge when traders err collectively in pricing, causing misfit between market prices and the true values of assets. The causes of such collective errors remain elusive. We propose that bubbles are affected by ethnic homogeneity in the market and can be thwarted by diversity. In homogenous markets, traders place undue confidence in the decisions of others. Less likely to scrutinize others’ decisions, traders are more likely to accept prices that deviate from true values. To test this, we constructed experimental markets in Southeast Asia and North America, where participants traded stocks to earn money. We randomly assigned participants to ethnically homogeneous or diverse markets. We find a marked difference: Across markets and locations, market prices fit true values 58% better in diverse markets. The effect is similar across sites, despite sizeable differences in culture and ethnic composition. Specifically, in homogenous markets, overpricing is higher as traders are more likely to accept speculative prices. Their pricing errors are more correlated than in diverse markets. In addition, when bubbles burst, homogenous markets crash more severely. The findings suggest that price bubbles arise not only from individual errors or financial conditions, but also from the social context of decision making. The evidence may inform public discussion on ethnic diversity: it may be beneficial not only for providing variety in perspectives and skills, but also because diversity facilitates friction that enhances deliberation and upends conformity. PMID:25404313

Ethnic diversity deflates price bubbles.

PubMed

Levine, Sheen S; Apfelbaum, Evan P; Bernard, Mark; Bartelt, Valerie L; Zajac, Edward J; Stark, David

2014-12-30

Markets are central to modern society, so their failures can be devastating. Here, we examine a prominent failure: price bubbles. Bubbles emerge when traders err collectively in pricing, causing misfit between market prices and the true values of assets. The causes of such collective errors remain elusive. We propose that bubbles are affected by ethnic homogeneity in the market and can be thwarted by diversity. In homogenous markets, traders place undue confidence in the decisions of others. Less likely to scrutinize others' decisions, traders are more likely to accept prices that deviate from true values. To test this, we constructed experimental markets in Southeast Asia and North America, where participants traded stocks to earn money. We randomly assigned participants to ethnically homogeneous or diverse markets. We find a marked difference: Across markets and locations, market prices fit true values 58% better in diverse markets. The effect is similar across sites, despite sizeable differences in culture and ethnic composition. Specifically, in homogenous markets, overpricing is higher as traders are more likely to accept speculative prices. Their pricing errors are more correlated than in diverse markets. In addition, when bubbles burst, homogenous markets crash more severely. The findings suggest that price bubbles arise not only from individual errors or financial conditions, but also from the social context of decision making. The evidence may inform public discussion on ethnic diversity: it may be beneficial not only for providing variety in perspectives and skills, but also because diversity facilitates friction that enhances deliberation and upends conformity.

Optimal CO2 mitigation under damage risk valuation

NASA Astrophysics Data System (ADS)

Crost, Benjamin; Traeger, Christian P.

2014-07-01

The current generation has to set mitigation policy under uncertainty about the economic consequences of climate change. This uncertainty governs both the level of damages for a given level of warming, and the steepness of the increase in damage per warming degree. Our model of climate and the economy is a stochastic version of a model employed in assessing the US Social Cost of Carbon (DICE). We compute the optimal carbon taxes and CO2 abatement levels that maximize welfare from economic consumption over time under different risk states. In accordance with recent developments in finance, we separate preferences about time and risk to improve the model's calibration of welfare to observed market interest. We show that introducing the modern asset pricing framework doubles optimal abatement and carbon taxation. Uncertainty over the level of damages at a given temperature increase can result in a slight increase of optimal emissions as compared to using expected damages. In contrast, uncertainty governing the steepness of the damage increase in temperature results in a substantially higher level of optimal mitigation.

Financial Stylized Facts in the Word of Mouth Model

NASA Astrophysics Data System (ADS)

Misawa, Tadanobu; Watanabe, Kyoko; Shimokawa, Tetsuya

Recently, we proposed an agent-based model called the word of mouth model to analyze the influence of an information transmission process to price formation in financial markets. Especially, the short-term predictability of asset return was focused on and an explanation in the view of information transmission was provided to the question why the predictability was much clearly observed in the small-sized stocks. This paper, to extend the previous study, demonstrates that the word of mouth model also has a consistency with other important financial stylized facts. This strengthens the possibility that the information transmission among investors plays a crucial role in price formation. Concretely, this paper addresses two famous statistical features of returns; the leptokurtic distribution of return and the autocorrelation of return volatility. The reasons why these statistical facts receive especial attentions of researchers among financial stylized facts are their statistical robustness and practical importance, such as the applications to the derivative pricing problems.

Using trading strategies to detect phase transitions in financial markets.

PubMed

Forró, Z; Woodard, R; Sornette, D

2015-04-01

We show that the log-periodic power law singularity model (LPPLS), a mathematical embodiment of positive feedbacks between agents and of their hierarchical dynamical organization, has a significant predictive power in financial markets. We find that LPPLS-based strategies significantly outperform the randomized ones and that they are robust with respect to a large selection of assets and time periods. The dynamics of prices thus markedly deviate from randomness in certain pockets of predictability that can be associated with bubble market regimes. Our hybrid approach, marrying finance with the trading strategies, and critical phenomena with LPPLS, demonstrates that targeting information related to phase transitions enables the forecast of financial bubbles and crashes punctuating the dynamics of prices.

Emergence of universal scaling in financial markets from mean-field dynamics

NASA Astrophysics Data System (ADS)

Vikram, S. V.; Sinha, Sitabhra

2011-01-01

Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction dynamics between individual components is mediated by a global variable making the mean-field description exact. Using the example of financial markets, we show that asset price can be such a global variable with the critical role of coordinating the actions of agents who are otherwise independent. The resulting model accurately reproduces empirical properties such as the universal scaling of the price fluctuation and volume distributions, long-range correlations in volatility, and multiscaling.

The role of communication and imitation in limit order markets

NASA Astrophysics Data System (ADS)

Tedeschi, G.; Iori, G.; Gallegati, M.

2009-10-01

In this paper we develop an order driver market model with heterogeneous traders that imitate each other on different network structures. We assess how imitations among otherway noise traders, can give rise to well known stylized facts such as fat tails and volatility clustering. We examine the impact of communication and imitation on the statistical properties of prices and order flows when changing the networks' structure, and show that the imitation of a given, fixed agent, called “guru", can generate clustering of volatility in the model. We also find a positive correlation between volatility and bid-ask spread, and between fat-tailed fluctuations in asset prices and gap sizes in the order book. in here

Conditional dynamics driving financial markets

NASA Astrophysics Data System (ADS)

Boguñá, M.; Masoliver, J.

2004-08-01

We revisit the problem of daily correlations in speculative prices and report empirical evidences on the existence of what we term a conditional or dual dynamics driving the evolution of financial assets. This dynamics is detected in several markets around the world and for different historical periods. In particular, we have analyzed the DJIA database from 1900 to 2002 as well as 65 companies trading in the LIFFE market of futures and 12 of the major European and American treasury bonds. In all cases, we find a twofold dynamics driving the financial evolution depending on whether the previous price went up or down. We conjecture that this effect is universal and intrinsic to all markets.

Calibration of Lévy Processes with American Options

NASA Astrophysics Data System (ADS)

Achdou, Yves

We study options on financial assets whose discounted prices are exponential of Lévy processes. The price of an American vanilla option as a function of the maturity and the strike satisfies a linear complementarity problem involving a non-local partial integro-differential operator. It leads to a variational inequality in a suitable weighted Sobolev space. Calibrating the Lévy process may be done by solving an inverse least square problem where the state variable satisfies the previously mentioned variational inequality. We first assume that the volatility is positive: after carefully studying the direct problem, we propose necessary optimality conditions for the least square inverse problem. We also consider the direct problem when the volatility is zero.

Using trading strategies to detect phase transitions in financial markets

NASA Astrophysics Data System (ADS)

Forró, Z.; Woodard, R.; Sornette, D.

2015-04-01

We show that the log-periodic power law singularity model (LPPLS), a mathematical embodiment of positive feedbacks between agents and of their hierarchical dynamical organization, has a significant predictive power in financial markets. We find that LPPLS-based strategies significantly outperform the randomized ones and that they are robust with respect to a large selection of assets and time periods. The dynamics of prices thus markedly deviate from randomness in certain pockets of predictability that can be associated with bubble market regimes. Our hybrid approach, marrying finance with the trading strategies, and critical phenomena with LPPLS, demonstrates that targeting information related to phase transitions enables the forecast of financial bubbles and crashes punctuating the dynamics of prices.

12 CFR 615.5211 - Risk categories-balance sheet assets.

Code of Federal Regulations, 2014 CFR

2014-01-01

... to a daily margin maintenance requirement under the standard documentation; and (v) Can be liquidated...) Premises, plant, and equipment; other fixed assets; and other real estate owned. (6) Recourse obligations... ventures, or associated companies. (ii) Deferred-tax assets. (iii) Servicing assets. (10) All non-local...

12 CFR 615.5211 - Risk categories-balance sheet assets.

Code of Federal Regulations, 2012 CFR

2012-01-01

... to a daily margin maintenance requirement under the standard documentation; and (v) Can be liquidated...) Premises, plant, and equipment; other fixed assets; and other real estate owned. (6) Recourse obligations... ventures, or associated companies. (ii) Deferred-tax assets. (iii) Servicing assets. (10) All non-local...

12 CFR 615.5211 - Risk categories-balance sheet assets.

Code of Federal Regulations, 2013 CFR

2013-01-01

... to a daily margin maintenance requirement under the standard documentation; and (v) Can be liquidated...) Premises, plant, and equipment; other fixed assets; and other real estate owned. (6) Recourse obligations... ventures, or associated companies. (ii) Deferred-tax assets. (iii) Servicing assets. (10) All non-local...

Defense Depot Tracy Total Quality Management Plan

DTIC Science & Technology

1989-07-01

PAGES TQM (Total Quality Management ), Depot Operations, Continuous Process Improvement 16. PRICE CODE 17. SECURITY CLASSIFICATION 18. SECURITY...make up our pcrceptions of Total Quality Management . Our goal is to improve those proven management processes that have brought us success while being...MANIAGEMENT F. QUALITY AUDITS OF PRODUCTS AND OPERATIONS ASSETS MANAGEMENT 00 i .......... / ~899 29 03 1 EFENSE DEPOT TACY TOTAL QUALITY MANAGEMENT PLAN

26 CFR 1.338-4 - Aggregate deemed sale price; various aspects of taxation of the deemed asset sale.

Code of Federal Regulations, 2011 CFR

2011-04-01

... recognition of gain or loss on the deemed sale of target affiliate stock. Notwithstanding section 338(h)(6)(B... (although it may be taken into account at some later date). (e) Deemed sale tax consequences. Gain or loss... function of the size of the deemed sale tax consequences. Thus, these determinations may require trial and...

75 FR 82217 - Community Reinvestment Act Regulations

Federal Register 2010, 2011, 2012, 2013, 2014

2010-12-30

...The OCC, the Board, the FDIC, and the OTS (collectively, the ``agencies'') are amending their Community Reinvestment Act (CRA) regulations to adjust the asset-size thresholds used to define ``small bank'' or ``small savings association'' and ``intermediate small bank'' or ``intermediate small savings association.'' As required by the CRA regulations, the adjustment to the threshold amount is based on the annual percentage change in the Consumer Price Index.

76 FR 79529 - Community Reinvestment Act Regulations

Federal Register 2010, 2011, 2012, 2013, 2014

2011-12-22

...The OCC, the Board, and the FDIC (collectively, the ``agencies'') are amending their Community Reinvestment Act (CRA) regulations to adjust the asset-size thresholds used to define ``small bank'' or ``small savings association'' and ``intermediate small bank'' or ``intermediate small savings association.'' As required by the CRA regulations, the adjustment to the threshold amount is based on the annual percentage change in the Consumer Price Index.

The futility of utility: how market dynamics marginalize Adam Smith

NASA Astrophysics Data System (ADS)

McCauley, Joseph L.

2000-10-01

Economic theorizing is based on the postulated, nonempiric notion of utility. Economists assume that prices, dynamics, and market equilibria are supposed to be derived from utility. The results are supposed to represent mathematically the stabilizing action of Adam Smith's invisible hand. In deterministic excess demand dynamics I show the following. A utility function generally does not exist mathematically due to nonintegrable dynamics when production/investment are accounted for, resolving Mirowski's thesis. Price as a function of demand does not exist mathematically either. All equilibria are unstable. I then explain how deterministic chaos can be distinguished from random noise at short times. In the generalization to liquid markets and finance theory described by stochastic excess demand dynamics, I also show the following. Market price distributions cannot be rescaled to describe price movements as ‘equilibrium’ fluctuations about a systematic drift in price. Utility maximization does not describe equilibrium. Maximization of the Gibbs entropy of the observed price distribution of an asset would describe equilibrium, if equilibrium could be achieved, but equilibrium does not describe real, liquid markets (stocks, bonds, foreign exchange). There are three inconsistent definitions of equilibrium used in economics and finance, only one of which is correct. Prices in unregulated free markets are unstable against both noise and rising or falling expectations: Adam Smith's stabilizing invisible hand does not exist, either in mathematical models of liquid market data, or in real market data.

Complementing carbon prices with technology policies to keep climate targets within reach

NASA Astrophysics Data System (ADS)

Bertram, Christoph; Luderer, Gunnar; Pietzcker, Robert C.; Schmid, Eva; Kriegler, Elmar; Edenhofer, Ottmar

2015-03-01

Economic theory suggests that comprehensive carbon pricing is most efficient to reach ambitious climate targets, and previous studies indicated that the carbon price required for limiting global mean warming to 2 °C is between US$16 and US$73 per tonne of CO2 in 2015 (ref. ). Yet, a global implementation of such high carbon prices is unlikely to be politically feasible in the short term. Instead, most climate policies enacted so far are technology policies or fragmented and moderate carbon pricing schemes. This paper shows that ambitious climate targets can be kept within reach until 2030 despite a sub-optimal policy mix. With a state-of-the-art energy-economy model we quantify the interactions and unique effects of three major policy components: (1) a carbon price starting at US$7 per tonne of CO2 in 2015 to incentivize economy-wide mitigation, flanked by (2) support for low-carbon energy technologies to pave the way for future decarbonization, and (3) a moratorium on new coal-fired power plants to limit stranded assets. We find that such a mix limits the efficiency losses compared with the optimal policy, and at the same time lowers distributional impacts. Therefore, we argue that this instrument mix might be a politically more feasible alternative to the optimal policy based on a comprehensive carbon price alone.

Real options valuation and optimization of energy assets

NASA Astrophysics Data System (ADS)

Thompson, Matthew

In this thesis we present algorithms for the valuation and optimal operation of natural gas storage facilities, hydro-electric power plants and thermal power generators in competitive markets. Real options theory is used to derive nonlinear partial-integro-differential equations (PIDEs) for the valuation and optimal operating strategies of all types of facilities. The equations are designed to incorporate a wide class of spot price models that can exhibit the same time-dependent, mean-reverting dynamics and price spikes as those observed in most energy markets. Particular attention is paid to the operational characteristics of real energy assets. For natural gas storage facilities these characteristics include: working gas capacities, variable deliverability and injection rates and cycling limitations. For thermal power plants relevant operational characteristics include variable start-up times and costs, control response time lags, minimum generating levels, nonlinear output functions, structural limitations on ramp rates, and minimum up/down time restrictions. For hydro-electric units, head effects and environmental constraints are addressed. We illustrate the models with numerical examples of a gas storage facility, a hydro-electric pump storage facility and a thermal power plant. This PIDE framework is the first in the literature to achieve second order accuracy in characterizing the operating states of hydro-electric and hydro-thermal power plants. The continuous state space representation derived in this thesis can therefore achieve far greater realism in terms of operating state specification than any other method in the literature to date. This thesis is also the first and only to allow for any continuous time jump diffusion processes in order to account for price spikes.

12 CFR 567.6 - Risk-based capital credit risk-weight categories.

Code of Federal Regulations, 2013 CFR

2013-01-01

...) [Reserved] (vi) Indirect ownership interests in pools of assets. Assets representing an indirect holding of a pool of assets, e.g., mutual funds, are assigned to risk-weight categories under this section based upon the risk weight that would be assigned to the assets in the portfolio of the pool. An...

12 CFR 167.6 - Risk-based capital credit risk-weight categories.

Code of Federal Regulations, 2013 CFR

2013-01-01

...) [Reserved] (vi) Indirect ownership interests in pools of assets. Assets representing an indirect holding of a pool of assets, e.g., mutual funds, are assigned to risk-weight categories under this section based upon the risk weight that would be assigned to the assets in the portfolio of the pool. An...

12 CFR 567.6 - Risk-based capital credit risk-weight categories.

Code of Federal Regulations, 2014 CFR

2014-01-01

...) [Reserved] (vi) Indirect ownership interests in pools of assets. Assets representing an indirect holding of a pool of assets, e.g., mutual funds, are assigned to risk-weight categories under this section based upon the risk weight that would be assigned to the assets in the portfolio of the pool. An...

42 CFR 413.130 - Introduction to capital-related costs.

Code of Federal Regulations, 2014 CFR

2014-10-01

... depreciable assets under § 413.134(f). (2) Taxes on land or depreciable assets used for patient care. (3... depreciable assets used for patient care or to refinance existing debt for which the original purpose was to acquire land or depreciable assets used for patient care. (11) The apportionment of the capital-related...

Understanding the milk-to-feed price ratio as a proxy for dairy farm profitability.

PubMed

Wolf, C A

2010-10-01

This research examines the definition, historical pattern, and utility of the milk-to-feed price ratio (MF) as a measure of dairy farm profitability. The MF was generally an acceptable proxy of profitability in an annual sense from 1985 to 2006. The MF was steady at an average of 2.8 from 1985 to 2006 even as average annual milk price in nominal terms increased from $12 to $14/hundredweight. An alternative proxy for profitability is income over feed costs, which is measured in dollars per hundredweight. Comparison with an actual profit measure, rate of return on assets, is used to examine the appropriateness of the proxies. The volatility from 2007 to 2009 resulted in MF being a poor measure of profitability over that period. The implication is that MF is not the preferred measure of profitability when a significant change in the pattern of one or both price series occurs. Income over feed cost is a better measure of profitability in periods of volatility. Copyright © 2010 American Dairy Science Association. Published by Elsevier Inc. All rights reserved.

Breeds of risk-adjusted fundamentalist strategies in an order-driven market

NASA Astrophysics Data System (ADS)

LiCalzi, Marco; Pellizzari, Paolo

2006-01-01

This paper studies an order-driven stock market where agents have heterogeneous estimates of the fundamental value of the risky asset. The agents are budget-constrained and follow a value-based trading strategy which buys or sells depending on whether the price of the asset is below or above its risk-adjusted fundamental value. This environment generates returns that are remarkably leptokurtic and fat-tailed. By extending the study over a grid of different parameters for the fundamentalist trading strategy, we exhibit the existence of monotone relationships between the bid-ask spread demanded by the agents and several statistics of the returns. We conjecture that this effect, coupled with positive dependence of the risk premium on the volatility, generates positive feedbacks that might explain volatility bursts.

A non-local free boundary problem arising in a theory of financial bubbles

PubMed Central

Berestycki, Henri; Monneau, Regis; Scheinkman, José A.

2014-01-01

We consider an evolution non-local free boundary problem that arises in the modelling of speculative bubbles. The solution of the model is the speculative component in the price of an asset. In the framework of viscosity solutions, we show the existence and uniqueness of the solution. We also show that the solution is convex in space, and establish several monotonicity properties of the solution and of the free boundary with respect to parameters of the problem. To study the free boundary, we use, in particular, the fact that the odd part of the solution solves a more standard obstacle problem. We show that the free boundary is and describe the asymptotics of the free boundary as c, the cost of transacting the asset, goes to zero. PMID:25288815

A quantum model of option pricing: When Black-Scholes meets Schrödinger and its semi-classical limit

NASA Astrophysics Data System (ADS)

Contreras, Mauricio; Pellicer, Rely; Villena, Marcelo; Ruiz, Aaron

2010-12-01

The Black-Scholes equation can be interpreted from the point of view of quantum mechanics, as the imaginary time Schrödinger equation of a free particle. When deviations of this state of equilibrium are considered, as a product of some market imperfection, such as: Transaction cost, asymmetric information issues, short-term volatility, extreme discontinuities, or serial correlations; the classical non-arbitrage assumption of the Black-Scholes model is violated, implying a non-risk-free portfolio. From Haven (2002) [1] we know that an arbitrage environment is a necessary condition to embedding the Black-Scholes option pricing model in a more general quantum physics setting. The aim of this paper is to propose a new Black-Scholes-Schrödinger model based on the endogenous arbitrage option pricing formulation introduced by Contreras et al. (2010) [2]. Hence, we derive a more general quantum model of option pricing, that incorporates arbitrage as an external time dependent force, which has an associated potential related to the random dynamic of the underlying asset price. This new resultant model can be interpreted as a Schrödinger equation in imaginary time for a particle of mass 1/σ2 with a wave function in an external field force generated by the arbitrage potential. As pointed out above, this new model can be seen as a more general formulation, where the perfect market equilibrium state postulated by the Black-Scholes model represent a particular case. Finally, since the Schrödinger equation is in place, we can apply semiclassical methods, of common use in theoretical physics, to find an approximate analytical solution of the Black-Scholes equation in the presence of market imperfections, as it is the case of an arbitrage bubble. Here, as a numerical illustration of the potential of this Schrödinger equation analogy, the semiclassical approximation is performed for different arbitrage bubble forms (step, linear and parabolic) and compare with the exact solution of our general quantum model of option pricing.

Is the Conduct of War a Business?

DTIC Science & Technology

2010-01-01

speculators succumb to the hysteria as asset prices increase.22 Periodic bouts of irrational exuberance (a term coined in 1996 by Alan Greenspan) are...heart of sound business management. Eco- nomic theory is based on the assumption that all actors are rational. Nevertheless, irration - ality plays a...collective irrational outcomes or so-called bubbles, as was the case in the U.S. housing collapse. In business activity, the relation- ship between a

Essays in the Economics of Procurement,

DTIC Science & Technology

1993-01-01

Their support, encouragement, and critical reviews of draft articles were invaluable. Other notable contributions over the course of the project were...the period-by-period capital asset pricing model ( CAPM ). The period-by-period CAPM is common in applied work but the assumptions that underlie it are...may in turn mean that the data are inconsistent with application of the period-by-period CAPM ; see Fama (1977). For discussion of other problems in

A Methodology for Improving the Shipyard Planning Process: Using KVA Analysis, Risk Simulation and Strategic Real Options

DTIC Science & Technology

2006-09-30

allocated to intangible assets. With Proctor & Gamble’s $53.5 billion acquisition of Gillette , $31.5 billion or 59% of the total purchase price was... outsourcing , alliances, joint ventures) • Compound Option (platform options) • Sequential Options (stage-gate development, R&D, phased...Comparisons • RO/KVA could enhance outsourcing comparisons between the Government’s Most Efficient Organization (MEO) and private-sector

A Classification and Analysis of Contracting Literature

DTIC Science & Technology

1989-12-01

Pricing Model ( CAPM . This is a model designed by investment analysts to determine required rates of return given the systematic risk of a company. The...For the amount of risk they take, these profit margins were not excessively high. The author examined profitability in terms of the Capital Asset ...taxonomy was applied was limited , the results were necessarily qualified. However, at the least this application provided areas for further research

Who will be denied Medicare prescription drug subsidies because of the asset test?

PubMed

Rice, Thomas; Desmond, Katherine

2006-01-01

To determine the number and characteristics of Medicare beneficiaries who will be excluded from low-income prescription drug subsidies because they do not qualify under an asset test. Cross-sectional, using the US Census Bureau's Survey of Income and Program Participation (SIPP); results were based on interviews occurring between October 2002 and January 2003. The sample included 9278 Medicare beneficiaries, 2929 with incomes below 150% of the federal poverty level (FPL). Using SIPP, each sample member's income was compared to the FPL. Income was adjusted to include only liquid assets and primary residences. The number of individuals excluded by the asset test and their characteristics and types of assets responsible were calculated. Of 13.97 million noninstitutionalized Medicare beneficiaries, 2.37 million (17%) with low incomes would be excluded from subsidized drug coverage due to the asset test. Compared to higher-income beneficiaries, the excluded individuals tended to be older, female, widowed, and living alone. Almost half of their assets were checking and savings accounts. Half of the individuals failing the test had assets less than 35,000 dollars above the allowing thresholds. Widows are disproportionately affected by the asset test. When a husband dies, income plummets but accumulated assets often exceed those allowed under Medicare legislation. During their working years Americans are encouraged to save for retirement, but by accumulating modest amounts of assets, these same people often will then not qualify for low-income drug subsidies. Modifying or eliminating the asset test would help protect individuals disadvantaged by low incomes who have modest amounts of asset holdings.

The growth crisis--and how to escape it.

PubMed

Slywotzky, Adrian J; Wise, Richard

2002-07-01

At a time when companies are poised to seize the growth opportunities of a rebounding economy, many of them, whether they know it or not, face a growth crisis. Even during the boom years of the past decade, only a small fraction of companies enjoyed consistent double-digit revenue growth. And those that did often achieved it through short-term measures--such as mergers and inflated price increases--that don't provide the foundation for growth over the long term. But there is a way out of this predicament. The authors claim that companies can achieve sustained growth by leveraging their "hidden assets," a wide array of underused, intangible capabilities and advantages that most established companies already hold. To date, much of the research on intangible assets has centered on intellectual property and brand recognition. But in this article, the authors uncover a host of other assets that can help spark growth. They identify four major categories of hidden assets: customer relationships, strategic real estate, networks, and information. And they illustrate each with an example of a company that has creatively used its hidden assets to produce new sources of revenue. Executives have spent years learning to create growth using products, facilities, and working capital. But they should really focus on mobilizing their hidden assets to serve their customers' higher-order needs--in other words, create offerings that make customers' lives easier, better, or less expensive. Making that shift in mind-set isn't easy, admit the authors, but companies that do it may not only create meaningful new value for their customers but also produce double-digit revenue and earnings growth for investors.

29 CFR 2520.103-11 - Assets held for investment purposes.

Code of Federal Regulations, 2010 CFR

2010-07-01

... Securities Exchange Act of 1934 or quoted on NASDAQ; (3) Assets held for investment purposes shall not... assets held for investment purposes the 1,000 shares of stock S under paragraph (b)(1) of this section... 29 Labor 9 2010-07-01 2010-07-01 false Assets held for investment purposes. 2520.103-11 Section...

26 CFR 12.4 - Election of Class Life Asset Depreciation Range System (ADR).

Code of Federal Regulations, 2011 CFR

2011-04-01

... 26 Internal Revenue 14 2011-04-01 2010-04-01 true Election of Class Life Asset Depreciation Range... Election of Class Life Asset Depreciation Range System (ADR). (a) Elections filed before February 1, 1972... election will be treated as an election under the Class Life Asset Depreciation Range System (ADR) as...

26 CFR 12.4 - Election of Class Life Asset Depreciation Range System (ADR).

Code of Federal Regulations, 2010 CFR

2010-04-01

... 26 Internal Revenue 14 2010-04-01 2010-04-01 false Election of Class Life Asset Depreciation Range... Election of Class Life Asset Depreciation Range System (ADR). (a) Elections filed before February 1, 1972... election will be treated as an election under the Class Life Asset Depreciation Range System (ADR) as...

Geometric Brownian Motion with Tempered Stable Waiting Times

NASA Astrophysics Data System (ADS)

Gajda, Janusz; Wyłomańska, Agnieszka

2012-08-01

One of the earliest system that was used to asset prices description is Black-Scholes model. It is based on geometric Brownian motion and was used as a tool for pricing various financial instruments. However, when it comes to data description, geometric Brownian motion is not capable to capture many properties of present financial markets. One can name here for instance periods of constant values. Therefore we propose an alternative approach based on subordinated tempered stable geometric Brownian motion which is a combination of the popular geometric Brownian motion and inverse tempered stable subordinator. In this paper we introduce the mentioned process and present its main properties. We propose also the estimation procedure and calibrate the analyzed system to real data.

Optimal trading strategies—a time series approach

NASA Astrophysics Data System (ADS)

Bebbington, Peter A.; Kühn, Reimer

2016-05-01

Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz’ mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to a single traded asset and allows an optimal trading strategy to be found which—for a given return—is minimally exposed to market price fluctuations. The model is initially investigated for a range of synthetic price processes, taken to be either second order stationary, or to exhibit second order stationary increments. Attention is paid to consequences of estimating auto-covariance matrices from small finite samples, and auto-covariance matrix cleaning strategies to mitigate against these are investigated. Finally we apply our framework to real world data.

Empirical Examination of Fundamental Indexation in the German Market

NASA Astrophysics Data System (ADS)

Mihm, Max; Locarek-Junge, Hermann

Index Funds, Exchange Traded Funds and Derivatives give investors easy access to well diversified index portfolios. These index-based investment products exhibit low fees, which make them an attractive alternative to actively managed funds. Against this background, a new class of stock indices has been established based on the concept of “Fundamental Indexation”. The selection and weighting of index constituents is conducted by means of fundamental criteria like total assets, book value or number of employees. This paper examines the performance of fundamental indices in the German equity market. For this purpose, a backtest of five fundamental indices is conducted over the last 20 years. Furthermore the index returns are analysed under the assumption of an efficient as well as an inefficient market. Index returns in efficient markets are explained by applying the three factor model for stock returns of Fama and French (J Financ Econ 33(1):3-56, 1993). The results show that the outperformance of fundamental indices is partly due to a higher risk exposure, particularly to companies with a low price to book ratio. By relaxing the assumption of market efficiency, a return drag of capitalisation weighted indices can be deduced. Given a mean-reverting movement of prices, a direct connection between market capitalisation and index weighting leads to inferior returns.

Complexity multiscale asynchrony measure and behavior for interacting financial dynamics

NASA Astrophysics Data System (ADS)

Yang, Ge; Wang, Jun; Niu, Hongli

2016-08-01

A stochastic financial price process is proposed and investigated by the finite-range multitype contact dynamical system, in an attempt to study the nonlinear behaviors of real asset markets. The viruses spreading process in a finite-range multitype system is used to imitate the interacting behaviors of diverse investment attitudes in a financial market, and the empirical research on descriptive statistics and autocorrelation behaviors of return time series is performed for different values of propagation rates. Then the multiscale entropy analysis is adopted to study several different shuffled return series, including the original return series, the corresponding reversal series, the random shuffled series, the volatility shuffled series and the Zipf-type shuffled series. Furthermore, we propose and compare the multiscale cross-sample entropy and its modification algorithm called composite multiscale cross-sample entropy. We apply them to study the asynchrony of pairs of time series under different time scales.

Analytic solution for American strangle options using Laplace-Carson transforms

NASA Astrophysics Data System (ADS)

Kang, Myungjoo; Jeon, Junkee; Han, Heejae; Lee, Somin

2017-06-01

A strangle has been important strategy for options when the trader believes there will be a large movement in the underlying asset but are uncertain of which way the movement will be. In this paper, we derive analytic formula for the price of American strangle options. American strangle options can be mathematically formulated into the free boundary problems involving two early exercise boundaries. By using Laplace-Carson Transform(LCT), we can derive the nonlinear system of equations satisfied by the transformed value of two free boundaries. We then solve this nonlinear system using Newton's method and finally get the free boundaries and option values using numerical Laplace inversion techniques. We also derive the Greeks for the American strangle options as well as the value of perpetual American strangle options. Furthermore, we present various graphs for the free boundaries and option values according to the change of parameters.

A quantitative description for efficient financial markets

NASA Astrophysics Data System (ADS)

Immonen, Eero

2015-09-01

In this article we develop a control system model for describing efficient financial markets. We define the efficiency of a financial market in quantitative terms by robust asymptotic price-value equality in this model. By invoking the Internal Model Principle of robust output regulation theory we then show that under No Bubble Conditions, in the proposed model, the market is efficient if and only if the following conditions hold true: (1) the traders, as a group, can identify any mispricing in asset value (even if no one single trader can do it accurately), and (2) the traders, as a group, incorporate an internal model of the value process (again, even if no one single trader knows it). This main result of the article, which deliberately avoids the requirement for investor rationality, demonstrates, in quantitative terms, that the more transparent the markets are, the more efficient they are. An extensive example is provided to illustrate the theoretical development.

Real options and asset valuation in competitive energy markets

NASA Astrophysics Data System (ADS)

Oduntan, Adekunle Richard

The focus of this work is to develop a robust valuation framework for physical power assets operating in competitive markets such as peaking or mid-merit thermal power plants and baseload power plants. The goal is to develop a modeling framework that can be adapted to different energy assets with different types of operating flexibilities and technical constraints and which can be employed for various purposes such as capital budgeting, business planning, risk management and strategic bidding planning among others. The valuation framework must also be able to capture the reality of power market rules and opportunities, as well as technical constraints of different assets. The modeling framework developed conceptualizes operating flexibilities of power assets as "switching options' whereby the asset operator decides at every decision point whether to switch from one operating mode to another mutually exclusive mode, within the limits of the equipment constraints of the asset. As a current decision to switch operating modes may affect future operating flexibilities of the asset and hence cash flows, a dynamic optimization framework is employed. The developed framework accounts for the uncertain nature of key value drivers by representing them with appropriate stochastic processes. Specifically, the framework developed conceptualizes the operation of a power asset as a multi-stage decision making problem where the operator has to make a decision at every stage to alter operating mode given currently available information about key value drivers. The problem is then solved dynamically by decomposing it into a series of two-stage sub-problems according to Bellman's optimality principle. The solution algorithm employed is the Least Squares Monte Carlo (LSM) method. The developed valuation framework was adapted for a gas-fired thermal power plant, a peaking hydroelectric power plant and a baseload power plant. This work built on previously published real options valuation methodologies for gas-fired thermal power plants by factoring in uncertainty from gas supply/consumption imbalance which is usually faced by gas-fired power generators. This source of uncertainty arises because of mismatch between natural gas and electricity wholesale markets. Natural gas markets in North America operate on a day-ahead basis while power plants are dispatched in real time. Inability of a power generator to match its gas supply and consumption in real time, leading to unauthorized gas over-run or under-run, attracts penalty charges from the gas supplier to the extent that the generator can not manage the imbalance through other means. By considering an illustrative power plant operating in Ontario, we show effects of gas-imbalance on dispatch strategies on a daily cycling operation basis and the resulting impact on net revenue. Similarly, we employ the developed valuation framework to value a peaking hydroelectric power plant. This application also builds on previous real options valuation work for peaking hydroelectric power plants by considering their operations in a joint energy and ancillary services market. Specifically, the valuation model is developed to capture the value of a peaking power plant whose owner has the flexibility to participate in a joint operating reserve market and an energy market, which is currently the case in the Ontario wholesale power market. The model factors in water inflow uncertainty into the reservoir forebay of a hydroelectric facility and also considers uncertain energy and operating reserve prices. The switching options considered include (i) a joint energy and operating reserve bid (ii) an energy only bid and (iii) a do nothing (idle) strategy. Being an energy limited power plant, by doing nothing at a decision interval, the power asset operator is able to timeshift scarce water for use at a future period when market situations are expected to be better. Finally, the developed valuation framework was employed to optimize life-cycle management decisions of a baseload power plant, such as a nuclear power plant. Given uncertainty of long-term value drivers, including power prices, equipment performance and the relationship between current life cycle spending and future equipment degradation, optimization is carried out with the objective of minimizing overall life-cycle related costs. These life-cycle costs include (i) lost revenue during planned and unplanned outages, (ii) potential costs of future equipment degradation due to inadequate preventative maintenance, and (iii) the direct costs of implementing the life-cycle projects. The switching options in this context include the option to shutdown the power plant in order to execute a given preventative maintenance and inspection project and the option to keep the option "alive" by choosing to delay a planned life-cycle activity.

Would environmental pollution affect home prices? An empirical study based on China's key cities.

PubMed

Hao, Yu; Zheng, Shaoqing

2017-11-01

With the development of China's economy, the problem of environmental pollution has become increasingly more serious, affecting the sustained and healthy development of Chinese cities and the willingness of residents to invest in fixed assets. In this paper, a panel data set of 70 of China's key cities from 2003 to 2014 is used to study the effect of environmental pollution on home prices in China's key cities. In addition to the static panel data regression model, this paper uses the generalized method of moments (GMM) to control for the potential endogeneity and introduce the dynamics. To ensure the robustness of the research results, this paper uses four typical pollutants: per capita volume of SO 2 emissions, industrial soot (dust) emissions, industrial wastewater discharge, and industrial chemical oxygen demand discharge. The analysis shows that environmental pollution does have a negative impact on home prices, and the magnitude of this effect is dependent on the level of economic development. When GDP per capita increases, the size of the negative impact on home prices tends to reduce. Industrial soot (dust) has the greatest impact, and the impact of industrial wastewater is relatively small. It is also found that some other social and economic factors, including greening, public transport, citizen income, fiscal situation, loans, FDI, and population density, have positive effects on home prices, but the effect of employment on home prices is relatively weak.

Health Effects of Short-Term Fluctuations in Macroeconomic Conditions: The Case of Hypertension for Older Americans.

PubMed

Angrisani, Marco; Lee, Jinkook

2016-11-01

We investigate the health effects of short-term macroeconomic fluctuations as described by changes in unemployment rate, house, and stock market price indexes. The 'Great Recession' provides the opportunity to conduct this analysis as it involved contemporaneous shocks to the labor, housing, and stock markets. Using panel data from the Health and Retirement Study over the period 2004-2010, we relate changes in hypertension status to changes in state-level unemployment rate and house prices and to changes in stock market prices. We consider hypertension, a disease related to stress and of high prevalence among older adults, that has received little attention in the literature linking macroeconomic conditions to individual health. Our analysis exploits self-reports of hypertension diagnosis as well as directly measured blood pressure readings. Using both measures, we find that the likelihood of developing hypertension is negatively related to changes in house prices. Also, decreasing house prices lower the probability of stopping hypertension medication treatment for individuals previously diagnosed with the condition. We do not observe significant associations between hypertension and either changes in unemployment rate or stock market prices. We document heterogeneity in the estimated health effects of the recession by gender, education, asset ownership, and work status. Copyright © 2016 John Wiley & Sons, Ltd. Copyright © 2016 John Wiley & Sons, Ltd.

29 CFR 2520.103-4 - Exemption from certain annual reporting requirements for assets held in an insurance company...

Code of Federal Regulations, 2013 CFR

2013-07-01

... assets held in an insurance company pooled separate account. 2520.103-4 Section 2520.103-4 Labor... requirements for assets held in an insurance company pooled separate account. (a) General. Under the authority... assets are held in whole or in part in a pooled separate account of an insurance carrier which meets the...

29 CFR 2520.103-4 - Exemption from certain annual reporting requirements for assets held in an insurance company...

Code of Federal Regulations, 2011 CFR

2011-07-01

... assets held in an insurance company pooled separate account. 2520.103-4 Section 2520.103-4 Labor... requirements for assets held in an insurance company pooled separate account. (a) General. Under the authority... assets are held in whole or in part in a pooled separate account of an insurance carrier which meets the...

29 CFR 2520.103-4 - Exemption from certain annual reporting requirements for assets held in an insurance company...

Code of Federal Regulations, 2012 CFR

2012-07-01

... assets held in an insurance company pooled separate account. 2520.103-4 Section 2520.103-4 Labor... requirements for assets held in an insurance company pooled separate account. (a) General. Under the authority... assets are held in whole or in part in a pooled separate account of an insurance carrier which meets the...

29 CFR 2520.103-4 - Exemption from certain annual reporting requirements for assets held in an insurance company...

Code of Federal Regulations, 2014 CFR

2014-07-01

... assets held in an insurance company pooled separate account. 2520.103-4 Section 2520.103-4 Labor... requirements for assets held in an insurance company pooled separate account. (a) General. Under the authority... assets are held in whole or in part in a pooled separate account of an insurance carrier which meets the...

29 CFR 2520.103-4 - Exemption from certain annual reporting requirements for assets held in an insurance company...

Code of Federal Regulations, 2010 CFR

2010-07-01

... assets held in an insurance company pooled separate account. 2520.103-4 Section 2520.103-4 Labor... requirements for assets held in an insurance company pooled separate account. (a) General. Under the authority... assets are held in whole or in part in a pooled separate account of an insurance carrier which meets the...

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 ecosystem services as a way to understand the requirements for sustainable development

PubMed Central

Mäler, Karl-Göran; Aniyar, Sara; Jansson, Åsa

2008-01-01

Millennium Ecosystem Assessment documented the importance of ecosystem services. It is therefore important that these services are included in our economic accounts (Standard National Accounts), as long as we believe that these accounts should tell us something about our wellbeing. This requires measures of the ecosystem assets and their accounting prices. This article discusses how the concept of inclusive wealth can be exploited for creating such accounts. PMID:18621699

16 CFR 801.15 - Aggregation of voting securities and assets the acquisition of which was exempt.

Code of Federal Regulations, 2011 CFR

2011-01-01

...) Sections 7A(c) (1), (5), (6), (7), (8), and (11)(B); (2) Sections 802.1, 802.2, 802.5, 802.6(b)(1), 802.8... that the acquisition price was in excess of $50 million (as adjusted). In the most recent year, sales... amended at 52 FR 7081, Mar. 6, 1987; 61 FR 13684, Mar. 28, 1996; 66 FR 8689, Feb. 1, 2001; 67 FR 11902...

Accounting for ecosystem services as a way to understand the requirements for sustainable development.

PubMed

Mäler, Karl-Göran; Aniyar, Sara; Jansson, Asa

2008-07-15

Millennium Ecosystem Assessment documented the importance of ecosystem services. It is therefore important that these services are included in our economic accounts (Standard National Accounts), as long as we believe that these accounts should tell us something about our wellbeing. This requires measures of the ecosystem assets and their accounting prices. This article discusses how the concept of inclusive wealth can be exploited for creating such accounts.

What the 2008 stock market crash means for retirement security.

PubMed

Butrica, Barbara A; Smith, Karen E; Toder, Eric J

2010-10-01

The 2008 stock market crash raises concerns about retirement security, especially since the increased prevalence of 401(k) and similar retirement saving plans means that more Americans are now stakeholders in the equity market than in the past. Using a dynamic microsimulation model, this paper explores the ability of alternate future stock market scenarios to restore retirement assets. The authors find that those near retirement could fare the worst because they have no time to recoup their losses. Mid-career workers could fare better because they have more time to rebuild their wealth. They may even gain income if they buy stocks at low prices and get above-average rates of return. High-income groups will be the most affected because they are most likely to have financial assets and to be invested in the stock market.

Problems of Mathematical Finance by Stochastic Control Methods

NASA Astrophysics Data System (ADS)

Stettner, Łukasz

The purpose of this paper is to present main ideas of mathematics of finance using the stochastic control methods. There is an interplay between stochastic control and mathematics of finance. On the one hand stochastic control is a powerful tool to study financial problems. On the other hand financial applications have stimulated development in several research subareas of stochastic control in the last two decades. We start with pricing of financial derivatives and modeling of asset prices, studying the conditions for the absence of arbitrage. Then we consider pricing of defaultable contingent claims. Investments in bonds lead us to the term structure modeling problems. Special attention is devoted to historical static portfolio analysis called Markowitz theory. We also briefly sketch dynamic portfolio problems using viscosity solutions to Hamilton-Jacobi-Bellman equation, martingale-convex analysis method or stochastic maximum principle together with backward stochastic differential equation. Finally, long time portfolio analysis for both risk neutral and risk sensitive functionals is introduced.

17 CFR 240.15d-23 - Reporting regarding certain securities underlying asset-backed securities under section 15(d) of...

Code of Federal Regulations, 2010 CFR

2010-04-01

... 17 Commodity and Securities Exchanges 3 2010-04-01 2010-04-01 false Reporting regarding certain securities underlying asset-backed securities under section 15(d) of the Act. 240.15d-23 Section 240.15d-23 Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION (CONTINUED) GENERAL RULES AND...

Considering the health care entity C corporation conversion to tax pass-through entity status.

PubMed

Reilly, Robert F

2012-01-01

The double taxation of C corporation income from operations and from the ultimate sale of its assets makes the C corporation an inefficient tax status for many health care entities. At the time of this writing, the changes in the federal tax law that are scheduled to take effect in 2013 will increase this level of double-taxation inefficiency. The owners of a C corporation practice can avoid the C corporation status tax inefficiency by converting the practice to either (1) S corporation status or (2) LLC status. The conversion of the health care C corporation to an S corporation may be accomplished without a current tax cost. However, the conversion of a health care C corporation to an LLC status can result in a current tax at both the corporation level and the shareholder level. Nonetheless, the current conversion tax cost may be less than the future tax cost (1) of operating the practice as a C corporation and incurring double taxation at what may be higher tax rates or (2) of incurring the higher tax cost (or reduced price) on the ultimate disposition of the practice assets and the attendant double taxation of the appreciation in the value of the practice assets. Since individual income tax rates on qualifying dividends from C corporations and on capital gains are currently at very low rates, this may be a good time for C corporation practice owners to consider the costs and benefits of a conversion to either S corporation status or LLC status. The practice owners should consult with their accounting, legal, and valuation advisors in order to consider all of the costs and benefits of a possible corporate tax status conversion. An estimation of both the costs and benefits of the corporate tax status conversion depends on the concluded fair market values of the medical practice, dental practice, or other health care entity assets. And, that practice asset appraisal should encompass all of the practice assets, both tangible assets and intangible assets.

[Analysis on influential factors in China's exports of primary and semi-finished products of traditional Chinese medicine to ASEAN].

PubMed

Qian, Yun-Xu; Yang, Yue; Zhao, Wei; Bi, Kai-Shun

2014-04-01

Two regression models, based on panel data over the period of 2000-2011, are built and used to analyze what factors determine China's exports of primary and semi-finished products of traditional Chinese medicine to ASEAN. The results indicate that, China GDP, the ratio of ASEAN to China GDP per capita, average export price, the ratio of state-owned assets to total assets, have a significant positive influence on the export volumes of primary products of Chinese medicine. At the same time, RMB appreciation, the ratio of three kinds of foreign-invested assets to total assets, China-ASEAN Early Harvest Program, ASEAN-China Free Trade Area have a significant negative influence. In respect of the export volumes of semi-finished products of Chinese medicine, the significant influential factors are ASEAN GDP and the ratio of ASEAN to China GDP per capita. The former is positive and the latter is negative. In order to optimize the commodity composition of experts, it is needed to increase export volumes of both primary and semi-finished products of Chinese medicine. According to the analysis above, some proposals are put forward, such as, improving the performance of foreign capital, playing an exemplary and leading role in technological innovation by state-owned enterprises, taking advantage of bargaining power of suppliers, increasing outward foreign direct investment.

48 CFR 31.205-10 - Cost of money.

Code of Federal Regulations, 2013 CFR

2013-10-01

... of the cost of capital assets under construction (48 CFR 9904.417). (b) Cost of money is allowable... measured and added to the cost of capital assets under construction in accordance with 48 CFR 9904.417, as... proposals relating to the contract under which the cost is to be claimed. (c) Actual interest cost in lieu...

48 CFR 31.205-10 - Cost of money.

Code of Federal Regulations, 2012 CFR

2012-10-01

... of the cost of capital assets under construction (48 CFR 9904.417). (b) Cost of money is allowable... measured and added to the cost of capital assets under construction in accordance with 48 CFR 9904.417, as... proposals relating to the contract under which the cost is to be claimed. (c) Actual interest cost in lieu...

48 CFR 31.205-10 - Cost of money.

Code of Federal Regulations, 2010 CFR

2010-10-01

... of the cost of capital assets under construction (48 CFR 9904.417). (b) Cost of money is allowable... measured and added to the cost of capital assets under construction in accordance with 48 CFR 9904.417, as... proposals relating to the contract under which the cost is to be claimed. (c) Actual interest cost in lieu...

48 CFR 31.205-10 - Cost of money.

Code of Federal Regulations, 2014 CFR

2014-10-01

... of the cost of capital assets under construction (48 CFR 9904.417). (b) Cost of money is allowable... measured and added to the cost of capital assets under construction in accordance with 48 CFR 9904.417, as... proposals relating to the contract under which the cost is to be claimed. (c) Actual interest cost in lieu...

48 CFR 31.205-10 - Cost of money.

Code of Federal Regulations, 2011 CFR

2011-10-01

... of the cost of capital assets under construction (48 CFR 9904.417). (b) Cost of money is allowable... measured and added to the cost of capital assets under construction in accordance with 48 CFR 9904.417, as... proposals relating to the contract under which the cost is to be claimed. (c) Actual interest cost in lieu...

A Study to Identify Those Variables Which Contribute to the Utilization of Wellness Clinic Services by Active Duty Army Family Members

DTIC Science & Technology

1985-07-01

utilization of organizational assets. The marketing mix model consisting of the four key vari- ables of price, promotion, product, and place, is commonly...minimal marketing efforts may bring significant increases in useage. The author included some specific recommendations for marketing the Wellness Clinic. 12...care This five factor model indicates that the two major approa- ches to analyzing preventive health care consumer decisionmaking, marketing and health

Recalibrating Alliance Contributions: Changing Policy Environment and Military Alliances

DTIC Science & Technology

2005-06-01

Organization,” International Studies Quarterly, 27, 1983, pp.77-96. 14 effects on peace and war have been studied ..7,8 Alliance adaptation and alliance...high. The private consumption increased because of asset effects reflecting the high stock and land price.7 The increase of private consumption and... effect of some of the environment change on the alliance may need a separate and full study . For example, what is the effect of technological change on

Profitability of HMOs: does non-profit status make a difference?

PubMed

Bryce, H J

1994-06-01

This study, based on 163 HMOs, tests the hypothesis that the rates of return on assets (ROA) are not significantly different between for-profit and non-profit HMOs. It finds no statistical support for rejecting the hypothesis. The marked similarity in profitability is fully explained by analyzing methods of cost control and accounting, operational incentives and constraints, and price determination. The paper concludes that profitability is not a defining distinction in the operation of managed care.

The behavioral implications of the bilateral gamma process

NASA Astrophysics Data System (ADS)

Xie, Haibin; Wang, Shouyang; Lu, Zudi

2018-06-01

Bilateral gamma process is widely used in risk management and asset pricing. However the behavioral implications of this process remain unknown. This paper investigates this problem for the first time within the framework of Tauchen and Pitts (1983). With the assumption that there are two types of traders in the market, the optimistic and the pessimistic, we find the bilateral gamma process can be derived from Walrasian equilibrium. This finding establishes the microstructure foundations for the bilateral gamma process.

What can we learn from the network approach in finance?

NASA Astrophysics Data System (ADS)

Janos, Kertesz

2005-03-01

Correlations between variations of stock prices reveal information about relationships between companies. Different methods of analysis have been applied to such data in order to uncover the taxonomy of the market. We use Mantegna's miminum spanning tree (MST) method for daily data in a dynamic way: By introducing a moving window we study the temporal changes in the structure of the network defined by this ``asset tree.'' The MST is scale free with a significantly changing exponent of the degree distribution for crash periods, which demonstrates the restructuring of the network due to the enhancement of correlations. This approach is compared to that based on what we call ``asset graphs:'' We start from an empty graph with no edges where the vertices correspond to stocks and then, one by one, we insert edges between the vertices according to the rank of their correlation strength. We study the properties of the creatred (weighted) networks, such as topologically different growth types, number and size of clusters and clustering coefficient. Furthermore, we define new tools like subgraph intensity and coherence to describe the role of the weights. We also investigate the time shifted cross correlation functions for high frequency data and find a characteristic time delay in many cases representing that some stocks lead the price changes while others follow them. These data can be used to construct a directed network of influence.

12 CFR 615.5210 - Risk-adjusted assets.

Code of Federal Regulations, 2010 CFR

2010-01-01

... appropriate credit conversion factor in § 615.5212, is assigned to one of the risk categories specified in... risk-based capital requirement for the credit-enhanced assets, the risk-based capital required under..., determine the appropriate risk weight for any asset or credit equivalent amount that does not fit wholly...

17 CFR 229.1111 - (Item 1111) Pool assets.

Code of Federal Regulations, 2011 CFR

2011-04-01

... pool assets. (7) If a loan or similar receivable: (i) Amortization period. (ii) Loan purpose (e.g... for commercial mortgages). (8) If a receivable or other financial asset that arises under a revolving account, such as a credit card receivable: (i) Monthly payment rate. (ii) Maximum credit lines. (iii...

17 CFR 229.1111 - (Item 1111) Pool assets.

Code of Federal Regulations, 2014 CFR

2014-04-01

... pool assets. (7) If a loan or similar receivable: (i) Amortization period. (ii) Loan purpose (e.g... for commercial mortgages). (8) If a receivable or other financial asset that arises under a revolving account, such as a credit card receivable: (i) Monthly payment rate. (ii) Maximum credit lines. (iii...

17 CFR 229.1111 - (Item 1111) Pool assets.

Code of Federal Regulations, 2013 CFR

2013-04-01

... pool assets. (7) If a loan or similar receivable: (i) Amortization period. (ii) Loan purpose (e.g... for commercial mortgages). (8) If a receivable or other financial asset that arises under a revolving account, such as a credit card receivable: (i) Monthly payment rate. (ii) Maximum credit lines. (iii...

17 CFR 229.1111 - (Item 1111) Pool assets.

Code of Federal Regulations, 2012 CFR

2012-04-01

... pool assets. (7) If a loan or similar receivable: (i) Amortization period. (ii) Loan purpose (e.g... for commercial mortgages). (8) If a receivable or other financial asset that arises under a revolving account, such as a credit card receivable: (i) Monthly payment rate. (ii) Maximum credit lines. (iii...

A comparison of pay-as-bid and marginal pricing in electricity markets

NASA Astrophysics Data System (ADS)

Ren, Yongjun

This thesis investigates the behaviour of electricity markets under marginal and pay-as-bid pricing. Marginal pricing is believed to yield the maximum social welfare and is currently implemented by most electricity markets. However, in view of recent electricity market failures, pay-as-bid has been extensively discussed as a possible alternative to marginal pricing. In this research, marginal and pay-as-bid pricing have been analyzed in electricity markets with both perfect and imperfect competition. The perfect competition case is studied under both exact and uncertain system marginal cost prediction. The comparison of the two pricing methods is conducted through two steps: (i) identify the best offer strategy of the generating companies (gencos); (ii) analyze the market performance under these optimum genco strategies. The analysis results together with numerical simulations show that pay-as-bid and marginal pricing are equivalent in a perfect market with exact system marginal cost prediction. In perfect markets with uncertain demand prediction, the two pricing methods are also equivalent but in an expected value sense. If we compare from the perspective of second order statistics, all market performance measures exhibit much lower values under pay-as-bid than under marginal pricing. The risk of deviating from the mean is therefore much higher under marginal pricing than under pay-as-bid. In an imperfect competition market with exact demand prediction, the research shows that pay-as-bid pricing yields lower consumer payments and lower genco profits. This research provides quantitative evidence that challenges some common claims about pay-as-bid pricing. One is that under pay-as-bid, participants would soon learn how to offer so as to obtain the same or higher profits than what they would have obtained under marginal pricing. This research however shows that, under pay-as-bid, participants can at best earn the same profit or expected profit as under marginal pricing. A second common claim refuted by this research is that pay-as-bid does not provide correct price signals if there is a scarcity of generation resources. We show that pay-as-bid does provide a price signal with such characteristics and furthermore argue that the price signal under marginal pricing with gaming may not necessarily be correct since it would then not reflect a lack of generation capacity but a desire to increase profit.

A multi-assets artificial stock market with zero-intelligence traders

NASA Astrophysics Data System (ADS)

Ponta, L.; Raberto, M.; Cincotti, S.

2011-01-01

In this paper, a multi-assets artificial financial market populated by zero-intelligence traders with finite financial resources is presented. The market is characterized by different types of stocks representing firms operating in different sectors of the economy. Zero-intelligence traders follow a random allocation strategy which is constrained by finite resources, past market volatility and allocation universe. Within this framework, stock price processes exhibit volatility clustering, fat-tailed distribution of returns and reversion to the mean. Moreover, the cross-correlations between returns of different stocks are studied using methods of random matrix theory. The probability distribution of eigenvalues of the cross-correlation matrix shows the presence of outliers, similar to those recently observed on real data for business sectors. It is worth noting that business sectors have been recovered in our framework without dividends as only consequence of random restrictions on the allocation universe of zero-intelligence traders. Furthermore, in the presence of dividend-paying stocks and in the case of cash inflow added to the market, the artificial stock market points out the same structural results obtained in the simulation without dividends. These results suggest a significative structural influence on statistical properties of multi-assets stock market.

Essays on carbon abatement and electricity markets

NASA Astrophysics Data System (ADS)

Taber, John Timothy

In the first chapter of this dissertation, I study the effects of a number of policies which affect the electric grid using the SuperOPF, a full AC optimization/simulation framework with optimal investment developed at Cornell University. A 36-node model of the Northeast Power Coordinating Council is used to test policies that aim to reduce CO2, other emissions, or otherwise impact the operation of the electric grid: a base case, with no new environmental legislation; enactment of the Kerry-Lieberman CO2 allowance proposal in 2012; following Fukishima, a retirement of all US nuclear plants by 2022 with and without Kerry-Lieberman; marginal damages from SO2 and NOX emissions charged to coal, gas and oil-fired generation; plug-in hybrid electric vehicle load filling; wind incentives in place; and two cases which combine these. The cases suggest that alternative policies may have very different outcomes in terms of electricity prices, emissions, and health outcomes. In all cases, however, the optimal strategy for future investment is investment in new natural gas combined cycle plants. Policies can change how much new generation is built, whether other plants are built, or what types of plants are retired. The second chapter of my dissertation utilizes the SuperOPF and the model of the Northeast Power Coordinating Council to analyze the issue of carbon leakage. I analyze the effects of a regionally-limited carbon cap and trade program, the Regional Greenhouse Initiative (RGGI), when additional generating assets in non-affected states are included in the analysis. In the face of different carbon prices on generating assets in covered and non-covered states, generation is expected to shift from states bound by RGGI to states outside of RGGI. This carbon leakage may undermine some or all of the benefits of RGGI while simultaneously increasing prices for customers in the area. Even though carbon prices under RGGI are very low, some leakage is occurring, and this leakage will worsen if carbon prices increase. Ultimately, a unified policy offers greater carbon reduction at a lower cost, which would increase popular acceptance of such policies. In the third chapter of this dissertation, my coauthors and I examine the issue of demand for carbon reductions. Recent large-scale field experiments have shown that peer information nudges can have significant effects on behavior, inducing people to reduce their production of negative externalities. Related work in psychology demonstrates that inducing feelings of personal culpability by showing people information about their peers can induce pro-social behavior. This study uses a contingent valuation experiment and a parallel lab experiment to further explore patterns of responses that have been suggested in the emerging literature on norm-based environmental interventions The field-level finding of asymmetric responses between those whose environmental or group impacts are above or below the norm is found to be robust across decision settings. However, substantial heterogeneity in responses to peer information is observed across a number of demographic and other respondent-specific dimensions not able to be explored in large scale field experiments, raising questions about the universality of peer-information effects and the design of such programs.

Risk and utility in portfolio optimization

NASA Astrophysics Data System (ADS)

Cohen, Morrel H.; Natoli, Vincent D.

2003-06-01

Modern portfolio theory (MPT) addresses the problem of determining the optimum allocation of investment resources among a set of candidate assets. In the original mean-variance approach of Markowitz, volatility is taken as a proxy for risk, conflating uncertainty with risk. There have been many subsequent attempts to alleviate that weakness which, typically, combine utility and risk. We present here a modification of MPT based on the inclusion of separate risk and utility criteria. We define risk as the probability of failure to meet a pre-established investment goal. We define utility as the expectation of a utility function with positive and decreasing marginal value as a function of yield. The emphasis throughout is on long investment horizons for which risk-free assets do not exist. Analytic results are presented for a Gaussian probability distribution. Risk-utility relations are explored via empirical stock-price data, and an illustrative portfolio is optimized using the empirical data.

7 CFR 1717.850 - General.

Code of Federal Regulations, 2014 CFR

2014-01-01

... effects on the repayment and security of RUS loans: (1) The value of the added assets compared with the amount of new debt to be secured; (2) The value of the assets already pledged under the mortgage, and any effects of the proposed transaction on the value of those assets; (3) The ratio of the total outstanding...

26 CFR 301.7507-4 - Unsegregated assets.

Code of Federal Regulations, 2014 CFR

2014-04-01

... unsegregated assets of a bank although the segregated assets are immune under the section. (2) If the... therefrom. Therefore, if, for example, in the case of a bank having a tax liability, not previously immune... which, in whole or part, are charged with the payment of depositors' claims, will be immune from tax...

26 CFR 301.7507-4 - Unsegregated assets.

Code of Federal Regulations, 2013 CFR

2013-04-01

... unsegregated assets of a bank although the segregated assets are immune under the section. (2) If the... therefrom. Therefore, if, for example, in the case of a bank having a tax liability, not previously immune... which, in whole or part, are charged with the payment of depositors' claims, will be immune from tax...

26 CFR 301.7507-4 - Unsegregated assets.

Code of Federal Regulations, 2012 CFR

2012-04-01

... unsegregated assets of a bank although the segregated assets are immune under the section. (2) If the... therefrom. Therefore, if, for example, in the case of a bank having a tax liability, not previously immune... which, in whole or part, are charged with the payment of depositors' claims, will be immune from tax...

75 FR 29571 - Notice of Proposed Information Collection for Public Comment; Training Evaluation Form

Federal Register 2010, 2011, 2012, 2013, 2014

2010-05-26

... public housing agencies (PHAs) and establishes requirements for PHAs to convert to asset management... regarding asset management. Under Sec. 990.260(a), PHAs that own and operate 250 or more dwelling rental units must operate using an asset management model consistent with the subpart H regulations. However...

26 CFR 301.7507-4 - Unsegregated assets.

Code of Federal Regulations, 2010 CFR

2010-04-01

... unsegregated assets of a bank although the segregated assets are immune under the section. (2) If the... therefrom. Therefore, if, for example, in the case of a bank having a tax liability, not previously immune... which, in whole or part, are charged with the payment of depositors' claims, will be immune from tax...

26 CFR 301.7507-4 - Unsegregated assets.

Code of Federal Regulations, 2011 CFR

2011-04-01

... unsegregated assets of a bank although the segregated assets are immune under the section. (2) If the... therefrom. Therefore, if, for example, in the case of a bank having a tax liability, not previously immune... which, in whole or part, are charged with the payment of depositors' claims, will be immune from tax...

17 CFR 230.190 - Registration of underlying securities in asset-backed securities transactions.

Code of Federal Regulations, 2010 CFR

2010-04-01

... 17 Commodity and Securities Exchanges 2 2010-04-01 2010-04-01 false Registration of underlying securities in asset-backed securities transactions. 230.190 Section 230.190 Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION GENERAL RULES AND REGULATIONS, SECURITIES ACT OF 1933 General...

Why do Economic Instruments Fail? The role of Water trading and Pricing at a River Basin Scale

NASA Astrophysics Data System (ADS)

Pérez-Blanco, C. D.; Gomez, C.; Loch, A. J.; Adamson, D. C.

2016-12-01

Water management problems stem from the mismatch between a multitude of individual decisions, on the one hand, and the current and projected status of water resources, on the other. Economics provides valuable information on the incentives that drive individual decisions and can be used to design instruments that address the problem. Yet, proposals from economists regarding instruments like water pricing or trading are mostly based upon basic and general principles of welfare economics that are not straightaway applicable to assets as complex as water. For example, while water markets clearly serve to the parts directly involved in the transaction, the unique characteristics of water often leads to Pareto inefficient allocations that affect the environment and related economic uses. The flaw in this approach lies in the understanding that water prices and water trading schemes may be good or bad on their own (e.g. finding the "right" price). This vision changes radically when we focus on the problem, instead of the instrument. In this case addressing water management challenges is equivalent to making the multitude of decisions people do about water compatible with collective water governance goals such as curbing degradation trends or building water security for the future. These ideas provide both the basis for assessing existing incentives such as pricing and trading schemes and reshaping economic instruments to serve the objectives of an integrated water resources management.

Web-based Electronic Sharing and RE-allocation of Assets

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

Leverett, Dave; Miller, Robert A.; Berlin, Gary J.

2002-09-09

The Electronic Asses Sharing Program is a web-based application that provides the capability for complex-wide sharing and reallocation of assets that are excess, under utilized, or un-utilized. through a web-based fron-end and supporting has database with a search engine, users can search for assets that they need, search for assets needed by others, enter assets they need, and enter assets they have available for reallocation. In addition, entire listings of available assets and needed assets can be viewed. The application is written in Java, the hash database and search engine are in Object-oriented Java Database Management (OJDBM). The application willmore » be hosted on an SRS-managed server outside the Firewall and access will be controlled via a protected realm. An example of the application can be viewed at the followinig (temporary) URL: http://idgdev.srs.gov/servlet/srs.weshare.WeShare« less

75 FR 13422 - Federal Acquisition Regulation; FAR Case 2008-015, Payments Under Fixed-Price Architect-Engineer...

Federal Register 2010, 2011, 2012, 2013, 2014

2010-03-19

...-AL26 Federal Acquisition Regulation; FAR Case 2008-015, Payments Under Fixed-Price Architect-Engineer..., Payments Under Fixed-Price Architect-Engineer Contracts, currently requires contracting officers to... judgment regarding the amount of payment withheld to apply under fixed-price architect-engineer (A-E...

Adjusting the Capital Asset Pricing Model for the Short-Run with Liquidity Proxies, While Accounting for Denials and Deceptions in Financial Markets

DTIC Science & Technology

2014-03-01

period, Ki broke down his dataset into three periods of market evolution : before HFT 1994-2000, after HFT’s introduction 2001-2005, and after HFT’s...addition to the integrity measures above. The TPs can also act as authentication systems, barring users from interacting (i.e., reading, writing...and Whaley’s published work, Cheating and Deception, traces the origins and evolution of contemporary academic work concerning deception from

Linearly Adjustable International Portfolios

NASA Astrophysics Data System (ADS)

Fonseca, R. J.; Kuhn, D.; Rustem, B.

2010-09-01

We present an approach to multi-stage international portfolio optimization based on the imposition of a linear structure on the recourse decisions. Multiperiod decision problems are traditionally formulated as stochastic programs. Scenario tree based solutions however can become intractable as the number of stages increases. By restricting the space of decision policies to linear rules, we obtain a conservative tractable approximation to the original problem. Local asset prices and foreign exchange rates are modelled separately, which allows for a direct measure of their impact on the final portfolio value.

Applying Modern Portfolio Theory and the Capital Asset Pricing Model to DoD’s Information Technology Investments

DTIC Science & Technology

2009-03-01

axis was really historical volatility of the return on a particular stock (capital gains of losses as well as dividends). Markowitz’s theory is an...market, the risk involved in a particular stock is determined by the historical volatility of the return. “But investments like IT projects or new...product development don’t typically have ‘ historical volatility .’ They do, however, share another characteristic of risk that is more fundamental than

U.S. Nuclear Power Plants: Continued Life or Replacement After 60? (released in AEO2010)

EIA Publications

2010-01-01

Nuclear power plants generate approximately 20% of U.S. electricity, and the plants in operation today are often seen as attractive assets in the current environment of uncertainty about future fossil fuel prices, high construction costs for new power plants (particularly nuclear plants), and the potential enactment of greenhouse gas regulations. Existing nuclear power plants have low fuel costs and relatively high power output. However, there is uncertainty about how long they will be allowed to continue operating.

Scaling symmetry, renormalization, and time series modeling: the case of financial assets dynamics.

PubMed

Zamparo, Marco; Baldovin, Fulvio; Caraglio, Michele; Stella, Attilio L

2013-12-01

We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their aggregates. In its simplest version the model is the product of an endogenous autoregressive component and a random rescaling factor designed to embody also exogenous influences. Mathematical properties like increments' stationarity and ergodicity can be proven. Thanks to the relatively low number of parameters, model calibration can be conveniently based on a method of moments, as exemplified in the case of historical data of the S&P500 index. The calibrated model accounts very well for many stylized facts, like volatility clustering, power-law decay of the volatility autocorrelation function, and multiscaling with time of the aggregated return distribution. In agreement with empirical evidence in finance, the dynamics is not invariant under time reversal, and, with suitable generalizations, skewness of the return distribution and leverage effects can be included. The analytical tractability of the model opens interesting perspectives for applications, for instance, in terms of obtaining closed formulas for derivative pricing. Further important features are the possibility of making contact, in certain limits, with autoregressive models widely used in finance and the possibility of partially resolving the long- and short-memory components of the volatility, with consistent results when applied to historical series.

Scaling symmetry, renormalization, and time series modeling: The case of financial assets dynamics

NASA Astrophysics Data System (ADS)

Zamparo, Marco; Baldovin, Fulvio; Caraglio, Michele; Stella, Attilio L.

2013-12-01

We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their aggregates. In its simplest version the model is the product of an endogenous autoregressive component and a random rescaling factor designed to embody also exogenous influences. Mathematical properties like increments’ stationarity and ergodicity can be proven. Thanks to the relatively low number of parameters, model calibration can be conveniently based on a method of moments, as exemplified in the case of historical data of the S&P500 index. The calibrated model accounts very well for many stylized facts, like volatility clustering, power-law decay of the volatility autocorrelation function, and multiscaling with time of the aggregated return distribution. In agreement with empirical evidence in finance, the dynamics is not invariant under time reversal, and, with suitable generalizations, skewness of the return distribution and leverage effects can be included. The analytical tractability of the model opens interesting perspectives for applications, for instance, in terms of obtaining closed formulas for derivative pricing. Further important features are the possibility of making contact, in certain limits, with autoregressive models widely used in finance and the possibility of partially resolving the long- and short-memory components of the volatility, with consistent results when applied to historical series.

φq-field theory for portfolio optimization: “fat tails” and nonlinear correlations

NASA Astrophysics Data System (ADS)

Sornette, D.; Simonetti, P.; Andersen, J. V.

2000-08-01

Physics and finance are both fundamentally based on the theory of random walks (and their generalizations to higher dimensions) and on the collective behavior of large numbers of correlated variables. The archetype examplifying this situation in finance is the portfolio optimization problem in which one desires to diversify on a set of possibly dependent assets to optimize the return and minimize the risks. The standard mean-variance solution introduced by Markovitz and its subsequent developments is basically a mean-field Gaussian solution. It has severe limitations for practical applications due to the strongly non-Gaussian structure of distributions and the nonlinear dependence between assets. Here, we present in details a general analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multivariate distribution. In this goal, we introduce a non-linear transformation that maps the returns onto Gaussian variables whose covariance matrix provides a new measure of dependence between the non-normal returns, generalizing the covariance matrix into a nonlinear covariance matrix. This nonlinear covariance matrix is chiseled to the specific fat tail structure of the underlying marginal distributions, thus ensuring stability and good conditioning. The portfolio distribution is then obtained as the solution of a mapping to a so-called φq field theory in particle physics, of which we offer an extensive treatment using Feynman diagrammatic techniques and large deviation theory, that we illustrate in details for multivariate Weibull distributions. The interaction (non-mean field) structure in this field theory is a direct consequence of the non-Gaussian nature of the distribution of asset price returns. We find that minimizing the portfolio variance (i.e. the relatively “small” risks) may often increase the large risks, as measured by higher normalized cumulants. Extensive empirical tests are presented on the foreign exchange market that validate satisfactorily the theory. For “fat tail” distributions, we show that an adequate prediction of the risks of a portfolio relies much more on the correct description of the tail structure rather than on their correlations. For the case of asymmetric return distributions, our theory allows us to generalize the return-risk efficient frontier concept to incorporate the dimensions of large risks embedded in the tail of the asset distributions. We demonstrate that it is often possible to increase the portfolio return while decreasing the large risks as quantified by the fourth and higher-order cumulants. Exact theoretical formulas are validated by empirical tests.

A Mobile Asset Tracking System Architecture under Mobile-Stationary Co-Existing WSNs

PubMed Central

Kim, Tae Hyon; Jo, Hyeong Gon; Lee, Jae Shin; Kang, Soon Ju

2012-01-01

The tracking of multiple wireless mobile nodes is not easy with current legacy WSN technologies, due to their inherent technical complexity, especially when heavy traffic and frequent movement of mobile nodes are encountered. To enable mobile asset tracking under these legacy WSN systems, it is necessary to design a specific system architecture that can manage numerous mobile nodes attached to mobile assets. In this paper, we present a practical system architecture including a communication protocol, a three-tier network, and server-side middleware for mobile asset tracking in legacy WSNs consisting of mobile-stationary co-existing infrastructures, and we prove the functionality of this architecture through careful evaluation in a test bed. Evaluation was carried out in a microwave anechoic chamber as well as on a straight road near our office. We evaluated communication mobility performance between mobile and stationary nodes, location-awareness performance, system stability under numerous mobile node conditions, and the successful packet transfer rate according to the speed of the mobile nodes. The results indicate that the proposed architecture is sufficiently robust for application in realistic mobile asset tracking services that require a large number of mobile nodes. PMID:23242277

A study of pricing and trading model of Blockchain & Big data-based Energy-Internet electricity

NASA Astrophysics Data System (ADS)

Fan, Tao; He, Qingsu; Nie, Erbao; Chen, Shaozhen

2018-01-01

The development of Energy-Internet is currently suffering from a series of issues, such as the conflicts among high capital requirement, low-cost, high efficiency, the spreading gap between capital demand and supply, as well as the lagged trading & valuation mechanism, any of which would hinder Energy-Internet's evolution. However, with the development of Blockchain and big-data technology, it is possible to work out solutions for these issues. Based on current situation of Energy-Internet and its requirements for future progress, this paper demonstrates the validity of employing blockchain technology to solve the problems encountered by Energy-Internet during its development. It proposes applying the blockchain and big-data technologies to pricing and trading energy products through Energy-Internet and to accomplish cyber-based energy or power's transformation from physic products to financial assets.

Valuation of Capabilities and System Architecture Options to Meet Affordability Requirement

DTIC Science & Technology

2014-04-30

is an extension of the historic volatility and trend of the stock using Brownian motion . In finance , the Black-Scholes equation is used to value...the underlying asset whose value is modeled as a stochastic process. In finance , the underlying asset is a tradeable stock and the stochastic process

26 CFR 1.168(i)-1 - General asset accounts.

Code of Federal Regulations, 2010 CFR

2010-04-01

... under paragraph (k) of this section. (b) Definitions. For purposes of this section, the following.... If a taxpayer makes the election under paragraph (k) of this section, assets that are subject to the... the Code that treat gain on a disposition as subject to section 1245 or 1250). (iii) Effect of...

26 CFR 1.168(i)-1 - General asset accounts.

Code of Federal Regulations, 2011 CFR

2011-04-01

... under paragraph (k) of this section. (b) Definitions. For purposes of this section, the following.... If a taxpayer makes the election under paragraph (k) of this section, assets that are subject to the... the Code that treat gain on a disposition as subject to section 1245 or 1250). (iii) Effect of...

29 CFR 4204.1 - Purpose and scope.

Code of Federal Regulations, 2010 CFR

2010-07-01

... PLANS VARIANCES FOR SALE OF ASSETS General § 4204.1 Purpose and scope. (a) Purpose. Under section 4204 of ERISA, an employer that ceases covered operations under a multiemployer plan, or ceases to have an obligation to contribute for such operations, because of a bona fide, arm's-length sale of assets to an...

48 CFR 28.306 - Insurance under fixed-price contracts.

Code of Federal Regulations, 2011 CFR

2011-10-01

... requirements under fixed-price contracts. Examples of such circumstances include the following: (1) The...-price contracts. 28.306 Section 28.306 Federal Acquisition Regulations System FEDERAL ACQUISITION REGULATION GENERAL CONTRACTING REQUIREMENTS BONDS AND INSURANCE Insurance 28.306 Insurance under fixed-price...

Toward quantum-like modeling of financial processes

NASA Astrophysics Data System (ADS)

Choustova, Olga

2007-05-01

We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of quantum mechanics. Trajectories of prices are determined by two financial potentials: classical-like V(q) ("hard" market conditions, e.g., natural resources) and quantum-like U(q) (behavioral market conditions). On the one hand, our Bohmian model is a quantum-like model for the financial market, cf. with works of W. Segal, I. E. Segal, E. Haven, E. W. Piotrowski, J. Sladkowski. On the other hand, (since Bohmian mechanics provides the possibility to describe individual price trajectories) it belongs to the domain of extended research on deterministic dynamics for financial assets (C.W.J. Granger, W.A. Barnett, A. J. Benhabib, W.A. Brock, C. Sayers, J. Y. Campbell, A. W. Lo, A. C. MacKinlay, A. Serletis, S. Kuchta, M. Frank, R. Gencay, T. Stengos, M. J. Hinich, D. Patterson, D. A. Hsieh, D. T. Caplan, J.A. Scheinkman, B. LeBaron and many others).

Credit Default Swaps networks and systemic risk

PubMed Central

Puliga, Michelangelo; Caldarelli, Guido; Battiston, Stefano

2014-01-01

Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an early warning of systemic risk. Here we study a set of 176 CDS time series of financial institutions from 2002 to 2011. Networks are constructed in various ways, some of which display structural change at the onset of the credit crisis of 2008, but never before. By taking these networks as a proxy of interdependencies among financial institutions, we run stress-test based on Group DebtRank. Systemic risk before 2008 increases only when incorporating a macroeconomic indicator reflecting the potential losses of financial assets associated with house prices in the US. This approach indicates a promising way to detect systemic instabilities. PMID:25366654

Credit Default Swaps networks and systemic risk.

PubMed

Puliga, Michelangelo; Caldarelli, Guido; Battiston, Stefano

2014-11-04

Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an early warning of systemic risk. Here we study a set of 176 CDS time series of financial institutions from 2002 to 2011. Networks are constructed in various ways, some of which display structural change at the onset of the credit crisis of 2008, but never before. By taking these networks as a proxy of interdependencies among financial institutions, we run stress-test based on Group DebtRank. Systemic risk before 2008 increases only when incorporating a macroeconomic indicator reflecting the potential losses of financial assets associated with house prices in the US. This approach indicates a promising way to detect systemic instabilities.

In the mind of the market: theory of mind biases value computation during financial bubbles.

PubMed

De Martino, Benedetto; O'Doherty, John P; Ray, Debajyoti; Bossaerts, Peter; Camerer, Colin

2013-09-18

The ability to infer intentions of other agents, called theory of mind (ToM), confers strong advantages for individuals in social situations. Here, we show that ToM can also be maladaptive when people interact with complex modern institutions like financial markets. We tested participants who were investing in an experimental bubble market, a situation in which the price of an asset is much higher than its underlying fundamental value. We describe a mechanism by which social signals computed in the dorsomedial prefrontal cortex affect value computations in ventromedial prefrontal cortex, thereby increasing an individual's propensity to 'ride' financial bubbles and lose money. These regions compute a financial metric that signals variations in order flow intensity, prompting inference about other traders' intentions. Our results suggest that incorporating inferences about the intentions of others when making value judgments in a complex financial market could lead to the formation of market bubbles. Copyright © 2013 The Authors. Published by Elsevier Inc. All rights reserved.

Credit Default Swaps networks and systemic risk

NASA Astrophysics Data System (ADS)

Puliga, Michelangelo; Caldarelli, Guido; Battiston, Stefano

2014-11-01

Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an early warning of systemic risk. Here we study a set of 176 CDS time series of financial institutions from 2002 to 2011. Networks are constructed in various ways, some of which display structural change at the onset of the credit crisis of 2008, but never before. By taking these networks as a proxy of interdependencies among financial institutions, we run stress-test based on Group DebtRank. Systemic risk before 2008 increases only when incorporating a macroeconomic indicator reflecting the potential losses of financial assets associated with house prices in the US. This approach indicates a promising way to detect systemic instabilities.

In the Mind of the Market: Theory of Mind Biases Value Computation during Financial Bubbles

PubMed Central

De Martino, Benedetto; O’Doherty, John P.; Ray, Debajyoti; Bossaerts, Peter; Camerer, Colin

2013-01-01

Summary The ability to infer intentions of other agents, called theory of mind (ToM), confers strong advantages for individuals in social situations. Here, we show that ToM can also be maladaptive when people interact with complex modern institutions like financial markets. We tested participants who were investing in an experimental bubble market, a situation in which the price of an asset is much higher than its underlying fundamental value. We describe a mechanism by which social signals computed in the dorsomedial prefrontal cortex affect value computations in ventromedial prefrontal cortex, thereby increasing an individual’s propensity to ‘ride’ financial bubbles and lose money. These regions compute a financial metric that signals variations in order flow intensity, prompting inference about other traders’ intentions. Our results suggest that incorporating inferences about the intentions of others when making value judgments in a complex financial market could lead to the formation of market bubbles. PMID:24050407

78 FR 26369 - Notice of Proposals To Engage in or To Acquire Companies Engaged in Permissible Nonbanking...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-05-06

... placement of securities; and engaging under contract with a third party in asset management, servicing, and collection of assets, pursuant to sections 225.28(b)(1), (b)(2)(vi), and (b)(7)(iii), respectively. Board of... novo, or to acquire or control voting securities or assets of a company, including the companies listed...

31 CFR 515.406 - Drafts under irrevocable letters of credit; documentary drafts.

Code of Federal Regulations, 2014 CFR

2014-07-01

... 31 Money and Finance:Treasury 3 2014-07-01 2014-07-01 false Drafts under irrevocable letters of credit; documentary drafts. 515.406 Section 515.406 Money and Finance: Treasury Regulations Relating to Money and Finance (Continued) OFFICE OF FOREIGN ASSETS CONTROL, DEPARTMENT OF THE TREASURY CUBAN ASSETS CONTROL REGULATIONS Interpretations §...

31 CFR 515.406 - Drafts under irrevocable letters of credit; documentary drafts.

Code of Federal Regulations, 2010 CFR

2010-07-01

... 31 Money and Finance: Treasury 3 2010-07-01 2010-07-01 false Drafts under irrevocable letters of credit; documentary drafts. 515.406 Section 515.406 Money and Finance: Treasury Regulations Relating to Money and Finance (Continued) OFFICE OF FOREIGN ASSETS CONTROL, DEPARTMENT OF THE TREASURY CUBAN ASSETS CONTROL REGULATIONS Interpretations §...

31 CFR 515.406 - Drafts under irrevocable letters of credit; documentary drafts.

Code of Federal Regulations, 2012 CFR

2012-07-01

... 31 Money and Finance:Treasury 3 2012-07-01 2012-07-01 false Drafts under irrevocable letters of credit; documentary drafts. 515.406 Section 515.406 Money and Finance: Treasury Regulations Relating to Money and Finance (Continued) OFFICE OF FOREIGN ASSETS CONTROL, DEPARTMENT OF THE TREASURY CUBAN ASSETS CONTROL REGULATIONS Interpretations §...

31 CFR 515.406 - Drafts under irrevocable letters of credit; documentary drafts.

Code of Federal Regulations, 2013 CFR

2013-07-01

... 31 Money and Finance:Treasury 3 2013-07-01 2013-07-01 false Drafts under irrevocable letters of credit; documentary drafts. 515.406 Section 515.406 Money and Finance: Treasury Regulations Relating to Money and Finance (Continued) OFFICE OF FOREIGN ASSETS CONTROL, DEPARTMENT OF THE TREASURY CUBAN ASSETS CONTROL REGULATIONS Interpretations §...

31 CFR 515.406 - Drafts under irrevocable letters of credit; documentary drafts.

Code of Federal Regulations, 2011 CFR

2011-07-01

... 31 Money and Finance:Treasury 3 2011-07-01 2011-07-01 false Drafts under irrevocable letters of credit; documentary drafts. 515.406 Section 515.406 Money and Finance: Treasury Regulations Relating to Money and Finance (Continued) OFFICE OF FOREIGN ASSETS CONTROL, DEPARTMENT OF THE TREASURY CUBAN ASSETS CONTROL REGULATIONS Interpretations §...

31 CFR 500.406 - Drafts under irrevocable letters of credit; documentary drafts.

Code of Federal Regulations, 2010 CFR

2010-07-01

... 31 Money and Finance: Treasury 3 2010-07-01 2010-07-01 false Drafts under irrevocable letters of credit; documentary drafts. 500.406 Section 500.406 Money and Finance: Treasury Regulations Relating to Money and Finance (Continued) OFFICE OF FOREIGN ASSETS CONTROL, DEPARTMENT OF THE TREASURY FOREIGN ASSETS CONTROL REGULATIONS Interpretations § 50...

Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks.

PubMed

Squartini, Tiziano; Almog, Assaf; Caldarelli, Guido; van Lelyveld, Iman; Garlaschelli, Diego; Cimini, Giulio

2017-09-01

Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is provided by financial networks. In fact, the spreading and amplification of financial distress in capital markets are strongly affected by the interconnections among financial institutions. Yet, while the aggregate balance sheets of institutions are publicly disclosed, information on single positions is mostly confidential and, as such, unavailable. Standard approaches to reconstruct the network of financial interconnection produce unrealistically dense topologies, leading to a biased estimation of systemic risk. Moreover, reconstruction techniques are generally designed for monopartite networks of bilateral exposures between financial institutions, thus failing in reproducing bipartite networks of security holdings (e.g., investment portfolios). Here we propose a reconstruction method based on constrained entropy maximization, tailored for bipartite financial networks. Such a procedure enhances the traditional capital-asset pricing model (CAPM) and allows us to reproduce the correct topology of the network. We test this enhanced CAPM (ECAPM) method on a dataset, collected by the European Central Bank, of detailed security holdings of European institutional sectors over a period of six years (2009-2015). Our approach outperforms the traditional CAPM and the recently proposed maximum-entropy CAPM both in reproducing the network topology and in estimating systemic risk due to fire sales spillovers. In general, ECAPM can be applied to the whole class of weighted bipartite networks described by the fitness model.

Enhanced capital-asset pricing model for the reconstruction of bipartite financial networks

NASA Astrophysics Data System (ADS)

Squartini, Tiziano; Almog, Assaf; Caldarelli, Guido; van Lelyveld, Iman; Garlaschelli, Diego; Cimini, Giulio

2017-09-01

Reconstructing patterns of interconnections from partial information is one of the most important issues in the statistical physics of complex networks. A paramount example is provided by financial networks. In fact, the spreading and amplification of financial distress in capital markets are strongly affected by the interconnections among financial institutions. Yet, while the aggregate balance sheets of institutions are publicly disclosed, information on single positions is mostly confidential and, as such, unavailable. Standard approaches to reconstruct the network of financial interconnection produce unrealistically dense topologies, leading to a biased estimation of systemic risk. Moreover, reconstruction techniques are generally designed for monopartite networks of bilateral exposures between financial institutions, thus failing in reproducing bipartite networks of security holdings (e.g., investment portfolios). Here we propose a reconstruction method based on constrained entropy maximization, tailored for bipartite financial networks. Such a procedure enhances the traditional capital-asset pricing model (CAPM) and allows us to reproduce the correct topology of the network. We test this enhanced CAPM (ECAPM) method on a dataset, collected by the European Central Bank, of detailed security holdings of European institutional sectors over a period of six years (2009-2015). Our approach outperforms the traditional CAPM and the recently proposed maximum-entropy CAPM both in reproducing the network topology and in estimating systemic risk due to fire sales spillovers. In general, ECAPM can be applied to the whole class of weighted bipartite networks described by the fitness model.

Understanding Financial Market States Using an Artificial Double Auction Market

PubMed Central

2016-01-01

The ultimate value of theories describing the fundamental mechanisms behind asset prices in financial systems is reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidence from the fields of finance, mathematics, and even physics, previous theories that attempt to address the complexities of financial markets in full have been inadequate. We propose an artificial double auction market as an agent-based model to study the origin of complex states in financial markets by characterizing important parameters with an investment strategy that can cover the dynamics of the financial market. The investment strategies of chartist traders in response to new market information should reduce market stability based on the price fluctuations of risky assets. However, fundamentalist traders strategically submit orders based on fundamental value and, thereby stabilize the market. We construct a continuous double auction market and find that the market is controlled by the proportion of chartists, Pc. We show that mimicking the real state of financial markets, which emerges in real financial systems, is given within the range Pc = 0.40 to Pc = 0.85; however, we show that mimicking the efficient market hypothesis state can be generated with values less than Pc = 0.40. In particular, we observe that mimicking a market collapse state is created with values greater than Pc = 0.85, at which point a liquidity shortage occurs, and the phase transition behavior is described at Pc = 0.85. PMID:27031110

Understanding Financial Market States Using an Artificial Double Auction Market.

PubMed

Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

2016-01-01

The ultimate value of theories describing the fundamental mechanisms behind asset prices in financial systems is reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidence from the fields of finance, mathematics, and even physics, previous theories that attempt to address the complexities of financial markets in full have been inadequate. We propose an artificial double auction market as an agent-based model to study the origin of complex states in financial markets by characterizing important parameters with an investment strategy that can cover the dynamics of the financial market. The investment strategies of chartist traders in response to new market information should reduce market stability based on the price fluctuations of risky assets. However, fundamentalist traders strategically submit orders based on fundamental value and, thereby stabilize the market. We construct a continuous double auction market and find that the market is controlled by the proportion of chartists, Pc. We show that mimicking the real state of financial markets, which emerges in real financial systems, is given within the range Pc = 0.40 to Pc = 0.85; however, we show that mimicking the efficient market hypothesis state can be generated with values less than Pc = 0.40. In particular, we observe that mimicking a market collapse state is created with values greater than Pc = 0.85, at which point a liquidity shortage occurs, and the phase transition behavior is described at Pc = 0.85.

The surprising economics of a "people business".

PubMed

Barber, Felix; Strack, Rainer

2005-06-01

When people are your most important asset, some standard performance measures and management practices become misleading or irrelevant. This is a danger for any business whose people costs are greater than its capital costs-that is, businesses in most industries. But it is particularly true for what the authors call "people businesses": operations with high employee costs, low capital investment, and limited spending on activities, such as R&D, that are aimed at generating future revenue. If you run a people business-or a company that includes one or more of them how do you measure its true performance? Avoid the trap of relying on capital-oriented metrics, such as return on assets and return on equity. They won't help much, as they'll tend to mask weak performance or indicate volatility where it doesn't exist. Replace them with financially rigorous people-oriented metrics-for example, a reformulation of a conventional calculation of economic profit, such as EVA, so that you gauge people, rather than capital, productivity. Once you have assessed the business's true performance, you need to enhance it operationally (be aware that relatively small changes in productivity can have a major impact on shareholder returns); reward it appropriately (push performance-related variable compensation schemes down into the organization); and price it advantageously (because economies of scale and experience tend to be less significant in people businesses, price products or services in ways that capture a share of the additional value created for customers).

On meeting capital requirements with a chance-constrained optimization model.

PubMed

Atta Mills, Ebenezer Fiifi Emire; Yu, Bo; Gu, Lanlan

2016-01-01

This paper deals with a capital to risk asset ratio chance-constrained optimization model in the presence of loans, treasury bill, fixed assets and non-interest earning assets. To model the dynamics of loans, we introduce a modified CreditMetrics approach. This leads to development of a deterministic convex counterpart of capital to risk asset ratio chance constraint. We pursue the scope of analyzing our model under the worst-case scenario i.e. loan default. The theoretical model is analyzed by applying numerical procedures, in order to administer valuable insights from a financial outlook. Our results suggest that, our capital to risk asset ratio chance-constrained optimization model guarantees banks of meeting capital requirements of Basel III with a likelihood of 95 % irrespective of changes in future market value of assets.

A methodology for highway asset valuation in Indiana.

DOT National Transportation Integrated Search

2012-11-01

The Government Accounting Standards Board (GASB) requires transportation agencies to report the values of their tangible assets. : Numerous valuation methods exist which use different underlying concepts and data items. These traditional methods have...

Divestiture summary report: Sale of Eklutna and Snettisham hydroelectric projects

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

Not Available

1992-04-01

This report accompanies the legislative proposal to authorize sale of the two Alaskan Federal hydroelectric projects and close out the Alaska Power Administration (APA). The 78,210 kill Snettisham Project serving Juneau would be sold to the Alaska Energy Authority, a State corporation which owns six other hydroelectric projects. The 30,000 kill Eklutna Project serving the Anchorage and Matanuska Valley areas would be sold to the three electric utilities which now purchase power from that project. Terms and conditions for the sales are set out in negotiated Purchase Agreements. Key aspects include: (1) Development of Transition Plans within six months aftermore » Congress authorizes the divestiture. (2) Transaction Date to be set in the Transition Plans. (3) Description of assets to be transferred. (4) Price and payment terms. (5) Environmental Management Plans. (6) Protection of interests in several important non-power'' uses of project land and water. Under a separate agreement, the Purchasers assume responsibility for developing and implementing post-sale programs for protection, mitigation, and enhancement of fish and wildlife resources impacted by hydroelectric development in the Eldutna and Snettisham basins. The estimated sale proceeds to the United States Treasury are between $73.5 and $80.3 million, assuming the transactions are completed between October 1, 1992 and October 1, 1993. Eklutna and Snettisham are modest-sized, single-purpose hydroelectric projects involving small river basins entirely within Alaska. Locally, they are important long-term suppliers of economically-priced hydroelectric power. The sale terms and structure assure that the projects will continue to serve their intended purposes. Modest rate increases are expected over the short term, but long-term power rates are expected to be similar to those that would prevail under continued Federal ownership.« less

Divestiture summary report: Sale of Eklutna and Snettisham hydroelectric projects

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

Not Available

1992-04-01

This report accompanies the legislative proposal to authorize sale of the two Alaskan Federal hydroelectric projects and close out the Alaska Power Administration (APA). The 78,210 kill Snettisham Project serving Juneau would be sold to the Alaska Energy Authority, a State corporation which owns six other hydroelectric projects. The 30,000 kill Eklutna Project serving the Anchorage and Matanuska Valley areas would be sold to the three electric utilities which now purchase power from that project. Terms and conditions for the sales are set out in negotiated Purchase Agreements. Key aspects include: (1) Development of Transition Plans within six months aftermore » Congress authorizes the divestiture. (2) Transaction Date to be set in the Transition Plans. (3) Description of assets to be transferred. (4) Price and payment terms. (5) Environmental Management Plans. (6) Protection of interests in several important ``non-power`` uses of project land and water. Under a separate agreement, the Purchasers assume responsibility for developing and implementing post-sale programs for protection, mitigation, and enhancement of fish and wildlife resources impacted by hydroelectric development in the Eldutna and Snettisham basins. The estimated sale proceeds to the United States Treasury are between $73.5 and $80.3 million, assuming the transactions are completed between October 1, 1992 and October 1, 1993. Eklutna and Snettisham are modest-sized, single-purpose hydroelectric projects involving small river basins entirely within Alaska. Locally, they are important long-term suppliers of economically-priced hydroelectric power. The sale terms and structure assure that the projects will continue to serve their intended purposes. Modest rate increases are expected over the short term, but long-term power rates are expected to be similar to those that would prevail under continued Federal ownership.« less

Optimal allocation of trend following strategies

NASA Astrophysics Data System (ADS)

Grebenkov, Denis S.; Serror, Jeremy

2015-09-01

We consider a portfolio allocation problem for trend following (TF) strategies on multiple correlated assets. Under simplifying assumptions of a Gaussian market and linear TF strategies, we derive analytical formulas for the mean and variance of the portfolio return. We construct then the optimal portfolio that maximizes risk-adjusted return by accounting for inter-asset correlations. The dynamic allocation problem for n assets is shown to be equivalent to the classical static allocation problem for n2 virtual assets that include lead-lag corrections in positions of TF strategies. The respective roles of asset auto-correlations and inter-asset correlations are investigated in depth for the two-asset case and a sector model. In contrast to the principle of diversification suggesting to treat uncorrelated assets, we show that inter-asset correlations allow one to estimate apparent trends more reliably and to adjust the TF positions more efficiently. If properly accounted for, inter-asset correlations are not deteriorative but beneficial for portfolio management that can open new profit opportunities for trend followers. These concepts are illustrated using daily returns of three highly correlated futures markets: the E-mini S&P 500, Euro Stoxx 50 index, and the US 10-year T-note futures.

DOE Asset Revitalization: Sustainability and Waste Management Aspects - 12120

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

Robinson, Sharon M.

2012-07-01

In February 2011 Secretary of Energy Steven Chu established a Task Force on Asset Revitalization to facilitate a discussion among the Department of Energy (DOE), communities around DOE sites, non-profits, tribal governments, the private sector, and other stakeholders to identify reuse approaches as environmental cleanup efforts at DOE sites reach completion. The Task Force was charged with exploring opportunities to reuse DOE site assets for beneficial purposes and making recommendations to the Under Secretaries of Energy, Science, and Nuclear Security on the formation of an Asset Revitalization Initiative (ARI). The ARI is a Department-wide effort to advance the beneficial reusemore » of the DOE's unique and diverse mix of assets including land, facilities, infrastructure, equipment, technologies, natural resources, and a highly skilled workforce. The ARI will encourage collaboration between the public and private sectors in order to achieve energy and environmental goals as well as to stimulate and diversify regional economies. The recommendations of the ARI Task Force are summarized below, focusing on the sustainability and waste management aspects. DOE's ongoing completion of cleanup efforts and modernization efforts is creating opportunities to transition under-used or excess assets to future beneficial use. The FY 2011 DOE ARI Task Force determined that DOE's assets could be reused for beneficial purposes such as clean energy production, industrial manufacturing, recreational and conversation use, and other economic development initiatives. Asset revitalization has the potential to both help achieve DOE's energy and environmental goals and diversify regional economies where the sites are located, including providing the support needed to implement large-scale projects that achieve green sustainability goals. Asset revitalization efforts could be accelerated by effectively incorporating future use plans into environmental management and remediation efforts. (authors)« less

EARNINGS MANAGEMENT IN U.S. HOSPITALS.

PubMed

Dong, Gang Nathan

2016-01-01

This paper examines the hospital management practices of manipulating financial earnings within the bounds of generally accepted accounting principles (GAAP). We conduct regression analyses that relate earnings management to hospital characteristics to assess the economic determinants of hospital earnings management behavior. From the CMS Cost Reports we collected hospital financial data of all U.S. hospitals that request reimbursement from the federal government for treating Medicare patients, and regress discretionary accruals on hospital size, profitability, asset liquidity, operating efficiency, labor cost, and ownership. Hospitals with higher profit margin, current ratio, working capital, days of patient receivables outstanding and total wage are associated with more earnings management, whereas those with larger size and higher debt level, asset turnover, days cash on hand, fixed asset age are associated with lower level of earnings manipulation. Additionally, managers of non-profit hospitals are more likely to undertake some form of window-dressing by manipulating accounting accruals without changing business models or pricing strategies than their public hospital counterparts. We provide direct evidence of the use of discretionary accruals to manage financial earnings among U.S. hospitals and the finding has profound policy implications in terms of assessing the pervasiveness of accounting manipulation and the overall integrity of financial reporting in this very special public and quasi-public service sector.

The self-reinforcing feedback between low soil fertility and chronic poverty

NASA Astrophysics Data System (ADS)

Barrett, Christopher B.; Bevis, Leah E. M.

2015-12-01

Most of the world's extreme poor, surviving on US$1.25 or less per day, live in rural areas and farm for a living. Many suffer chronic poverty that lasts for years or generations, rather than the transitory poverty that dominates developed, urban economies. Such chronic, structural poverty arises when an individual's productive assets -- such as their ability to work or their soils -- and the technologies and markets that transform their assets into food and income are insufficient to attain satisfactory living standards. Research reveals strong links between economic status and soil quality, and these can be self-reinforcing. For example, poor soil constrains agricultural production and household capital, and low household capital constrains investments in improving soils. Price, availability and access to credit can limit farmers' applications of nutrients, which are often the primary constraint on agricultural productivity. Soil micronutrient deficiencies can lead to dietary mineral deficiencies and negative health outcomes that further constrain productivity and household asset accumulation. Soils may also be important for smallholder resilience to stressors and shocks. For example, high-quality soil can reduce vulnerability to drought, and insurance against risk may promote investment in soils. Interventions such as fertilizer subsidies, micronutrient-fortified fertilizer and improved access to information, insurance and credit may all help break the soil-poverty cycle.

77 FR 24549 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing of Amendment No. 1...

Federal Register 2010, 2011, 2012, 2013, 2014

2012-04-24

... stock'' if the issuer fails the net tangible assets and revenue tests after listing and does not satisfy... assets or revenue tests, nor any other exclusions from being a penny stock under Rule 3a51-1. Moreover... tangible assets and average revenue tests contained in the alternative penny stock exclusion set forth in...

Asset Management: Roof Maintenance and Facility Energy Retrofits

DTIC Science & Technology

2012-03-01

vapor low emission coatings. Floor finishes completed in ceramic stone tile were the most efficient floor coverings. Fixed insulated fiberglass window...been coined Asset Management which utilizes organizational levels of service, business case analysis, and risk analysis to address urgent...Force have left a number of facility systems such as roofs at risk to disrepair due to a lack of maintenance. Under the principles of asset

Irrational exuberance and neural crash warning signals during endogenous experimental market bubbles

PubMed Central

Smith, Alec; Lohrenz, Terry; King, Justin; Montague, P. Read; Camerer, Colin F.

2014-01-01

Groups of humans routinely misassign value to complex future events, especially in settings involving the exchange of resources. If properly structured, experimental markets can act as excellent probes of human group-level valuation mechanisms during pathological overvaluations—price bubbles. The connection between the behavioral and neural underpinnings of such phenomena has been absent, in part due to a lack of enabling technology. We used a multisubject functional MRI paradigm to measure neural activity in human subjects participating in experimental asset markets in which endogenous price bubbles formed and crashed. Although many ideas exist about how and why such bubbles may form and how to identify them, our experiment provided a window on the connection between neural responses and behavioral acts (buying and selling) that created the bubbles. We show that aggregate neural activity in the nucleus accumbens (NAcc) tracks the price bubble and that NAcc activity aggregated within a market predicts future price changes and crashes. Furthermore, the lowest-earning subjects express a stronger tendency to buy as a function of measured NAcc activity. Conversely, we report a signal in the anterior insular cortex in the highest earners that precedes the impending price peak, is associated with a higher propensity to sell in high earners, and that may represent a neural early warning signal in these subjects. Such markets could be a model system to understand neural and behavior mechanisms in other settings where emergent group-level activity exhibits mistaken belief or valuation. PMID:25002476

Transactive Control and Coordination of Distributed Assets for Ancillary Services: Controls, Markets and Simulations

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

Subbarao, Krishnappa; Fuller, Jason C.; Kalsi, Karanjit

2015-02-01

The purpose of this project is to develop a plausible transactive framework for DER participation in a regulation market. This document focuses on the methodology for creating a transactive-based regulation market, using one class of end-use devices as an example. The system contains two parts, one for acquiring resources at a longer timescale and a second for controlling the devices in a distributed manner at much shorter timescales. The first is based on a formal double-auction market where every five minutes each device bids the amount of resource it is able to provide and the minimum price that it wouldmore » accept to provide that resource. The bid price is determined by the current state of the device and the willingness of the consumer to participate. The market system collects and orders the bids by price, and then determines a cleared price to meet the level of regulation needed. It broadcasts the cleared price to the devices, which results in contracting the services of the least cost resources. By contract, the devices that cleared the market are now engaged for the next five-minute market period. They are part of a distributed control system that allows them to respond at four-second intervals to a broadcasted regulation signal. The approach also limits the number of times devices can cycle between states (say on to off) in a given amount of time to protect the equipment life.« less

Irrational exuberance and neural crash warning signals during endogenous experimental market bubbles.

PubMed

Smith, Alec; Lohrenz, Terry; King, Justin; Montague, P Read; Camerer, Colin F

2014-07-22

Groups of humans routinely misassign value to complex future events, especially in settings involving the exchange of resources. If properly structured, experimental markets can act as excellent probes of human group-level valuation mechanisms during pathological overvaluations--price bubbles. The connection between the behavioral and neural underpinnings of such phenomena has been absent, in part due to a lack of enabling technology. We used a multisubject functional MRI paradigm to measure neural activity in human subjects participating in experimental asset markets in which endogenous price bubbles formed and crashed. Although many ideas exist about how and why such bubbles may form and how to identify them, our experiment provided a window on the connection between neural responses and behavioral acts (buying and selling) that created the bubbles. We show that aggregate neural activity in the nucleus accumbens (NAcc) tracks the price bubble and that NAcc activity aggregated within a market predicts future price changes and crashes. Furthermore, the lowest-earning subjects express a stronger tendency to buy as a function of measured NAcc activity. Conversely, we report a signal in the anterior insular cortex in the highest earners that precedes the impending price peak, is associated with a higher propensity to sell in high earners, and that may represent a neural early warning signal in these subjects. Such markets could be a model system to understand neural and behavior mechanisms in other settings where emergent group-level activity exhibits mistaken belief or valuation.

Nuclear power and the market value of the shares of electric utilities

NASA Astrophysics Data System (ADS)

Lyons, Joseph T.

The most basic principle of security valuation is that market prices are determined by investors' expectations of the firm's performance in the future. These expectations are generally understood to be related to the risk that investors will bear by holding the firm's equity. There is considerable evidence that financial statements prepared in accordance with accrual-based accounting standards consistent with Generally Accepted Accounting Principles (GAAP) have information content relevant to the establishment of market prices. In 2001, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standard No. 143, "Accounting for Asset Retirement Obligations," changing the accounting standards that must be used to prepare financial statements. This paper investigates the effect that investment in nuclear power has on the market value of electric utilities and the impact on the securities markets of the significant changes in financial statement presentation mandated by this new standard.

Multiresolution analysis of Bursa Malaysia KLCI time series

NASA Astrophysics Data System (ADS)

Ismail, Mohd Tahir; Dghais, Amel Abdoullah Ahmed

2017-05-01

In general, a time series is simply a sequence of numbers collected at regular intervals over a period. Financial time series data processing is concerned with the theory and practice of processing asset price over time, such as currency, commodity data, and stock market data. The primary aim of this study is to understand the fundamental characteristics of selected financial time series by using the time as well as the frequency domain analysis. After that prediction can be executed for the desired system for in sample forecasting. In this study, multiresolution analysis which the assist of discrete wavelet transforms (DWT) and maximal overlap discrete wavelet transform (MODWT) will be used to pinpoint special characteristics of Bursa Malaysia KLCI (Kuala Lumpur Composite Index) daily closing prices and return values. In addition, further case study discussions include the modeling of Bursa Malaysia KLCI using linear ARIMA with wavelets to address how multiresolution approach improves fitting and forecasting results.

Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula

NASA Astrophysics Data System (ADS)

Yu, Wenhua; Yang, Kun; Wei, Yu; Lei, Likun

2018-01-01

Volatilities of crude oil price have important impacts on the steady and sustainable development of world real economy. Thus it is of great academic and practical significance to model and measure the volatility and risk of crude oil markets accurately. This paper aims to measure the Value-at-Risk (VaR) and Expected Shortfall (ES) of a portfolio consists of four crude oil assets by using GARCH-type models, extreme value theory (EVT) and vine copulas. The backtesting results show that the combination of GARCH-type-EVT models and vine copula methods can produce accurate risk measures of the oil portfolio. Mixed R-vine copula is more flexible and superior to other vine copulas. Different GARCH-type models, which can depict the long-memory and/or leverage effect of oil price volatilities, however offer similar marginal distributions of the oil returns.

Procuring load curtailment from local customers under uncertainty.

PubMed

Mijatović, Aleksandar; Moriarty, John; Vogrinc, Jure

2017-08-13

Demand side response (DSR) provides a flexible approach to managing constrained power network assets. This is valuable if future asset utilization is uncertain. However there may be uncertainty over the process of procurement of DSR from customers. In this context we combine probabilistic modelling, simulation and optimization to identify economically optimal procurement policies from heterogeneous customers local to the asset, under chance constraints on the adequacy of the procured DSR. Mathematically this gives rise to a search over permutations, and we provide an illustrative example implementation and case study.This article is part of the themed issue 'Energy management: flexibility, risk and optimization'. © 2017 The Author(s).

Tactical Considerations for the Defensive Employment of Light Infantry in Korea.

DTIC Science & Technology

1985-12-02

improved for the battle under 300 meters; units down to the lowest level should he organized with the assets with which they must fight. Tactical...for the battle under 300 meters; * nits down to the lowest level should be organized with the assets with which they must fLTht. Tacticql conclusions...finally culminated near Chipyong-Ni on 14 February 1951. The UN then conducted a counteroffensive and Seoul was once again under South Korean control on

Do generic firms and the Spanish public purchaser respond to consumer price differences of generics under reference pricing?

PubMed

Puig-Junoy, Jaume; Moreno-Torres, Iván

2010-12-01

To assess the impact of competition on the consumer price and the average price paid by the National Health System (NHS) under reference pricing in the Spanish generic market. Descriptive analysis of the time trend in consumer prices before and after the application of reference pricing for the eight most sold active ingredients from 1997 to 2009. The entry of a generic at a lower consumer price than that of the brand-name pharmaceutical or the first generic does not cause a voluntary reduction in the consumer price of either the brand drug or the first generic, either before or after the application of RP. Generic entry at a lower consumer price than previously existing pharmaceuticals always causes a slight reduction in the average price paid by the NHS; however, the average price paid by the NHS is always notably higher than the lowest, the difference being greater in relative terms under reference pricing. The Spanish RP system results in very little consumer price competition between generic firms, price reduction thus being limited to regulatory measures. NHS purchases show little sensitivity to price differences between equivalent drugs priced at or below the reference price. Copyright © 2010 Elsevier Ireland Ltd. All rights reserved.

78 FR 69512 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2013-11-19

... (``QMM'') and NBBO Setter Incentive pricing incentive programs under Rule 7014 and the pricing for its... persistent low trading volumes. Retail Price Improvement Program Pricing Under the RPI Program, a member (or... remain unchanged. The change is designed to eliminate ``inverted'' pricing that was introduced at the...

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.

Tool for Smart Integration of Solar Power

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

Becker, Alan

2017-01-31

Kevala addresses a significant problem in solar deployment - reducing the risk of investing in solar by determining the inherent value of solar electricity based on the location where it is produced. Kevala’s product will transform the way solar assets are proposed, assessed, and financed resulting in lower capital costs, opening new markets and streamlining siting and customer acquisition. Using detailed electricity infrastructure data, pricing information, GIS mapping, and proprietary algorithms, Kevala’s Grid Assessor software lowers financial risk by providing transparency into the current and future value of projects based on their location.

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

Klimsiak, Tomasz, E-mail: tomas@mat.umk.pl; Rozkosz, Andrzej, E-mail: rozkosz@mat.umk.pl

In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a general early exercise premium representation formula for options with payoff functions which are convex or satisfy mild regularity assumptions. Examples include index options, spread options, call on max options, put on min options, multiply strike options and power-product options. In the proof of the formula we exploit close connections between the optimal stopping problems associated with valuation of American options, obstacle problems and reflected backward stochastic differential equations.

Does asymmetric correlation affect portfolio optimization?

NASA Astrophysics Data System (ADS)

Fryd, Lukas

2017-07-01

The classical portfolio optimization problem does not assume asymmetric behavior of relationship among asset returns. The existence of asymmetric response in correlation on the bad news could be important information in portfolio optimization. The paper applies Dynamic conditional correlation model (DCC) and his asymmetric version (ADCC) to propose asymmetric behavior of conditional correlation. We analyse asymmetric correlation among S&P index, bonds index and spot gold price before mortgage crisis in 2008. We evaluate forecast ability of the models during and after mortgage crisis and demonstrate the impact of asymmetric correlation on the reduction of portfolio variance.

Improving Government’s Retirement Plan Investments by Using Mining Tools for Discovery of Price Patterns and Combining Methods of Fundamental and Technical Analysis

DTIC Science & Technology

2008-06-01

stock market such as bonds, funds, stocks, commodities, futures, options, foreign exchange ( Forex ). These assets can be domestically or...such as forex , futures, options, etc. E. SCOPE AND LIMITATIONS The scope of this research is separated into two independent parts. The first part...stock data from Yahoo.com for January 3, 2005 until May 9, 2008. • Keep the stock data in a custom database . • Develop the trading systems that will

12 CFR 325.105 - Mandatory and discretionary supervisory actions under section 38.

Code of Federal Regulations, 2010 CFR

2010-01-01

... this subpart (section 38(e)(2)); (iv) Restricting the growth of the bank's assets (section 38(e)(3... in the usual course of business, including any investment, expansion, acquisition, sale of assets, or...

Evaluation of a new parallel numerical parameter optimization algorithm for a dynamical system

NASA Astrophysics Data System (ADS)

Duran, Ahmet; Tuncel, Mehmet

2016-10-01

It is important to have a scalable parallel numerical parameter optimization algorithm for a dynamical system used in financial applications where time limitation is crucial. We use Message Passing Interface parallel programming and present such a new parallel algorithm for parameter estimation. For example, we apply the algorithm to the asset flow differential equations that have been developed and analyzed since 1989 (see [3-6] and references contained therein). We achieved speed-up for some time series to run up to 512 cores (see [10]). Unlike [10], we consider more extensive financial market situations, for example, in presence of low volatility, high volatility and stock market price at a discount/premium to its net asset value with varying magnitude, in this work. Moreover, we evaluated the convergence of the model parameter vector, the nonlinear least squares error and maximum improvement factor to quantify the success of the optimization process depending on the number of initial parameter vectors.

'Nonprofits' need surplus too.

PubMed

Young, D W

1982-01-01

By definition profit refers to the difference between revenue and expenses. In for-profit organizations profit or surplus gives a return to the owners of the company and serves as a source of financing for capital acquisitions and working capital. Nonprofit organizations, which are not allowed a surplus, don't suffer on the first count because they have no owners. But they do suffer on the second count because, if expected to grow, they need to finance asset replacement and growth. In these days when funds for long-term debt are becoming scarcer, this author asserts, the need for regulators to allow 'nonprofits' to keep a surplus is increasing. In this article, he argues for a surplus and then discusses how managers and regulators can determine how much a nonprofit organization should be allowed. He presents a combination of a modified version of the return-on-asset pricing model used in for-profit organizations and a model for assessing working capital needs associated with growth.

Rational Speculative Bubble Size in Gold, Hang Seng, S&P 500 and Nikkei 225 Index During Year 2008 to 2016

NASA Astrophysics Data System (ADS)

Borhan, Nurharyanti; Halim, Nurfadhlina Abdul; Amir, W. Ahmad Wan Muhammad

2017-09-01

A rational speculative bubble is a surge in asset prices that exceed its intrinsic value. Rational speculative bubbles are among the ascription which may lead to the collapse of an economic system. Rational speculative bubble cannot be created but it comes into existence when assets started to be traded. Financial rational speculative bubble and burst have negative effect on the economy and markets. Financial rational speculative bubbles are difficult to detect. This study aims to shows the size of rational speculative bubble in four markets, which are gold, Hang Seng, S&P500 and Nikkei 225 during year 2008 to 2016. In this study, generalized Johansen-Ledoit-Sornette model are used to find the size of the rational speculative bubble. Bubble detection is important for both sides of macro-economic decision makers and to the trader. Especially for a trading system that requires detailed knowledge about the time and the stage of the bubble burst.

A review of the impacts of tobacco industry privatisation: Implications for policy

PubMed Central

Gilmore, Anna B.; Fooks, Gary; McKee, Martin

2011-01-01

State owned tobacco monopolies, which still account for 40% of global cigarette production, face continued pressure from, among others, the International Monetary Fund (IMF), to be privatised. This review of available literature on tobacco industry privatisation suggests that any economic benefits of privatisation may be lower than supposed because private owners avoid competitive tenders (thus underpaying for assets), negotiate lengthy tax holidays and are complicit in the smuggling of cigarettes to avoid import and excise duties. It outlines how privatisation leads to increased marketing, more effective distribution and lower prices, creating additional demand for cigarettes among new and existing smokers, leading to increased cigarette consumption, higher smoking prevalence and lower age of smoking initiation. Privatisation also weakens tobacco control because private owners, in their drive for profits, lobby aggressively against effective policies and ignore or overturn existing policies. This evidence suggests that further tobacco industry privatisation is likely to increase smoking and that instead of transferring assets from state to private ownership, alternative models of supply should be explored. PMID:21790502

Accounting issues: should the merger be treated as purchase or pooling?

PubMed

Finkler, S A

1985-05-01

Under accounting rules, a merger or consolidation can be treated as either a purchase or pooling. A purchase causes an adjustment in the selling hospital's asset basis to fair market value with goodwill often resulting. Such an adjustment is usually favorable for a taxable acquisition but not a tax-free reorganization. A pooling, on the other hand, results in the assets of the two organizations being merged together with no adjustment in asset values or increase in goodwill. The requirements for pooling are strict but the result is the carryover of assets at historical cost, usually favorable for reporting EPS.

76 FR 74084 - Self-Regulatory Organizations; The NASDAQ Stock Market LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... price of rights and warrants are affected by the price of the underlying stock as well as other factors, particularly the volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying...

Photonic sensor opportunities for distributed and wireless systems in security applications

NASA Astrophysics Data System (ADS)

Krohn, David

2006-10-01

There are broad ranges of homeland security sensing applications that can be facilitated by distributed fiber optic sensors and photonics integrated wireless systems. These applications include [1]: Pipeline, (Monitoring, Security); Smart structures (Bridges, Tunnels, Dams, Public spaces); Power lines (Monitoring, Security); Transportation security; Chemical/biological detection; Wide area surveillance - perimeter; and Port Security (Underwater surveillance, Cargo container). Many vital assets which cover wide areas, such as pipeline and borders, are under constant threat of being attacked or breached. There is a rapidly emerging need to be able to provide identification of intrusion threats to such vital assets. Similar problems exit for monitoring the basic infrastructure such as water supply, power utilities, communications systems as well as transportation. There is a need to develop a coordinated and integrated solution for the detection of threats. From a sensor standpoint, consideration must not be limited to detection, but how does detection lead to intervention and deterrence. Fiber optic sensor technology must be compatible with other surveillance technologies such as wireless mote technology to facilitate integration. In addition, the multi-functionality of fiber optic sensors must be expanded to include bio-chemical detection. There have been a number of barriers for the acceptance and broad use of smart fiber optic sensors. Compared to telecommunications, the volume is low. This fact coupled with proprietary and custom specifications has kept the price of fiber optic sensors high. There is a general lack of a manufacturing infrastructure and lack of standards for packaging and reliability. Also, there are several competing technologies; some photonic based and other approaches based on conventional non-photonic technologies.

Financial risk of the biotech industry versus the pharmaceutical industry.

PubMed

Golec, Joseph; Vernon, John A

2009-01-01

The biotech industry now accounts for a substantial and growing proportion of total R&D spending on new medicines. However, compared with the pharmaceutical industry, the biotech industry is financially fragile. This article illustrates the financial fragility of the biotech and pharmaceutical industries in the US and the implications of this fragility for the effects that government regulation could have on biotech firms. Graphical analysis and statistical tests were used to show how the biotech industry differs from the pharmaceutical industry. The two industries' characteristics were measured and compared, along with various measures of firms' financial risk and sensitivity to government regulation. Data from firms' financial statements provided accounting-based measures and firms' stock returns applied to a multifactor asset pricing model provided financial market measures. The biotech industry was by far the most research-intensive industry in the US, averaging 38% R&D intensity (ratio of R&D spending to total firm assets) over the past 25 years, compared with an average of 25% for the pharmaceutical industry and 3% for all other industries. Biotech firms exhibited lower and more volatile profits and higher market-related and size-related risk, and they suffered more negative stock returns in response to threatened government price regulation. Biotech firms' financial risks increase their costs of capital and make them more sensitive to government regulations that affect their financial prospects. As biotech products grow to represent a larger share of new medicines, general stock market conditions and government regulations could have a greater impact on the level of innovation of new medicines.

Leptokurtic portfolio theory

NASA Astrophysics Data System (ADS)

Kitt, R.; Kalda, J.

2006-03-01

The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value. The theory is called Leptokurtic, because it minimises the effects from “fat tails” of returns. The leptokurtic portfolio theory provides an optimal portfolio for investors, who define their risk-aversion as unwillingness to experience sharp drawdowns in asset prices. Two types of risks in asset returns are defined: a fluctuation risk, that has Gaussian distribution, and a drawdown risk, that deals with distribution tails. These risks are quantitatively measured by defining the “noise kernel” — an ellipsoidal cloud of points in the space of asset returns. The size of the ellipse is controlled with the threshold parameter: the larger the threshold parameter, the larger return are accepted for investors as normal fluctuations. The return vectors falling into the kernel are used for calculation of fluctuation risk. Analogously, the data points falling outside the kernel are used for the calculation of drawdown risks. As a result the portfolio optimisation problem becomes three-dimensional: in addition to the return, there are two types of risks involved. Optimal portfolio for drawdown-averse investors is the portfolio minimising variance outside the noise kernel. The theory has been tested with MSCI North America, Europe and Pacific total return stock indices.

Kernel-Correlated Levy Field Driven Forward Rate and Application to Derivative Pricing

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

Bo Lijun; Wang Yongjin; Yang Xuewei, E-mail: xwyangnk@yahoo.com.cn

2013-08-01

We propose a term structure of forward rates driven by a kernel-correlated Levy random field under the HJM framework. The kernel-correlated Levy random field is composed of a kernel-correlated Gaussian random field and a centered Poisson random measure. We shall give a criterion to preclude arbitrage under the risk-neutral pricing measure. As applications, an interest rate derivative with general payoff functional is priced under this pricing measure.

Effects of correlations and fees in random multiplicative environments: Implications for portfolio management.

PubMed

Alper, Ofer; Somekh-Baruch, Anelia; Pirvandy, Oz; Schaps, Malka; Yaari, Gur

2017-08-01

Geometric Brownian motion (GBM) is frequently used to model price dynamics of financial assets, and a weighted average of multiple GBMs is commonly used to model a financial portfolio. Diversified portfolios can lead to an increased exponential growth compared to a single asset by effectively reducing the effective noise. The sum of GBM processes is no longer a log-normal process and has a complex statistical properties. The nonergodicity of the weighted average process results in constant degradation of the exponential growth from the ensemble average toward the time average. One way to stay closer to the ensemble average is to maintain a balanced portfolio: keep the relative weights of the different assets constant over time. To keep these proportions constant, whenever assets values change, it is necessary to rebalance their relative weights, exposing this strategy to fees (transaction costs). Two strategies that were suggested in the past for cases that involve fees are rebalance the portfolio periodically and rebalance it in a partial way. In this paper, we study these two strategies in the presence of correlations and fees. We show that using periodic and partial rebalance strategies, it is possible to maintain a steady exponential growth while minimizing the losses due to fees. We also demonstrate how these redistribution strategies perform in a phenomenal way on real-world market data, despite the fact that not all assumptions of the model hold in these real-world systems. Our results have important implications for stochastic dynamics in general and to portfolio management in particular, as we show that there is a superior alternative to the common buy-and-hold strategy, even in the presence of correlations and fees.

Asset Decommissioning Risk Metrics for Floating Structures in the Gulf of Mexico.

PubMed

Kaiser, Mark J

2015-08-01

Public companies in the United States are required to report standardized values of their proved reserves and asset retirement obligations on an annual basis. When compared, these two measures provide an aggregate indicator of corporate decommissioning risk but, because of their consolidated nature, cannot readily be decomposed at a more granular level. The purpose of this article is to introduce a decommissioning risk metric defined in terms of the ratio of the expected value of an asset's reserves to its expected cost of decommissioning. Asset decommissioning risk (ADR) is more difficult to compute than a consolidated corporate risk measure, but can be used to quantify the decommissioning risk of structures and to perform regional comparisons, and also provides market signals of future decommissioning activity. We formalize two risk metrics for decommissioning and apply the ADR metric to the deepwater Gulf of Mexico (GOM) floater inventory. Deepwater oil and gas structures are expensive to construct, and at the end of their useful life, will be expensive to decommission. The value of proved reserves for the 42 floating structures in the GOM circa January 2013 is estimated to range between $37 and $80 billion for future oil prices between 60 and 120 $/bbl, which is about 10 to 20 times greater than the estimated $4.3 billion to decommission the inventory. Eni's Allegheny and MC Offshore's Jolliet tension leg platforms have ADR metrics less than one and are approaching the end of their useful life. Application of the proposed metrics in the regulatory review of supplemental bonding requirements in the U.S. Outer Continental Shelf is suggested to complement the current suite of financial metrics employed. © 2015 Society for Risk Analysis.

Effects of correlations and fees in random multiplicative environments: Implications for portfolio management

NASA Astrophysics Data System (ADS)

Alper, Ofer; Somekh-Baruch, Anelia; Pirvandy, Oz; Schaps, Malka; Yaari, Gur

2017-08-01

Geometric Brownian motion (GBM) is frequently used to model price dynamics of financial assets, and a weighted average of multiple GBMs is commonly used to model a financial portfolio. Diversified portfolios can lead to an increased exponential growth compared to a single asset by effectively reducing the effective noise. The sum of GBM processes is no longer a log-normal process and has a complex statistical properties. The nonergodicity of the weighted average process results in constant degradation of the exponential growth from the ensemble average toward the time average. One way to stay closer to the ensemble average is to maintain a balanced portfolio: keep the relative weights of the different assets constant over time. To keep these proportions constant, whenever assets values change, it is necessary to rebalance their relative weights, exposing this strategy to fees (transaction costs). Two strategies that were suggested in the past for cases that involve fees are rebalance the portfolio periodically and rebalance it in a partial way. In this paper, we study these two strategies in the presence of correlations and fees. We show that using periodic and partial rebalance strategies, it is possible to maintain a steady exponential growth while minimizing the losses due to fees. We also demonstrate how these redistribution strategies perform in a phenomenal way on real-world market data, despite the fact that not all assumptions of the model hold in these real-world systems. Our results have important implications for stochastic dynamics in general and to portfolio management in particular, as we show that there is a superior alternative to the common buy-and-hold strategy, even in the presence of correlations and fees.

How much cash does your company need?

PubMed

Passov, Richard

2003-11-01

In late 2001, the directors of Pfizer asked that very question. And with good reason. After its 2000 merger with rival Warner-Lambert, the New York-based pharmaceutical giant found itself sitting on a net cash position of $8 billion, which seemed extraordinarily conservative for a company whose products generated $30 billion in revenues. Most large companies with revenues that healthy would increase leverage, thereby unlocking tremendous value for shareholders. But knowledge-intensive companies like Pfizer, this author argues, are in a class apart. Because their largely intangible assets (like R&D) are highly volatile and cannot easily be valued, they are more vulnerable to financial distress than are firms with a preponderance of tangible assets. To insure against that risk, they need to maintain large positive cash balances. These companies' decisions to run large cash balances is one of the key reasons their shares sustain consistent premiums. Only by investing in their intangible assets can knowledge-based companies hope to preserve the value of those assets. A company that finds itself unable to do so because unfavorable market conditions reduce its operating cash flows will see its share price suffer almost as much as if it were to default on its debts. By the same token, with the right balance sheet, knowledge companies can profitably insure against the risk of failing to sustain value-added investments in difficult times. An optimal capital structure that calls for significant cash balances is certainly at odds with the results of a traditional capital structure analysis, the author demonstrates, but it explains the financial policies of many well-run companies, from Pfizer to Intel to ChevronTexaco.

77 FR 40527 - New Express Mail Price Category-Express Mail Padded Flat Rate Envelope

Federal Register 2010, 2011, 2012, 2013, 2014

2012-07-10

... POSTAL SERVICE 39 CFR Part 111 New Express Mail Price Category--Express Mail Padded Flat Rate.... SUPPLEMENTARY INFORMATION: This final rule describes a new price category under Express Mail, Express Mail... new price category is available under Docket Number CP2012-39 on the Postal Regulatory Commission's...

12 CFR 702.2 - Definitions

Code of Federal Regulations, 2010 CFR

2010-01-01

... retained earnings balance of the credit union at quarter-end as determined under generally accepted... assets, at the point of acquisition. A mutual combination is a transaction in which a credit union... credit union's total assets as measured by either— (i) Average quarterly balance. The average of quarter...

75 FR 62737 - Privacy Act of 1974; Proposed Implementation

Federal Register 2010, 2011, 2012, 2013, 2014

2010-10-13

... Foreign Assets Control Economic Sanctions. (ii) Financial Crimes Enforcement Network: Number System name... records entitled ``DO .120--Records Related to Office of Foreign Assets Control Economic Sanctions'' will be added to the table under (i). The current heading ``Financial Crimes Enforcement Network:'' and...

47 CFR 69.110 - Entrance facilities.

Code of Federal Regulations, 2012 CFR

2012-10-01

... company has assigned to the lowest priced density pricing zone (zone 1) under an approved density pricing... lowest priced density pricing zone (zone 1). (g) In study areas in which the telephone company has implemented density zone pricing, but no offices have been assigned to the lowest price density pricing zone...

48 CFR 52.232-10 - Payments Under Fixed-Price Architect-Engineer Contracts.

Code of Federal Regulations, 2012 CFR

2012-10-01

... Architect-Engineer Contracts. 52.232-10 Section 52.232-10 Federal Acquisition Regulations System FEDERAL... Provisions and Clauses 52.232-10 Payments Under Fixed-Price Architect-Engineer Contracts. As prescribed in 32.111(c)(1), insert the following clause: Payments Under Fixed-Price Architect-Engineer Contracts (APR...

48 CFR 52.232-10 - Payments Under Fixed-Price Architect-Engineer Contracts.

Code of Federal Regulations, 2014 CFR

2014-10-01

... Architect-Engineer Contracts. 52.232-10 Section 52.232-10 Federal Acquisition Regulations System FEDERAL... Provisions and Clauses 52.232-10 Payments Under Fixed-Price Architect-Engineer Contracts. As prescribed in 32.111(c)(1), insert the following clause: Payments Under Fixed-Price Architect-Engineer Contracts (APR...

48 CFR 52.232-10 - Payments Under Fixed-Price Architect-Engineer Contracts.

Code of Federal Regulations, 2010 CFR

2010-10-01

... Architect-Engineer Contracts. 52.232-10 Section 52.232-10 Federal Acquisition Regulations System FEDERAL... Provisions and Clauses 52.232-10 Payments Under Fixed-Price Architect-Engineer Contracts. As prescribed in 32.111(c)(1), insert the following clause: Payments Under Fixed-Price Architect-Engineer Contracts (APR...

48 CFR 52.232-10 - Payments Under Fixed-Price Architect-Engineer Contracts.

Code of Federal Regulations, 2013 CFR

2013-10-01

... Architect-Engineer Contracts. 52.232-10 Section 52.232-10 Federal Acquisition Regulations System FEDERAL... Provisions and Clauses 52.232-10 Payments Under Fixed-Price Architect-Engineer Contracts. As prescribed in 32.111(c)(1), insert the following clause: Payments Under Fixed-Price Architect-Engineer Contracts (APR...

48 CFR 52.232-10 - Payments Under Fixed-Price Architect-Engineer Contracts.

Code of Federal Regulations, 2011 CFR

2011-10-01

... Architect-Engineer Contracts. 52.232-10 Section 52.232-10 Federal Acquisition Regulations System FEDERAL... Provisions and Clauses 52.232-10 Payments Under Fixed-Price Architect-Engineer Contracts. As prescribed in 32.111(c)(1), insert the following clause: Payments Under Fixed-Price Architect-Engineer Contracts (APR...

48 CFR 52.232-5 - Payments Under Fixed-Price Construction Contracts.

Code of Federal Regulations, 2013 CFR

2013-10-01

... Construction Contracts. 52.232-5 Section 52.232-5 Federal Acquisition Regulations System FEDERAL ACQUISITION... Clauses 52.232-5 Payments Under Fixed-Price Construction Contracts. As prescribed in 32.111(a)(5), insert the following clause: Payments Under Fixed-Price Construction Contracts (SEP 2002) (a) Payment of...

48 CFR 52.232-5 - Payments Under Fixed-Price Construction Contracts.

Code of Federal Regulations, 2014 CFR

2014-10-01

... Construction Contracts. 52.232-5 Section 52.232-5 Federal Acquisition Regulations System FEDERAL ACQUISITION... Clauses 52.232-5 Payments Under Fixed-Price Construction Contracts. As prescribed in 32.111(a)(5), insert the following clause: Payments Under Fixed-Price Construction Contracts (MAY 2014) (a) Payment of...

48 CFR 52.232-5 - Payments Under Fixed-Price Construction Contracts.

Code of Federal Regulations, 2010 CFR

2010-10-01

... Construction Contracts. 52.232-5 Section 52.232-5 Federal Acquisition Regulations System FEDERAL ACQUISITION... Clauses 52.232-5 Payments Under Fixed-Price Construction Contracts. As prescribed in 32.111(a)(5), insert the following clause: Payments Under Fixed-Price Construction Contracts (SEP 2002) (a) Payment of...

48 CFR 52.232-5 - Payments Under Fixed-Price Construction Contracts.

Code of Federal Regulations, 2011 CFR

2011-10-01

... Construction Contracts. 52.232-5 Section 52.232-5 Federal Acquisition Regulations System FEDERAL ACQUISITION... Clauses 52.232-5 Payments Under Fixed-Price Construction Contracts. As prescribed in 32.111(a)(5), insert the following clause: Payments Under Fixed-Price Construction Contracts (SEP 2002) (a) Payment of...

48 CFR 52.232-5 - Payments Under Fixed-Price Construction Contracts.

Code of Federal Regulations, 2012 CFR

2012-10-01

... Construction Contracts. 52.232-5 Section 52.232-5 Federal Acquisition Regulations System FEDERAL ACQUISITION... Clauses 52.232-5 Payments Under Fixed-Price Construction Contracts. As prescribed in 32.111(a)(5), insert the following clause: Payments Under Fixed-Price Construction Contracts (SEP 2002) (a) Payment of...

7. DETAIL VIEW UNDER BRIDGE OF CORRUGATED STEEL, BEAMS, RODS, ...

Library of Congress Historic Buildings Survey, Historic Engineering Record, Historic Landscapes Survey

7. DETAIL VIEW UNDER BRIDGE OF CORRUGATED STEEL, BEAMS, RODS, AND ABUTMENT - Price River Bridge, Spanning Price River, 760 North Street in Carbonville, 1 mile northwest of Price, Carbonville, Carbon County, UT

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...

Allocating risk capital for a brownfields redevelopment project under hydrogeological and financial uncertainty.

PubMed

Yu, Soonyoung; Unger, Andre J A; Parker, Beth; Kim, Taehee

2012-06-15

In this study, we defined risk capital as the contingency fee or insurance premium that a brownfields redeveloper needs to set aside from the sale of each house in case they need to repurchase it at a later date because the indoor air has been detrimentally affected by subsurface contamination. The likelihood that indoor air concentrations will exceed a regulatory level subject to subsurface heterogeneity and source zone location uncertainty is simulated by a physics-based hydrogeological model using Monte Carlo realizations, yielding the probability of failure. The cost of failure is the future value of the house indexed to the stochastic US National Housing index. The risk capital is essentially the probability of failure times the cost of failure with a surcharge to compensate the developer against hydrogeological and financial uncertainty, with the surcharge acting as safety loading reflecting the developers' level of risk aversion. We review five methodologies taken from the actuarial and financial literature to price the risk capital for a highly stylized brownfield redevelopment project, with each method specifically adapted to accommodate our notion of the probability of failure. The objective of this paper is to develop an actuarially consistent approach for combining the hydrogeological and financial uncertainty into a contingency fee that the brownfields developer should reserve (i.e. the risk capital) in order to hedge their risk exposure during the project. Results indicate that the price of the risk capital is much more sensitive to hydrogeological rather than financial uncertainty. We use the Capital Asset Pricing Model to estimate the risk-adjusted discount rate to depreciate all costs to present value for the brownfield redevelopment project. A key outcome of this work is that the presentation of our risk capital valuation methodology is sufficiently generalized for application to a wide variety of engineering projects. Copyright © 2012 Elsevier Ltd. All rights reserved.

Time-frequency wavelet analysis of the interrelationship between the global macro assets and the fear indexes

NASA Astrophysics Data System (ADS)

Abid, Fathi; Kaffel, Bilel

2018-01-01

Understanding the interrelationships of the global macro assets is crucial for global macro investing. This paper investigates the local variance and the interconnection between the stock, gold, oil, Forex and the implied volatility markets in the time/frequency domains using the wavelet methodology, including the wavelet power spectrum, the wavelet squared coherence and phase difference, the wavelet multiple correlation and cross-correlation. The univariate analysis reveals that, in some crisis periods, underlying asset markets present the same pattern in terms of the wavelet power spectrum indicating high volatility for the medium scale, and that for the other market stress periods, volatility behaves differently. Moreover, unlike the underlying asset markets, the implied volatility markets are characterized by high power regions across the entire period, even in the absence of economic events. Bivariate results show a bidirectional relationship between the underlying assets and their corresponding implied volatility indexes, and a steady co-movement between the stock index and its corresponding fear index. Multiple correlation analysis indicates a strong correlation between markets at high scales with evidence of a nearly perfect integration for a period longer than a year. In addition, the hedging strategies based on the volatility index lead to an increase in portfolio correlation. On the other hand, the results from multiple cross-correlations reveal that the lead-lag effect starts from the medium scale and that the VIX (stock market volatility index) index is the potential leader or follower of the other markets.

The price of complexity in financial networks

NASA Astrophysics Data System (ADS)

Battiston, Stefano; Caldarelli, Guido; May, Robert M.; Roukny, Tarik; Stiglitz, Joseph E.

2016-09-01

Financial institutions form multilayer networks by engaging in contracts with each other and by holding exposures to common assets. As a result, the default probability of one institution depends on the default probability of all of the other institutions in the network. Here, we show how small errors on the knowledge of the network of contracts can lead to large errors in the probability of systemic defaults. From the point of view of financial regulators, our findings show that the complexity of financial networks may decrease the ability to mitigate systemic risk, and thus it may increase the social cost of financial crises.

The price of complexity in financial networks.

PubMed

Battiston, Stefano; Caldarelli, Guido; May, Robert M; Roukny, Tarik; Stiglitz, Joseph E

2016-09-06

Financial institutions form multilayer networks by engaging in contracts with each other and by holding exposures to common assets. As a result, the default probability of one institution depends on the default probability of all of the other institutions in the network. Here, we show how small errors on the knowledge of the network of contracts can lead to large errors in the probability of systemic defaults. From the point of view of financial regulators, our findings show that the complexity of financial networks may decrease the ability to mitigate systemic risk, and thus it may increase the social cost of financial crises.

7 CFR 226.25 - Other provisions.

Code of Federal Regulations, 2011 CFR

2011-01-01

... result of funds received under the Act. (e) Fraud penalty. Whoever embezzles, willfully misapplies, steals, or obtains by fraud any funds, assets, or property that are the subject of a grant or other form..., assets, or property have been embezzled, willfully misapplied, stolen, or obtained by fraud shall, if...

7 CFR 226.25 - Other provisions.

Code of Federal Regulations, 2010 CFR

2010-01-01

... result of funds received under the Act. (e) Fraud penalty. Whoever embezzles, willfully misapplies, steals, or obtains by fraud any funds, assets, or property that are the subject of a grant or other form..., assets, or property have been embezzled, willfully misapplied, stolen, or obtained by fraud shall, if...

75 FR 23327 - Asset-Backed Securities

Federal Register 2010, 2011, 2012, 2013, 2014

2010-05-03

... information would be provided according to proposed standards and in a tagged data format using extensible... Market Developments, March 2008 (the ``PWG March 2008 Report'') at 9 (discussing subprime mortgages and... information about underlying asset pool performance.\\41\\ Our focus on both the public and private markets for...

Asset management to support urban land and subsurface management.

PubMed

Maring, Linda; Blauw, Maaike

2018-02-15

Pressure on urban areas increases by demographic and climate change. To enable healthy, adaptive and liveable urban areas different strategies are needed. One of the strategies is to make better use of subsurface space and its functions. Asset management of the Subsurface (AMS) contributes to this. Asset management provides transparency of trade-offs between performance, cost and risks throughout the entire lifecycle of these assets. AMS is based on traditional asset management methods, but it does not only take man-made assets in the subsurface into account. AMS also considers the natural functions that the subsurface, including groundwater, has to offer (ecosystem services). A Dutch community of practice consisting of national and municipal authorities, a consultancy-engineering and a research institute are developing AMS in practice in order to 1) enhance the urban underground space planning (using its benefits, avoiding problems) and 2) use, manage and maintain the (urban) subsurface and its functions. The method is currently still under development. Copyright © 2017 Elsevier B.V. All rights reserved.

76 FR 61441 - Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-10-04

... Stock Market LLC Regarding Simplification of the Exchange's $1 Strike Price Program September 28, 2011... price was permitted that was greater than $5 from the underlying stock's closing price on the previous... streamlining amendments: When the price of the underlying stock is equal to or less than $20, permit $1 strike...

76 FR 74099 - Self-Regulatory Organizations; NYSE Arca, Inc.; Notice of Filing and Immediate Effectiveness of...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

76 FR 74093 - Self-Regulatory Organizations; EDGX Exchange, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

.... Like options, the price of rights and warrants are affected by the price of the underlying stock as well as other factors, particularly the volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights...

76 FR 74082 - Self-Regulatory Organizations; NYSE Amex LLC; Notice of Filing and Immediate Effectiveness of...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

76 FR 74080 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

76 FR 74109 - Self-Regulatory Organizations; NASDAQ OMX BX, Inc.; Notice of Filing and Immediate Effectiveness...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-30

... predetermined prices subject to various timing and other conditions. Like options, the price of rights and... volatility of the stock. As a consequence, the prices of rights and warrants may move more dramatically than the prices of the underlying stocks even when the rights and warrants (and the underlying stock) are...

From entropy-maximization to equality-maximization: Gauss, Laplace, Pareto, and Subbotin

NASA Astrophysics Data System (ADS)

Eliazar, Iddo

2014-12-01

The entropy-maximization paradigm of statistical physics is well known to generate the omnipresent Gauss law. In this paper we establish an analogous socioeconomic model which maximizes social equality, rather than physical disorder, in the context of the distributions of income and wealth in human societies. We show that-on a logarithmic scale-the Laplace law is the socioeconomic equality-maximizing counterpart of the physical entropy-maximizing Gauss law, and that this law manifests an optimized balance between two opposing forces: (i) the rich and powerful, striving to amass ever more wealth, and thus to increase social inequality; and (ii) the masses, struggling to form more egalitarian societies, and thus to increase social equality. Our results lead from log-Gauss statistics to log-Laplace statistics, yield Paretian power-law tails of income and wealth distributions, and show how the emergence of a middle-class depends on the underlying levels of socioeconomic inequality and variability. Also, in the context of asset-prices with Laplace-distributed returns, our results imply that financial markets generate an optimized balance between risk and predictability.

An Application on Merton Model in the Non-efficient Market

NASA Astrophysics Data System (ADS)

Feng, Yanan; Xiao, Qingxian

Merton Model is one of the famous credit risk models. This model presumes that the only source of uncertainty in equity prices is the firm’s net asset value .But the above market condition holds only when the market is efficient which is often been ignored in modern research. Another, the original Merton Model is based on assumptions that in the event of default absolute priority holds, renegotiation is not permitted , liquidation of the firm is costless and in the Merton Model and most of its modified version the default boundary is assumed to be constant which don’t correspond with the reality. So these can influence the level of predictive power of the model. In this paper, we have made some extensions on some of these assumptions underlying the original model. The model is virtually a modification of Merton’s model. In a non-efficient market, we use the stock data to analysis this model. The result shows that the modified model can evaluate the credit risk well in the non-efficient market.

Reducing greenhouse gas emissions: a duopoly market pricing competition and cooperation under the carbon emissions cap.

PubMed

Jian, Ming; He, Hua; Ma, Changsong; Wu, Yan; Yang, Hao

2017-05-17

This article studies the price competition and cooperation in a duopoly that is subjected to carbon emissions cap. The study assumes that in a departure from the classical Bertrand game, there is still a market for both firms' goods regardless of the product price, even though production capacity is limited by carbon emissions regulation. Through the decentralized decision making of both firms under perfect information, the results are unstable. The firm with the lower maximum production capacity under carbon emissions regulation and the firm with the higher maximum production capacity both seek market price cooperation. By designing an internal carbon credits trading mechanism, we can ensure that the production capacity of the firm with the higher maximum production capacity under carbon emissions regulation reaches price equilibrium. Also, the negotiation power of the duopoly would affect the price equilibrium.

Distribution network connection pricing framework and methodology: identification of areas of improvement for Sarawak Energy Berhad Connection Charges Guidelines through modified delphi method

NASA Astrophysics Data System (ADS)

Tan, J. K.; Abas, N.

2017-07-01

Complaints on issues and matters related to connection charges have been very common for electricity supply utility companies around the world including Sarawak Energy Berhad. In order to identify the areas that can be improved, a mixed method of exploratory research involving qualitative and quantitative methods have been designed and undertaken rather than a single method of survey. This will ensure a more comprehensive and detailed understanding of the issues from various target groups. The method is designed under three phases, employing Modified Delphi Technique for phase 1 through a series of stake holder engagements, online and offline survey questionnaires to be filled by internal wiring contractors for phase 2 whilst under phase 3, case studies shall be carried out on the issues identified from phase 1 and phase 2 of the study. This paper presented the findings from the Modified Delphi Technique. The findings revealed that there are areas of improvement for Sarawak Energy Berhad connection guidelines in term of differentiation of dedicated and shared assets which leads to unfairness to the connecting customers, inconsistency and non-transparent in charging. The findings of Modified Delphi Technique shall be used for implementation of phase 2 and phase 3 of the study.

The distribution of cigarette prices under different tax structures: findings from the International Tobacco Control Policy Evaluation (ITC) Project

PubMed Central

Shang, Ce; Chaloupka, Frank J; Zahra, Nahleen; Fong, Geoffrey T

2013-01-01

Background The distribution of cigarette prices has rarely been studied and compared under different tax structures. Descriptive evidence on price distributions by countries can shed light on opportunities for tax avoidance and brand switching under different tobacco tax structures, which could impact the effectiveness of increased taxation in reducing smoking. Objective This paper aims to describe the distribution of cigarette prices by countries and to compare these distributions based on the tobacco tax structure in these countries. Methods We employed data for 16 countries taken from the International Tobacco Control Policy Evaluation Project to construct survey-derived cigarette prices for each country. Self-reported prices were weighted by cigarette consumption and described using a comprehensive set of statistics. We then compared these statistics for cigarette prices under different tax structures. In particular, countries of similar income levels and countries that impose similar total excise taxes using different tax structures were paired and compared in mean and variance using a two-sample comparison test. Findings Our investigation illustrates that, compared with specific uniform taxation, other tax structures, such as ad valorem uniform taxation, mixed (a tax system using ad valorem and specific taxes) uniform taxation, and tiered tax structures of specific, ad valorem and mixed taxation tend to have price distributions with greater variability. Countries that rely heavily on ad valorem and tiered taxes also tend to have greater price variability around the median. Among mixed taxation systems, countries that rely more heavily on the ad valorem component tend to have greater price variability than countries that rely more heavily on the specific component. In countries with tiered tax systems, cigarette prices are skewed more towards lower prices than are prices under uniform tax systems. The analyses presented here demonstrate that more opportunities exist for tax avoidance and brand switching when the tax structure departs from a uniform specific tax. PMID:23792324

The distribution of cigarette prices under different tax structures: findings from the International Tobacco Control Policy Evaluation (ITC) Project.

PubMed

Shang, Ce; Chaloupka, Frank J; Zahra, Nahleen; Fong, Geoffrey T

2014-03-01

The distribution of cigarette prices has rarely been studied and compared under different tax structures. Descriptive evidence on price distributions by countries can shed light on opportunities for tax avoidance and brand switching under different tobacco tax structures, which could impact the effectiveness of increased taxation in reducing smoking. This paper aims to describe the distribution of cigarette prices by countries and to compare these distributions based on the tobacco tax structure in these countries. We employed data for 16 countries taken from the International Tobacco Control Policy Evaluation Project to construct survey-derived cigarette prices for each country. Self-reported prices were weighted by cigarette consumption and described using a comprehensive set of statistics. We then compared these statistics for cigarette prices under different tax structures. In particular, countries of similar income levels and countries that impose similar total excise taxes using different tax structures were paired and compared in mean and variance using a two-sample comparison test. Our investigation illustrates that, compared with specific uniform taxation, other tax structures, such as ad valorem uniform taxation, mixed (a tax system using ad valorem and specific taxes) uniform taxation, and tiered tax structures of specific, ad valorem and mixed taxation tend to have price distributions with greater variability. Countries that rely heavily on ad valorem and tiered taxes also tend to have greater price variability around the median. Among mixed taxation systems, countries that rely more heavily on the ad valorem component tend to have greater price variability than countries that rely more heavily on the specific component. In countries with tiered tax systems, cigarette prices are skewed more towards lower prices than are prices under uniform tax systems. The analyses presented here demonstrate that more opportunities exist for tax avoidance and brand switching when the tax structure departs from a uniform specific tax.

25 CFR 115.805 - If a tribe is paid directly under a contract for the sale or use of trust assets, will we accept...

Code of Federal Regulations, 2010 CFR

2010-04-01

... 25 Indians 1 2010-04-01 2010-04-01 false If a tribe is paid directly under a contract for the sale or use of trust assets, will we accept those trust funds for deposit into a tribal trust account? 115.805 Section 115.805 Indians BUREAU OF INDIAN AFFAIRS, DEPARTMENT OF THE INTERIOR FINANCIAL ACTIVITIES TRUST FUNDS FOR TRIBES AND INDIVIDUAL INDIAN...

30 CFR 203.78 - Do I keep relief approved by MMS under §§ 203.60-203.77 for my lease, unit or project if prices...

Code of Federal Regulations, 2010 CFR

2010-07-01

... 30 Mineral Resources 2 2010-07-01 2010-07-01 false Do I keep relief approved by MMS under §§ 203.60-203.77 for my lease, unit or project if prices rise significantly? 203.78 Section 203.78 Mineral....77 for my lease, unit or project if prices rise significantly? If prices rise above a base price...

17 CFR 229.1009 - (Item 1009) Persons/assets, retained, employed, compensated or used.

Code of Federal Regulations, 2011 CFR

2011-04-01

... 17 Commodity and Securities Exchanges 2 2011-04-01 2011-04-01 false (Item 1009) Persons/assets, retained, employed, compensated or used. 229.1009 Section 229.1009 Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION STANDARD INSTRUCTIONS FOR FILING FORMS UNDER SECURITIES ACT OF 1933...

17 CFR 229.1009 - (Item 1009) Persons/assets, retained, employed, compensated or used.

Code of Federal Regulations, 2010 CFR

2010-04-01

... 17 Commodity and Securities Exchanges 2 2010-04-01 2010-04-01 false (Item 1009) Persons/assets, retained, employed, compensated or used. 229.1009 Section 229.1009 Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION STANDARD INSTRUCTIONS FOR FILING FORMS UNDER SECURITIES ACT OF 1933...

17 CFR 229.1009 - (Item 1009) Persons/assets, retained, employed, compensated or used.

Code of Federal Regulations, 2014 CFR

2014-04-01

... 17 Commodity and Securities Exchanges 3 2014-04-01 2014-04-01 false (Item 1009) Persons/assets, retained, employed, compensated or used. 229.1009 Section 229.1009 Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION STANDARD INSTRUCTIONS FOR FILING FORMS UNDER SECURITIES ACT OF 1933...

17 CFR 229.1009 - (Item 1009) Persons/assets, retained, employed, compensated or used.

Code of Federal Regulations, 2013 CFR

2013-04-01

... 17 Commodity and Securities Exchanges 2 2013-04-01 2013-04-01 false (Item 1009) Persons/assets, retained, employed, compensated or used. 229.1009 Section 229.1009 Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION STANDARD INSTRUCTIONS FOR FILING FORMS UNDER SECURITIES ACT OF 1933...

17 CFR 229.1009 - (Item 1009) Persons/assets, retained, employed, compensated or used.

Code of Federal Regulations, 2012 CFR

2012-04-01

... 17 Commodity and Securities Exchanges 2 2012-04-01 2012-04-01 false (Item 1009) Persons/assets, retained, employed, compensated or used. 229.1009 Section 229.1009 Commodity and Securities Exchanges SECURITIES AND EXCHANGE COMMISSION STANDARD INSTRUCTIONS FOR FILING FORMS UNDER SECURITIES ACT OF 1933...

31 CFR 500.575 - Certain services to Vietnamese nationals authorized.

Code of Federal Regulations, 2010 CFR

2010-07-01

... Finance (Continued) OFFICE OF FOREIGN ASSETS CONTROL, DEPARTMENT OF THE TREASURY FOREIGN ASSETS CONTROL... to Country Group Y, as set forth in Supplement No. 1 to part 770 of the Export Administration... that may not be exported under a general license to Country Group Y pursuant to the Export...

Assets First Generation College Students Bring to the Higher Education Setting

ERIC Educational Resources Information Center

Garrison, Nancy J.; Gardner, Douglas S.

2012-01-01

This qualitative research explored first generation college students (FGCS) from a holistic perspective. The study investigated students' personal assets and provided the field of higher education an alternative to the pervasive deficit-orientation of this under resourced population. Psychological capital (Luthans, et al., 2006), framed within…

75 FR 41572 - Office of Financial Stability; Proposed Collection; Comment Request

Federal Register 2010, 2011, 2012, 2013, 2014

2010-07-16

...: 1505-0209. Title: Troubled Asset Relief Program--Conflicts of Interest. Abstract: Authorized under the... Troubled Asset Relief Program (TARP) by codifying section 108 of EESA. Title 31 CFR part 31, TARP Conflict of Interest, sets forth the process for reviewing and addressing actual or potential conflicts of...

22 CFR 40.41 - Public charge.

Code of Federal Regulations, 2011 CFR

2011-04-01

... significant assets, and the immigrant's assets, do not meet the Federal poverty line requirements of INA 213A.... (f) Use of Federal Poverty Line Where INA 213A Not Applicable. An immigrant visa applicant, not... under INA 212(a)(4), who does not demonstrate an annual income above the Federal poverty line, as...

22 CFR 40.41 - Public charge.

Code of Federal Regulations, 2014 CFR

2014-04-01

... significant assets, and the immigrant's assets, do not meet the Federal poverty line requirements of INA 213A.... (f) Use of Federal Poverty Line Where INA 213A Not Applicable. An immigrant visa applicant, not... under INA 212(a)(4), who does not demonstrate an annual income above the Federal poverty line, as...

22 CFR 40.41 - Public charge.

Code of Federal Regulations, 2013 CFR

2013-04-01

... significant assets, and the immigrant's assets, do not meet the Federal poverty line requirements of INA 213A.... (f) Use of Federal Poverty Line Where INA 213A Not Applicable. An immigrant visa applicant, not... under INA 212(a)(4), who does not demonstrate an annual income above the Federal poverty line, as...

22 CFR 40.41 - Public charge.

Code of Federal Regulations, 2012 CFR

2012-04-01

... significant assets, and the immigrant's assets, do not meet the Federal poverty line requirements of INA 213A.... (f) Use of Federal Poverty Line Where INA 213A Not Applicable. An immigrant visa applicant, not... under INA 212(a)(4), who does not demonstrate an annual income above the Federal poverty line, as...

22 CFR 40.41 - Public charge.

Code of Federal Regulations, 2010 CFR

2010-04-01

... significant assets, and the immigrant's assets, do not meet the Federal poverty line requirements of INA 213A.... (f) Use of Federal Poverty Line Where INA 213A Not Applicable. An immigrant visa applicant, not... under INA 212(a)(4), who does not demonstrate an annual income above the Federal poverty line, as...

Time-varying economic dominance in financial markets: A bistable dynamics approach

NASA Astrophysics Data System (ADS)

He, Xue-Zhong; Li, Kai; Wang, Chuncheng

2018-05-01

By developing a continuous-time heterogeneous agent financial market model of multi-assets traded by fundamental and momentum investors, we provide a potential mechanism for generating time-varying dominance between fundamental and non-fundamental in financial markets. We show that investment constraints lead to the coexistence of a locally stable fundamental steady state and a locally stable limit cycle around the fundamental, characterized by a Bautin bifurcation. This provides a mechanism for market prices to switch stochastically between the two persistent but very different market states, leading to the coexistence and time-varying dominance of seemingly controversial efficient market and price momentum over different time periods. The model also generates other financial market stylized facts, such as spillover effects in both momentum and volatility, market booms, crashes, and correlation reduction due to cross-sectional momentum trading. Empirical evidence based on the U.S. market supports the main findings. The mechanism developed in this paper can be used to characterize time-varying economic dominance in economics and finance in general.