Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants

Directory of Open Access Journals (Sweden)

Rasika Yatigammana

2018-05-01

Full Text Available The direction of price movements are analysed under an ordered probit framework, recognising the importance of accounting for discreteness in price changes. By extending the work of Hausman et al. (1972 and Yang and Parwada (2012,This paper focuses on improving the forecast performance of the model while infusing a more practical perspective by enhancing flexibility. This is achieved by extending the existing framework to generate short term multi period ahead forecasts for better decision making, whilst considering the serial dependence structure. This approach enhances the flexibility and adaptability of the model to future price changes, particularly targeting risk minimisation. Empirical evidence is provided, based on seven stocks listed on the Australian Securities Exchange (ASX. The prediction success varies between 78 and 91 per cent for in-sample and out-of-sample forecasts for both the short term and long term.

Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

OpenAIRE

Aktham I. Maghyereh; Haitham A. Al Zoubi; Haitham Nobanee

2007-01-01

We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique. Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.

Co-Movement of Major Commodity Price Returns : Time-Series Assessment

OpenAIRE

de Nicola, Francesca; De Pace, Pierangelo; Hernandez, Manuel A.

2014-01-01

This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural and food commodities based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure are used to study the extent and the time-evolution of uncondi...

Using neural networks and extreme value distributions to model electricity pool prices: Evidence from the Australian National Electricity Market 1998–2013

International Nuclear Information System (INIS)

Dev, Priya; Martin, Michael A.

2014-01-01

Highlights: • Neural nets are unable to properly capture spiky price behavior found in the electricity market. • We modeled electricity price data from the Australian National Electricity Market over 15 years. • Neural nets need to be augmented with other modeling techniques to capture price spikes. • We fit a Generalized Pareto Distribution to price spikes using a peaks-over-thresholds approach. - Abstract: Competitors in the electricity supply industry desire accurate predictions of electricity spot prices to hedge against financial risks. Neural networks are commonly used for forecasting such prices, but certain features of spot price series, such as extreme price spikes, present critical challenges for such modeling. We investigate the predictive capacity of neural networks for electricity spot prices using Australian National Electricity Market data. Following neural net modeling of the data, we explore extreme price spikes through extreme value modeling, fitting a Generalized Pareto Distribution to price peaks over an estimated threshold. While neural nets capture the smoother aspects of spot price data, they are unable to capture local, volatile features that characterize electricity spot price data. Price spikes can be modeled successfully through extreme value modeling

Estimating the impact of extreme events on crude oil price. An EMD-based event analysis method

Energy Technology Data Exchange (ETDEWEB)

Zhang, Xun; Wang, Shouyang [Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190 (China); School of Mathematical Sciences, Graduate University of Chinese Academy of Sciences, Beijing 100190 (China); Yu, Lean [Institute of Systems Science, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190 (China); Lai, Kin Keung [Department of Management Sciences, City University of Hong Kong, Tat Chee Avenue, Kowloon (China)

2009-09-15

The impact of extreme events on crude oil markets is of great importance in crude oil price analysis due to the fact that those events generally exert strong impact on crude oil markets. For better estimation of the impact of events on crude oil price volatility, this study attempts to use an EMD-based event analysis approach for this task. In the proposed method, the time series to be analyzed is first decomposed into several intrinsic modes with different time scales from fine-to-coarse and an average trend. The decomposed modes respectively capture the fluctuations caused by the extreme event or other factors during the analyzed period. It is found that the total impact of an extreme event is included in only one or several dominant modes, but the secondary modes provide valuable information on subsequent factors. For overlapping events with influences lasting for different periods, their impacts are separated and located in different modes. For illustration and verification purposes, two extreme events, the Persian Gulf War in 1991 and the Iraq War in 2003, are analyzed step by step. The empirical results reveal that the EMD-based event analysis method provides a feasible solution to estimating the impact of extreme events on crude oil prices variation. (author)

Estimating the impact of extreme events on crude oil price. An EMD-based event analysis method

International Nuclear Information System (INIS)

Zhang, Xun; Wang, Shouyang; Yu, Lean; Lai, Kin Keung

2009-01-01

The impact of extreme events on crude oil markets is of great importance in crude oil price analysis due to the fact that those events generally exert strong impact on crude oil markets. For better estimation of the impact of events on crude oil price volatility, this study attempts to use an EMD-based event analysis approach for this task. In the proposed method, the time series to be analyzed is first decomposed into several intrinsic modes with different time scales from fine-to-coarse and an average trend. The decomposed modes respectively capture the fluctuations caused by the extreme event or other factors during the analyzed period. It is found that the total impact of an extreme event is included in only one or several dominant modes, but the secondary modes provide valuable information on subsequent factors. For overlapping events with influences lasting for different periods, their impacts are separated and located in different modes. For illustration and verification purposes, two extreme events, the Persian Gulf War in 1991 and the Iraq War in 2003, are analyzed step by step. The empirical results reveal that the EMD-based event analysis method provides a feasible solution to estimating the impact of extreme events on crude oil prices variation. (author)

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

Science.gov (United States)

Jin, Xin

consensus has been reached on OPEC strategic behavior. In the third chapter, we are interested in the effects of supply-side market power on oil price dynamics in face of different demand shocks, and model the oil market as composed of a strategic dominant firm and several competitive fringe producers. In each period, the dominant firm makes decision while taking fringe's response into consideration. We consider two alternative pricing strategies for the dominant firm. Our results show that this dynamic strategic model improves the potential of dominant firm-competitive fringe model in fitting and explaining real world data. A regime switch after a permanent demand increase generates a time path for price that looks like the price movements in the recent years.

Research on Three-dimensional Motion History Image Model and Extreme Learning Machine for Human Body Movement Trajectory Recognition

Directory of Open Access Journals (Sweden)

Zheng Chang

2015-01-01

Full Text Available Based on the traditional machine vision recognition technology and traditional artificial neural networks about body movement trajectory, this paper finds out the shortcomings of the traditional recognition technology. By combining the invariant moments of the three-dimensional motion history image (computed as the eigenvector of body movements and the extreme learning machine (constructed as the classification artificial neural network of body movements, the paper applies the method to the machine vision of the body movement trajectory. In detail, the paper gives a detailed introduction about the algorithm and realization scheme of the body movement trajectory recognition based on the three-dimensional motion history image and the extreme learning machine. Finally, by comparing with the results of the recognition experiments, it attempts to verify that the method of body movement trajectory recognition technology based on the three-dimensional motion history image and extreme learning machine has a more accurate recognition rate and better robustness.

The estimation of risk-premium implicit in oil prices

International Nuclear Information System (INIS)

Luis, J.B.

2001-01-01

The futures price can be seen as the sum of the expected value of the underlying asset price and a risk-premium. In order to disentangle these two components of the futures price, one can try to model the relationship between spot and futures prices, in order to obtain a closed expression for the risk-premium, or to use information from spot and option prices to estimate risk-aversion functions. Given the high volatility of the ratios between futures and spot prices, we opted for the latter, estimating risk-neutral and subjective probability density functions, respectively, from observed option and spot prices. looking at the prices of Brent and West Texas Intermediate light/sweet crude oil options, the obtained evidence suggests that risk-aversion is typically very low for levels near the futures prices. However, due to price volatility and, consequently, to the tails of distribution, the risk-aversion functions are badly behaved in extreme prices and futures prices do not anticipate sharp movements in oil spot prices. Therefore, futures oil prices seem to be useful in forecasting spot prices only when moderate price changes occur. (author)

Upper Extremity Motor Learning among Individuals with Parkinson's Disease: A Meta-Analysis Evaluating Movement Time in Simple Tasks

Directory of Open Access Journals (Sweden)

K. Felix

2012-01-01

Full Text Available Motor learning has been found to occur in the rehabilitation of individuals with Parkinson's disease (PD. Through repetitive structured practice of motor tasks, individuals show improved performance, confirming that motor learning has probably taken place. Although a number of studies have been completed evaluating motor learning in people with PD, the sample sizes were small and the improvements were variable. The purpose of this meta-analysis was to determine the ability of people with PD to learn motor tasks. Studies which measured movement time in upper extremity reaching tasks and met the inclusion criteria were included in the analysis. Results of the meta-analysis indicated that people with PD and neurologically healthy controls both demonstrated motor learning, characterized by a decrease in movement time during upper extremity movements. Movement time improvements were greater in the control group than in individuals with PD. These results support the findings that the practice of upper extremity reaching tasks is beneficial in reducing movement time in persons with PD and has important implications for rehabilitation.

Identifying compensatory movement patterns in the upper extremity using a wearable sensor system.

Science.gov (United States)

Ranganathan, Rajiv; Wang, Rui; Dong, Bo; Biswas, Subir

2017-11-30

Movement impairments such as those due to stroke often result in the nervous system adopting atypical movements to compensate for movement deficits. Monitoring these compensatory patterns is critical for improving functional outcomes during rehabilitation. The purpose of this study was to test the feasibility and validity of a wearable sensor system for detecting compensatory trunk kinematics during activities of daily living. Participants with no history of neurological impairments performed reaching and manipulation tasks with their upper extremity, and their movements were recorded by a wearable sensor system and validated using a motion capture system. Compensatory movements of the trunk were induced using a brace that limited range of motion at the elbow. Our results showed that the elbow brace elicited compensatory movements of the trunk during reaching tasks but not manipulation tasks, and that a wearable sensor system with two sensors could reliably classify compensatory movements (~90% accuracy). These results show the potential of the wearable system to assess and monitor compensatory movements outside of a lab setting.

Market-wide price co-movement around crashes in the Tokyo Stock Exchange

OpenAIRE

Jun-ichi Maskawa; Joshin Murai; Koji Kuroda

2013-01-01

As described in this paper, we study market-wide price co-movements around crashes by analyzing a dataset of high-frequency stock returns of the constituent issues of Nikkei 225 Index listed on the Tokyo Stock Exchange for the three years during 2007--2009. Results of day-to-day principal component analysis of the time series sampled at the 1 min time interval during the continuous auction of the daytime reveal the long range up to a couple of months significant auto-correlation of the maximu...

Oil prices and stocks in the second quarter of 2004

International Nuclear Information System (INIS)

2004-01-01

Notwithstanding forecasting difficulties, the oil supply and demand balance has proved to be a good indicator of the state of the market and stock levels, which, in turn, influence price behaviour. In periods where OECD commercial stock levels lie within a certain range, currently around 2,450-2,650 million barrels, the range of prices is larger than when stock levels are very high or very low. In both the latter extreme situations, prices are prone to rapid movements, undermining market stability. Other factors, of course, also influence price fluctuations. The general opinion among regularly published oil market reports points to the inevitability of a higher-than-normal build in stocks in the second quarter of 2004. If the resulting surplus is not handled in a timely and effective manner, there is likely to be excessive downward pressure on prices, which, if left unattended, would lead to a protracted spell of volatility. (Author)

Price performance following stock's IPO in different price limit systems

Science.gov (United States)

Wu, Ting; Wang, Yue; Li, Ming-Xia

2018-01-01

An IPO burst occurred in China's stock markets in 2015, while price limit trading rules usually help to reduce the short-term trading mania on individual stocks. It is interesting to make clear the function of the price limits after IPOs. We firstly make a statistical analysis based on all the IPO stocks listed from 1990 to 2015. A high dependency exists between the activities in stock's IPO and various market environment. We also focus on the price dynamics in the first 40 trading days after the stock listed. We find that price limit system will delay the price movement, especially for the up-trend movements, which may lead to longer continuous price limit hits. Similar to our previous work, many results such as ;W; shape can be also observed in the future daily return after the price limit open. At last, we find most IPO measures show evident correlations with the following price limit hits. IPO stocks with lower first-day turnover and earning per share will be followed with a longer continuous price limit hits and lower future daily return under the newest trading rules, which give us a good way to estimate the occurrence of price limit hits and the following price dynamics. Our analysis provides a better understanding of the price dynamics after IPO events and offers potential practical values for investors.

Quantitative assessment based on kinematic measures of functional impairments during upper extremity movements: A review.

Science.gov (United States)

de los Reyes-Guzmán, Ana; Dimbwadyo-Terrer, Iris; Trincado-Alonso, Fernando; Monasterio-Huelin, Félix; Torricelli, Diego; Gil-Agudo, Angel

2014-08-01

Quantitative measures of human movement quality are important for discriminating healthy and pathological conditions and for expressing the outcomes and clinically important changes in subjects' functional state. However the most frequently used instruments for the upper extremity functional assessment are clinical scales, that previously have been standardized and validated, but have a high subjective component depending on the observer who scores the test. But they are not enough to assess motor strategies used during movements, and their use in combination with other more objective measures is necessary. The objective of the present review is to provide an overview on objective metrics found in literature with the aim of quantifying the upper extremity performance during functional tasks, regardless of the equipment or system used for registering kinematic data. A search in Medline, Google Scholar and IEEE Xplore databases was performed following a combination of a series of keywords. The full scientific papers that fulfilled the inclusion criteria were included in the review. A set of kinematic metrics was found in literature in relation to joint displacements, analysis of hand trajectories and velocity profiles. These metrics were classified into different categories according to the movement characteristic that was being measured. These kinematic metrics provide the starting point for a proposed objective metrics for the functional assessment of the upper extremity in people with movement disorders as a consequence of neurological injuries. Potential areas of future and further research are presented in the Discussion section. Copyright © 2014 Elsevier Ltd. All rights reserved.

Forecasting Financial Extremes: A Network Degree Measure of Super-Exponential Growth.

Directory of Open Access Journals (Sweden)

Wanfeng Yan

Full Text Available Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices. During such market regimes, stock prices change at a super-exponential rate and are normally followed by a trend reversal that corrects the previous overreaction. In this paper, we construct an indicator to measure the magnitude of the super-exponential growth of stock prices, by measuring the degree of the price network, generated from the price time series. Twelve major international stock indices have been investigated. Error diagram tests show that this new indicator has strong predictive power for financial extremes, both peaks and troughs. By varying the parameters used to construct the error diagram, we show the predictive power is very robust. The new indicator has a better performance than the LPPL pattern recognition indicator.

Forecasting Financial Extremes: A Network Degree Measure of Super-Exponential Growth.

Science.gov (United States)

Yan, Wanfeng; van Tuyll van Serooskerken, Edgar

2015-01-01

Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices. During such market regimes, stock prices change at a super-exponential rate and are normally followed by a trend reversal that corrects the previous overreaction. In this paper, we construct an indicator to measure the magnitude of the super-exponential growth of stock prices, by measuring the degree of the price network, generated from the price time series. Twelve major international stock indices have been investigated. Error diagram tests show that this new indicator has strong predictive power for financial extremes, both peaks and troughs. By varying the parameters used to construct the error diagram, we show the predictive power is very robust. The new indicator has a better performance than the LPPL pattern recognition indicator.

Spikes and memory in (Nord Pool) electricity price spot prices

DEFF Research Database (Denmark)

Proietti, Tomasso; Haldrup, Niels; Knapik, Oskar

Electricity spot prices are subject to transitory sharp movements commonly referred to as spikes. The paper aims at assessing their effects on model based inferences and predictions, with reference to the Nord Pool power exchange. We identify a spike as a price value which deviates substantially...

Oil prices and the stock prices of alternative energy companies

International Nuclear Information System (INIS)

Henriques, Irene; Sadorsky, Perry

2008-01-01

Energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements. While it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies, there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices. In this paper, a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices, technology stock prices, oil prices, and interest rates. Our results show technology stock prices and oil prices each individually Granger cause the stock prices of alternative energy companies. Simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices. These results should be of use to investors, managers and policy makers. (author)

Assessing the effect of oil price on world food prices: Application of principal component analysis

International Nuclear Information System (INIS)

Esmaeili, Abdoulkarim; Shokoohi, Zainab

2011-01-01

The objective of this paper is to investigate the co-movement of food prices and the macroeconomic index, especially the oil price, by principal component analysis to further understand the influence of the macroeconomic index on food prices. We examined the food prices of seven major products: eggs, meat, milk, oilseeds, rice, sugar and wheat. The macroeconomic variables studied were crude oil prices, consumer price indexes, food production indexes and GDP around the world between 1961 and 2005. We use the Scree test and the proportion of variance method for determining the optimal number of common factors. The correlation coefficient between the extracted principal component and the macroeconomic index varies between 0.87 for the world GDP and 0.36 for the consumer price index. We find the food production index has the greatest influence on the macroeconomic index and that the oil price index has an influence on the food production index. Consequently, crude oil prices have an indirect effect on food prices. - Research Highlights: →We investigate the co-movement of food prices and the macroeconomic index. →The crude oil price has indirect effect on the world GDP via its impacts on food production index. →The food production index is the source of causation for CPI and GDP is affected by CPI. →The results confirm an indirect effect among oil price, food price principal component.

Capture, learning, and classification of upper extremity movement primitives in healthy controls and stroke patients.

Science.gov (United States)

Guerra, Jorge; Uddin, Jasim; Nilsen, Dawn; Mclnerney, James; Fadoo, Ammarah; Omofuma, Isirame B; Hughes, Shatif; Agrawal, Sunil; Allen, Peter; Schambra, Heidi M

2017-07-01

There currently exist no practical tools to identify functional movements in the upper extremities (UEs). This absence has limited the precise therapeutic dosing of patients recovering from stroke. In this proof-of-principle study, we aimed to develop an accurate approach for classifying UE functional movement primitives, which comprise functional movements. Data were generated from inertial measurement units (IMUs) placed on upper body segments of older healthy individuals and chronic stroke patients. Subjects performed activities commonly trained during rehabilitation after stroke. Data processing involved the use of a sliding window to obtain statistical descriptors, and resulting features were processed by a Hidden Markov Model (HMM). The likelihoods of the states, resulting from the HMM, were segmented by a second sliding window and their averages were calculated. The final predictions were mapped to human functional movement primitives using a Logistic Regression algorithm. Algorithm performance was assessed with a leave-one-out analysis, which determined its sensitivity, specificity, and positive and negative predictive values for all classified primitives. In healthy control and stroke participants, our approach identified functional movement primitives embedded in training activities with, on average, 80% precision. This approach may support functional movement dosing in stroke rehabilitation.

Mandelbrot's Extremism

NARCIS (Netherlands)

Beirlant, J.; Schoutens, W.; Segers, J.J.J.

2004-01-01

In the sixties Mandelbrot already showed that extreme price swings are more likely than some of us think or incorporate in our models.A modern toolbox for analyzing such rare events can be found in the field of extreme value theory.At the core of extreme value theory lies the modelling of maxima

Investor herds and oil prices evidence in the Gulf Cooperation Council (GCC equity markets

Directory of Open Access Journals (Sweden)

Talat Ulussever

2017-09-01

Full Text Available This paper scrutinizes the effect of crude oil prices on herd behavior among investors in the Gulf Cooperation Council (GCC stock markets. Using firm level data from Saudi Arabia, Qatar, Oman, Kuwait, Bahrain, Dubai and Abu Dhabi stock exchanges, we examine equity return dispersions within industry portfolios and test whether investor herds exist in these markets. We then assess whether crude oil price movements have any effect on the investment behavior of traders in the aforementioned markets. Our findings reveal significant evidence supporting herd behavior in all GCC equity markets with the exception of Oman and Qatar, more consistently during periods of market losses. Furthermore, we find significant oil price effects on herd behavior in these markets, particularly during periods of extreme positive changes in the price of oil. Our findings suggest that investors’ tendency to act as a herd in the said markets is significantly affected by the developments in the oil market.

Recent trends in gas pricing in economies in transition

International Nuclear Information System (INIS)

Cornot-Gandolplhe, S.

1996-01-01

This paper deals with end-user gas price movements in economies in transition since 1990 and with present problems associated with rising of gas prices levels. The first part stresses the major discrepancies existing between countries in transition with regard to their economic situation and their gas market. Historical gas price movements are shown in the second part, which analyzes the main trends observed in economies in transition and problems encountered when raising the gas prices

Analyzing Accounting Ratios as Determinants of the LQ45 Stock Prices Movements in Indonesia Stock Exchange During the Period of 2002-2006

Directory of Open Access Journals (Sweden)

Agus Arianto Toly

2009-01-01

Full Text Available The lack of studies regarding the determinants of stock price movement in the Indonesia Stock Exchange (ISX, which is an emerging stock exchange in the South East Asia region, and the pursue of generalization became the reasons of why this study. Previous research (Gupta, Chevalier, & Sayekt, 2000; Subiyantoro & Andreani, 2003, mostly focus on the external factors of the firms, instead of the internal factors. This study uses the accounting ratios as the determinants of the prices of stocks’ classified as the LQ45 in the ISX during 2002-2006. The panel-data regression model is used to test whether all of the independent variables involved in the equation could simultaneously explain the behavior of the dependent one. The developed model would be analyzed by the utilization of econometrics package, namely GRETL 1.7.4. After conducting some statistical treatments on the developed model, this study reveals that the shareholders’ ratios consisted of book value per share, dividend payout ratio, EPS, and ROA are the accounting ratios, which determine the LQ45’s stock price movement in the ISX during the period of 2002-2006.

The impacts of global oil price shocks on China's fundamental industries

International Nuclear Information System (INIS)

Wang, Xiao; Zhang, Chuanguo

2014-01-01

This paper investigated the impacts of oil price shocks on China's fundamental industries. In order to analyze the reactions of different industries to oil price shocks, we focused on four fundamental industries: grains, metals, petrochemicals and oil fats. We separated the oil price shocks into two parts, positive and negative parts, to investigate how commodity markets react when oil prices go up and down. We further studied the extreme price movements, called jumps, existing in the oil markets and how jump behavior has affected China's commodity markets. Our results suggest that asymmetric effects of oil price shocks did exist in the four markets and the negative oil price shocks had stronger influences on the four markets in China. The petrochemicals market suffered most from the oil price shocks, and the grains market was least sensitive to the shocks. When jumps occurred in the crude oil market, the four commodity markets would be affected differently. The oil fats market and petrochemicals market tended to “overreact” to jumps. - Highlights: • We investigate the impacts of oil price shocks on China's fundamental industries. • Jump behavior does exist in the crude oil market. • The impacts of oil price shocks are asymmetric. • China's four commodity markets are affected by the jump behavior

General movements in the first fourteen days of life in extremely low birth weight (ELBW) infants

NARCIS (Netherlands)

de Vries, N. K. S.; Erwich, J. J. H. M.; Bos, A. F.

2008-01-01

Objective: To assess the quality of general movements (GMs) in the first fourteen days of life in relation to obstetric and postnatal risk factors and neurodevelopmental outcome in extremely low birth weight (ELBW) infants. Study design: The GMs of nineteen infants were assessed on days 2, 4, 6, 10

Biodiesel as a motor fuel price stabilization mechanism

International Nuclear Information System (INIS)

Serra, Teresa; Gil, José M.

2012-01-01

This article studies the capacity of biofuels to reduce motor fuel price fluctuations. For this purpose, we study dependence between crude oil and biodiesel blend prices in Spain. Copula models are used for this purpose. Results suggest that the practice of blending biodiesel with diesel can protect consumers against extreme crude oil price increases. - Highlights: ► We study the capacity of biofuels to reduce fuel price fluctuations. ► We focus on Spanish biodiesel market. ► Biodiesel and crude oil price dependence is studied using copula functions. ► Biodiesel can protect consumers against extreme crude oil price increases.

Assessing the impact of oil prices on firms of different sizes: Its tough being in the middle

International Nuclear Information System (INIS)

Sadorsky, Perry

2008-01-01

Recent empirical research has found evidence of a relationship between oil price movements and stock prices. Most published research investigates the relationship between oil price movements and stock prices using either economy-wide measures of stock prices or industry sector measures of stock prices. An important question that has largely gone unanswered relates to the relationship between oil prices and stock prices when the size of firms is allowed to vary. Relative to large firms, do oil price movements have larger or smaller impacts on the stock prices of small- or medium-sized firms? The answer to this question could have important policy implications that affect economic growth and prosperity. In this paper, a panel of firms is followed over a 17-year period to investigate the relationship between oil price movements, firm size, and stock prices. Evidence is found that shows the relationship between oil price movements and stock prices does vary with firm size and the relationship is strongest for medium-sized firms

Medium-Term Probabilistic Forecasting of Extremely Low Prices in Electricity Markets: Application to the Spanish Case

Directory of Open Access Journals (Sweden)

Antonio Bello

2016-03-01

Full Text Available One of the most relevant challenges that have arisen in electricity markets during the last few years is the emergence of extremely low prices. Trying to predict these events is crucial for market agents in a competitive environment. This paper proposes a novel methodology to simultaneously accomplish punctual and probabilistic hourly predictions about the appearance of extremely low electricity prices in a medium-term scope. The proposed approach for making real ex ante forecasts consists of a nested compounding of different forecasting techniques, which incorporate Monte Carlo simulation, combined with spatial interpolation techniques. The procedure is based on the statistical identification of the process key drivers. Logistic regression for rare events, decision trees, multilayer perceptrons and a hybrid approach, which combines a market equilibrium model with logistic regression, are used. Moreover, this paper assesses whether periodic models in which parameters switch according to the day of the week can be even more accurate. The proposed techniques are compared to a Markov regime switching model and several naive methods. The proposed methodology empirically demonstrates its effectiveness by achieving promising results on a real case study based on the Spanish electricity market. This approach can provide valuable information for market agents when they face decision making and risk-management processes. Our findings support the additional benefit of using a hybrid approach for deriving more accurate predictions.

Higher prices at Canadian gas pumps: international crude oil prices or local market concentration? An empirical investigation

International Nuclear Information System (INIS)

Anindya Sen

2003-01-01

There is little consensus on whether higher retail gasoline prices in Canada are the result of international crude oil price fluctuations or local market power exercised by large vertically-integrated firms. I find that although both increasing local market concentration and higher average monthly wholesale prices are positively and significantly associated with higher retail prices, wholesale prices are more important than local market concentration. Similarly, crude oil prices are more important than the number of local wholesalers in determining wholesale prices. These results suggest that movements in gasoline prices are largely the result of input price fluctuations rather than local market structure. (author)

Foreign exchange market data analysis reveals statistical features that predict price movement acceleration.

Science.gov (United States)

Nacher, Jose C; Ochiai, Tomoshiro

2012-05-01

Increasingly accessible financial data allow researchers to infer market-dynamics-based laws and to propose models that are able to reproduce them. In recent years, several stylized facts have been uncovered. Here we perform an extensive analysis of foreign exchange data that leads to the unveiling of a statistical financial law. First, our findings show that, on average, volatility increases more when the price exceeds the highest (or lowest) value, i.e., breaks the resistance line. We call this the breaking-acceleration effect. Second, our results show that the probability P(T) to break the resistance line in the past time T follows power law in both real data and theoretically simulated data. However, the probability calculated using real data is rather lower than the one obtained using a traditional Black-Scholes (BS) model. Taken together, the present analysis characterizes a different stylized fact of financial markets and shows that the market exceeds a past (historical) extreme price fewer times than expected by the BS model (the resistance effect). However, when the market does, we predict that the average volatility at that time point will be much higher. These findings indicate that any Markovian model does not faithfully capture the market dynamics.

Older women with dementia can perform fast alternating forearm movements and performance is correlated with tests of lower extremity function

Directory of Open Access Journals (Sweden)

Bramell-Risberg E

2013-02-01

Full Text Available Eva Bramell-Risberg,1 Gun-Britt Jarnlo,2 Sölve Elmståhl11Division of Geriatric Medicine, 2Division of Physiotherapy, Department of Health Sciences, Lund University, Lund, SwedenBackground: The purpose of this work was to study the performance and reliability of a test of fast alternating forearm movements and its relationship with measures of lower extremity function in older women with dementia.Methods: Fast alternating movements was studied in 26 female patients (mean age 81.7 ± 5.9 years with dementia and 34 controls (mean age 87.5 ± 4.7 years. Subgroup analyses for those aged 80–89 years were performed due to significant differences in the mean ages of the study groups. Test–retest reliability for alternating forearm movements was studied in 11 patients (mean age 80.3 ± 6.7 years and 10 controls (mean age 87.4 ± 1.6 years. Pulses generated were transformed to an analog signal shown on a modified electrocardiogram. Numbers of cycles at 10 and 15 seconds were calculated for the right and left hand. Walking 2 × 15 m and the Get-Up-and Go (GUG test were performed at self-selected and maximal speed. Associations between tests of upper and lower extremity function were sought in eight patients (mean age 85 ± 2.7 years and 16 controls (mean age 85.1 ± 2.8 years and also according to types of dementia in nine patients with probable Alzheimer's disease and 10 patients with other types of dementia.Results: Patients with dementia could perform the test and had significantly fewer cycles (P = 0.02–0.006 at both 10 and 15 seconds compared with controls after age adjustment. A higher number of cycles was associated with higher self-selected walking speeds in patients (r = -0.79. Test–retest reliability for alternating forearm movements was high for both patients (intraclass correlation 0.88–0.94 and controls (intraclass correlation 0.74–0.94.Conclusion: Alternating forearm movements at fast speed can be used as a reliable test in both

Forecasting oil price trends using wavelets and hidden Markov models

International Nuclear Information System (INIS)

Souza e Silva, Edmundo G. de; Souza e Silva, Edmundo A. de; Legey, Luiz F.L.

2010-01-01

The crude oil price is influenced by a great number of factors, most of which interact in very complex ways. For this reason, forecasting it through a fundamentalist approach is a difficult task. An alternative is to use time series methodologies, with which the price's past behavior is conveniently analyzed, and used to predict future movements. In this paper, we investigate the usefulness of a nonlinear time series model, known as hidden Markov model (HMM), to predict future crude oil price movements. Using an HMM, we develop a forecasting methodology that consists of, basically, three steps. First, we employ wavelet analysis to remove high frequency price movements, which can be assumed as noise. Then, the HMM is used to forecast the probability distribution of the price return accumulated over the next F days. Finally, from this distribution, we infer future price trends. Our results indicate that the proposed methodology might be a useful decision support tool for agents participating in the crude oil market. (author)

Business cycles and natural gas prices

International Nuclear Information System (INIS)

Apostolos, S.; Asghar, S.

2005-01-01

This paper investigates the basic stylised facts of natural gas price movements using data for the period that natural gas has been traded on an organised exchange and the methodology suggested by Kydland and Prescott (1990). Our results indicate that natural gas prices are procyclical and lag the cycle of industrial production. Moreover, natural gas prices are positively contemporaneously correlated with United States consumer prices and lead the cycle of consumer prices, raising the possibility that natural gas prices might be a useful guide for US monetary policy, like crude oil prices are, possibly serving as an important indicator variable. (author)

Validity of the lower extremity functional movement screen in patients with chronic ankle instability

OpenAIRE

Choi, Ho-Suk; Shin, Won-Seob

2015-01-01

[Purpose] The purpose of this study was to provide evidence of construct validity for the lower extremity functional movement screen (LE-FMS) based on hypothesis testing in patients with chronic ankle instability (CAI). [Subjects] The subjects were 20 healthy subjects and 20 patients with CAI who had a history of ankle sprain with pain for more than 1 day. [Methods] All participants were measured using the Foot and Ankle Disability Index (FADI) and evaluated with the LE-FMS. The screen includ...

Dynamics of oil price, precious metal prices, and exchange rate

International Nuclear Information System (INIS)

Sari, Ramazan; Soytas, Ugur; Hammoudeh, Shawkat

2010-01-01

This study examines the co-movements and information transmission among the spot prices of four precious metals (gold, silver, platinum, and palladium), oil price, and the US dollar/euro exchange rate. We find evidence of a weak long-run equilibrium relationship but strong feedbacks in the short run. The spot precious metal markets respond significantly (but temporarily) to a shock in any of the prices of the other metal prices and the exchange rate. Furthermore, we discover some evidence of market overreactions in the palladium and platinum cases as well as in the exchange rate market. In conclusion, whether there are overreactions and re-adjustments or not, investors may diversify at least a portion of the risk away by investing in precious metals, oil, and the euro. Policy implications are provided. (author)

Quantitative Motion Analysis of Tai Chi Chuan: The Upper Extremity Movement

Directory of Open Access Journals (Sweden)

Tsung-Jung Ho

2018-01-01

Full Text Available The quantitative and reproducible analysis of the standard body movement in Tai Chi Chuan (TCC was performed in this study. We aimed to provide a reference of the upper extremities for standardizing TCC practice. Microsoft Kinect was used to record the motion during the practice of TCC. The preparation form and eight essential forms of TCC performed by an instructor and 101 practitioners were analyzed in this study. The instructor completed an entire TCC practice cycle and performed the cycle 12 times. An entire cycle of TCC was performed by practitioners and images were recorded for statistics analysis. The performance of the instructor showed high similarity (Pearson correlation coefficient (r=0.71~0.84 to the first practice cycle. Among the 9 forms, lay form had the highest similarity (rmean=0.90 and push form had the lowest similarity (rmean=0.52. For the practitioners, ward off form (rmean=0.51 and roll back form (rmean=0.45 had the highest similarity with moderate correlation. We used Microsoft Kinect to record the spatial coordinates of the upper extremity joints during the practice of TCC and the data to perform quantitative and qualitative analysis of the joint positions and elbow joint angle.

Optimal models of extreme volume-prices are time-dependent

International Nuclear Information System (INIS)

Rocha, Paulo; Boto, João Pedro; Raischel, Frank; Lind, Pedro G

2015-01-01

We present evidence that the best model for empirical volume-price distributions is not always the same and it strongly depends in (i) the region of the volume-price spectrum that one wants to model and (ii) the period in time that is being modelled. To show these two features we analyze stocks of the New York stock market with four different models: Γ, Γ-inverse, log-normal, and Weibull distributions. To evaluate the accuracy of each model we use standard relative deviations as well as the Kullback-Leibler distance and introduce an additional distance particularly suited to evaluate how accurate are the models for the distribution tails (large volume-price). Finally we put our findings in perspective and discuss how they can be extended to other situations in finance engineering

The impact of the Asian crisis on the behavior of US and international petroleum prices

International Nuclear Information System (INIS)

Hammoudeh, Shawkat; Li, Huimin

2004-01-01

The strong long-run relationships among the petroleum spot and futures prices have weakened after the Asian crisis as manifested in less co-integration among these prices. In the post-crisis period, the directional causal relationships have either changed the direction as in the case of WTI crude or weakened somewhat as in the case of NYMEX gasoline and heating oil. These changes should complicate the job of those who try to benefit from predicting the movements of petroleum prices after the Asian crisis. In the international gasoline spot markets, movements in the NYMEX gasoline price are found to precede movements in the Gulf Coast and Rotterdam gasoline prices in the pre-crisis period, and the movements of these prices and those of the Singapore price in the post-crisis period, implying that the NYMEX price is the gasoline leader in both periods. The Monday/Friday day-of-the-week effect is only significant for the NYMEX gasoline 1-month and 3-month futures prices and the Gulf Coast gasoline spot. Economic and political shocks related to the spot prices have greater impacts on all prices than shocks related to the futures prices, regardless of the petroleum type and the time period

The Impact of Oil Price Volatility on Statoil

OpenAIRE

Johannessen, Frida; Skjelvik, Karina

2017-01-01

Master's thesis in Finance PROBLEM STATEMENT How do oil price movements impact Statoil ASA? RESEARCH QUESTIONS Do oil price fluctuations have an explainable effect on Statoil’s capital expenditures and operating expenditures? Do oil price fluctuations have an explainable effect on Statoil’s share price? ANALYSIS To analyse the impact of oil price shocks, Ordinary Least Squares regression has been employed for two separate time periods. First, the period from Q4...

Predicting Sport and Occupational Lower Extremity Injury Risk through Movement Quality Screening: A Systematic Review

Science.gov (United States)

Whittaker, Jackie L; Booysen, Nadine; de la Motte, Sarah; Dennett, Liz; Lewis, Cara L.; Wilson, Dave; McKay, Carly; Warner, Martin; Padua, Darin; Emery, Carolyn A; Stokes, Maria

2017-01-01

Background Identification of risk factors for lower extremity (LE) injury in sport and military/first-responder occupations is required to inform injury prevention strategies. Objective To determine if poor movement quality is associated with LE injury in sport and military/first-responder occupations. Material and methods Five electronic databases were systematically searched. Studies selected included: original data; analytic design; movement quality outcome (qualitative rating of functional compensation, asymmetry, impairment or efficiency of movement control); LE injury sustained with sport or military/first-responder occupation. The PRISMA guidelines were followed. Two independent authors assessed the quality [Downs and Black (DB) criteria] and level of evidence (Oxford Centre of Evidence-Based Medicine model). Results Of 4361 potential studies, 17 were included. The majority were low quality cohort studies (level 4 evidence). Median DB score was 11/33 (range 3–15). Heterogeneity in methodology and injury definition precluded meta-analyses. The Functional Movement Screen was the most common outcome investigated (15/17 studies). Four studies considered interrelationships between risk factors, seven reported diagnostic accuracy and none tested an intervention program targeting individuals identified as high-risk. There is inconsistent evidence that poor movement quality is associated with increased risk of LE injury in sport and military/first-responder occupations. Conclusions Future research should focus on high quality cohort studies to identify the most relevant movement quality outcomes for predicting injury risk followed by developing and evaluating pre-participation screening and LE injury prevention programs through high quality randomized controlled trials targeting individuals at greater risk of injury based upon screening tests with validated test properties. PMID:27935483

76 FR 44390 - Self-Regulatory Organizations; New York Stock Exchange LLC; Notice of Filing and Immediate...

Science.gov (United States)

2011-07-25

... single-stock volatility circuit breakers seek to prevent extreme price movement by pausing trading in a... confidence level with price changes equivalent to a ten business day movement in rates and prices. To... equivalent to a one business day movement in rates and prices, for each of the past 250 business days, or...

Agent Based Model of Livestock Movements

Science.gov (United States)

Miron, D. J.; Emelyanova, I. V.; Donald, G. E.; Garner, G. M.

The modelling of livestock movements within Australia is of national importance for the purposes of the management and control of exotic disease spread, infrastructure development and the economic forecasting of livestock markets. In this paper an agent based model for the forecasting of livestock movements is presented. This models livestock movements from farm to farm through a saleyard. The decision of farmers to sell or buy cattle is often complex and involves many factors such as climate forecast, commodity prices, the type of farm enterprise, the number of animals available and associated off-shore effects. In this model the farm agent's intelligence is implemented using a fuzzy decision tree that utilises two of these factors. These two factors are the livestock price fetched at the last sale and the number of stock on the farm. On each iteration of the model farms choose either to buy, sell or abstain from the market thus creating an artificial supply and demand. The buyers and sellers then congregate at the saleyard where livestock are auctioned using a second price sealed bid. The price time series output by the model exhibits properties similar to those found in real livestock markets.

Price setting in turbulent times

DEFF Research Database (Denmark)

Ólafsson, Tjörvi; Pétursdóttir, Ásgerdur; Vignisdóttir, Karen Á.

This price setting survey among Icelandic firms aims to make two contributions to the literature. First, it studies price setting in an advanced economy within a more turbulent macroeconomic environment than has previously been done. The results indicate that price adjustments are to a larger...... extent driven by exchange rate fluctuations than in most other advanced countries. The median Icelandic firm reviews its prices every four months and changes them every six months. The main sources of price rigidity and the most commonly used price setting methods are the same as in most other countries....... A second contribution to the literature is our analysis of the nexus between price setting and exchange rate movements, a topic that has attracted surprisingly limited attention in this survey-based literature. A novel aspect of our approach is to base our analysis on a categorisation of firms...

Determinants of the Price of High-Tech Metals: An Event Study

Energy Technology Data Exchange (ETDEWEB)

Wanner, Markus, E-mail: markus.wanner@mrm.uni-augsburg.de; Gaugler, Tobias; Gleich, Benedikt; Rathgeber, Andreas [University of Augsburg, Institute for Materials Resource Management (Germany)

2015-06-15

The growing demand for high-tech products has resulted in strong growth in demand for certain minor metals. In combination with production concentrated in China, this caused strong and unpredicted price movements in recent years. As a result, manufacturing companies have to cope with additional risks. However, the detailed reasons for the price development are only partially understood. Therefore, we analyzed empirically which determinants can be assigned to price movements and performed an event study on the high-tech metals neodymium, indium, and gallium. Based on our dataset of news items, we were able to find coinciding events to almost 90% of all price jumps (recall). We showed that if any information about these events occurred with a probability of over 50% there would also be a price jump within 10 days (precision). However, the classical set of price determinants has to be extended for these specific markets, as we found unorthodox factors like holidays or weather that may be indicators for price movements. Therefore, we hope that our study supports industry for instance in performing more informed short-term planning of metals purchasing based on information about specific events.

Determinants of the Price of High-Tech Metals: An Event Study

International Nuclear Information System (INIS)

Wanner, Markus; Gaugler, Tobias; Gleich, Benedikt; Rathgeber, Andreas

2015-01-01

The growing demand for high-tech products has resulted in strong growth in demand for certain minor metals. In combination with production concentrated in China, this caused strong and unpredicted price movements in recent years. As a result, manufacturing companies have to cope with additional risks. However, the detailed reasons for the price development are only partially understood. Therefore, we analyzed empirically which determinants can be assigned to price movements and performed an event study on the high-tech metals neodymium, indium, and gallium. Based on our dataset of news items, we were able to find coinciding events to almost 90% of all price jumps (recall). We showed that if any information about these events occurred with a probability of over 50% there would also be a price jump within 10 days (precision). However, the classical set of price determinants has to be extended for these specific markets, as we found unorthodox factors like holidays or weather that may be indicators for price movements. Therefore, we hope that our study supports industry for instance in performing more informed short-term planning of metals purchasing based on information about specific events

After the oil price collapse

International Nuclear Information System (INIS)

Kohl, W.L.

1991-01-01

In this book, the authors focus on issues that include the extremely high prices following the second oil shock, the resulting decline in oil demand and the increase in non-OPEC production, reduced industry concentration, OPEC's subsequent attempt to regain market share; and the resulting free-for-all of competitive pricing

Asymmetric Price Transmission in Indonesia's Wheat Flour Market

OpenAIRE

Varela, Gonzalo J.; Taniguchi, Kiyoshi

2014-01-01

Data indicate that its domestic price in Indonesia has been increasing regardless of movements in the international price of wheat. A test for asymmetric price transmission from international wheat to domestic wheat flour markets is conducted using an error correction model and find the presence of asymmetric price transmission. The upward adjustment in the domestic price of wheat flour is much faster than its adjustment downward when it deviates from long-run equilibrium. Our results are rob...

Global oil prices, macroeconomic fundamentals and China's commodity sector comovements

International Nuclear Information System (INIS)

Chen, Peng

2015-01-01

This paper investigates the common movements of commodity sectors in China as well as the economic underpinnings of the comovements. We employ a Bayesian dynamic latent factor model to disentangle the common and idiosyncratic sector-specific factors of the prices of a group of China's commodity sectors: petrochemicals, grains, energy, non-ferrous metals, oils & fats, and softs. The results indicate that the common factor accounts for a significant portion of the fluctuations of China's commodity sectors, providing evidence of the strong commodity sector comovements in China. We further use a VAR model to link the common movements across China's commodity sectors to the underlying determinants, including global oil price shocks and domestic macroeconomic fluctuations. We find that the global oil price shocks have strong effects on the common movements across commodity sectors in China in addition to its domestic macroeconomic fluctuations at long horizons. However, at short horizons, the common movements across commodity sectors in China respond more strongly to the global oil shocks than to its domestic macroeconomic fluctuations. - Highlights: • We examine the comovements of commodity prices at the industry level in China. • The common factor accounts for a significant portion of commodity sector fluctuations. • We investigate the joint impacts of global oil price shocks and domestic macro fluctuations on the comovements. • The global oil price shocks have persistent and strong effects on the comovements. • The impacts of domestic macro fluctuations on the comovements differ at short and long horizons.

Estimating temporary and permanent stock price innovations on Croatian capital market

Directory of Open Access Journals (Sweden)

Tihana Škrinjarić

2014-03-01

Full Text Available This paper evaluates the size and duration of temporary and permanent stock price innovations on Croatian capital market in the structural VAR (vector autoregression framework with Blanchard and Quah (1989 decomposition. The purpose is to identify the effects of temporary price innovations in order to determine to which extent future stock prices can be predicted. Temporary components present in stock prices are explained throughout the mean-reversion hypothesis. This means that stock prices deviate from the fundamental values, but they will revert to their mean. In that way, to some extent, it is possible to predict future price movements. The results show that for the observed period from January 2000 to September 2013, temporary innovations account for only 2.62% of price variability over a two-year horizon. This means that forecasting the future movements of stock prices on Zagreb Stock Exchange is a difficult task.

Predicting sport and occupational lower extremity injury risk through movement quality screening: a systematic review.

Science.gov (United States)

Whittaker, Jackie L; Booysen, Nadine; de la Motte, Sarah; Dennett, Liz; Lewis, Cara L; Wilson, Dave; McKay, Carly; Warner, Martin; Padua, Darin; Emery, Carolyn A; Stokes, Maria

2017-04-01

Identification of risk factors for lower extremity (LE) injury in sport and military/first-responder occupations is required to inform injury prevention strategies. To determine if poor movement quality is associated with LE injury in sport and military/first-responder occupations. 5 electronic databases were systematically searched. Studies selected included original data; analytic design; movement quality outcome (qualitative rating of functional compensation, asymmetry, impairment or efficiency of movement control); LE injury sustained with sport or military/first-responder occupation. The Preferred Reporting Items for Systematic reviews and Meta-Analyses (PRISMA) guidelines were followed. 2 independent authors assessed the quality (Downs and Black (DB) criteria) and level of evidence (Oxford Centre of Evidence-Based Medicine model). Of 4361 potential studies, 17 were included. The majority were low-quality cohort studies (level 4 evidence). Median DB score was 11/33 (range 3-15). Heterogeneity in methodology and injury definition precluded meta-analyses. The Functional Movement Screen was the most common outcome investigated (15/17 studies). 4 studies considered inter-relationships between risk factors, 7 reported diagnostic accuracy and none tested an intervention programme targeting individuals identified as high risk. There is inconsistent evidence that poor movement quality is associated with increased risk of LE injury in sport and military/first-responder occupations. Future research should focus on high-quality cohort studies to identify the most relevant movement quality outcomes for predicting injury risk followed by developing and evaluating preparticipation screening and LE injury prevention programmes through high-quality randomised controlled trials targeting individuals at greater risk of injury based on screening tests with validated test properties. Published by the BMJ Publishing Group Limited. For permission to use (where not already granted

Exchange rate movement and import price of Machineries in Nigeria ...

African Journals Online (AJOL)

The empirical estimates reveal that one lag variability of import price, exchange rate, foreign cost, domestic competitors price and demand pressure proxied by GDP impact it in the long-run. However, the ECM coefficient is properly signed with -0.549. By implication, approximately 54% of the discrepancy from long run ...

Exchange rates and individual good's price misalignment: Some preliminary evidence of long-horizon predictability

OpenAIRE

Dong, Wei; Nam, Deokwoo

2011-01-01

When prices are sticky, movements in the nominal exchange rate have a direct impact on international relative prices. A relative price misalignment would trigger an adjustment in consumption and employment, and may help to predict future movements in the exchange rate. Although purchasing-power-parity fundamentals, in general, have only weak predictability, currency misalignment may be indicated by price differentials for some goods, which could then have predictive power for subsequent re-ev...

Financial news predicts stock market volatility better than close price

Directory of Open Access Journals (Sweden)

Adam Atkins

2018-06-01

Full Text Available The behaviour of time series data from financial markets is influenced by a rich mixture of quantitative information from the dynamics of the system, captured in its past behaviour, and qualitative information about the underlying fundamentals arriving via various forms of news feeds. Pattern recognition of financial data using an effective combination of these two types of information is of much interest nowadays, and is addressed in several academic disciplines as well as by practitioners. Recent literature has focused much effort on the use of news-derived information to predict the direction of movement of a stock, i.e. posed as a classification problem, or the precise value of a future asset price, i.e. posed as a regression problem. Here, we show that information extracted from news sources is better at predicting the direction of underlying asset volatility movement, or its second order statistics, rather than its direction of price movement. We show empirical results by constructing machine learning models of Latent Dirichlet Allocation to represent information from news feeds, and simple naïve Bayes classifiers to predict the direction of movements. Empirical results show that the average directional prediction accuracy for volatility, on arrival of new information, is 56%, while that of the asset close price is no better than random at 49%. We evaluate these results using a range of stocks and stock indices in the US market, using a reliable news source as input. We conclude that volatility movements are more predictable than asset price movements when using financial news as machine learning input, and hence could potentially be exploited in pricing derivatives contracts via quantifying volatility. Keywords: Machine learning, Natural language processing, Volatility forecasting, Technical analysis, Computational finance

An investment cycle in world oil prices

International Nuclear Information System (INIS)

Adelman, M.A.

1992-01-01

The price of Persian Gulf petroleum emerged after World War II as the world price. Adjusted to 1990 price levels, it went from $22 in 1947 to a low of $3 in 1970, then a high of $56 in 1981, and a low of $15 in the first half of 1990. A cyclical model is often suggested to explain these extreme swings generated by the relation between market price and investment. 9 refs., 2 figs

Eliciting upper extremity purposeful movements using video games: a comparison with traditional therapy for stroke rehabilitation.

Science.gov (United States)

Rand, Debbie; Givon, Noa; Weingarden, Harold; Nota, Ayala; Zeilig, Gabi

2014-10-01

Video games have become popular in stroke rehabilitation; however, the nature of this intervention is not fully understood. To compare the number of (a) purposeful and nonpurposeful repetitions of the weaker upper extremity (UE) and (b) movement accelerations as assessed by accelerometer activity counts of the weaker and stronger UEs of individuals with chronic stroke while playing video games or participating in traditional therapy. Twenty-nine individuals (mean age 59 years, 1-7 years poststroke) took part in a group intervention of video -games (n = 15) or traditional therapy (n = 14) as part of a randomized controlled trial. During 1-2 sessions, participants were video-taped while wearing wrist accelerometers. Assessors counted the number of repetitions and classified movements as purposeful or nonpurposeful using videotapes. The weaker UE motor impairments were correlated to movement accelerations, to determine if participants were using their potential during the sessions. Participants in the video game group performed a median of 271 purposeful movements and 37 970 activity counts compared to 48 purposeful movements and 14,872 activity counts in the traditional group (z = -3.0, P = .001 and z = -1.9, P = .05, respectively). Participants in the traditional group performed a median of 26 nonpurposeful (exercises) compared with 0 in the video game group (z = -4.2, P = .000). Strong significant correlations were found between the motor ability of the weak UE to repetitions of participants in both groups (r = .86, P Video games elicited more UE purposeful repetitions and higher acceleration of movement compared with traditional therapy in individuals with chronic stroke. © The Author(s) 2014.

House price fluctuations and the business cycle dynamics

DEFF Research Database (Denmark)

Abate, Girum Dagnachew; Anselin, Luc

This paper investigates the impact of house price movements on output in a space-time dynamic framework. The transmission of house price fluctuations to the macroeconomy both across space and over time is explicitly considered through spatial econometric modeling techniques. Using 373 metropolita...

Oil price prospects

International Nuclear Information System (INIS)

Toalster, J.

1992-01-01

In this paper, four different, popular approaches to the analysis of oil price movements will be considered and an alternative method will be proposed. Whilst we await the development of a rigorous theoretical framework within which to evaluate the phenomenon of oil price movements some progress may be effected by an amalgam of approaches, with the traditional supply and demand model being supplemented by observations regarding political and social developments in particular countries or regions, together with an assessment of emerging and prospective technological achievements. In this way it should be possible to identify the critical influences at work, from which it should also be possible to select either the single most important variable or combination of variables, affecting the oil price. Moreover, it is my belief that the crucial variables influencing the oil price almost certainly, are more likely to be political and social, rather than economic. In this context and notwithstanding the fact that there is only a minimal level of surplus productive capacity in the world oil industry at present (perhaps 1-2 million b/d albeit rising rapidly), it is reasonable to conclude that oil prices will average around $18-19 a barrel for North Sea Brent in 1992 and 1993, with oscillations of $2-4 a barrel either side, rising slightly in 1994 to $19-20 a barrel and to $20-21 a barrel in 1995. Thereafter, the most likely outcome is for a rise in line with inflation (say $ a barrel/annum) with no prospect of an upward spike, because demand will be weaker than most commentators expect up to the year 2000, whilst OPEC oil supplies will be substantially higher than the consensus forecast. (author)

Rise of energy price, rise of agricultural prices: what medium- and long-term relations and implications?

International Nuclear Information System (INIS)

Voituriez, T.

2009-01-01

We review in this study the different factors which have been presented by the scientific community as possible explanations of the sudden upsurge in commodity prices between 2006 and 2008. We examine whether scientific evidence validates any causal relationship, and particularly emphasize the role of explanatory variables underpinning the co-movement of energy and food price rises. Our aim is to provide an up-to-date understanding of food and energy market relationships, so as to better anticipate the possible changes in the evolution of prices in the coming years. (author)

What is behind the increase in oil prices? Analyzing oil consumption and supply relationship with oil price

International Nuclear Information System (INIS)

Gallo, Andres; Mason, Paul; Shapiro, Steve; Fabritius, Michael

2010-01-01

The continuing increases in oil prices have renewed the argument over the real culprits behind these movements. The growth in demand for oil in international markets, especially from the United States and China, is often identified as the main source of consumption pressure on prices, and thus the upward trend in oil prices. This paper uses unit root tests with two endogenous breaks to analyze the characteristics of oil prices, production, and consumption for several countries. By taking into account structural breaks, we find that many countries' oil consumption and oil prices are stationary, while other countries' are not. We also perform causality tests to determine the direction of any possible relationship between oil price and oil consumption and production. Our statistical analysis reveals that production variables cause oil prices, while oil prices tend to cause consumption. As a result, we claim that the blame for the recent fluctuations in oil prices is more appropriately associated with supply factors, not consumption influences. (author)

The impact of oil prices on the banking system in the Gulf Cooperation Council

Directory of Open Access Journals (Sweden)

Padamja Khandelwal

2017-06-01

Full Text Available This paper examines the links between global oil price movements and macroeconomic and financial developments in the Gulf Cooperation Council (GCC. The GCC economies can be adversely affected by low oil prices due to their high dependence on oil and gas exports and macro-financial linkages which can amplify the effects of oil price movements over the financial cycle. Historically, systemic financial sector risks rose in the GCC countries with the oil price upswing in the years before the global financial crisis. Against this background, a range of multivariate panel approaches, including a panel vector autoregression approach, were applied to macroeconomic and bank-level data covering the six GCC economies and span 1999–2014. The paper finds strong empirical evidence of feedback loops between oil price movements, bank balance sheets, and asset prices. Empirical evidence also suggests that bank capital and provisioning have behaved countercyclically through the cycle. That is, these ratios increase during good times. This has helped strengthen the resilience of the financial system to the oil price decline since mid-2014.

Fractional-moment Capital Asset Pricing model

International Nuclear Information System (INIS)

Li Hui; Wu Min; Wang Xiaotian

2009-01-01

In this paper, we introduce the definition of the 'α-covariance' and present the fractional-moment versions of Capital Asset Pricing Model,which can be used to price assets when asset return distributions are likely to be stable Levy (or Student-t) distribution during panics and stampedes in worldwide security markets in 2008. Furthermore, if asset returns are truly governed by the infinite-variance stable Levy distributions, life is fundamentally riskier than in a purely Gaussian world. Sudden price movements like the worldwide security market crash in 2008 turn into real-world possibilities.

Housing price forecastability: A factor analysis

DEFF Research Database (Denmark)

Møller, Stig Vinther; Bork, Lasse

2017-01-01

We examine U.S. housing price forecastability using principal component analysis (PCA), partial least squares (PLS), and sparse PLS (SPLS). We incorporate information from a large panel of 128 economic time series and show that macroeconomic fundamentals have strong predictive power for future...... movements in housing prices. We find that (S)PLS models systematically dominate PCA models. (S)PLS models also generate significant out-of-sample predictive power over and above the predictive power contained by the price-rent ratio, autoregressive benchmarks, and regression models based on small datasets....

Oil price shocks, stock market, economic activity and employment in Greece

International Nuclear Information System (INIS)

Papapetrou, E.

2001-01-01

Using a multivariate vector-autoregression (VAR) approach, this paper attempts to shed light into the dynamic relationship among oil prices, real stock prices, interest rates, real economic activity and employment for Greece. The empirical evidence suggests that oil price changes affect real economic activity and employment. Oil prices are important in explaining stock price movements. Stock returns do not lead to changes in real activity and employment

Forecasting Long-Run Electricity Prices

International Nuclear Information System (INIS)

Hamm, Gregory; Borison, Adam

2006-01-01

Estimation of long-run electricity prices is extremely important but it is also very difficult because of the many uncertainties that will determine future prices, and because of the lack of sufficient historical and forwards data. The difficulty is compounded when forecasters ignore part of the available information or unnecessarily limit their thinking about the future. The authors present a practical approach that addresses these problems. (author)

Covered Interest-Rate Parity Revisited: an Extreme Value Copula Analysis

Directory of Open Access Journals (Sweden)

Mikel Ugando-Peñate

2015-11-01

Full Text Available This article studied the covered interest-rate parity (CIP condition under extreme market movements using extreme value theory and extreme value copulas to characterize dependence between extreme interest rate differentials and forward premium. The empirical analysis for the CIP between interest rates for the US dollar and the British pound indicates that there is strong co-movement between interest rate differentials and forward premium at different maturities and in both upper and lower tails. This conclusion would support the existence of the CIP condition under extreme market movements.

Effect of Price Determinants on World Cocoa Prices for Over the Last Three Decades: Error Correction Model (ECM) Approach

OpenAIRE

Lya Aklimawati; Teguh Wahyudi

2013-01-01

High  volatility  cocoa  price  movement  is  consequenced  by  imbalancing between power demand and power supply in commodity market. World economy expectation and market  liberalization would lead to instability on cocoa prices in  the  international  commerce.  Dynamic  prices  moving  erratically  influence the benefit  of market players, particularly  producers. The aim of this research is  (1)  to  estimate  the  empirical  cocoa  prices  model  for  responding  market dynamics and (2) ...

Bank Lending and Property Prices in Hong Kong

OpenAIRE

Gerlach, Stefan; Peng, Wensheng

2004-01-01

This paper studies the relationship between residential property prices and lending in Hong Kong. This is an interesting topic for three reasons. First, swings in property prices have been extremely large and frequent in Hong Kong. Second, under the currency board regime, monetary policy can not be used to guard against asset price swings. Third, despite the collapse in property prices since 1998, the banking sector remains sound. While the contemporaneous correlation between lending and prop...

Determinants of Stock Price Movements: Evidence from Chittagong Stock Exchange, Bangladesh

Directory of Open Access Journals (Sweden)

Mohammed Syedul Islam

2015-01-01

Full Text Available Stock market plays a vital role in the economic development of an economy. It bridges up between savers and real manufacturers by raising funds from investors to companies. This process was broken down due to the 2010-2011 stock market crash in Bangladesh. Though the determinants of stock price have been settled empirically, the current paper aims to reexamine the relationship between stock price, dividend and retained earnings of 29 listed banks of Chittagong Stock Exchange, in the post-crash period. Cross-sectional data were collected from secondary sources. Using linear regression method, the study found that both, dividend and retained earnings of sample banks have strong influence over the stock price, though there was moderate explanatory power of those variables. After reviewing the causes of crisis 2010-2011, this study suggests the following: to control price manipulation, to publish proper financial statement, regulate the dividend policy, to ensure sufficient knowledge among investors, recruit technical expert and ensure proper settlement for transactions, prevent crises of stock market against speculation etc.

Electricity deregulation, spot price patterns and demand-side management

International Nuclear Information System (INIS)

Li, Y.; Flynn, P.C.

2006-01-01

This paper examines extensive hourly or half-hourly power price data from 14 deregulated power markets. It analyzes average diurnal patterns, relationship to system load, volatility, and consistency over time. Diurnal patterns indicate the average price spread between off-peak and on-peak and weekend vs. weekday power consumption. Volatility is measured by price velocity: the average normalized hourly change in power price, calculated daily. The calculated price velocity is broken down into an expected component that arises from the diurnal pattern and an unexpected component that arises from unknown factors. The analysis reveals significant differences among markets, suggesting that demand-side management (DSM) of power consumption is far more difficult in some markets than in others. At one extreme, Spain, Britain and Scandinavia show consistent diurnal price patterns, a stable relationship between price and system load, and a low unexplained component of price volatility. A power consumer in these markets could form a reasonable expectation of a reward for DSM of elective power consumption. At the other extreme, two markets in Australia show erratic diurnal price patterns from year to year, low correlation between price and system load, and a high amount of unexpected price velocity. A power consumer in these markets would have far greater difficulty in realizing a benefit from DSM. Markets that experienced one period of very high prices without a clear external cause, such as California and Alberta, appear to have a significant longer-term erosion of public support for deregulation. (author)

Food versus fuel: What do prices tell us?

International Nuclear Information System (INIS)

Zhang Zibin; Lohr, Luanne; Escalante, Cesar; Wetzstein, Michael

2010-01-01

Sorting out the impacts of biofuels on global agricultural commodity prices is impossible without turning to data and distinguishing between the short-run versus the long-run impacts. Using time-series prices on fuels and agricultural commodities, the aim is to investigate the long-run cointegration of these prices simultaneously with their multivariate short-run interactions. Results indicate no direct long-run price relations between fuel and agricultural commodity prices, and limited if any direct short-run relationships. In terms of short-run price movements, sugar prices are influencing all the other agricultural commodity prices except rice. With sugar the number one world input for ethanol, results indicate increased ethanol production is potentially influencing short-run agricultural commodity prices. Overall, results support the effect of agricultural commodity prices as market signals which restore commodity markets to their equilibria after a demand or supply event (shock).

Gas prices: realities and probabilities

International Nuclear Information System (INIS)

Broadfoot, M.

2000-01-01

An assessment of price trends suggests continuing rise in 2001, with some easing of upward price movement in 2002 and 2003. Storage levels as of Nov. 1, 2000 are expected to be at 2.77 Tcf, but if the winter of 2000/2001 proves to be more severe than usual, inventory levels could sink as low as 500 Bcf by April 1, 2001. With increasing demand for natural gas for non-utility electric power generation the major challenge will be to achieve significant supply growth, which means increased developmental drilling and inventory draw-downs, as well as more exploratory drilling in deepwater and frontier regions. Absence of a significant supply response by next summer will affect both growth in demand and in price levels, and the increased demand for electric generation in the summer will create a flatter consumption profile, erasing the traditional summer/winter spread in consumption, further intensifying price volatility. Managing price fluctuations is the second biggest challenge (after potential supply problems) facing the industry

Derivative markets, speculation and oil prices

International Nuclear Information System (INIS)

Babusiaux, D.; Lasserre, F.; Pierru, A.

2010-01-01

Recent movements in oil prices have been ascribed by a number of analysts and political leaders not to market fundamentals but to the speculative positions taken by financial investors in derivatives markets. Various economists including Nobel Prize Paul Krugman believe however that the constitution of stocks is a necessary element for speculation, a feature that was not very evident during the sudden price increase in 2008; but these points of view are not entirely incompatible. Various explanations can be put forward, among which the most important is demand inertia. On the very short run, demand price elasticity is significantly lower than that usually calculated for the short term, which can significantly reduce the impact - on stocks - of a temporary price increase provoked by financial investors' behavior. (authors)

Co-movements of Alaska North Slope and UK Brent crude oil prices

International Nuclear Information System (INIS)

Ewing, B.T.; Harter, C.L.

2000-01-01

In order to study the inter-relationships of international crude oil markets, empirical analyses are used to investigate univariate and multivariate relationships between Alaska North Slope and UK Brent oil prices. Using monthly data from the period 1974-1996, the results show that both price series follow a random walk and that these oil markets share a long-run common trend. The empirical results suggest that the two markets are 'unified'. That is, they are competitive, and there is price convergence in the markets. (author)

The oil price

International Nuclear Information System (INIS)

Alba, P.

2000-01-01

Statistical analysis cannot, alone, provide an oil price forecast. So, one needs to understand the fundamental phenomena which control the past trends since the end of world war II After a first period during which oil, thanks to its abundance, was able to increase its market share at the expense of other energies, the first oil shock reflects the rarefaction of oil resource with the tilting of the US production curve from growth to decline. Since then, the new situation is that of a ''cohabitation'' between oil and the other energies with the oil price, extremely volatile, reflecting the trial and error adjustment of the market share left to the other energies. Such a context may explain the recent oil price surge but the analogy between the US oil situation at the time of the first shock and that existing today for the world outside Middle East suggest another possibility, that of a structural change with higher future oil prices. The authors examine these two possibilities, think that the oil price will reflect both as long as one or the other will not become proven, and conclude with a series of political recommendations. (authors)

Income Migration and Home Price Trajectories in the United States

OpenAIRE

Samuel M. Otterstrom

2015-01-01

This paper models one facet of the relationship between housing market price shifts and income migration among U.S. regions: how income migration relates to regional housing price clusters. The tremendous negative slide in national housing prices from 2006 to 2012 had an uneven spatial distribution. These differences are explored within the context of net income and net population migration (movement of money with people). Median housing prices for urban areas from 2005 to 2010 and IRS county...

Estimating the Volatility of Cocoa Price Return with ARCH and GARCH Models

Directory of Open Access Journals (Sweden)

Lya Aklimawati

2013-08-01

Full Text Available Dynamics of market changing as a result of market liberalization have an impact on agricultural commodities price fluctuation. High volatility on cocoa price movement reflect its price and market risk. Because of price and market uncertainty, the market players face some difficulties to make a decision in determining business development. This research was conducted to 1 understand the characteristics of cocoa price movement in cocoa futures trading, and 2analyze cocoa price volatility using ARCH and GARCH type model. Research was carried out by direct observation on the pattern of cocoa price movement in the futures trading and volatility analysis based on secondary data. The data was derived from Intercontinental Exchange ( ICE Futures U.S. Reports. The analysis result showed that GARCH is the best model to predict the value of average cocoa price return volatility, because it meets criteria of three diagnostic checking, which are ARCH-LM test, residual autocorrelation test and residual normality test. Based on the ARCH-LM test, GARCH (1,1did not have heteroscedasticity, because p-value  2 (0.640139and F-statistic (0.640449 were greater than 0.05. Results of residual autocorrelation test indicated that residual value of GARCH (1,1 was random, because the statistic value of Ljung-Box (LBon the 36 th lag is smaller than the statistic value of  2. Whereas, residual normality test concluded the residual of GARCH (1,1 were normally distributed, because AR (29, MA (29, RESID (-1^2, and GARCH (-1 were significant at 5% significance level. Increasing volatility value indicate high potential risk. Price risk can be reduced by managing financial instrument in futures trading such as forward and futures contract, and hedging. The research result also give an insight to the market player for decision making and determining time of hedging. Key words: Volatility, price, cocoa, GARCH, risk, futures trading

Inflation impact of food prices: Case of Serbia

Directory of Open Access Journals (Sweden)

Šoškić Dejan

2015-01-01

Full Text Available Food prices traditionally have an impact on inflation around the world. Movements in these prices are coming more from the supply side, then from the demand side. If treated as a supply shock, monetary policy should not react. However, food prices are part of headline inflation that is an official target for most central banks. Serbia conducts Inflation targeting and faces serious challenges with food price volatility. Food price volatility in Serbia hampers inflation forecasting, and may have a negative influence on inflationary expectations and public confidence in (i.e. credibility of the Central bank, all of crucial importance for success of Inflation targeting. There are several important possible improvements that may decrease volatility of food prices but also limit negative impact of food price volatility on Consumer Price Index (CPI as a measure of inflation. These improvements are very important for success of Inflation targeting in Serbia.

Determinants Of Equity Prices In The Stock Market

Directory of Open Access Journals (Sweden)

Muhammad Usman Javaid

2010-12-01

Full Text Available This study examines the effect of market variables on the movement stock prices in Pakistan. Asset pricing is considered as efficient if the asset prices reflect all available market information. This study examined the extent to which some "information factors" or market indices affect the stock price. A simple regression model has been used to develop a relation between the variables (stock prices, earnings per share, gross domestic product, dividend, inflation and KIBOR after testing for multi-collinearity among the independent variables. All the variables have shown positive correlation with stock prices with some exceptions of GDP and inflation. This study has enriched the existing literature while it would help policy makers who are interested in deploying instruments of monetary policy and other economic indices for the growth of the capital market.

Price dependence in the principal EU olive oil markets

Energy Technology Data Exchange (ETDEWEB)

Emmanouilides, C.; Fousekis, P.; Grigoriadis, V.

2014-06-01

The objective of this paper is to assess the degree and the structure of price dependence in the principal EU olive oil markets (Spain, Italy and Greece). To this end, it utilizes monthly olive oil price data and the statistical tool of copulas. The empirical results suggest that prices are likely to boom together but not to crash together; this is especially true for the prices of the two most important players, Italy (importer) and Spain (exporter). The finding of asymmetric price co-movements implies that the three principal spatial olive oil markets in the EU cannot be thought of as one great pool. (Author)

Monitoring underground movements

CERN Multimedia

Antonella Del Rosso

2015-01-01

On 16 September 2015 at 22:54:33 (UTC), an 8.3-magnitude earthquake struck off the coast of Chile. 11,650 km away, at CERN, a new-generation instrument – the Precision Laser Inclinometer (PLI) – recorded the extreme event. The PLI is being tested by a JINR/CERN/ATLAS team to measure the movements of underground structures and detectors.   The Precision Laser Inclinometer during assembly. The instrument has proven very accurate when taking measurements of the movements of underground structures at CERN.    The Precision Laser Inclinometer is an extremely sensitive device capable of monitoring ground angular oscillations in a frequency range of 0.001-1 Hz with a precision of 10-10 rad/Hz1/2. The instrument is currently installed in one of the old ISR transfer tunnels (TT1) built in 1970. However, its final destination could be the ATLAS cavern, where it would measure and monitor the fine movements of the underground structures, which can affect the precise posi...

Energy return on (energy) invested (EROI), oil prices, and energy transitions

International Nuclear Information System (INIS)

Heun, Matthew Kuperus; de Wit, Martin

2012-01-01

Very little work has been done so far to model, test, and understand the relationship between oil prices and EROI over time. This paper investigates whether a declining EROI is associated with an increasing oil price and speculates on the implications of these results on oil policy. A model of the relationship between EROI and oil market prices was developed using basic economic and physical assumptions and non-linear least-squares regression models to correlate oil production price with EROI using available data from 1954–1996. The model accurately reflects historical oil prices (1954–1996), and it correlates well with historical oil prices (1997–2010) if a linear extrapolation of EROI decline is assumed. As EROI declines below 10, highly non-linear oil price movements are observed. Increasing physical oil scarcity is already providing market signals that would stimulate a transition away from oil toward alternative energy sources. But, price signals of physical oil scarcity are not sufficient to guarantee smooth transitions to alternative fuel sources, especially when there is insufficient oil extraction technology development, a declining mark-up ratio, a non-linear EROI–cost of production relationship, and a non-linear EROI–price relationship. - Highlights: ► A model of the relationship between EROI and oil prices has been developed. ► As EROI declines below 10, highly non-linear oil price movements are expected. ► Physical oil scarcity provides market signals for a transition to alternatives. ► Scarcity price signals are insufficient for smooth transitions to alternatives.

Legal-Economic Barriers To Price Transfers in Food Supply Chains

NARCIS (Netherlands)

Bremmers, H.J.; Meulen, van der B.M.J.; Sredojevic, Z.; Wijnands, J.H.M.

2012-01-01

Recent price movements have put food supply chains under pressure. On the one side, upward price tendencies on commodity markets result in higher costs to processing firms. On the other side, these firms are confronted with a strong retail sector that is able to prevent compensation to protect

The relationship between global oil price shocks and China's output: A time-varying analysis

International Nuclear Information System (INIS)

Cross, Jamie; Nguyen, Bao H.

2017-01-01

We employ a class of time-varying Bayesian vector autoregressive (VAR) models on new standard dataset of China's GDP constructed by to examine the relationship between China's economic growth and global oil market fluctuations between 1992Q1 and 2015Q3. We find that: (1) the time varying parameter VAR with stochastic volatility provides a better fit as compared to it's constant counterparts; (2) the impacts of intertemporal global oil price shocks on China's output are often small and temporary in nature; (3) oil supply and specific oil demand shocks generally produce negative movements in China's GDP growth whilst oil demand shocks tend to have positive effects; (4) domestic output shocks have no significant impact on price or quantity movements within the global oil market. The results are generally robust to three commonly employed indicators of global economic activity: Kilian's global real economic activity index, the metal price index and the global industrial production index, and two alternative oil price metrics: the US refiners' acquisition cost for imported crude oil and the West Texas Intermediate price of crude oil. - Highlights: • A class of time-varying BVARs is used to examine the relationship between China's economic growth and global oil market fluctuations. • The impacts of intertemporal global oil price shocks on China's output are often small and temporary in nature. • Oil supply and specific oil demand shocks generally produce negative movements in China's GDP growth while oil demand shocks tend to have positive effects. • Domestic output shocks have no significant impact on price or quantity movements within the global oil market.

Excessive price reduction and extreme volatility in wind dominant electricity markets; solutions and emerging challenges

DEFF Research Database (Denmark)

Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe; Mousavi, Omid Alizadeh

2013-01-01

High intermittency in the nature of wind power emphasize conceptual revising in the mechanisms of electricity markets with high wind power penetration levels. This paper introduces overmuch price reduction and high price volatility as two adverse consequences in future wind dominant electricity...... is developed. The paper indicates discriminatory pricing approach can be beneficial in high penetration of wind power because it alleviates high price variations and spikiness in one hand and prevents overmuch price reduction in wind dominant electricity markets on the other hand....... markets. While high price volatility imposes elevated risk levels for both electricity suppliers and consumers, excessive price reduction of electricity is a disincentive for investment in new generation capacity and might jeopardizes system adequacy in long term. A comparative study between marginal...

TRADING ACTIVITY AND PRICES IN ENERGY FUTURES MARKET

Directory of Open Access Journals (Sweden)

Aysegul Ates

2016-04-01

Full Text Available This paper aims to examine trading activity and the relationship between futures trading activity by trader type and energy price movements in three energy futures markets –natural gas, crude oil and heating oil. We find that the level of net positions of speculators are positively related to future returns and in contrast net positions of hedgers are negatively related to futures price changes in all three markets. The changes in net positions are relatively more informative compare to the level of net positions in predicting price changes in related markets.

Oil price fluctuations and U.S. dollar exchange rates

International Nuclear Information System (INIS)

Lizardo, Radhames A.; Mollick, Andre V.

2010-01-01

Adding oil prices to the monetary model of exchange rates, we find that oil prices significantly explain movements in the value of the U.S. dollar (USD) against major currencies from the 1970s to 2008. Our long-run and forecasting results are remarkably consistent with an oil-exchange rate relationship. Increases in real oil prices lead to a significant depreciation of the USD against net oil exporter currencies, such as Canada, Mexico, and Russia. On the other hand, the currencies of oil importers, such as Japan, depreciate relative to the USD when the real oil price goes up. (author)

Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price

Directory of Open Access Journals (Sweden)

Kaijian He

2016-04-01

Full Text Available Recent empirical studies reveal evidence of the co-existence of heterogeneous data characteristics distinguishable by time scale in the movement crude oil prices. In this paper we propose a new multivariate Empirical Mode Decomposition (EMD-based model to take advantage of these heterogeneous characteristics of the price movement and model them in the crude oil markets. Empirical studies in benchmark crude oil markets confirm that more diverse heterogeneous data characteristics can be revealed and modeled in the projected time delayed domain. The proposed model demonstrates the superior performance compared to the benchmark models.

Price movements guided by the OPEC cartel, when there is a possible increase on prices inside the Market

Directory of Open Access Journals (Sweden)

Alex Paubel Junger

2017-07-01

Full Text Available The main purpose of this paper is to calculate the estimation of oil supply and demand in the last 12 quarters (2013-2015, using an OLSconometric model, indicating the supply and demand of the market, in a second moment the oil market current supply and demand curves would be indicated for the average price of Brent oil in the abovementioned period. So that in a second moment the "dead weight" of OPEC's economic price model is calculated and how this deadweight economically affects the oil and gas market globally, economically withdrawing the profits that the main producers could obtain if OPEC did not set the price artificially in unstable political scenarios. Lastly, regarding the global economy, and more precisely, the loss in the energy through financial results due the actions taken by OPEC led by Saudi Arabia and its partners in the Middle East, indicating the market failures caused by a cartel.

"Price-quakes" shaking the world's stock exchanges.

Directory of Open Access Journals (Sweden)

Jørgen Vitting Andersen

Full Text Available BACKGROUND: Systemic risk has received much more awareness after the excessive risk taking by major financial instituations pushed the world's financial system into what many considered a state of near systemic failure in 2008. The IMF for example in its yearly 2009 Global Financial Stability Report acknowledged the lack of proper tools and research on the topic. Understanding how disruptions can propagate across financial markets is therefore of utmost importance. METHODOLOGY/PRINCIPAL FINDINGS: Here, we use empirical data to show that the world's markets have a non-linear threshold response to events, consistent with the hypothesis that traders exhibit change blindness. Change blindness is the tendency of humans to ignore small changes and to react disproportionately to large events. As we show, this may be responsible for generating cascading events--pricequakes--in the world's markets. We propose a network model of the world's stock exchanges that predicts how an individual stock exchange should be priced in terms of the performance of the global market of exchanges, but with change blindness included in the pricing. The model has a direct correspondence to models of earth tectonic plate movements developed in physics to describe the slip-stick movement of blocks linked via spring forces. CONCLUSIONS/SIGNIFICANCE: We have shown how the price dynamics of the world's stock exchanges follows a dynamics of build-up and release of stress, similar to earthquakes. The nonlinear response allows us to classify price movements of a given stock index as either being generated internally, due to specific economic news for the country in question, or externally, by the ensemble of the world's stock exchanges reacting together like a complex system. The model may provide new insight into the origins and thereby also prevent systemic risks in the global financial network.

"Price-quakes" shaking the world's stock exchanges.

Science.gov (United States)

Andersen, Jørgen Vitting; Nowak, Andrzej; Rotundo, Giulia; Parrott, Lael; Martinez, Sebastian

2011-01-01

Systemic risk has received much more awareness after the excessive risk taking by major financial instituations pushed the world's financial system into what many considered a state of near systemic failure in 2008. The IMF for example in its yearly 2009 Global Financial Stability Report acknowledged the lack of proper tools and research on the topic. Understanding how disruptions can propagate across financial markets is therefore of utmost importance. Here, we use empirical data to show that the world's markets have a non-linear threshold response to events, consistent with the hypothesis that traders exhibit change blindness. Change blindness is the tendency of humans to ignore small changes and to react disproportionately to large events. As we show, this may be responsible for generating cascading events--pricequakes--in the world's markets. We propose a network model of the world's stock exchanges that predicts how an individual stock exchange should be priced in terms of the performance of the global market of exchanges, but with change blindness included in the pricing. The model has a direct correspondence to models of earth tectonic plate movements developed in physics to describe the slip-stick movement of blocks linked via spring forces. We have shown how the price dynamics of the world's stock exchanges follows a dynamics of build-up and release of stress, similar to earthquakes. The nonlinear response allows us to classify price movements of a given stock index as either being generated internally, due to specific economic news for the country in question, or externally, by the ensemble of the world's stock exchanges reacting together like a complex system. The model may provide new insight into the origins and thereby also prevent systemic risks in the global financial network.

Agricultural Commodities and Crude Oil Prices: An Empirical Investigation of Their Relationship

Directory of Open Access Journals (Sweden)

Eleni Zafeiriou

2018-04-01

Full Text Available Within the last few decades, the extended use of biodiesel and bioethanol has established interlinkages between energy markets and agricultural commodity markets. The present work examines the bivariate relationships of crude oil–corn and crude oil–soybean futures prices with the assistance of the ARDL cointegration approach. Our findings confirm that crude oil prices affect the prices of agricultural products used in the production of biodiesel, as well as of ethanol, validating the interaction of energy and agricultural commodity markets. The practical value of the present work is that the findings provide policy makers with insight into the interlinkages between agricultural and energy markets to promote biodiesel or bioethanol by affecting crude oil prices. The novelty of the present work stands on the use of futures prices that incorporate all available information and thus are more appropriate to identify supply and demand shocks and price spillovers than real prices. Finally, the period of study includes extremely low, as well as extremely high, crude oil prices and the results illustrate that biofuels cannot be substituted for crude oil and protect economies from energy volatility.

Physiologically Relevant Prosthetic Limb Movement Feedback for Upper and Lower Extremity Amputees

Science.gov (United States)

2016-10-01

upper arm (elbow movement), Upper leg (knee movement) and lower leg ( ankle movement) to provide a physiologically relevant sense of limb movement...Additionally a BOA cable tensioning system is passed through these plates and anchored to the external surface of the socket. When tension is applied the

Price expectations and petroleum development

International Nuclear Information System (INIS)

Pollio, G.; Marian, W.S.

1991-01-01

In the first section of this paper, the authors present a highly stylized model of the world oil market that explicitly incorporates both expectative and financial effects. The model generates the extremely interesting result that actual future price outcomes are inversely related to prevailing price expectations, owing to fluctuation in the level and timing of industry investment expenditure. Given the importance of price expectations, it is surprising that the topic has received such scant attention. The authors therefore present in the second section of selective survey of the various measures that have been proposed and used in the literature, as well as an assessment of the value of potentially new indices and market prices for existing hydrocarbon reserves, for example. In the final section of the paper, we discuss the extent to which financial innovation, in the form of commodity-linked products-such as swaps, caps, collars, and so forth-are transforming the oil market, enabling all market segments to manage price uncertainty far more effectively than was ever possible in the past

Mideast crisis and pricing in the oil futures market

International Nuclear Information System (INIS)

Hamed, A.H.

1992-01-01

Futures prices and the corresponding expected future cash price on crude oil markets differ. The difference is hypothesized to be due to a time varying risk premium where risk is due to either cash price volatility, oil output volatility, or unanticipated oil price movement. And this risk is measured by the conditional variance of the forementioned sources of risk. Using the ARCH (Autoregressive Conditional Heterosckdasticity) model and its extensions this study addresses the determination of the time varying risk premium. Political unrest in the Mideast oil exporting countries is hypothesized to be a determinant of the time varying risk premium in the oil futures market. The empirical tests allow informative inferences to be drawn on the role of political unrest in pricing oil

Cryptocurrency price drivers: Wavelet coherence analysis revisited.

Science.gov (United States)

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.

Soil water movement during extreme precipitation in the Šumava Mts. and the Krkonoše Mts. in August 2002

Czech Academy of Sciences Publication Activity Database

Tesař, Miroslav; Šír, Miloslav; Krejča, M.; Fišák, Jaroslav; Polívka, Jiří

2010-01-01

Roč. 41, - (2010), s. 67-73 ISSN 0071-6715 R&D Projects: GA AV ČR 1QS200420562; GA ČR GA205/06/0375; GA ČR GA205/08/1174; GA ČR GA526/08/1016; GA MŽP(CZ) SP/1A6/151/07 Institutional research plan: CEZ:AV0Z20600510; CEZ:AV0Z30420517 Keywords : mountain hydrology * extreme rain * soil water movement Subject RIV: DA - Hydrology ; Limnology

A study of Canadian retail gasoline prices

International Nuclear Information System (INIS)

Eckert, A.L.

1999-05-01

Retail gasoline pricing in Canadian markets was examined to demonstrate why retail prices tend to follow one of two distinct patterns and that neither pattern is observable in the wholesale price. In many cities, retail prices are more rigid than wholesale prices, while in other markets, retail prices follow a cyclic pattern not seen in wholesale prices. This study examined why constant prices are observed in some cities, while other cities have cyclic prices. Theoretical justification was given to the argument that prices will remain constant only in markets in which there are only few gasoline companies with a small number of stations, but a large per-station capacity. It was shown that when one firm operates significantly more stations than its rival, a constant cost equilibrium cannot be maintained. However, a cycle equilibrium can be constructed in this case, and also when the two companies are similarly sized. An initial examination of available price, cost and market structure data shows that there is a positive correlation between price stability and concentration. The response of retail prices to wholesale price movements in the presence of a retail price cycle was also examined through the use of a simple model based on the predictions of the above theory. Data for the city of Windsor, Ontario was used for the modelling approach. A new cycle is created by an increase in price whenever the distance between the previous retail price and the current wholesale prices is very small. Retail prices are more responsive to wholesale prices over the increasing portion of the cycle. It was shown that when the asymmetric error correction model of Borenstein, Cameron and Gilbert is estimated, it indicates a more rapid response to wholesale price increases than to decreases. 72 refs., 22 tabs., 8 figs

On the Information in the Interest Rate Term Structure and Option Prices

NARCIS (Netherlands)

de Jong, F.; Driessen, J.; Pelsser, A.

2004-01-01

We examine whether the information in cap and swaption prices is consistent with realized movements of the interest rate term structure. To extract an option-implied interest rate covariance matrix from cap and swaption prices, we use Libor market models as a modelling framework. We propose a

Trends and prospects of international major commodity prices

Directory of Open Access Journals (Sweden)

Maria Cartas

2013-04-01

Full Text Available Trends and prospects of international major commodity prices. In 2012, the international commodity markets have seen declining prices, especially during the first half of the year, with some improvement mainly in the last quarter. On the whole, most of major commodity prices declined, following generally weaker demand and the uncertain global economic situation. The short term outlook shows broad declines of prices for all major commodity groups, including oil and excepting metal prices, which are expected to be sustained by the global economic recovery and increasing demand, mainly in China. This country represents a major player, with a great contribution to the movement of prices on most of international commodity markets, as she has a great role in the world consumption and trade of commodities, as well as in the world production of some of these goods, on the one hand, and enjoys huge financial resources, on the other.

Adaptation of warrant price with Black Scholes model and historical volatility

Science.gov (United States)

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.

Modeling and forecasting electricity price jumps in the Nord Pool power market

DEFF Research Database (Denmark)

Knapik, Oskar

extreme prices and forecasting of the price jumps is crucial for risk management and market design. In this paper, we consider the problem of the impact of fundamental price drivers on forecasting of price jumps in NordPool intraday market. We develop categorical time series models which take into account......For risk management traders in the electricity market are mainly interested in the risk of negative (drops) or of positive (spikes) price jumps, i.e. the sellers face the risk of negative price jumps while the buyers face the risk of positive price jumps. Understanding the mechanism that drive...

Wii-based movement therapy to promote improved upper extremity function post-stroke: a pilot study.

Science.gov (United States)

Mouawad, Marie R; Doust, Catherine G; Max, Madeleine D; McNulty, Penelope A

2011-05-01

Virtual-reality is increasingly used to improve rehabilitation outcomes. The Nintendo Wii offers an in-expensive alternative to more complex systems. To investigate the efficacy of Wii-based therapy for post-stroke rehabilitation. Seven patients (5 men, 2 women, aged 42-83 years; 1-38 months post-stroke, mean 15.3 months) and 5 healthy controls (3 men, 2 women, aged 41-71 years) undertook 1 h of therapy on 10 consecutive weekdays. Patients progressively increased home practice to 3 h per day. Functional ability improved for every patient. The mean performance time significantly decreased per Wolf Motor Function Test task, from 3.2 to 2.8 s, and Fugl-Meyer Assessment scores increased from 42.3 to 47.3. Upper extremity range-of-motion increased by 20.1º and 14.33º for passive and active movements, respectively. Mean Motor Activity Log (Quality of Movement scale) scores increased from 63.2 to 87.5, reflecting a transfer of functional recovery to everyday activities. Balance and dexterity did not improve significantly. No significant change was seen in any of these measures for healthy controls, despite improved skill levels for Wii games. An intensive 2-week protocol resulted in significant and clinically relevant improvements in functional motor ability post-stroke. These gains translated to improvement in activities of daily living.

Hedging electricity price volatility using nuclear power

International Nuclear Information System (INIS)

Mari, Carlo

2014-01-01

Highlights: • Nuclear power is an important asset to reduce the volatility of electricity prices. • Unpredictability of fossil fuels and carbon prices makes power prices very volatile. • The dynamics of fossil fuels and carbon prices is described by Brownian motions. • LCOE values, volatilities and correlations are obtained via Monte Carlo simulations. • Optimal portfolios of generating technologies are get using a mean–variance approach. - Abstract: The analysis presented in this paper aims to put in some evidence the role of nuclear power as hedging asset against the volatility of electricity prices. The unpredictability of natural gas and coal market prices as well as the uncertainty in environmental policies may affect power generating costs, thus enhancing volatility in electricity market prices. The nuclear option, allowing to generate electricity without carbon emissions, offers the possibility to reduce the volatility of electricity prices through optimal diversification of power generating technologies. This paper provides a methodological scheme to plan well diversified “portfolios” of generating capacity that minimize the electricity price risk induced by random movements of fossil fuels market prices and by unpredictable fluctuations of carbon credits prices. The analysis is developed within a stochastic environment in which the dynamics of fuel prices as well as the dynamics of carbon credits prices is assumed to evolve in time according to well defined Brownian processes. Starting from market data and using Monte Carlo techniques to simulate generating cost values, the hedging argument is developed by selecting optimal portfolio of power generating technologies using a mean–variance approach

Food Price Volatility and Decadal Climate Variability

Science.gov (United States)

Brown, M. E.

2013-12-01

The agriculture system is under pressure to increase production every year as global population expands and more people move from a diet mostly made up of grains, to one with more meat, dairy and processed foods. Weather shocks and large changes in international commodity prices in the last decade have increased pressure on local food prices. This paper will review several studies that link climate variability as measured with satellite remote sensing to food price dynamics in 36 developing countries where local monthly food price data is available. The focus of the research is to understand how weather and climate, as measured by variations in the growing season using satellite remote sensing, has affected agricultural production, food prices and access to food in agricultural societies. Economies are vulnerable to extreme weather at multiple levels. Subsistence small holders who hold livestock and consume much of the food they produce are vulnerable to food production variability. The broader society, however, is also vulnerable to extreme weather because of the secondary effects on market functioning, resource availability, and large-scale impacts on employment in trading, trucking and wage labor that are caused by weather-related shocks. Food price variability captures many of these broad impacts and can be used to diagnose weather-related vulnerability across multiple sectors. The paper will trace these connections using market-level data and analysis. The context of the analysis is the humanitarian aid community, using the guidance of the USAID Famine Early Warning Systems Network and the United Nation's World Food Program in their response to food security crises. These organizations have worked over the past three decades to provide baseline information on food production through satellite remote sensing data and agricultural yield models, as well as assessments of food access through a food price database. Econometric models and spatial analysis are used

Hybrid Clustering-GWO-NARX neural network technique in predicting stock price

Science.gov (United States)

Das, Debashish; Safa Sadiq, Ali; Mirjalili, Seyedali; Noraziah, A.

2017-09-01

Prediction of stock price is one of the most challenging tasks due to nonlinear nature of the stock data. Though numerous attempts have been made to predict the stock price by applying various techniques, yet the predicted price is not always accurate and even the error rate is high to some extent. Consequently, this paper endeavours to determine an efficient stock prediction strategy by implementing a combinatorial method of Grey Wolf Optimizer (GWO), Clustering and Non Linear Autoregressive Exogenous (NARX) Technique. The study uses stock data from prominent stock market i.e. New York Stock Exchange (NYSE), NASDAQ and emerging stock market i.e. Malaysian Stock Market (Bursa Malaysia), Dhaka Stock Exchange (DSE). It applies K-means clustering algorithm to determine the most promising cluster, then MGWO is used to determine the classification rate and finally the stock price is predicted by applying NARX neural network algorithm. The prediction performance gained through experimentation is compared and assessed to guide the investors in making investment decision. The result through this technique is indeed promising as it has shown almost precise prediction and improved error rate. We have applied the hybrid Clustering-GWO-NARX neural network technique in predicting stock price. We intend to work with the effect of various factors in stock price movement and selection of parameters. We will further investigate the influence of company news either positive or negative in stock price movement. We would be also interested to predict the Stock indices.

Market fundamentals, competition and natural-gas prices

International Nuclear Information System (INIS)

Hulshof, Daan; Maat, Jan-Pieter van der; Mulder, Machiel

2016-01-01

After the liberalisation of the gas industry, trading hubs have emerged in Europe. Although these hubs appear to be liquid market places fostering gas-to-gas competition, the efficiency of the gas market remains a topic of interest as a fair share of gas is still traded through long-term contracts with prices linked to the oil price while the number of gas suppliers to the European market is limited. In order to assess the efficiency of the gas market, we analyse the day-ahead spot price at the Dutch gas hub over the period 2011–2014. We find that the oil price had a small positive impact on the gas price. Changes in the concentration on the supply side did not affect the movement in gas prices. The availability of gas in storages and the outside temperature negatively influenced the gas price. We also find that the gas price was related to the production of wind electricity. Overall, we conclude that the day-ahead gas prices are predominantly determined by gas-market fundamentals. Policies to further integrate gas markets within Europe may extend this gas-to-gas competition to a larger region. - Highlights: •We analyse the development of the day-ahead spot price at TTF over 2011–2014. •The oil price had a small impact on the gas price, while the coal price had no effect. •Changes in the concentration on the supply side did not affect the gas prices. •The gas prices are predominantly determined by weather and storage availability. •Policies to integrate gas markets foster gas-to-gas competition.

Customer response to day-ahead market hourly pricing: Choices and performance

International Nuclear Information System (INIS)

Hopper, Nicole; Goldman, Charles; Bharvirkar, Ranjit; Neenan, Bernie

2006-01-01

Real-time pricing (RTP) has been advocated to address extreme price volatility and market power in electricity markets. This study of Niagara Mohawk Power Corporation's largest customers analyzes their choices and performance in response to day-ahead, default-service RTP. Overall price response is modest: 119 customers are estimated to reduce their peak demand by about 10% at high prices. Manufacturing customers are most responsive with a price elasticity of 0.16, followed by government/education customers (0.11), while commercial/retail, healthcare and public works customers are, at present, relatively unresponsive. Within market segments, individual customer response varies significantly. (author)

Price determinants of the European carbon market and interactions with energy markets

Energy Technology Data Exchange (ETDEWEB)

Schumacher, Katja; Cludius, Johanna; Matthes, Felix [Oeko Institut e.V., Berlin (Germany); Diekmann, Jochen; Zaklan, Aleksandar [Deutsches Institut fuer Wirtschaftsforschung, Berlin (Germany); Schleich, Joachim [Fraunhofer-Institut fuer Systemtechnik und Innovationsforschung (ISI), Karlsruhe (Germany)

2012-06-15

This report explores the determinants of short run price movements in the carbon market and their interaction with energy markets, in particular with the electricity market. Focusing on Phase 2 of the EU ETS we conduct econometric time series analysis based on continental EU and UK market data. Our findings suggest that market fundamentals have a dominant effect on the EUA price, but that non-fundamental factors may also play a role. We further found that the electricity price has a significant positive impact on the carbon price in the short run.

Exploring the impact of visual and movement based priming on a motor intervention in the acute phase post-stroke in persons with severe hemiparesis of the upper extremity.

Science.gov (United States)

Patel, Jigna; Qiu, Qinyin; Yarossi, Mathew; Merians, Alma; Massood, Supriya; Tunik, Eugene; Adamovich, Sergei; Fluet, Gerard

2017-07-01

Explore the potential benefits of using priming methods prior to an active hand task in the acute phase post-stroke in persons with severe upper extremity hemiparesis. Five individuals were trained using priming techniques including virtual reality (VR) based visual mirror feedback and contralaterally controlled passive movement strategies prior to training with an active pinch force modulation task. Clinical, kinetic, and neurophysiological measurements were taken pre and post the training period. Clinical measures were taken at six months post training. The two priming simulations and active training were well tolerated early after stroke. Priming effects were suggested by increased maximal pinch force immediately after visual and movement based priming. Despite having no clinically observable movement distally, the subjects were able to volitionally coordinate isometric force and muscle activity (EMG) in a pinch tracing task. The Root Mean Square Error (RMSE) of force during the pinch trace task gradually decreased over the training period suggesting learning may have occurred. Changes in motor cortical neurophysiology were seen in the unaffected hemisphere using Transcranial Magnetic Stimulation (TMS) mapping. Significant improvements in motor recovery as measured by the Action Research Arm Test (ARAT) and the Upper Extremity Fugl Meyer Assessment (UEFMA) were demonstrated at six months post training by three of the five subjects. This study suggests that an early hand-based intervention using visual and movement based priming activities and a scaled motor task allows participation by persons without the motor control required for traditionally presented rehabilitation and testing. Implications for Rehabilitation Rehabilitation of individuals with severely paretic upper extremities after stroke is challenging due to limited movement capacity and few options for therapeutic training. Long-term functional recovery of the arm after stroke depends on early return

On the link between oil and commodity prices: a panel VAR approach

International Nuclear Information System (INIS)

Bremond, Vincent; Hache, Emmanuel; Joets, Marc

2013-12-01

The aim of this paper is to study the relationships between the price of oil and a large dataset of commodity prices, relying on panel data settings. Using second generation panel co-integration tests, our findings show that the WTI and commodity prices are not linked in the long term. Nevertheless, considering our results in causality tests, we show that short-run relations exist, mainly from the price of crude oil to commodity prices. We thus implement a panel VAR estimation with an impulse response function analysis. Two main conclusions emerge: (i) fast co-movements are highlighted, while (ii) market efficiency is emphasized. (authors)

Fuel prices around the world: From prosperity to turmoil

International Nuclear Information System (INIS)

Anon.

1992-01-01

This issue examines price changes of petroleum products in some 40 countries around the world. Both political turmoil and economic prosperity shape government policy in managing consumer prices of petroleum products. Brazil has experienced extreme political and economic instability that sent prices skyrocketing and the national currency plummeting. Meanwhile, economic growth in South Korea has given the population the wealth for automobiles and stretched the country's ability to supply its unquenchable demand. Fuel prices around the world were higher in July 1992 than in January 1992, mainly due to higher crude prices. This issue also presents the following: (1) the ED Refining Netback Data Series for the US Gulf and West Coasts, Rotterdam, and Singapore as of October 23, 1992; and (2) the ED Fuel Price/Tax Series for countries of the Eastern Hemisphere, October 1992 edition

The third oil price surge. What's different this time?

International Nuclear Information System (INIS)

Kesicki, Fabian

2010-01-01

The period from 2003 to 2008 was marked by an oil price increase comparable to the two oil price crises in the 1970s. This paper looks in detail at the situation of the oil price crises 30 years ago and compares them along various aspects on the demand and supply side with the recent price increase to identify similarities and differences. While both oil price crises in 1973 and 1979/1980 were ultimately caused by supply actions of members of the Organisation of Petroleum Exporting Countries (OPEC), all three oil price crises were preceded by high demand growth. Other aspects that favoured a high oil price in all three cases were low investments in new oil fields, as a consequence low spare capacity, and a weak US dollar. In addition, the recent oil price surge has been characterised by a high global refinery utilisation and refineries that did not adapt fast enough to the rising demand for lighter oil products. Moreover, broader geopolitical uncertainties, combined with risks associated with the oil trade helped push the oil price into a triple-digit zone. Speculation played only a limited and temporary role in accelerating price movements during the recent price increase. (author)

Movement characteristics of upper extremity prostheses during basic goal-directed tasks

NARCIS (Netherlands)

Bouwsema, Hanneke; van der Sluis, Corry K.; Bongers, Raoul M.

Background: After an upper limb amputation a prosthesis is often used to restore the functionality. However, the frequency of prostheses use is generally low. Movement kinematics of prostheses use might suggest origins of this low use. The aim of this study was to reveal movement patterns of

Statistical techniques for modeling extreme price dynamics in the energy market

International Nuclear Information System (INIS)

Mbugua, L N; Mwita, P N

2013-01-01

Extreme events have large impact throughout the span of engineering, science and economics. This is because extreme events often lead to failure and losses due to the nature unobservable of extra ordinary occurrences. In this context this paper focuses on appropriate statistical methods relating to a combination of quantile regression approach and extreme value theory to model the excesses. This plays a vital role in risk management. Locally, nonparametric quantile regression is used, a method that is flexible and best suited when one knows little about the functional forms of the object being estimated. The conditions are derived in order to estimate the extreme value distribution function. The threshold model of extreme values is used to circumvent the lack of adequate observation problem at the tail of the distribution function. The application of a selection of these techniques is demonstrated on the volatile fuel market. The results indicate that the method used can extract maximum possible reliable information from the data. The key attraction of this method is that it offers a set of ready made approaches to the most difficult problem of risk modeling.

The Preferred Movement Path Paradigm: Influence of Running Shoes on Joint Movement.

Science.gov (United States)

Nigg, Benno M; Vienneau, Jordyn; Smith, Aimée C; Trudeau, Matthieu B; Mohr, Maurice; Nigg, Sandro R

2017-08-01

(A) To quantify differences in lower extremity joint kinematics for groups of runners subjected to different running footwear conditions, and (B) to quantify differences in lower extremity joint kinematics on an individual basis for runners subjected to different running footwear conditions. Three-dimensional ankle and knee joint kinematics were collected for 35 heel-toe runners when wearing three different running shoes and when running barefoot. Absolute mean differences in ankle and knee joint kinematics were computed between running shoe conditions. The percentage of individual runners who displayed differences below a 2°, 3°, and 5° threshold were also calculated. The results indicate that the mean kinematics of the ankle and knee joints were similar between running shoe conditions. Aside from ankle dorsiflexion and knee flexion, the percentage of runners maintaining their movement path between running shoes (i.e., less than 3°) was in the order of magnitude of about 80% to 100%. Many runners showed ankle and knee joint kinematics that differed between a conventional running shoe and barefoot by more than 3°, especially for ankle dorsiflexion and knee flexion. Many runners stay in the same movement path (the preferred movement path) when running in various different footwear conditions. The percentage of runners maintaining their preferred movement path depends on the magnitude of the change introduced by the footwear condition.

Recent Global Food Price Shocks: Causes, Consequences and Lessons for African Governments and Donors-super- †

OpenAIRE

Philip Abbott; Adeline Borot de Battisti

2011-01-01

Dramatic increases in international agricultural commodity prices began in 2006 and peaked in July 2008. An equally remarkable and rapid decline of those prices then ensued, accompanied by extreme volatility in those prices. The trend in food prices lagged the rapid increases in other commodity prices, including oil and metals, but accompanied those other prices in the downward part of the cycle. Not all agricultural commodities increased to the same extent—grains and oilseed prices increased...

Stock Price Manipulation: The Role of Intermediaries

Directory of Open Access Journals (Sweden)

Hammad Siddiqi

2017-10-01

Full Text Available We model a scenario in which there are three types of investors: fundamentalists, speculators, and trend-followers and an intermediary who cares about his reputation. Fundamentalists are rational investors with long horizons who are interested in the dividend stream. Speculators are rational investors who have short horizons and are interested in profiting from short-term price movements or capital gains. Trend-followers are behavioral investors who extrapolate price trends, and, consequently, are late entrants in the market. We show that an informed intermediary (broker can manipulate demand (consequently stock price without losing his reputation when there is information asymmetry. We also show that there is a trade-off between broker level competition for reputation and market liquidity. Broker level competition checks manipulation, but it adversely affects market liquidity.

Prediction of Lower Extremity Movement by Cyclograms

Directory of Open Access Journals (Sweden)

P. Kutilek

2012-01-01

Full Text Available Human gait is nowadays undergoing extensive analysis. Predictions of leg movements can be used for orthosis and prosthesis programming, and also for rehabilitation. Our work focuses on predicting human gait with the use of angle-angle diagrams, also called cyclograms. In conjunction with artificial intelligence, cyclograms offer a wide area of medical applications. We have identified cyclogram characteristics such as the slope and the area of the cyclogram for a neural network learning algorithm. Neural networks learned by cyclograms offer wide applications in prosthesis control systems.

Do stock prices drive people crazy?

Science.gov (United States)

Lin, Chung-Liang; Chen, Chin-Shyan; Liu, Tsai-Ching

2015-03-01

This is the first research to examine a potential relation between stock market volatility and mental disorders. Using data on daily incidences of mental disorders in Taiwan over 4000 days from 1998 through 2009 to assess the time-series relation between stock price movements and mental disorders, we observe that stock price fluctuation clearly affects the hospitalization of mental disorders. We find that during a 12-year follow-up period, a low stock price index, a daily fall in the stock price index and consecutive daily falls in the stock price index are all associated with greater of mental disorders hospitalizations. A 1000-point fall in the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) increases the number of daily mental disorders hospitalizations by 4.71%. A 1% fall in the TAIEX in one single day increases daily hospitalizations for mental disorders by 0.36%. When the stock price index falls one consecutive day, it causes a daily increase of approximately 0.32% hospitalizations due to mental disorders on that day. Stock price index is found to be significant for both gender and all age groups. In addition, daily change is significant for both gender and middle-age groups, whereas accumulated change is significant for males and people aged 45-64. Stockholdings can help people accumulate wealth, but they can also increase mental disorders hospitalizations. In other words, stock price fluctuations do drive people crazy. Published by Oxford University Press in association with The London School of Hygiene and Tropical Medicine © The Author 2014; all rights reserved.

Using Wearable Sensors and Machine Learning Models to Separate Functional Upper Extremity Use From Walking-Associated Arm Movements.

Science.gov (United States)

McLeod, Adam; Bochniewicz, Elaine M; Lum, Peter S; Holley, Rahsaan J; Emmer, Geoff; Dromerick, Alexander W

2016-02-01

To improve measurement of upper extremity (UE) use in the community by evaluating the feasibility of using body-worn sensor data and machine learning models to distinguish productive prehensile and bimanual UE activity use from extraneous movements associated with walking. Comparison of machine learning classification models with criterion standard of manually scored videos of performance in UE prosthesis users. Rehabilitation hospital training apartment. Convenience sample of UE prosthesis users (n=5) and controls (n=13) similar in age and hand dominance (N=18). Participants were filmed executing a series of functional activities; a trained observer annotated each frame to indicate either UE movement directed at functional activity or walking. Synchronized data from an inertial sensor attached to the dominant wrist were similarly classified as indicating either a functional use or walking. These data were used to train 3 classification models to predict the functional versus walking state given the associated sensor information. Models were trained over 4 trials: on UE amputees and controls and both within subject and across subject. Model performance was also examined with and without preprocessing (centering) in the across-subject trials. Percent correct classification. With the exception of the amputee/across-subject trial, at least 1 model classified >95% of test data correctly for all trial types. The top performer in the amputee/across-subject trial classified 85% of test examples correctly. We have demonstrated that computationally lightweight classification models can use inertial data collected from wrist-worn sensors to reliably distinguish prosthetic UE movements during functional use from walking-associated movement. This approach has promise in objectively measuring real-world UE use of prosthetic limbs and may be helpful in clinical trials and in measuring response to treatment of other UE pathologies. Copyright © 2016 American Congress of

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

Science.gov (United States)

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.

Day-Ahead Crude Oil Price Forecasting Using a Novel Morphological Component Analysis Based Model

Directory of Open Access Journals (Sweden)

Qing Zhu

2014-01-01

Full Text Available As a typical nonlinear and dynamic system, the crude oil price movement is difficult to predict and its accurate forecasting remains the subject of intense research activity. Recent empirical evidence suggests that the multiscale data characteristics in the price movement are another important stylized fact. The incorporation of mixture of data characteristics in the time scale domain during the modelling process can lead to significant performance improvement. This paper proposes a novel morphological component analysis based hybrid methodology for modeling the multiscale heterogeneous characteristics of the price movement in the crude oil markets. Empirical studies in two representative benchmark crude oil markets reveal the existence of multiscale heterogeneous microdata structure. The significant performance improvement of the proposed algorithm incorporating the heterogeneous data characteristics, against benchmark random walk, ARMA, and SVR models, is also attributed to the innovative methodology proposed to incorporate this important stylized fact during the modelling process. Meanwhile, work in this paper offers additional insights into the heterogeneous market microstructure with economic viable interpretations.

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

Science.gov (United States)

Ping, Pung Yean; Ahmad, Maizah Hura Binti

2014-12-01

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

Forecasting electricity spot-prices using linear univariate time-series models

International Nuclear Information System (INIS)

Cuaresma, Jesus Crespo; Hlouskova, Jaroslava; Kossmeier, Stephan; Obersteiner, Michael

2004-01-01

This paper studies the forecasting abilities of a battery of univariate models on hourly electricity spot prices, using data from the Leipzig Power Exchange. The specifications studied include autoregressive models, autoregressive-moving average models and unobserved component models. The results show that specifications, where each hour of the day is modelled separately present uniformly better forecasting properties than specifications for the whole time-series, and that the inclusion of simple probabilistic processes for the arrival of extreme price events can lead to improvements in the forecasting abilities of univariate models for electricity spot prices. (Author)

Error Analysis for Fourier Methods for Option Pricing

KAUST Repository

Häppölä, Juho

2016-01-06

We provide a bound for the error committed when using a Fourier method to price European options when the underlying follows an exponential Levy dynamic. The price of the option is described by a partial integro-differential equation (PIDE). Applying a Fourier transformation to the PIDE yields an ordinary differential equation that can be solved analytically in terms of the characteristic exponent of the Levy process. Then, a numerical inverse Fourier transform allows us to obtain the option price. We present a novel bound for the error and use this bound to set the parameters for the numerical method. We analyze the properties of the bound for a dissipative and pure-jump example. The bound presented is independent of the asymptotic behaviour of option prices at extreme asset prices. The error bound can be decomposed into a product of terms resulting from the dynamics and the option payoff, respectively. The analysis is supplemented by numerical examples that demonstrate results comparable to and superior to the existing literature.

PRICE AND PRICING STRATEGIES

OpenAIRE

SUCIU Titus

2013-01-01

In individual companies, price is one significant factor in achieving marketing success. In many purchase situations, price can be of great importance to customers. Marketers must establish pricing strategies that are compatible with the rest of the marketing mix. Management should decide whether to charge the same price to all similar buyers of identical quantities of a product (a one-price strategy) or to set different prices (a flexible price strategy). Many organizations, especially retai...

When the weather governs the price

International Nuclear Information System (INIS)

Braaten, Jan

2003-01-01

In the winter 2002-2003 the Nordic power market experienced a price shock: prices rose by a factor of eight during the autumn of 2002. This was caused above all by a record failure of the water influx to the entire Nordic hydropower system. But extreme cold and technical problems with import from the Continent aggravated the problem. The probability of so small influx in autumn is less than 0.5 per cent. The large variation in influx, in particular from one year to the next, create large price fluctuations which can be unpleasant for the consumers. At the same time the price mechanism is important for the proper balance between demand and supply. It was the high prices that last winter raised the import to Norway and Sweden and that caused idle fossil power stations to be restarted and the consumption to go down. A better energy balance in Norway and Sweden will increase the supply security, but in order to exploit the unstable hydropower resources well and to achieve an acceptable supply security in dry years flexibility is needed in production, consumption, and trade with the surrounding world. Most measures to increase the flexibility cost money, and it is probably impossible and economically undesirable to protect the consumers from all price shocks. It should be possible, however, for those who want stable expenses, to choose contracts with firm prices for the whole consumption or for part of it.

Do financial investors affect the price of wheat?

Directory of Open Access Journals (Sweden)

Daniele Girardi

2012-03-01

Full Text Available It is widely debated whether financial speculation was a significant force behind recent food price fluctuations. As a matter of fact, during the 2000s agricultural commodity derivatives markets were flooded by a ‘wall of money’ coming from financial investors. In agricultural exchanges, the greatest part of this huge financial inflow came from index traders, i.e. financial actors that follow a passive strategy of tracking a commodity index. In this article I present new empirical evidence that supports the hypothesis that financial investments have affected wheat price dynamics in recent years. In particular, I focus on Hard Red Winter (HRW wheat. Since 2007 HRW wheat price fluctuations have been positively related to US stock market returns and oil price movements. These correlations appear to be determined by commodity index traders, since both these relationships proved to be spurious, with the most tracked commodity index as the confounding variable.

Aim High or Go Low? Pricing Strategies and Enrollment Effects when the Net Price Elasticity Varies with Need and Ability

Science.gov (United States)

Curs, Bradley R.; Singell, Larry D., Jr.

2010-01-01

Detailed data on individual applicants to a large public university are used to demonstrate that net price responsiveness decreases with need and ability. Enrollment effects are simulated and show a movement towards a high tuition/high aid (low tuition/low aid) policy significantly lowers (raises) tuition revenue with a modest increase (decrease)…

An analysis of the oil prices: stationary and forecasting models; Uma analise dos precos do petroleo no mercado internacional: estacionaridade e modelos de previsao

Energy Technology Data Exchange (ETDEWEB)

Salles, Andre A. de; Veiga, Iago E. B. da Costa; Machado, Rafael G.T. [Universidade Federal do Rio de Janeiro (UFRJ), RJ (Brazil)

2008-07-01

The movements of the oil prices in the international market are important for any planning, so the study of this variable is relevant for the investment and financing decisions of the production. The purpose of this work is to study the time series of the quotations of the spot prices of the crude oil in the international market. The objectives of this work are to study the movements of time series of the prices, and the returns, of the crude oil prices gives emphasis in the stationary. The other focus of this work is to develop forecasting models for the oil prices, or the returns of the oil prices. The selected sample was of the daily quotation of the prices of types WTI and Brent, for the period from January 2005 to April 2007. (author)

Reflections on the reporting of the uranium spot price

International Nuclear Information System (INIS)

Novak, E.D.

1984-01-01

Reporting of the Spot Uranium Price does not represent the uranium market, but actually represents the extremities of a market. The Spot Prices tend to cause instabilities in the market if relied upon too heavily and an excessive use will actually support a questionable transition from a fuel supply industry to a commodities industry. Utility fuel buyers and uranium sellers must be careful how they use the Spot Price, or they will continue to create an unstable supply/demand relationship. But, since we all rely upon statistics for the illusion of independence, we may get the commodities market, assisted along by the information people, whether we want it or not

Deliverability and regional pricing in U.S. natural gas markets

International Nuclear Information System (INIS)

Brown, Stephen P.A.; Yuecel, Mine K.

2008-01-01

During the 1980s and early 90s, interstate natural gas markets in the United States made a transition away from the regulation that characterized the previous three decades. With abundant supplies and plentiful pipeline capacity, a new order emerged in which freer markets and arbitrage closely linked natural gas price movements throughout the country. After the mid-1990s, however, U.S. natural gas markets tightened and some pipelines were pushed to capacity. We look for the pricing effects of limited arbitrage through causality testing between prices at nodes on the U.S. natural gas transportation system and interchange prices at regional nodes on North American electricity grids. Our tests do reveal limited arbitrage, which is indicative of bottlenecks in the U.S. natural gas pipeline system. (author)

The health care value transparency movement and its implications for radiology.

Science.gov (United States)

Durand, Daniel J; Narayan, Anand K; Rybicki, Frank J; Burleson, Judy; Nagy, Paul; McGinty, Geraldine; Duszak, Richard

2015-01-01

The US health care system is in the midst of disruptive changes intended to expand access, improve outcomes, and lower costs. As part of this movement, a growing number of stakeholders have advocated dramatically increasing consumer transparency into the quality and price of health care services. The authors review the general movement toward American health care value transparency within the public, private, and nonprofit sectors, with an emphasis on those initiatives most relevant to radiology. They conclude that radiology, along with other "ancillary services," has been a major focus of early efforts to enhance consumer price transparency. By contrast, radiology as a field remains in the "middle of the pack" with regard to quality transparency. There is thus the danger that radiology value transparency in its current form will stimulate primarily price-based competition, erode provider profit margins, and disincentivize quality. The authors conclude with suggested actions radiologists can take to ensure that a more optimal balance is struck between quality transparency and price transparency, one that will enable true value-based competition among radiologists rather than commoditization. Copyright © 2015 American College of Radiology. Published by Elsevier Inc. All rights reserved.

Prices and Price Setting

NARCIS (Netherlands)

R.P. Faber (Riemer)

2010-01-01

textabstractThis thesis studies price data and tries to unravel the underlying economic processes of why firms have chosen these prices. It focuses on three aspects of price setting. First, it studies whether the existence of a suggested price has a coordinating effect on the prices of firms.

Limits to oil pricing: scenario planning as a device to understand oil price developments

International Nuclear Information System (INIS)

Austvik, O.G.

1992-01-01

This paper underlines that the politicizing of the oil market makes economics, politics and even pure warfare important elements in the formation of the price of oil. The disagreement about which theory to use to analyze the market and the bad record of oil price forecasting indicates that conventional oil market models should be critically re-assessed. The scenario planning methodology presented in this paper may be one alternative approach. SP does not overthrow any other theories of the market. But it claims that no single discipline is able to tell the whole truth about the market. The SP approach stresses and clarifies the role of uncertainty in the development of oil prices and underlines the importance of the understanding of the functioning of the market. It argues that without a cross-disciplinary approach, with an adequate choice of parameters, at the right level of in-depth discussion, the analysis may lose essential input or drown in detail. As an example of the methodology, an analysis of development of oil prices in the nineties is presented. It is shown that lower (indicated as 15-20 S/bbl) and upper (indicated as 30-40 S/bbl) limits of the price in the long run can be constructed, based on economic, political and strategic reasoning. It is also argued that short run 'shocks' outside these limits may have become less likely, because: (1) the strategic petroleum reserves (SPR) will cut off the most extreme prices above the upper limit and (2) the existence of a supply side regulator, like OPEC, will prevent prices from dropping below the lower limit for any longer period of time. Sensitivity analysis tests the 'robustness' of the approach. 10 refs., 1 fig

Understanding gasoline pricing in Canada

International Nuclear Information System (INIS)

Anon.

2001-01-01

Pricing policies for gasoline by Canadian oil companies are discussed. An attempt is made to demonstrate that competition between oil companies is extremely keen, and markups are so small that to stay in business, retail outlets have to sell huge volumes and sell non-fuel products, as a means to increase revenues and margins. An explanation is provided for why gasoline prices move in unison, and why what appears to the public as collusion and gouging is, in fact, the result of retail dealers attempting to stay in business. The high prices are attributed mainly to taxes by municipalities, the provinces and the federal government; taxes are said to account for 40 to 50 per cent of the pump price. The cost of crude makes up another 35 to 45 per cent, refining adds 10 to 15 per cent, with the remaining 5 to 10 per cent representing retail costs. (Taxes in the United States average 20 to 30 per cent). Over the longer term, gasoline prices consistently reflect the cost of crude oil, dominated by the OPEC countries which supply about 41 per cent of daily world production. Another factor is the rise of global and regional commodity markets for refined products such as gasoline. Commodity traders buy wholesale gasoline cheaply whenever it is in oversupply, and sell it for a profit into markets where the demand is greater. While this is claimed to ensure competitive prices in all markets, the practice can also trigger abrupt changes in regional markets

Effectiveness of the management of price risk methodologies for the corn market based on trading signals

Directory of Open Access Journals (Sweden)

W. Rossouw

2013-03-01

Full Text Available Corn production is scattered geographically over various continents, but most of it is grown in the United States. As such, the world price of corn futures contracts is largely dominated by North American corn prices as traded on the Chicago Board of Trade. In recent years, this market has been characterised by an increase in price volatility and magnitude of price movement as a result of decreasing stock levels. The development and implementation of an effective and successful derivative price risk management strategy based on the Chicago Board of Trade corn futures contract will therefore be of inestimable value to market stakeholders worldwide. The research focused on the efficient market hypothesis and the possibility of contesting this phenomenon through an application of a derivative price risk management methodology. The methodology is based on a combination of an analysis of market trends and technical oscillators with the objective of generating returns superior to that of a market benchmark. The study found that market participants are currently unable to exploit price movement in a manner which results in returns that contest the notion of efficient markets. The methodology proposed, however, does allow the user to consistently achieve returns superior to that of a predetermined market benchmark. The benchmark price for the purposes of this study was the average price offered by the market over the contract lifetime, and as such, the efficient market hypothesis was successfully contested

World market of crude oil - review of possible scenarios of forecasting for the crude oil price movement

International Nuclear Information System (INIS)

Janevski, Risto

2003-01-01

Throughout most of 2002, crude oil prices were solidly within the range preferred by producers in the Organization of Petroleum Exporting Countries (OPEC), $22 to $28 per barrel for the OPEC 'basket price' (Fig. 1). OPEC producers have been demonstrating disciplined adherence to announced cutbacks in production. Early in 2003, a dramatic upward turn in crude oil prices was brought about by a combination of two factors. First, a general strike against the Chavez regime resulted in a sudden drop in Venezuela's oil exports. Although other OPEC producers agreed to increase production to make up for the lost Venezuelan output, the obvious strain on worldwide spare capacity kept prices high. Second, price volatility was exacerbated by fears of war in Iraq. (Original)

Oil price risk management in the 1990s - issues for producers and lenders

International Nuclear Information System (INIS)

Lambert, S.

1994-01-01

Oil prices have exhibited considerable volatility over the past five or ten years and the management of oil price risk has become an important factor in underpinning the viability of many oil producing operations from both a lender's and investor's perspective. Various oil based hedging products are now available to protect against such volatility, ranging from products which fix forward prices to option based arrangements which set a floor price but retain some (or all) of the potential upside. These products have particular relevance for petroleum companies with limited financial resources or who are looking to limit recourse to particular assets/cash flows. There are a number of techniques which can be successfully combined to mitigate oil price volatility and the most relevant of these to a producer are discussed. The recent development of the Tapis swap and option markets, which have provided flexibility to Australasian producers, is also discussed. Oil based financial products can also be used as a method of funding (e.g. for a development or acquisition) as an alternative to traditional cash based borrowing structures, thus creating a natural hedge against oil price movements. It is estimated that the use of such structures, coupled with a well structured revenue hedging program, can enhance a project's attractiveness from a lender's perspective (particularly with respect to protection against down side movements in oil price) and/or provide greater certainty of returns to producers. A case study of a recent commodity risk management based financing is presented. 1 fig., 6 tabs

Validity of the lower extremity functional movement screen in patients with chronic ankle instability.

Science.gov (United States)

Choi, Ho-Suk; Shin, Won-Seob

2015-06-01

[Purpose] The purpose of this study was to provide evidence of construct validity for the lower extremity functional movement screen (LE-FMS) based on hypothesis testing in patients with chronic ankle instability (CAI). [Subjects] The subjects were 20 healthy subjects and 20 patients with CAI who had a history of ankle sprain with pain for more than 1 day. [Methods] All participants were measured using the Foot and Ankle Disability Index (FADI) and evaluated with the LE-FMS. The screen included the deep squat, the hurdle step (HS) and the in-line lunge (ILL). The symmetry ratios (RS) were accurately measured during the deep squat trial. [Results] Between the two groups, there were significant differences in scores on the LE-FMS, HS, ILL, RS, FADI, and FADI-sport. The FADI was strongly correlated with both LE-FMS score (r=0.807) and ILL score (r=0.896). There was a strong relationship (r=0.818) between LE-FMS score and FADI-sport. [Conclusion] These results suggest that the LE-FMS may be used to detect deficits related to CAI. Additionally, this instrument is reliable in detecting functional limitations in patients with CAI.

ASPECTS OF REGIONAL COMPETITIVENESS THROUGH DYNAMIC PRICES OF PETROLEUM PRODUCTS

Directory of Open Access Journals (Sweden)

Daniela\tENACHESCU

2015-06-01

Full Text Available This paper presents aspects regarding the dynamics of prices of petroleum products: gasoline and diesel in Romania in the period 2003(2007-2014. Both focus on relationship-price raw material and finished product by the impact of market prices. Given that the price of fuel is a key factor in economic development but also in the living of population, this paper has proposed to analyze some aspects of the dynamics of prices of petroleum products in correlation with commodity prices in a competitive market in 2003 -2014. In the analized period, price of oil barrel has a dynamics substantially influenced by the global political turbulences but also by lower oil demand due to consumption reduction, especially lately. Increases and decreases were abrupt and unpredictable in the early years of the first decade of the XXI century. Political crises in the Middle East, the economic crisis started in 2007 and especially the crisis in Ukraine and policies adopted by the EU and the US have led to extremely large fluctuations in oil prices from one period to another . This dynamic will only cover the price of petroleum products namely gazoline and diesel for vehicles.

An empirical exploration of the world oil price under the target zone model

International Nuclear Information System (INIS)

Linghui Tang; Shawkat Hammoudeh

2002-01-01

This paper investigates the behavior of the world oil price based on the first-generation target zone model. Using anecdotal data during the period of 1988-1999, we found that OPEC has tried to maintain a weak target zone regime for the oil price. Our econometric tests suggest that the movement of the oil price is not only manipulated by actual and substantial interventions by OPEC but also tempered by market participants' expectations of interventions. As a consequence, the non-linear model based on the target zone theory has very good forecasting ability when the oil price approaches the upper or lower limit of the band. (author)

An empirical exploration of the world oil price under the target zone model

International Nuclear Information System (INIS)

Tang, Linghui; Hammoudeh, Shawkat

2002-01-01

This paper investigates the behavior of the world oil price based on the first-generation target zone model. Using anecdotal data during the period of 1988-1999, we found that OPEC has tried to maintain a weak target zone regime for the oil price. Our econometric tests suggest that the movement of the oil price is not only manipulated by actual and substantial interventions by OPEC but also tempered by market participants' expectations of interventions. As a consequence, the non-linear model based on the target zone theory has very good forecasting ability when the oil price approaches the upper or lower limit of the band

Oil price fluctuations and Its effect on GDP growth

OpenAIRE

Gonzalez , Aaron; Nabiyev, Sherzod

2009-01-01

During the year of 2008, the world has experienced historically high oil prices reaching an all time high of 147 USD per barrel in midsummer. The extreme volatility of what is consider the number one source of energy reopened discussions about energy sustainability and the plausible effects of an oil shock in the global economy.   How reliable oil price is as an economic variable predicting fluctuations in GDP growth remains controversial. Several models have been developed by scholars target...

Exploring the impact of visual and movement based priming on a motor intervention in the acute phase post-stroke in persons with severe hemiparesis of the upper extremity

Science.gov (United States)

Patel, Jigna; Qiu, Qinyin; Yarossi, Mathew; Merians, Alma; Massood, Supriya; Tunik, Eugene; Adamovich, Sergei; Fluet, Gerard

2016-01-01

Purpose Explore the potential benefits of using priming methods prior to an active hand task in the acute phase post-stroke in persons with severe upper extremity hemiparesis. Methods Five individuals were trained using priming techniques including virtual reality (VR) based visual mirror feedback and contralaterally controlled passive movement strategies prior to training with an active pinch force modulation task. Clinical, kinetic, and neurophysiological measurements were taken pre and post the training period. Clinical measures were taken at six months post training. Results The two priming simulations and active training were well tolerated early after stroke. Priming effects were suggested by increased maximal pinch force immediately after visual and movement based priming. Despite having no clinically observable movement distally, the subjects were able to volitionally coordinate isometric force and muscle activity (EMG) in a pinch tracing task. The Root Mean Square Error (RMSE) of force during the pinch trace task gradually decreased over the training period suggesting learning may have occurred. Changes in motor cortical neurophysiology were seen in the unaffected hemisphere using Transcranial Magnetic Stimulation (TMS) mapping. Significant improvements in motor recovery as measured by the Action Research Arm Test (ARAT) and the Upper Extremity Fugl Meyer Assessment (UEFMA) were demonstrated at six months post training by three of the five subjects. Conclusion This study suggests that an early hand-based intervention using visual and movement based priming activities and a scaled motor task allows participation by persons without the motor control required for traditionally presented rehabilitation and testing. PMID:27636200

The oil price; Le prix du petrole

Energy Technology Data Exchange (ETDEWEB)

Alba, P. [Institut Francais du Petrole (IFP), 92 - Rueil-Malmaison (France)

2000-05-01

Statistical analysis cannot, alone, provide an oil price forecast. So, one needs to understand the fundamental phenomena which control the past trends since the end of world war II After a first period during which oil, thanks to its abundance, was able to increase its market share at the expense of other energies, the first oil shock reflects the rarefaction of oil resource with the tilting of the US production curve from growth to decline. Since then, the new situation is that of a ''cohabitation'' between oil and the other energies with the oil price, extremely volatile, reflecting the trial and error adjustment of the market share left to the other energies. Such a context may explain the recent oil price surge but the analogy between the US oil situation at the time of the first shock and that existing today for the world outside Middle East suggest another possibility, that of a structural change with higher future oil prices. The authors examine these two possibilities, think that the oil price will reflect both as long as one or the other will not become proven, and conclude with a series of political recommendations. (authors)

A model for energy pricing with stochastic emission costs

International Nuclear Information System (INIS)

Elliott, Robert J.; Lyle, Matthew R.; Miao, Hong

2010-01-01

We use a supply-demand approach to value energy products exposed to emission cost uncertainty. We find closed form solutions for a number of popularly traded energy derivatives such as: forwards, European call options written on spot prices and European Call options written on forward contracts. Our modeling approach is to first construct noisy supply and demand processes and then equate them to find an equilibrium price. This approach is very general while still allowing for sensitivity analysis within a valuation setting. Our assumption is that, in the presence of emission costs, traditional supply growth will slow down causing output prices of energy products to become more costly over time. However, emission costs do not immediately cause output price appreciation, but instead expose individual projects, particularly those with high emission outputs, to much more extreme risks through the cost side of their profit stream. Our results have implications for hedging and pricing for producers operating in areas facing a stochastic emission cost environment. (author)

Pre-movement planning processes in people with congenital mirror movements.

Science.gov (United States)

Franz, E A; Fu, Y

2017-10-01

Pre-movement processes were investigated in people with Congenital mirrormovement (CMM), a rare disorder in which bilateral movement (mirroring) occurs in the upper distal extremities (primarily the hands and fingers) during intended unilateral movements. Abnormal density of ipsilateral corticospinal projections is an established hallmark of CMM. This study tested whether the Lateralised Readiness Potential (LRP), which reflects movement planning and readiness, is also abnormal in people with CMM. Twenty-eight neurologically-normal controls and 8 people with CMM were tested on a unimanual Go/No-go task while electroencephalography (EEG) was recorded to assess the LRP. No significant group differences were found in reaction time (RT). However, significantly smaller LRP amplitudes were found, on average, in the CMM group compared to Controls at central-motor (C3,C4) sites in stimulus-locked and response-locked epochs; similar group differences were also found at further frontal sites (F3,F4) during response-locked epochs. Abnormal brain activity in pre-movement processes associated with response planning and preparation is present in people with CMM. Aberrant bilateral activity during pre-movement processes is clearly implicated; whether part of the etiology of CMM, or as a mechanism of neuro-compensation, is not yet known. Copyright © 2017 International Federation of Clinical Neurophysiology. Published by Elsevier B.V. All rights reserved.

Estimating oil price 'Value at Risk' using the historical simulation approach

International Nuclear Information System (INIS)

David Cabedo, J.; Moya, Ismael

2003-01-01

In this paper we propose using Value at Risk (VaR) for oil price risk quantification. VaR provides an estimation for the maximum oil price change associated with a likelihood level, and can be used for designing risk management strategies. We analyse three VaR calculation methods: the historical simulation standard approach, the historical simulation with ARMA forecasts (HSAF) approach, developed in this paper, and the variance-covariance method based on autoregressive conditional heteroskedasticity models forecasts. The results obtained indicate that HSAF methodology provides a flexible VaR quantification, which fits the continuous oil price movements well and provides an efficient risk quantification

Estimating oil price 'Value at Risk' using the historical simulation approach

International Nuclear Information System (INIS)

Cabedo, J.D.; Moya, I.

2003-01-01

In this paper we propose using Value at Risk (VaR) for oil price risk quantification. VaR provides an estimation for the maximum oil price change associated with a likelihood level, and can be used for designing risk management strategies. We analyse three VaR calculation methods: the historical simulation standard approach, the historical simulation with ARMA forecasts (HSAF) approach. developed in this paper, and the variance-covariance method based on autoregressive conditional heteroskedasticity models forecasts. The results obtained indicate that HSAF methodology provides a flexible VaR quantification, which fits the continuous oil price movements well and provides an efficient risk quantification. (author)

The impact of renewable energies on EEX day-ahead electricity prices

International Nuclear Information System (INIS)

Paraschiv, Florentina; Erni, David; Pietsch, Ralf

2014-01-01

In this paper, we analyze the impact of renewable energies, wind and photovoltaic, on the formation of day-ahead electricity prices at EEX. We give an overview of the policy decisions concerning the promotion of renewable energy sources in Germany and discuss their consequences on day-ahead prices. An analysis of electricity spot prices reveals that the introduction of renewable energies enhances extreme price changes. In the frame of a dynamic fundamental model, we show that there has been a continuous electricity price adaption process to market fundamentals. Furthermore, the fundamental drivers of prices differ among hours with different load profiles. Our results imply that renewable energies decrease market spot prices and have implications on the traditional fuel mix for electricity production. However, the prices for the final consumers increased overall because they must pay in addition the feed-in tariffs for the promotion of renewable energy. - Highlights: • We analyze the impact of renewable energies on the day-ahead electricity prices at EEX. • We discuss the impact of renewables on day-ahead prices. • We show a continuous electricity price adaption process to market fundamentals. • Renewable energies decrease market spot prices and shift the merit order curve. • The prices for the final consumers however increased because of feed-in tariffs

Economics of National Waste Terminal Storage Spent Fuel Pricing Study

International Nuclear Information System (INIS)

1978-05-01

The methodology for equitably pricing commercial nuclear spent fuel management is developed, and the results of four sample calculations are presented. The spent fuel management program analyzed places encapsulated spent fuel in bedded salt while maintaining long-term retrievability. System design was reasonable but not optimum. When required, privately-owned Away From Reactor (AFR) storage is provided and the spent fuel placed in AFR storage is eventually transported to final storage. Applicable Research and Development and Government Overhead are included. The cost of each component by year was estimated from the most recent applicable data source available. These costs were input to the pricing methodology to establish a one-time charge whose present value exactly recovered the present value of the expenditure flow. The four cases exercised were combinations of a high and a low quantity of spent fuel managed, with a single repository (venture) or a multiple repository (campaign) approach to system financial structure. The price for spent fuel management calculated ranged from 116 to 152 dollars (1978) per kilogram charged initially to the reactor. The effect of spent fuel receiving rate on price is illustrated by the fact that the extremes of price did not coincide with the cases having the extremes of undiscounted cost. These prices for spent fuel management are comparable in magnitude to other fuel cycle costs. The range of variation is small because of compensating effects, i.e., additional costs for high early deliveries (AFR and transportation) versus lower present value of future revenue for later delivery cases. The methodology contains numerous conservative assumptions, provisions for contingencies, and covers the complete set of spent fuel management expenses

Interjoint coordination of the lower extremities in short-track speed skating.

Science.gov (United States)

Khuyagbaatar, Batbayar; Purevsuren, Tserenchimed; Park, Won Man; Kim, Kyungsoo; Kim, Yoon Hyuk

2017-10-01

In short-track speed skating, the three-dimensional kinematics of the lower extremities during the whole skating cycle have not been studied. Kinematic parameters of the lower extremities during skating are presented as joint angles versus time. However, the angle-time presentation is not sufficient to describe the relationship between multi-joint movement patterns. Thus, angle-angle presentations were developed and used to describe interjoint coordination in sport activities. In this study, 15 professional male skaters' full body motion data were recorded using a wearable motion capture system during short-track speed skating. We investigated the three-dimensional kinematics of the lower extremities and then established the interjoint coordination between hip-knee and knee-ankle for both legs during the whole skating cycle. The results demonstrate the relationship between multi-joint movements during different phases of short-track speed skating. This study provides fundamentals of the movement mechanism of the lower extremities that can be integrated with physiotherapy to improve skating posture and prevent injuries from repetitive stress since physiological characteristics play an important role in skating performance.

Possible space weather influence on the Earth wheat prices

Science.gov (United States)

Pustil'Nik, L.; Yom Din, G.; Dorman, L.

We present development of our study of possible influence of space weather modulated by cycle of solar activity on the price bursts in the Earth markets In our previous works 1 2 we showed that correspondent response may have place in the specific locations characterized by a high sensitivity of the weather cloudiness in particular to cosmic ray variation b risk zone agriculture c isolated wheat market with limited external supply of agriculture production We showed that in this situation we may wait specific price burst reaction on unfavorable phase of solar activity and space weather what lead to corresponding abnormalities in the local weather and next crop failure We showed that main types of manifestation of this connection are a Distribution of intervals between price bursts must be like to the distribution of intervals between correspondent extremes of solar activity minimums or maximums b price asymmetry between opposite states of solar activity price in the one type of activity state is systematically higher then in the opposite one We showed in our previous publications that this influence in interval distribution is detected with high reliability in Mediaeval England 1250-1700 both for wheat prices and price of consumables basket We showed that for period of Maunder Minimum price asymmetry of wheat prices observed all prices in minimum state of solar activity was higher the prices in the next maximum state We showed later that this price asymmetry had place in 20-th century in USA durum prices too In

Does the Credible Fiscal Policy Support the Prices Stabilization?

Directory of Open Access Journals (Sweden)

Kuncoro Haryo

2015-06-01

Full Text Available This paper aims at analyzing the co-movement between fiscal policy and monetary policy rules in the context of price stabilization. More specifically, we observe the potential impact of fiscal policy credibility on the price stabilization in the inflation targeting framework. Motivated by the fact that empirical studies concerning this aspect are still limited, we take the case of Indonesia over the period 2001-2013. Based on the quarterly data analysis, we found that the impact of credibility typically depends on characteristics of fiscal rules commitment. On one hand, the credibility of debt rule reduces the inflation rate. In contrast, the incredible deficit rule policy does not have any impact on the inflation rate and therefore does not support to inflation targeting. Given those results, we conclude that credibility matters in stabilizing price levels. Accordingly, those findings suggest tightening coordination between monetary and fiscal policy to maintain fiscal sustainability in accordance with price stabilization policy

7 CFR 1000.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing... advanced pricing factors. Class prices per hundredweight of milk containing 3.5 percent butterfat, component prices, and advanced pricing factors shall be as follows. The prices and pricing factors described...

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

Science.gov (United States)

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

2015-02-01

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

DOES FEAR (VIX INDEX INCITE VOLATILITY IN FOOD PRICES?

Directory of Open Access Journals (Sweden)

Gökhan Çınar

2017-04-01

Full Text Available Globally, the volatility trend in food prices has continued to increase. Different data give the impression that this volatility may be caused by the international finance markets’ propagation effect. For this reason, the study focused on the VIX (fear index that is used to measure the movement in Standard & Poor’s 500 index. The main objective of the study is to analyze the degree of volatility between the VIX index and the wheat market. The research is comprised of monthly data obtained from year 2000 to 2015. The study employs the BEKK GARCH method. The findings show that the variance shocks in the fear index damage food prices. The results may be useful to policy makers in researching the causes of changes in the prices of food commodity and taking necessary measures.

Recognizing Uncommon Presentations of Psychogenic (Functional Movement Disorders

Directory of Open Access Journals (Sweden)

José Fidel Baizabal-Carvallo

2015-01-01

Full Text Available Background: Psychogenic or functional movement disorders (PMDs pose a challenge in clinical diagnosis. There are several clues, including sudden onset, incongruous symptoms, distractibility, suggestibility, entrainment of symptoms, and lack of response to otherwise effective pharmacological therapies, that help identify the most common psychogenic movements such as tremor, dystonia, and myoclonus.Methods: In this manuscript, we review the frequency, distinct clinical features, functional imaging, and neurophysiological tests that can help in the diagnosis of uncommon presentations of PMDs, such as psychogenic parkinsonism, tics, and chorea; facial, palatal, and ocular movements are also reviewed. In addition, we discuss PMDs at the extremes of age and mass psychogenic illness.Results: Psychogenic parkinsonism (PP is observed in less than 10% of the case series about PMDs, with a female–male ratio of roughly 1:1. Lack of amplitude decrement in repetitive movements and of cogwheel rigidity help to differentiate PP from true parkinsonism. Dopamine transporter imaging with photon emission tomography can also help in the diagnostic process. Psychogenic movements resembling tics are reported in about 5% of PMD patients. Lack of transient suppressibility of abnormal movements helps to differentiate them from organic tics. Psychogenic facial movements can present with hemifacial spasm, blepharospasm, and other movements. Some patients with essential palatal tremor have been shown to be psychogenic. Convergence ocular spasm has demonstrated a high specificity for psychogenic movements. PMDs can also present in the context of mass psychogenic illness or at the extremes of age.Discussion: Clinical features and ancillary studies are helpful in the diagnosis of patients with uncommon presentations of psychogenic movement disorders.

Area price and demand response in a market with 25% wind power

DEFF Research Database (Denmark)

Grohnheit, Poul Erik; Møller Andersen, Frits; Larsen, Helge V.

2011-01-01

Denmark, east and west of the Great Belt are bidding areas with separate hourly area prices for the Nord Pool power exchange, covering four Nordic countries and parts of Germany. The share of wind power has now increased to 25% on an annual basis in western Denmark. This has a significant impact...... not only on the electricity wholesale prices, but also on the development of the market. Hourly market data are available from the website of Danish TSO from 1999. In this paper these data are analysed for the period 2004–2010. Electricity generators and customers may respond to hourly price variations......, which can improve market efficiency, and a welfare gain is obtained. An important limitation for demand response is events of several consecutive hours with extreme values. The analysis in this paper is a summary and update of some of the issues covered by the EU RESPOND project. It shows that extreme...

World oil and agricultural commodity prices: Evidence from nonlinear causality

International Nuclear Information System (INIS)

Nazlioglu, Saban

2011-01-01

The increasing co-movements between the world oil and agricultural commodity prices have renewed interest in determining price transmission from oil prices to those of agricultural commodities. This study extends the literature on the oil-agricultural commodity prices nexus, which particularly concentrates on nonlinear causal relationships between the world oil and three key agricultural commodity prices (corn, soybeans, and wheat). To this end, the linear causality approach of Toda-Yamamoto and the nonparametric causality method of Diks-Panchenko are applied to the weekly data spanning from 1994 to 2010. The linear causality analysis indicates that the oil prices and the agricultural commodity prices do not influence each other, which supports evidence on the neutrality hypothesis. In contrast, the nonlinear causality analysis shows that: (i) there are nonlinear feedbacks between the oil and the agricultural prices, and (ii) there is a persistent unidirectional nonlinear causality running from the oil prices to the corn and to the soybeans prices. The findings from the nonlinear causality analysis therefore provide clues for better understanding the recent dynamics of the agricultural commodity prices and some policy implications for policy makers, farmers, and global investors. This study also suggests the directions for future studies. - Research highlights: → This study determines the price transmission mechanisms between the world oil and three key agricultural commodity prices (corn, soybeans, and wheat). → The linear and nonlinear cointegration and causality methods are carried out. → The linear causality analysis supports evidence on the neutrality hypothesis. → The nonlinear causality analysis shows that there is a persistent unidirectional causality from the oil prices to the corn and to the soybeans prices.

Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break

Directory of Open Access Journals (Sweden)

Yoichi Tsuchiya

2015-12-01

Full Text Available In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among non-agricultural commodity futures prices when a structural break is taken into account, there is no such relationship without allowing for a structural break. We also show that these break points, in fact, occur a few months before the recent global financial crisis. Although the previous literature broadly casts doubt on such price co-movements, our results confirm that market performance improved during the sample period.

Short-term electricity prices forecasting in a competitive market: A neural network approach

International Nuclear Information System (INIS)

Catalao, J.P.S.; Mariano, S.J.P.S.; Mendes, V.M.F.; Ferreira, L.A.F.M.

2007-01-01

This paper proposes a neural network approach for forecasting short-term electricity prices. Almost until the end of last century, electricity supply was considered a public service and any price forecasting which was undertaken tended to be over the longer term, concerning future fuel prices and technical improvements. Nowadays, short-term forecasts have become increasingly important since the rise of the competitive electricity markets. In this new competitive framework, short-term price forecasting is required by producers and consumers to derive their bidding strategies to the electricity market. Accurate forecasting tools are essential for producers to maximize their profits, avowing profit losses over the misjudgement of future price movements, and for consumers to maximize their utilities. A three-layered feedforward neural network, trained by the Levenberg-Marquardt algorithm, is used for forecasting next-week electricity prices. We evaluate the accuracy of the price forecasting attained with the proposed neural network approach, reporting the results from the electricity markets of mainland Spain and California. (author)

Market structure, excess capacity and price movement: implications for the world oil market in the 1990s

International Nuclear Information System (INIS)

Iwayemi, A.

1992-01-01

World Oil Market developments, since the second half of the 1980s, have demonstrated again the conventional wisdom in economics that competitive production and pricing strategies have among producers, when the industry is characterized by significant excess capacity, in exerting strong downward pressure on the price. The magnitude and speed of the price falls depends not only on the size and utilization of the available excess capacity, but also on the perception of the markets as regards the degree of the imbalance between demand and supply. The impact of output competition on oil revenues in the short run depends on the magnitude of the price elasticity of demand. The most vivid illustration of this phenomenon is captured by the experience of 1986, when competition for market share among oil producers, despite the existence of about 20 per cent excess capacity, culminated in a sharp drop in price, with only a marginal improvement in demand. (author)

Structural Break, Stock Prices of Clean Energy Firms and Carbon Market

Science.gov (United States)

Wang, Yubao; Cai, Junyu

2018-03-01

This paper uses EU ETS carbon future price and Germany/UK clean energy firms stock indices to study the relationship between carbon market and clean energy market. By structural break test, it is found that the ‘non-stationary’ variables judged by classical unit root test do own unit roots and need taking first difference. After analysis of VAR and Granger causality test, no causal relationships are found between the two markets. However, when Hsiao’s version of causality test is employed, carbon market is found to have power in explaining the movement of stock prices of clean energy firms, and stock prices of clean energy firms also affect the carbon market.

Modeling spot markets for electricity and pricing electricity derivatives

Science.gov (United States)

Ning, Yumei

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

Jumps and stochastic volatility in oil prices: Time series evidence

International Nuclear Information System (INIS)

Larsson, Karl; Nossman, Marcus

2011-01-01

In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time series study of crude oil prices. We compare four different models and estimate them using the Markov Chain Monte Carlo method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model clearly outperforms the others in terms of a superior fit to data. Our estimation method allows us to obtain a detailed study of oil prices during two periods of extreme market stress included in our sample; the Gulf war and the recent financial crisis. We also address the economic significance of model choice in two option pricing applications. The implied volatilities generated by the different estimated models are compared and we price a real option to develop an oil field. Our findings indicate that model choice can have a material effect on the option values.

High penetration wind generation impacts on spot prices in the Australian national electricity market

International Nuclear Information System (INIS)

Cutler, Nicholas J.; Boerema, Nicholas D.; MacGill, Iain F.; Outhred, Hugh R.

2011-01-01

This paper explores wind power integration issues for the South Australian (SA) region of the Australian National Electricity Market (NEM) by assessing the interaction of regional wind generation, electricity demand and spot prices over 2 recent years of market operation. SA's wind energy penetration has recently surpassed 20% and it has only a limited interconnection with other regions of the NEM. As such, it represents an interesting example of high wind penetration in a gross wholesale pool market electricity industry. Our findings suggest that while electricity demand continues to have the greatest influence on spot prices in SA, wind generation levels have become a significant secondary influence, and there is an inverse relationship between wind generation and price. No clear relationship between wind generation and demand has been identified although some periods of extremely high demand may coincide with lower wind generation. Periods of high wind output are associated with generally lower market prices, and also appear to contribute to extreme negative price events. The results highlight the importance of electricity market and renewable policy design in facilitating economically efficient high wind penetrations. - Highlights: → In South Australia (SA) wind generation is having an influence on market prices. → Little or no correlation is found between wind generation and demand. → Wind farms in SA are receiving a lower average price than in other States. → The results highlight the importance of appropriate electricity market design.

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

Directory of Open Access Journals (Sweden)

Brian C Gunia

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

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

Science.gov (United States)

Gunia, Brian C; Murnighan, J Keith

2015-01-01

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

THE NEW ERA OF FINANCIAL INNOVATION: THE DETERMINANTS OF BITCOIN’S PRICE

OpenAIRE

Sukamulja, Sukmawati; Sikora, Cornelia Olivia

2018-01-01

Financial innovation has entered a new era in which a digitalized system and cryptocurrency have been created. This paper examines the factors that influence the price movement of bitcoin. This is not a legal currency in Indonesia; the Indonesian government has not made any regulations legalizing bitcoin’s use, but it has also not issued any new laws to prohibit the trade in bitcoins and other digital currencies. The demand for, and price growth of, bitcoin are interesting matters to study, e...

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

Science.gov (United States)

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.

Co-movement measure of information transmission on international equity markets

Science.gov (United States)

Al Rahahleh, Naseem; Bhatti, M. Ishaq

2017-03-01

Recently, Bhatti and Nguyen (2012) used EVT and various stochastic copulas to study the cross-country co-movements diversification and asset pricing allocation. Weiss (2013) observed that Dynamic Conditional Correlation (DCC) models outperform various copula models. This paper attempts to contribute to the literature on multivariate models for capturing forward and backward return co-movement, spillover effects and volatility linkages. It reflects cross-country forward and backward co-movements more clearly among various coupled international stock markets relating to information transmission and price discovery for making investment decisions. Given the reality of fat-tail or skewed distribution of financial data, this paper proposes the use of VECM-DCC and VAR-DCC models which capture dynamic dependences between the Australian and other selected international financial stock markets. We observe that the return co-movement effects between Australian and Asian countries are bidirectional ((AUS ↔ Hong Kong), (AUS ↔ Japan)) with the exception of Taiwan (AUS → Taiwan). We also observe that the volatility spillover between the Australian and both the UK and the US markets are bidirectional with a larger volatility spillover from both toward the AUS market. Further, the UK market has a higher volatility spillover on the Australian market compared to the US market and the US market has a higher volatility spillover on the UK than that of the Australian market.

To consume or not. How oil prices affect the comovement of consumption and aggregate wealth

International Nuclear Information System (INIS)

Odusami, Babatunde Olatunji

2010-01-01

This paper provides insight into how oil price movements affect the consumption choices of U.S. households through the wealth channel. Lettau and Ludvigson (2001) show that while consumption, asset wealth, and labor income share a common long-term trend; they substantially deviate from one another in the short run. In this paper, I show that these transitory deviations can be explained by fluctuations in the price of crude oil. Linear and threshold multivariate autoregressive models are used to measure the oil price effect. Oil price effect on the consumption to aggregate wealth ratio is robust to monetary policy effect, sub-period effect, and econometric specifications of oil price effect. Generally speaking, higher (lower) oil price will lead to a decrease (increase) in the proportion of aggregate wealth consumed. In addition, the magnitude of the oil price effect is asymmetric and sub-period dependent. Oil price effect was higher before the 1980's than in succeeding periods. (author)

Crude oil prices: It's not like '86

International Nuclear Information System (INIS)

Simmons, M.R.

1994-01-01

In 1981, daily crude oil productive capacity exceeded demand by more than 25%, leading to a 4-yr price decline from near $40 per barrel levels, and a sharp drop in 1986 to near $12. But, in 1994, the fundamentals are reversed, worldwide demand is growing, conservation movements are not active, and certain geographic areas, like Asia, are set to tax the system as they modernize. Meanwhile, US and Former Soviet Union production is off, without prospects for near-term turnaround. And there is reason to believe OPEC leaders may not feel compelled to cut their output, when combined small cuts of the magnitude of 5% by the rest of the world's producers could accomplish the same objective of raising oil prices. As with any forecast, only time and hindsight will tell the real story, but 1994 could end up being one of the periodic turning points for what has always been a long-term cyclical industry. This paper summarizes the predictions and causes of predicted price changes

Forecasting Financial Extremes: A Network Degree Measure of Super-exponential Growth

OpenAIRE

Wanfeng Yan; Edgar van Tuyll van Serooskerken

2015-01-01

Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices. During such market regimes, stock prices change at a super-exponential rate and are normally followed by a trend reversal that corrects the previous over reaction. In this paper, we construct an indicator to measure the magnitude of the super-exponential grow...

The Pricing of Foreign Currency Futures Options

OpenAIRE

Chang Mo Ahn

1996-01-01

We derive semi-closed form solutions for the forward and futures exchange rates, European foreign currency options, currency forward options, and currency futures options when the domestic and foreign interest rate movements follow mean reverting diffusion processes. These solutions are consistent with the Black-Scholes option formula so that they can be easily applied. The impact of interest rate uncertainty on theoretical prices of currency futures options is too significant to be neglected.

7 CFR 1124.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1124.50 Section 1124.50 Agriculture Regulations of the Department of Agriculture (Continued... prices, and advanced pricing factors. See § 1000.50. ...

7 CFR 1030.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1030.50 Section 1030.50 Agriculture Regulations of the Department of Agriculture (Continued... prices, and advanced pricing factors. See § 1000.50. ...

Gas prices and price process

International Nuclear Information System (INIS)

Groenewegen, G.G.

1992-01-01

On a conference (Gas for Europe in the 1990's) during the Gasexpo '91 the author held a speech of which the Dutch text is presented here. Attention is paid to the current European pricing methods (prices based on the costs of buying, transporting and distributing the natural gas and prices based on the market value, which is deducted from the prices of alternative fuels), and the transparency of the prices (lack of information on the way the prices are determined). Also attention is paid to the market signal transparency and gas-gas competition, which means a more or less free market of gas distribution. The risks of gas-to-gas competition for a long term price stability, investment policies and security of supply are discussed. Opposition against the Third Party Access (TPA), which is the program to implement gas-to-gas competition, is caused by the fear of natural gas companies for lower gas prices and lower profits. Finally attention is paid to government regulation and the activities of the European Commission (EC) in this matter. 1 fig., 6 ills., 1 tab

Theory of Financial Risk and Derivative Pricing - 2nd Edition

Science.gov (United States)

Bouchaud, Jean-Philippe; Potters, Marc

2003-12-01

Foreword; Preface; 1. Probability theory: basic notions; 2. Maximum and addition of random variables; 3. Continuous time limit, Ito calculus and path integrals; 4. Analysis of empirical data; 5. Financial products and financial markets; 6. Statistics of real prices: basic results; 7. Non-linear correlations and volatility fluctuations; 8. Skewness and price-volatility correlations; 9. Cross-correlations; 10. Risk measures; 11. Extreme correlations and variety; 12. Optimal portfolios; 13. Futures and options: fundamental concepts; 14. Options: hedging and residual risk; 15. Options: the role of drift and correlations; 16. Options: the Black and Scholes model; 17. Options: some more specific problems; 18. Options: minimum variance Monte-Carlo; 19. The yield curve; 20. Simple mechanisms for anomalous price statistics; Index of most important symbols; Index.

Domestic policy responses to the food price crisis: The case of Bolivia

Directory of Open Access Journals (Sweden)

Harald Grethe

2011-12-01

Full Text Available In face of the global food crisis of 2007–2008, severe concerns arose about how developing countries would be affected by the extreme short-term fluctuations in international commodity prices. We examine the effects of the crisis on Bolivia, one of the poorest countries of the Americas. We focus on the effectiveness of the domestic policy interventions in preventing spillovers of the development of international food prices to domestic markets. Using a cointegration model, we study price interdependencies of wheat flour, sunflower oil and poultry. The analysis suggests that the policy measures taken had little effect on food security during the food crisis. Throughout the entire period, perfect price transmission between the Bolivian poultry and sunflower oil markets and the respective international reference markets existed. Bolivian prices were determined by international prices and the policy interventions in the markets of these two commodities were not found to have had an effect. The government’s large-scale wheat flour imports did not shield Bolivian consumers from the shocks of international prices.

Keynes, population, and equity prices.

Science.gov (United States)

Tarascio, V J

1985-01-01

Keynes in 1937 examined the phenomenon of the Great Depression from a longrun perspective in contradiction to the "General Theory," where the focus was on the shortrun. "Some Economic Consequences of a Declining Population," Keynes' article, reveals the context in which the "General Theory" was written. In the "General Theory," the focus is on short-term fluctuations, i.e., business cycles, but Keynes fails to provide any theoretical explanation as to why the depression of the 1930s was so severe and intractable. In the 1937 article, the depression is seen as the result of the combined effects of a decline in longrun growth due to population growth decline and a shortrun cyclical decline, together producing severe economic consequences. What is important for the purposes of this discussion is the implication, within the context of the 1937 article, that not only was the stock market crash of 1929 related to population change (with its accompanying collapse in expectations) but that, in general, changes in the rate of growth of population are accompanied by stock price movements in the same direction. The remainder of the discussion is devoted to a simple empirical test of this relationship. The data used are population size (POP), defined as the total residential population in the US from 1870-1979, and the Standard and Poor 500 Stock index (SP) for the corresponding 109-year period. In addition, a 3rd series was constructed, a price deflated Standard and Poor index (RSP) with a base period of 1870, to account for possible inflationary distortion of the index. The empirical results do not invalidate the hypothesis that population growth rates affect equity markets. In fact, there seems to be strong evidence that they are related in a manner suggestive of Keynes' intutition, namely, that the stock market crash of 1929 was due to factors more fundamental than those often perceived from a shortrun perspective. According to Keynes (1937), population is the most

On the maximum drawdown during speculative bubbles

Science.gov (United States)

Rotundo, Giulia; Navarra, Mauro

2007-08-01

A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on deeper in the analysis providing a further characterization of the rising part of such selected bubbles through the examination of drawdown and maximum drawdown movement of indices prices. The analysis of drawdown duration is also performed and it is the core of the risk measure estimated here.

Fatigue-Induced Changes in Movement Pattern and Muscle Activity During Ballet Releve on Demi-Pointe.

Science.gov (United States)

Lin, Cheng-Feng; Lee, Wan-Chin; Chen, Yi-An; Hsue, Bih-Jen

2016-08-01

Fatigue in ballet dancers may lead to injury, particularly in the lower extremities. However, few studies have investigated the effects of fatigue on ballet dancers' performance and movement patterns. Thus, the current study examines the effect of fatigue on the balance, movement pattern, and muscle activities of the lower extremities in ballet dancers. Twenty healthy, female ballet dancers performed releve on demi-pointe before and after fatigue. The trajectory of the whole body movement and the muscle activities of the major lower extremity muscles were recorded continuously during task performance. The results show that fatigue increases the medial-lateral center of mass (COM) displacement and hip and trunk motion, but decreases the COM velocity and ankle motion. Moreover, fatigue reduces the activities of the hamstrings and tibialis anterior, but increases that of the soleus. Finally, greater proximal hip and trunk motions are applied to compensate for the effects of fatigue, leading to a greater COM movement. Overall, the present findings show that fatigue results in impaired movement control and may therefore increase the risk of dance injury.

Rise of energy price, rise of agricultural prices: what medium- and long-term relations and implications?; Hausse du prix de l'energie, hausse des prix agricoles: quelles relations et implications a moyen et long terme?

Energy Technology Data Exchange (ETDEWEB)

Voituriez, T.

2009-07-01

We review in this study the different factors which have been presented by the scientific community as possible explanations of the sudden upsurge in commodity prices between 2006 and 2008. We examine whether scientific evidence validates any causal relationship, and particularly emphasize the role of explanatory variables underpinning the co-movement of energy and food price rises. Our aim is to provide an up-to-date understanding of food and energy market relationships, so as to better anticipate the possible changes in the evolution of prices in the coming years. (author)

Error analysis in Fourier methods for option pricing for exponential Lévy processes

KAUST Repository

Crocce, Fabian

2015-01-07

We derive an error bound for utilising the discrete Fourier transform method for solving Partial Integro-Differential Equations (PIDE) that describe european option prices for exponential Lévy driven asset prices. We give sufficient conditions for the existence of a L? bound that separates the dynamical contribution from that arising from the type of the option n in question. The bound achieved does not rely on information of the asymptotic behaviour of option prices at extreme asset values. In addition, we demonstrate improved numerical performance for select examples of practical relevance when compared to established bounding methods.

"Overreaction" of Asset Prices in General Equilibrium

OpenAIRE

Aiyagari, S.R.; Gertler, M.

1998-01-01

We attempt to explain the overreaction of asset prices to movements in short-term interest rates, dividends, and asset supplies. The key element of our explanation is a margin constraint that traders face which limits their leverage to a fraction of the value of their assets. Traders may lever themselves, further, either directly by borrowing short term or indirectly by engaging in futures and options trading, so that the scenario is relevant to contemporary financial markets. When some shock...

PRICE GENERATING PROCESS AND VOLATILITY IN NIGERIAN AGRICULTURAL COMMODITIES MARKET

Directory of Open Access Journals (Sweden)

Osaihiomwan Ojogho

2015-10-01

Full Text Available The literature on agricultural commodity price volatility in Nigeria has constantly reflected that an excessive price movement is harmful for both producers and consumers, particularly for those who are not able to cope with that new source of economic uncertainty. It has also raised an extensive debate on the main determinants behind the large agricultural commodity price swings observed in the last years without recourse for the price generating process. To narrow this gap, the study examined the price generating process and volatility in the Nigerian agricultural commodities market using secondary data for price series on meat, cereals, sugar, dairy and aggregate food for the period of January 1990 to February 2014. The data were analysed using the linear Gaussian State-Space (SS model. The results of the descriptive statistics showed that the coefficients of variation for cereals (39.88%, food (32.65% and dairy price (43.08% were respectively higher during the overall time period (January 1990 to February 2014 than during the first (January 1990 to January 2002 and second (February 2002 to February 2014 sub-time periods. The results of the inferential statistics showed that authoregressive moving average (ARMA model is the most selected Nigeria agricultural commodity price generating model for the time periods, that a unit increase in the past price state of cereals, dairy, sugar, meat and aggregate food would increase the future price of sugar, meat and aggregate food by N0.14, N0.28 and N0.15 respectively but decrease future price of cereals and dairy by about N1.00 and N0.21 respectively, and that the one-step ahead predicted value for the first out-ofsample period for cereals, meat, dairy and sugar price were 6317.86, 10.24 and 2.06 respectively. The Nigerian agricultural commodity prices have experienced high variability over the period, and such volatility, price-generating process and the determinants of the Nigerian food commodities

Using Satellite Remote Sensing Data in a Spatially Explicit Price Model

Science.gov (United States)

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

2007-01-01

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

Characteristics of the prices of operating reserves and regulation services in competitive electricity markets

International Nuclear Information System (INIS)

Wang Peng; Zareipour, Hamidreza; Rosehart, William D.

2011-01-01

In this paper, characteristics of the prices of reserves and regulation services in the Ontario, New York and ERCOT electricity markets are studied. More specifically, price variability, price jumps, long-range correlation, and non-linearity of the prices are analyzed using the available measures in the literature. For the Ontario electricity market, the prices of 10-min spinning, 10-min non-spinning, and 30-min operating reserves for the period May 1, 2002 to December 31, 2007 are analyzed. For the New York market, prices of the same reserves plus regulation service are studied for the period February 5, 2005 to December 31, 2008. For the ERCOT market, we analyze the prices of responsive reserve, regulation up and regulation down services, for the period January 1, 2005 to December 31, 2009. The studied characteristics of operating reserve and regulation prices are also compared with those of energy prices. The findings of this paper show that the studied reserve and regulation prices feature extreme volatility, more frequent jumps and spikes, different peak price occurrence time, and lower predictability, compared to the energy prices. - Research highlights: → We examine various statistical characteristics of reserve and regulation prices. → We compare characteristics of reserve and regulation and energy prices. → Reserve and regulation prices feature different patterns from energy prices. → Reserve and regulation prices are more dispersive and volatile than energy price.

Effect of Price Determinants on World Cocoa Prices for Over the Last Three Decades: Error Correction Model (ECM Approach

Directory of Open Access Journals (Sweden)

Lya Aklimawati

2013-12-01

Full Text Available High  volatility  cocoa  price  movement  is  consequenced  by  imbalancing between power demand and power supply in commodity market. World economy expectation and market  liberalization would lead to instability on cocoa prices in  the  international  commerce.  Dynamic  prices  moving  erratically  influence the benefit  of market players, particularly  producers. The aim of this research is  (1  to  estimate  the  empirical  cocoa  prices  model  for  responding  market dynamics and (2 analyze short-term and long-term effect of price determinants variables  on cocoa prices.  This research  was  carried out by  analyzing  annualdata from 1980 to 2011, based on secondary data. Error correction mechanism (ECM  approach was  used  to  estimate the  econometric  model  of  cocoa  price.The  estimation  results  indicated  that  cocoa  price  was  significantly  affected  by exchange rate IDR-USD, world gross domestic product,  world inflation, worldcocoa production, world cocoa consumption, world cocoa stock and Robusta prices at varied significance level from 1 - 10%. All of these variables have a long run equilibrium relationship. In long run effect, world gross domestic product, world  cocoa  consumption  and  world  cocoa  stock  were  elastic  (E  >1,  while other  variables  were  inelastic  (E  <1.  Variables  that  affecting  cocoa  pricesin  short  run  equilibrium  were  exchange  rate  IDR-USD,  world  gross  domestic product,  world  inflation,  world  cocoa  consumption  and  world  cocoa  stock. The  analysis  results  showed  that  world  gross  domestic  product,  world  cocoa consumption  and  world  cocoa  stock  were  elastic  (E  >1  to  cocoa  prices  in short-term.  Whereas,  the  response  of  cocoa  prices  was  inelastic  to  change  of exchange rate IDR-USD and world inflation.Key words: Price

Refining prices and margins in 1998

International Nuclear Information System (INIS)

Favennec, J.P.; Baudoin, C.

1999-01-01

Despite a business environment that was globally mediocre due primarily to the Asian crisis and to a mild winter in the northern hemisphere, the signs of improvement noted in the refining activity in 1996 were borne out in 1997. But the situation is not yet satisfactory in this sector: the low return on invested capital and the financing of environmental protection expenditure are giving cause for concern. In 1998, the drop in crude oil prices and the concomitant fall in petroleum product prices was ultimately rather favorable to margins. Two elements tended to put a damper on this relative optimism. First of all, margins continue to be extremely volatile and, secondly, the worsening of the economic and financial crisis observed during the summer made for a sharp decline in margins in all geographic regions, especially Asia

Relating price strategies and price-setting practices

NARCIS (Netherlands)

Ingenbleek, P.T.M.; Lans, van der I.A.

2013-01-01

Purpose - This article addresses the relationship between price strategies and price-setting practices. The first derive from a normative tradition in the pricing literature and the latter from a descriptive tradition. Price strategies are visible in the market, whereas price-setting practices are

Extreme-Strike and Small-time Asymptotics for Gaussian Stochastic Volatility Models

OpenAIRE

Zhang, Xin

2016-01-01

Asymptotic behavior of implied volatility is of our interest in this dissertation. For extreme strike, we consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Loève expansion for the integrated variance, and using sharp estimates of the density of a general second-chaos variable, we derive asymptotics for the asset price density for large or smal...

Area price and demand response in a market with 25% wind power

International Nuclear Information System (INIS)

Grohnheit, Poul Erik; Andersen, Frits Møller; Larsen, Helge V.

2011-01-01

Denmark, east and west of the Great Belt are bidding areas with separate hourly area prices for the Nord Pool power exchange, covering four Nordic countries and parts of Germany. The share of wind power has now increased to 25% on an annual basis in western Denmark. This has a significant impact not only on the electricity wholesale prices, but also on the development of the market. Hourly market data are available from the website of Danish TSO from 1999. In this paper these data are analysed for the period 2004–2010. Electricity generators and customers may respond to hourly price variations, which can improve market efficiency, and a welfare gain is obtained. An important limitation for demand response is events of several consecutive hours with extreme values. The analysis in this paper is a summary and update of some of the issues covered by the EU RESPOND project. It shows that extreme events were few, and the current infrastructure and market organisation have been able to handle the amount of wind power installed so far. This recommends that geographical bidding area for the wholesale electricity market reflects external transmission constraints caused by wind power. - Highlights: ► More than 10 years of hourly electricity market data are available for western Denmark. ► Current infrastructure and market organisation could handle 25% wind power. ► Demand response to hourly electricity prices leads to limited welfare gain. ► Consecutive hours with high or low price, or high or low wind are relatively few.

Linepack storage valuation under price uncertainty

International Nuclear Information System (INIS)

Arvesen, Ø.; Medbø, V.; Fleten, S.-E.; Tomasgard, A.; Westgaard, S.

2013-01-01

Natural gas flows in pipelines as a consequence of the pressure difference at the inlet and outlet. Adjusting these pressures makes it possible to inject natural gas at one rate and withdraw at a different rate, hence using the pipeline as storage as well as transport. We study the value of using the so called pipeline linepack as a short-term gas storage and how this functionality may offset the discrepancy between the low flexibility in take-or-pay contracts and the high inherent flexibility of a gas-fired power plant. To value the storage option, we consider a cycling power plant facing volatile power prices while purchasing gas on a take-or-pay contract. We estimate a Markov regime-switching model for power prices and a mean reverting jump diffusion model for gas prices. Applying Least Squares Monte Carlo simulation to the operation of the linepack storage, we find that the storage option indeed has significant value for the plant, enabling it to better exploit the sometimes extreme price fluctuations. Finally, we show how power price volatility and jump frequency are the main value drivers, and that the size of the storage increases the value up to a point where no additional flexibility is used. - Highlights: ► Linepack, i.e., storage of natural gas en route in long pipelines, is valued for the first time. ► We find significant storage value for a North Sea case and a German gas-fired power plant. ► Power and natural gas prices are modelled realistically, as related stochastic processes with mean reversion and spikes. ► Storage operation is valued under uncertainty yielding close to exact values, without heuristics

7 CFR 1131.53 - Announcement of class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1131.53 Section 1131.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

7 CFR 1005.53 - Announcement of class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1005.53 Section 1005.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

7 CFR 1126.53 - Announcement of class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1126.53 Section 1126.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

7 CFR 1032.53 - Announcement of class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1032.53 Section 1032.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

7 CFR 1030.53 - Announcement of class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1030.53 Section 1030.53 Agriculture Regulations of the Department of Agriculture... of class prices, component prices, and advanced pricing factors. See § 1000.53. ...

7 CFR 1033.53 - Announcement of class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1033.53 Section 1033.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

7 CFR 1001.53 - Announcement of class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1001.53 Section 1001.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

7 CFR 1007.53 - Announcement of class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1007.53 Section 1007.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

7 CFR 1006.53 - Announcement of class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1006.53 Section 1006.53 Agriculture Regulations of the Department of Agriculture... class prices, component prices, and advanced pricing factors. See § 1000.53. ...

7 CFR 1033.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1033.50 Section 1033.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

7 CFR 1005.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1005.50 Section 1005.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

7 CFR 1001.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1001.50 Section 1001.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

7 CFR 1006.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1006.50 Section 1006.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

7 CFR 1126.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1126.50 Section 1126.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

7 CFR 1032.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1032.50 Section 1032.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

7 CFR 1131.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1131.50 Section 1131.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

7 CFR 1007.50 - Class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Class prices, component prices, and advanced pricing factors. 1007.50 Section 1007.50 Agriculture Regulations of the Department of Agriculture (Continued..., and advanced pricing factors. See § 1000.50. ...

The effect of lateral banking on the kinematics and kinetics of the lower extremity during lateral cutting movements.

Science.gov (United States)

Wannop, John W; Graf, Eveline S; Stefanyshyn, Darren J

2014-02-01

There are many aspects of cutting movements that can limit performance, however, the implementation of lateral banking may reduce some of these limitations. Banking could provide a protective mechanism, placing the foot and ankle in orientations that keep them out of dangerous positions. This study sought to determine the effect of two banking angles on the kinematics and kinetics of the lower extremity during two athletic maneuvers. Kinematic and kinetic data were collected on 10 recreational athletes performing v-cuts and side shuffle movements on different banked surfaces (0°, 10°, 20°). Each sample surface was rigidly attached to the force platform. Joint moments were calculated and compared between conditions using a repeated measures ANOVA. Banking had a pronounced effect on the ankle joint. As banking increased, the amount of joint loading in the transverse and frontal planes decreased likely leading to a reduction in injury risk. Also an increase in knee joint loading in the frontal plane was seen during the 20° bank during the v-cut. Conversely loading in the sagittal plane at the ankle joint increased with banking and coupled with a reorientation of the ground reaction vector may facilitate a performance increase. The current study indicates that the 10° bank may be the optimal bank, in that it decreases ankle joint loading, as well as increases specific performance variables while not increasing frontal plane knee joint loading. If banking could be incorporated in footwear it may be able to provide a protective mechanism for athletes. Copyright © 2013 Elsevier B.V. All rights reserved.

Constraint-induced movement therapy promotes brain functional reorganization in stroke patients with hemiplegia

Science.gov (United States)

Wang, Wenqing; Wang, Aihui; Yu, Limin; Han, Xuesong; Jiang, Guiyun; Weng, Changshui; Zhang, Hongwei; Zhou, Zhiqiang

2012-01-01

Stroke patients with hemiplegia exhibit flexor spasms in the upper limb and extensor spasms in the lower limb, and their movement patterns vary greatly. Constraint-induced movement therapy is an upper limb rehabilitation technique used in stroke patients with hemiplegia; however, studies of lower extremity rehabilitation are scarce. In this study, stroke patients with lower limb hemiplegia underwent conventional Bobath therapy for 4 weeks as baseline treatment, followed by constraint-induced movement therapy for an additional 4 weeks. The 10-m maximum walking speed and Berg balance scale scores significantly improved following treatment, and lower extremity motor function also improved. The results of functional MRI showed that constraint-induced movement therapy alleviates the reduction in cerebral functional activation in patients, which indicates activation of functional brain regions and a significant increase in cerebral blood perfusion. These results demonstrate that constraint-induced movement therapy promotes brain functional reorganization in stroke patients with lower limb hemiplegia. PMID:25337108

7 CFR 1124.53 - Announcement of class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... 7 Agriculture 9 2010-01-01 2009-01-01 true Announcement of class prices, component prices, and advanced pricing factors. 1124.53 Section 1124.53 Agriculture Regulations of the Department of Agriculture... Announcement of class prices, component prices, and advanced pricing factors. See § 1000.53. ...

NEURAL NETWORKS FOR STOCK MARKET OPTION PRICING

Directory of Open Access Journals (Sweden)

Sergey A. Sannikov

2017-03-01

Full Text Available Introduction: The use of neural networks for non-linear models helps to understand where linear model drawbacks, coused by their specification, reveal themselves. This paper attempts to find this out. The objective of research is to determine the meaning of “option prices calculation using neural networks”. Materials and Methods: We use two kinds of variables: endogenous (variables included in the model of neural network and variables affecting on the model (permanent disturbance. Results: All data are divided into 3 sets: learning, affirming and testing. All selected variables are normalised from 0 to 1. Extreme values of income were shortcut. Discussion and Conclusions: Using the 33-14-1 neural network with direct links we obtained two sets of forecasts. Optimal criteria of strategies in stock markets’ option pricing were developed.

Edgeworth Price Cycles, Cost-Based Pricing, and Sticky Pricing in Retail Gasoline Markets

OpenAIRE

Michael D. Noel

2007-01-01

This paper examines dynamic pricing behavior in retail gasoline markets for 19 Canadian cities over 574 weeks. I find three distinct retail pricing patterns: 1. cost-based pricing, 2. sticky pricing, and 3. steep, asymmetric retail price cycles that, while seldom documented empirically, resemble those of Maskin & Tirole[1988]. Using a Markov switching regression, I estimate the prevalence of patterns and the structural characteristics of the cycles. Retail price cycles prevail in over 40% of ...

Competitive Pricing by a Price Leader

OpenAIRE

Abhik Roy; Dominique M. Hanssens; Jagmohan S. Raju

1994-01-01

We examine the problem of pricing in a market where one brand acts as a price leader. We develop a procedure to estimate a leader's price rule, which is optimal given a sales target objective, and allows for the inclusion of demand forecasts. We illustrate our estimation procedure by calibrating this optimal price rule for both the leader and the follower using data on past sales and prices from the mid-size sedan segment of the U.S. automobile market. Our results suggest that a leader-follow...

New Local, National and Regional Cereal Price Indices for Improved Identification of Food Insecurity

Science.gov (United States)

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

2011-01-01

Large price increases over a short time period can be indicative of a deteriorating food security situation. Food price indices developed by the United Nations Food and Agriculture Organization (FAO) are used to monitor food price trends at a global level, but largely reflect supply and demand conditions in export markets. However, reporting by the United States Agency for International Development (USAID)'s Famine Early Warning Systems Network (FEWS NET) indicates that staple cereal prices in many markets of the developing world, especially in surplus-producing areas, often have a delayed and variable response to international export market price trends. Here we present new price indices compiled for improved food security monitoring and assessment, and specifically for monitoring conditions of food access across diverse food insecure regions. We found that cereal price indices constructed using market prices within a food insecure region showed significant differences from the international cereals price, and had a variable price dispersion across markets within each marketshed. Using satellite-derived remote sensing information that estimates local production and the FAO Cereals Index as predictors, we were able to forecast movements of the local or national price indices in the remote, arid and semi-arid countries of the 38 countries examined. This work supports the need for improved decision-making about targeted aid and humanitarian relief, by providing earlier early warning of food security crises.

Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling

International Nuclear Information System (INIS)

Janczura, Joanna; Trück, Stefan; Weron, Rafał; Wolff, Rodney C.

2013-01-01

An important issue in fitting stochastic models to electricity spot prices is the estimation of a component to deal with trends and seasonality in the data. Unfortunately, estimation routines for the long-term and short-term seasonal pattern are usually quite sensitive to extreme observations, known as electricity price spikes. Improved robustness of the model can be achieved by (a) filtering the data with some reasonable procedure for outlier detection, and then (b) using estimation and testing procedures on the filtered data. In this paper we examine the effects of different treatments of extreme observations on model estimation and on determining the number of spikes (outliers). In particular we compare results for the estimation of the seasonal and stochastic components of electricity spot prices using either the original or filtered data. We find significant evidence for a superior estimation of both the seasonal short-term and long-term components when the data have been treated carefully for outliers. Overall, our findings point out the substantial impact the treatment of extreme observations may have on these issues and, therefore, also on the pricing of electricity derivatives like futures and option contracts. An added value of our study is the ranking of different filtering techniques used in the energy economics literature, suggesting which methods could be and which should not be used for spike identification. - Highlights: • First comprehensive study on the impact of spikes on seasonal pattern estimation • The effects of different treatments of spikes on model estimation are examined. • Cleaning spot prices for outliers yields superior estimates of the seasonal pattern. • Removing outliers provides better parameter estimates for the stochastic process. • Rankings of filtering techniques suggested in the literature are provided

List prices vs. bargain prices: which solution to estimate consumer price indices?

OpenAIRE

Carlo De Gregorio

2010-01-01

Alternative approaches to CPI surveys are here evaluated, in markets where final prices are based on some sort of price listing. Three types of surveys are compared: local surveys (LOC), with small samples and a local price collection; list price surveys (LIS), with huge samples and centralised collection; mixed surveys (MXD), in which LOC and LIS are jointly used. Based on a multiplicative pricing model, some conditions are derived to establish the relative efficiency of these approaches. Th...

The Daniel K. Inouye College of Pharmacy Scripts: Prescription Drug Pricing.

Science.gov (United States)

Sumida, Wesley K; Taniguchi, Ronald; Juarez, Deborah Taira

2016-01-01

Prescription drugs have reduced morbidity and mortality and improved the quality of life of millions of Americans. Yet, concerns over drug price increases loom. Drug spending has risen relatively slowly over the past decade because many of the most popular brand-name medicines lost patent protection. In the near future, there will be fewer low-cost generics coming into the market to offset the rising prices of brand-name drugs. Drug expenditures are influenced by both volume and price. This article focuses on how drug prices are set in the United States and current trends. Drug prices are determined through an extremely complicated set of interactions between pharmaceutical manufacturers, wholesalers, retailers, insurers, pharmacy benefit managers (PBMs), managed care organizations, hospitals, chain stores, and consumers. The process differs depending on the type of drug and place of delivery. Rising drug prices have come under increased scrutiny due to increased cost inflation and because many price increases come as a result of mergers and acquisitions of generic drug companies or changes in ownership of brand name drug manufacturers. Other countries have reigned in drug prices by negotiating with or regulating pharmaceutical manufacturers. The best long-term solution to rising drug prices is yet to be determined but the United States will continue to debate this issue and the discussions will get more heated if drug expenditures continue to rise at a rapid rate (ie, increasing 13% in 2014 from the previous year).

Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets

OpenAIRE

Louise M. Arthur; Colin A. Carter; Fay Abizadeh

1988-01-01

A new asset pricing model, the arbitrage pricing theory, has been developed as an alternative to the capital asset pricing model. The arbitrage pricing theory model is used to analyze the relationship between risk and return for agricultural assets. The major conclusion is that the arbitrage pricing theory results support previous capital asset pricing model findings that the estimated risk associated with agricultural assets is low. This conclusion is more robust for the arbitrage pricing th...

Output Price Risk, Material Input Price Risk, and Price Margins: Evidence from the US Catfish Industry.

Directory of Open Access Journals (Sweden)

David Bouras

2017-07-01

Full Text Available Aim/purpose - To develop a conceptual model for analyzing the impact of output price risk and material input price risk on price margins. Design/methodology/approach - To analyze the combined effect of output price risk and material input risk on price margins, we use a series of comparative static analyses, GARCH models, and data ranging from 1990/01 to 2012/12. Findings - The theoretical results indicate that the impact of output price risk and the impact of material input price risk on price margins are ambiguous and, to a great extent, hinge on the correlation between output price and material input price. The empirical results show that whole frozen catfish price risk and live catfish price risk negatively affect the price margin for frozen catfish. The empirical results, however, indicate that the risk of the price of live catfish affects markedly the price margin for frozen whole catfish in contrast to the impact of the risk of the price of frozen whole catfish. Research implications/limitations - The empirical results have significant implications for managerial decision-making especially when crafting strategies for improving price margins. Accordingly, in order to beef up the price margin for frozen whole catfish, catfish processors may consider engaging in vertical integration. This paper has some limitations: first, it assumes that firms operate in competitive markets; second, it assumes that firms produce and sell a single product. Originality/value/contribution - Unlike earlier studies that focused solely on the effect of output price risk on price margins, this paper analyzes theoretically and empirically the impact of output price risk and material input price risk on price margins.

A note on the conditional correlation between energy prices: Evidence from future markets

International Nuclear Information System (INIS)

Marzo, Massimiliano; Zagaglia, Paolo

2008-01-01

We model the joint movements of daily returns on one-month futures for crude oil, heating oil and natural gas through the multivariate GARCH with dynamic conditional correlations and elliptical distributions introduced by Pelagatti and Rondena [Pelagatti, M.M., Rondena, S., 2007. 'Dynamic Conditional Correlation with Elliptical Distributions', unpublished manuscript. Universita di Milano - Bicocca, August]. Futures prices of crude and heating oil covary strongly. The conditional correlation between the futures prices of natural gas and crude oil has been rising over the last 5 years. However, this correlation has been low on average over two thirds of the sample, suggesting that future markets have no established tradition of pricing natural gas as a function of developments on oil markets. (author)

Value and Pricing of MOOCs

Directory of Open Access Journals (Sweden)

Rose M. Baker

2016-05-01

Full Text Available Reviewed in this article is the potential for Massive Open Online Courses (MOOCs to transform higher education delivery, accessibility, and costs. Next, five major value propositions for MOOCs are considered (headhunting, certification, face-to-face learning, personalized learning, integration with services external to the MOOC, marketing. Then, four pricing strategies for MOOCs are examined (cross-subsidy, third-party, “freemium”, nonmonetary. Although the MOOC movement has experienced growing pains similar to most innovations, we assert that the unyielding pace of improvements in network technologies combined with the need to tame the costs of higher education will create continuing demand for MOOC offerings.

7 CFR 1000.53 - Announcement of class prices, component prices, and advanced pricing factors.

Science.gov (United States)

2010-01-01

... advanced pricing factors. 1000.53 Section 1000.53 Agriculture Regulations of the Department of Agriculture..., component prices, and advanced pricing factors. (a) On or before the 5th day of the month, the market... administrator for each Federal milk marketing order shall announce the following prices and pricing factors for...

Time-frequency featured co-movement between the stock and prices of crude oil and gold

Science.gov (United States)

Huang, Shupei; An, Haizhong; Gao, Xiangyun; Huang, Xuan

2016-02-01

The nonlinear relationships among variables caused by the hidden frequency information complicate the time series analysis. To shed more light on this nonlinear issue, we examine their relationships in joint time-frequency domain with multivariate framework, and the analyses in the time domain and frequency domain serve as comparisons. The daily Brent oil prices, London gold fixing price and Shanghai Composite index from January 1991 to September 2014 are adopted as example. First, they have long-term cointegration relationship in time domain from holistic perspective. Second, the Granger causality tests in different frequency bands are heterogeneous. Finally, the comparison between results from wavelet coherence and multiple wavelet coherence in the joint time-frequency domain indicates that in the high (1-14 days) and medium frequency (14-128 days) bands, the combination of Brent and gold prices has stronger correlation with the stock. In the low frequency band (256-512 days), year 2003 is the structure broken point before which Brent and oil are ideal choice for hedging the risk of the stock market. Thus, this paper offers more details between the Chinese stock market and the commodities markets of crude oil and gold, which suggests that the decisions for different time and frequencies should consider the corresponding benchmark information.

An overview of alternative fossil fuel price and carbon regulation scenarios

Energy Technology Data Exchange (ETDEWEB)

Wiser, Ryan; Bolinger, Mark

2004-10-01

The benefits of the Department of Energy's research and development (R&D) efforts have historically been estimated under business-as-usual market and policy conditions. In recognition of the insurance value of R&D, however, the Office of Energy Efficiency and Renewable Energy (EERE) and the Office of Fossil Energy (FE) have been exploring options for evaluating the benefits of their R&D programs under an array of alternative futures. More specifically, an FE-EERE Scenarios Working Group (the Working Group) has proposed to EERE and FE staff the application of an initial set of three scenarios for use in the Working Group's upcoming analyses: (1) a Reference Case Scenario, (2) a High Fuel Price Scenario, which includes heightened natural gas and oil prices, and (3) a Carbon Cap-and-Trade Scenario. The immediate goal is to use these scenarios to conduct a pilot analysis of the benefits of EERE and FE R&D efforts. In this report, the two alternative scenarios being considered by EERE and FE staff--carbon cap-and-trade and high fuel prices--are compared to other scenarios used by energy analysts and utility planners. The report also briefly evaluates the past accuracy of fossil fuel price forecasts. We find that the natural gas prices through 2025 proposed in the FE-EERE Scenarios Working Group's High Fuel Price Scenario appear to be reasonable based on current natural gas prices and other externally generated gas price forecasts and scenarios. If anything, an even more extreme gas price scenario might be considered. The price escalation from 2025 to 2050 within the proposed High Fuel Price Scenario is harder to evaluate, primarily because few existing forecasts or scenarios extend beyond 2025, but, at first blush, it also appears reasonable. Similarly, we find that the oil prices originally proposed by the Working Group in the High Fuel Price Scenario appear to be reasonable, if not conservative, based on: (1) the current forward market for oil, (2

Does China factor matter? An econometric analysis of international crude oil prices

International Nuclear Information System (INIS)

Wu, Gang; Zhang, Yue-Jun

2014-01-01

Whether China’s crude oil imports are the culprit of oil price volatility these years has not been quantitatively confirmed. Therefore, this paper empirically investigates the role of China’s crude oil net imports in Brent price changes from October 2005 to November 2013 based on an econometric analysis. The results indicate that, during the sample period, China’s crude oil imports do not significantly affect Brent price changes, no matter in the long run or short run. Therefore, the blame for China’s crude oil imports to cause the dramatic fluctuations of international oil price has no solid evidence. Also, there exists significant uni-directional causality running from the Brent price to China's crude oil imports at the 5% level. Besides, the response of the Brent price to China's crude oil imports is found positive but slight, and the Brent price responds more significantly to US dollar exchange rate and OECD commercial inventory than to China’s crude oil imports in the short run. Finally, the contribution of China's crude oil imports to Brent price movement is about 10%, which is less than that of US dollar exchange rate but larger than that of Indian crude oil imports or OECD commercial inventory. - Highlights: • The paper detects the role of China’s crude oil imports in Brent oil price changes. • China’s crude imports do not matter for oil prices in the long run or short run. • The blame for China’s crude imports on oil price changes has no solid evidence. • Significant causality runs from Brent prices to China's crude oil net imports. • China's crude imports contribute less to Brent prices than US dollar exchange rate

Differences in lumbar spine and lower extremity kinematics during a step down functional task in people with and people without low back pain.

Science.gov (United States)

Hernandez, Alejandra; Gross, Karlie; Gombatto, Sara

2017-08-01

When functional movements are impaired in people with low back pain, they may be a contributing factor to chronicity and recurrence. The purpose of the current study was to examine lumbar spine, pelvis, and lower extremity kinematics during a step down functional task between people with and without a history of low back pain. A 3-dimensional motion capture system was used to analyze kinematics during a step down task. Total excursion of the lumbar spine, pelvis, and lower extremity segments in each plane were calculated from the start to end of the task. Separate analysis of variance tests (α=0.05) were conducted to determine the effect of independent variables of group and plane on lumbar spine, pelvis, and lower extremity kinematics. An exploratory analysis was conducted to examine kinematic differences among movement-based low back pain subgroups. Subjects with low back pain displayed less lumbar spine movement than controls across all three planes of movement (P-values=0.001-0.043). This group difference was most pronounced in the sagittal plane. For the lower extremity, subjects with low back pain displayed more frontal and axial plane knee movement than controls (P-values=0.001). There were no significant differences in kinematics among movement-based low back pain subgroups. People with low back pain displayed less lumbar region movement in the sagittal plane and more off-plane knee movements than the control group during a step down task. Clinicians can use this information when assessing lumbar spine and lower extremity movement during functional tasks, with the goal of developing movement-based interventions. Copyright © 2017 Elsevier Ltd. All rights reserved.

Ex-vessel Fish Price Database: Disaggregating Prices for Low-Priced Species from Reduction Fisheries

Directory of Open Access Journals (Sweden)

Travis C. Tai

2017-11-01

Full Text Available Ex-vessel fish prices are essential for comprehensive fisheries management and socioeconomic analyses for fisheries science. In this paper, we reconstructed a global ex-vessel price database with the following areas of improvement: (1 compiling reported prices explicitly listed as “for reduction to fishmeal and fish oil” to estimate prices separately for catches destined for fishmeal and fish oil production, and other non-direct human consumption purposes; (2 including 95% confidence limit estimates for each price estimation; and (3 increasing the number of input data and the number of price estimates to match the reconstructed Sea Around Us catch database. Our primary focus was to address this first area of improvement as ex-vessel prices for catches destined for non-direct human consumption purposes were substantially overestimated, notably in countries with large reduction fisheries. For example in Peru, 2010 landed values were estimated as 3.8 billion real 2010 USD when using separate prices for reduction fisheries, compared with 5.8 billion using previous methods with only one price for all end-products. This update of the price database has significant global and country-specific impacts on fisheries price and landed value trends over time.

[Parkour--"art of movement" and its injury risk].

Science.gov (United States)

Wanke, E M; Thiel, N; Groneberg, D A; Fischer, A

2013-09-01

Parkour sport is the playfully breaching of obstacles originally not created to get from A to B in the fastest manner. There have been only few publications on injuries in this young and trendy sport mainly performed in urban areas. The aim of this study is to analyse parkour-related acute injuries and their factors. For the retrospective cross-sectional study, a total of n = 266 traceurs (m: n = 255, w: n = 11) completed anonymized online questionnaires. On average, each traceur sustained 1.9 injuries per sport career/year, or 5.5 injuries/1000 h training, respectively. The upper extremity was the most affected body region (58 %), followed by the lower extremity (27 %), head and the back. An increase of injuries from proximal to distal was observed in the upper extremity. However, for the lower extremity it was the opposite. Of all injuries, the most common were skin abrasions (70.3 %). Muscle injuries were observed in 13.1 % of the traceurs, followed by dislocations (6.1 %), and soft tissue (e. g., ligaments, tendons) injuries (5.3 %). Passive precautionary measures were abandoned by the majority of the traceurs (88 %). Landing belonged to the movement elements resulting in most of the injuries (61 %), followed by supportive and static efforts of the arms (10.7 %). Overestimation (23 %) as well as misjudging the situation (20 %) were the most common causes. Other than expected, parkour is an urban movement style with most of the injuries being neither severe nor common despite the lack of precautionary measures. Localisation and type of injuries reflect the characteristic movement elements. There is a need for further investigations to allow a more differentiated analysis in order to develop injury prevention concepts. © Georg Thieme Verlag KG Stuttgart · New York.

Real options theory to the pricing of allowances contract to carbon emission

International Nuclear Information System (INIS)

Horii, Leticia Takahashi; Parente, Virginia; Goldemberg, Jose

2010-01-01

The objective of this work is to develop a pricing model contract for allowances to emit carbon through Real Options. Emissions allowances are equivalent tons of carbon traded between Annex I countries from companies that have the ability to reduce their emissions beyond what is assigned to it. The surplus of emission reductions produced by these companies may be sold in the emissions market. Thus, this work can contribute to improving the management of contractual risk and enable companies estimated the price at which a contract can be signed. Properly evaluate the contracts that the market environment is a challenge for companies. The historic low of information and randomness in the price of carbon allowances in the spot market suggest extreme caution in its use. (author)

Analysing the relationship between wholesale and end-user prices in the Nordic electricity market

International Nuclear Information System (INIS)

Lewis, P.E.; Johnsen, T.A.; Naervae, T.; Wasti, S.

2004-09-01

Efficient pricing in a deregulated market means prices which closely reflect the cost of obtaining electricity in the wholesale market. This research report analyses and explains the relationship between wholesale prices (especially Spot Prices) and end-user prices for residential, industrial and commercial users in the Finnish, Swedish and Norwegian electricity markets. The report primarily analyses the closeness of wholesale and end-user price patterns (the primary tracking period is 1998-2003, focusing especially closely on Finland and the period 2002-2003). The report reveals that Finnish, Norwegian and Swedish end- user prices can all be said to follow spot prices (and other wholesale prices) to a greater or lesser extent. The relationship is however complex and, especially regarding spot prices, clearly closest in Norway, followed by Sweden and then Finland. Whilst, overall, Finnish prices seem quite competitive and Nordic end-user prices currently seem to be extremely similar, there is some cause for concern in Finland. In particular, very few customers have spot based tariffs; wholesale prices (including spot prices) appear to sometimes have been used as an excuse for end-user price rises; Finnish suppliers have often been slow to respond to post-spike spot price reductions; offer prices are currently often higher than standard variable prices; and suppliers seem quite free to follow any pricing strategy, regardless of the presence of competition. Six factors are identified which influence end-user prices and their relationship with wholesale (and particularly spot) prices: hydro-dependency; concentration and entry barriers; cultural and historical determination; legislation; pricing strategies; the competitive environment. The report additionally specifically illustrates a wide variety of possible supplier strategies which might explain Finnish end-user pricing. Spot prices seem to provide only a minor explanation for Finnish end-user prices. (orig.)

Modelling the rand and commodity prices: A Granger causality and cointegration analysis

Directory of Open Access Journals (Sweden)

Xolani Ndlovu

2014-11-01

Full Text Available This paper examines the ‘commodity currency’ hypothesis of the Rand, that is, the postulate that the currency moves in line with commodity prices, and analyses the associated causality using nominal data between 1996 and 2010. We address both the short run and long run relationship between commodity prices and exchange rates. We find that while the levels of the series of both assets are difference stationary, they are not cointegrated. Further, we find the two variables are negatively related, with strong and significant causality running from commodity prices to the exchange rate and not vice versa, implying exogeneity in the determination of commodity prices with respect to the nominal exchange rate. The strength of the relationship is significantly weaker than other OECD commodity currencies. We surmise that the relationship is dynamic over time owing to the portfolio-rebalance argument and the Commodity Terms of Trade (CTT effect and, in the absence of an error correction mechanism, this disconnect may be prolonged. For commodity and currency market participants, this implies that while futures and forward commodity prices may be useful leading indicators of future currency movements, the price risk management strategies may need to be recalibrated over time.

Price strategy and pricing strategy: terms and content identification

OpenAIRE

Panasenko Tetyana

2015-01-01

The article is devoted to the terminology and content identification of seemingly identical concepts "price strategy" and "pricing strategy". The article contains evidence that the price strategy determines the direction, principles and procedure of implementing the company price policy and pricing strategy creates a set of rules and practical methods of price formation in accordance with the pricing strategy of the company.

Canadian natural gas market: dynamics and pricing -- an energy market assessment

International Nuclear Information System (INIS)

2000-11-01

This publication is part of the Energy Market Assessment Program of the National Energy Board. It focuses on identifying factors that affect natural gas prices and describe the current functioning of domestic regional markets in British Columbia, Alberta, Saskatchewan, Manitoba, Ontario, Quebec and in the Atlantic provinces.The report emphasizes the growth in demand for natural gas throughout North America, and the aggressive response by producers to the current high price environment with increased drilling programs. The report also predicts a supply and demand adjustment over time, and an accompanying relief in natural gas prices, although the Board is not able to predict with certainty any movements in commodity markets. The Board's findings indicate that domestic users of natural gas paid less than export customers until 1998, at which point the two prices have converged. The end result of the convergence was that Canadians have had access to natural gas under terms and conditions which were no less favourable than those in effect for export customers. The influence of electronic trading systems is reviewed, noting that spot markets and futures markets such as the NYMEX and AECO-C/NIT have had a significant impact on the pricing of natural gas, mostly by allowing market participants to manage price volatility by forward contracting. 1 tab., 42 figs., 1 glossary

Value based pricing: the least valued pricing strategy

OpenAIRE

Hoenen, Bob

2017-01-01

Pricing has been one of the least researched topics in marketing, although within these pricing strategies: cost-plus pricing is considered as the leading pricing strategy worldwide. Why should companies use such an unprofitable strategy, where fighting for a higher market share due to low prices is more a rule than exception? VBP is one of the most underestimated strategies by organizations. The definition of VBP is: 'value pricing applies to products that have the potential of being differe...

48 CFR 36.207 - Pricing fixed-price construction contracts.

Science.gov (United States)

2010-10-01

... 48 Federal Acquisition Regulations System 1 2010-10-01 2010-10-01 false Pricing fixed-price... Contracting for Construction 36.207 Pricing fixed-price construction contracts. (a) Generally, firm-fixed... methods. (b) Lump-sum pricing shall be used in preference to unit pricing except when— (1) Large...

Price strategy and pricing strategy: terms and content identification

Directory of Open Access Journals (Sweden)

Panasenko Tetyana

2015-11-01

Full Text Available The article is devoted to the terminology and content identification of seemingly identical concepts "price strategy" and "pricing strategy". The article contains evidence that the price strategy determines the direction, principles and procedure of implementing the company price policy and pricing strategy creates a set of rules and practical methods of price formation in accordance with the pricing strategy of the company.

Logistics: Price Rises Incurred by High Oil Price

Institute of Scientific and Technical Information of China (English)

Lai Zhihui

2011-01-01

@@ "When the oil price grows by 100%, the logistic indus-try will see a price growth of 40%, while the logistics in-dustry a price rise of 35%, which means every price increase of 5% in the oil price will bring along that of 2% in this industry." said Liu Zongsheng, General Manager of Itochu Logistics Co., Ltd., on the seminar "Focusing on the eco-nomic consequences of raising oil price, interest rate and deposit reserve ratio", which was held recently.

Pricing Zero-Coupon Catastrophe Bonds Using EVT with Doubly Stochastic Poisson Arrivals

Directory of Open Access Journals (Sweden)

Zonggang Ma

2017-01-01

Full Text Available The frequency and severity of climate abnormal change displays an irregular upward cycle as global warming intensifies. Therefore, this paper employs a doubly stochastic Poisson process with Black Derman Toy (BDT intensity to describe the catastrophic characteristics. By using the Property Claim Services (PCS loss index data from 2001 to 2010 provided by the US Insurance Services Office (ISO, the empirical result reveals that the BDT arrival rate process is superior to the nonhomogeneous Poisson and lognormal intensity process due to its smaller RMSE, MAE, MRPE, and U and larger E and d. Secondly, to depict extreme features of catastrophic risks, this paper adopts the Peak Over Threshold (POT in extreme value theory (EVT to characterize the tail characteristics of catastrophic loss distribution. And then the loss distribution is analyzed and assessed using a quantile-quantile (QQ plot to visually check whether the PCS index observations meet the generalized Pareto distribution (GPD assumption. Furthermore, this paper derives a pricing formula for zero-coupon catastrophe bonds with a stochastic interest rate environment and aggregate losses generated by a compound doubly stochastic Poisson process under the forward measure. Finally, simulation results verify pricing model predictions and show how catastrophic risks and interest rate risk affect the prices of zero-coupon catastrophe bonds.

Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances

OpenAIRE

Suarez, R

2001-01-01

In this paper an alternative non-parametric historical simulation approach, the Mixing Unconditional Disturbances model with constant volatility, where price paths are generated by reshuffling disturbances for S&P 500 Index returns over the period 1950 - 1998, is used to estimate a Generalized Extreme Value Distribution and a Generalized Pareto Distribution. An ordinary back-testing for period 1999 - 2008 was made to verify this technique, providing higher accuracy returns level under upper ...

Analysis of the impact of crude oil price fluctuations on China's stock market in different periods-Based on time series network model

Science.gov (United States)

An, Yang; Sun, Mei; Gao, Cuixia; Han, Dun; Li, Xiuming

2018-02-01

This paper studies the influence of Brent oil price fluctuations on the stock prices of China's two distinct blocks, namely, the petrochemical block and the electric equipment and new energy block, applying the Shannon entropy of information theory. The co-movement trend of crude oil price and stock prices is divided into different fluctuation patterns with the coarse-graining method. Then, the bivariate time series network model is established for the two blocks stock in five different periods. By joint analysis of the network-oriented metrics, the key modes and underlying evolutionary mechanisms were identified. The results show that the both networks have different fluctuation characteristics in different periods. Their co-movement patterns are clustered in some key modes and conversion intermediaries. The study not only reveals the lag effect of crude oil price fluctuations on the stock in Chinese industry blocks but also verifies the necessity of research on special periods, and suggests that the government should use different energy policies to stabilize market volatility in different periods. A new way is provided to study the unidirectional influence between multiple variables or complex time series.

Enhancing medicine price transparency through price information mechanisms.

Science.gov (United States)

Hinsch, Michael; Kaddar, Miloud; Schmitt, Sarah

2014-05-08

Medicine price information mechanisms provide an essential tool to countries that seek a better understanding of product availability, market prices and price compositions of individual medicines. To be effective and contribute to cost savings, these mechanisms need to consider prices in their particular contexts when comparing between countries. This article discusses in what ways medicine price information mechanisms can contribute to increased price transparency and how this may affect access to medicines for developing countries. We used data collected during the course of a WHO project focusing on the development of a vaccine price and procurement information mechanism. The project collected information from six medicine price information mechanisms and interviewed data managers and technical experts on key aspects as well as observed market effects of these mechanisms.The reviewed mechanisms were broken down into categories including objective and target audience, as well as the sources, types and volumes of data included. Information provided by the mechanisms was reviewed according to data available on medicine prices, product characteristics, and procurement modalities. We found indications of positive effects on access to medicines resulting from the utilization of the reviewed mechanisms. These include the uptake of higher quality medicines, more favorable results from contract negotiations, changes in national pricing policies, and the decrease of prices in certain segments for countries participating in or deriving data from the various mechanisms. The reviewed mechanisms avoid the methodological challenges observed for medicine price comparisons that only use national price databases. They work with high quality data and display prices in the appropriate context of procurement modalities as well as the peculiarities of purchasing countries. Medicine price information mechanisms respond to the need for increased medicine price transparency and have the

Dynamic Pricing

DEFF Research Database (Denmark)

Sharifi, Reza; Anvari-Moghaddam, Amjad; Fathi, S. Hamid

2017-01-01

Dynamic pricing scheme, also known as real-time pricing (RTP), can be more efficient and technically beneficial than the other price-based schemes (such as flat-rate or time-of-use (TOU) pricing) for enabling demand response (DR) actions. Over the past few years, advantages of RTP-based schemes h...... of dynamic pricing can lead to increased willingness of consumers to participate in DR programs which in turn improve the operation of liberalized electricity markets.......Dynamic pricing scheme, also known as real-time pricing (RTP), can be more efficient and technically beneficial than the other price-based schemes (such as flat-rate or time-of-use (TOU) pricing) for enabling demand response (DR) actions. Over the past few years, advantages of RTP-based schemes...

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

Science.gov (United States)

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.

Understanding wind turbine price trends in the U.S. over the past decade

International Nuclear Information System (INIS)

Bolinger, Mark; Wiser, Ryan

2012-01-01

On a $/kW basis, wind turbine prices in the U.S. have declined by nearly one-third on average since 2008, after having previously doubled over the period from 2002 through 2008. These two substantial and opposing trends over the past decade – and particularly the earlier price doubling – run counter to the smooth, gradually declining cost trajectories predicted by standard learning curve theory. Taking a bottom-up approach, we examine seven possible drivers of wind turbine prices in the U.S., with the goal of estimating the degree to which each contributed to the doubling in turbine prices from 2002 through 2008, as well as the subsequent decline in prices through 2010. In aggregate, these seven drivers – which include changes in labor costs, warranty provisions, manufacturer profitability, turbine scaling, raw materials prices, energy prices, and foreign exchange rates – explain from 70% to 90% (depending on the year) of empirically observed wind turbine price movements in the U.S. through 2010. Turbine scaling is found to have been the largest single contributor to the price doubling through 2008, although the incremental cost of scaling has been justified by greater energy capture, resulting in a lower cost of wind generation. - Highlights: ► Having doubled from 2002 to 2008, wind turbine prices have since fallen by one-third. ► We analyze seven potential drivers of wind turbine prices over the past decade. ► Turbine scaling has had the largest influence, followed by weakness in the dollar. ► Changes in the price of energy inputs had the smallest impact.

Price (slump) forecast : the potential impact on pipelines, producers and marketers

International Nuclear Information System (INIS)

Duncan, J.

2002-01-01

Throughout this presentation, the speaker answers three basic questions: (1) why are the prices of natural gas so high?, (2) why were the prices of natural gas so high? and (3) will prices for natural gas ever go that high again? The evolution of gas supply and demand including the Canadian supply picture is briefly reviewed. The winter of 2000 and the paradox it presented was discussed, providing a history lesson of an industry taken for granted. The cold winter of 2000 saw industry players scrambling to determine where they would get gas, and the winter of 2001 witnessed them wondering where to put this gas. The new character of the market and the players is discussed, looking at the producer, pipeline expansion projects, and the end user. Neglected investment in the sector and its consequences are dealt with in the next stage of the presentation. The synthetic supply and demand theory are examined. The author concludes the presentation by discussing the factors affecting the market today, such as storage inventory creating volatility, decrease in production and imports due to lag in time when prices are depressed, increased participation by speculators due to increased uncertainty in the stock market, recent weather questions that magnify price movements, and the environment. figs

Involuntary craniofacial lingual movements in intensive care-acquired quadriplegia.

Science.gov (United States)

Cartagena, A M; Jog, M; Young, G B

2012-02-01

The syndrome of involuntary craniofacial lingual movements in the setting of acute intensive care-acquired quadriplegia (critical illness neuromyopathy) following sepsis-associated encephalopathy has not been previously described. We suggest a localization and treatment for this disabling condition. Three patients (2 female) from our center were quadriplegic from critical illness neuromyopathy when they developed involuntary craniofacial lingual movements following sepsis-associated encephalopathy. Extensive investigations failed to identify an etiology for the abnormal movements. Movements were of large amplitude, of moderate speed, and semi-rhythmic in the jaw, tongue, and palate, persistent and extremely bothersome to all patients. Injection with Botulinum toxin type A was very beneficial. Involuntary craniofacial lingual movements in the setting of flaccid quadriplegia following sepsis-associated encephalopathy are consistent with focal craniofacial brainstem myoclonus and constitutes a new syndrome. Botulinum toxin type A treatment maybe helpful in treatment.

Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case

International Nuclear Information System (INIS)

Munoz, M. Pilar; Dickey, David A.

2009-01-01

The objective of this paper is to investigate the relationships between Spanish electricity spot prices and the US dollar/Euro (USD/Euro) exchange rate during the period 2005-2007, taking into account the study of the association between dollar and oil prices, in order to better understand the evolution of the former over time. The first finding in this study is that Spanish electricity spots prices, the USD/Euro exchange rate and oil prices are cointegrated; therefore there is a long-run equilibrium relationship between the three variables. Short-run relationships have been detected between oil prices and Spanish electricity prices and USD/Euro exchange rate in the sense that Spanish electricity prices and USD/Euro exchange rate are affected by oil prices in the short run. There is a transmission of volatility between USD/Euro exchange rate and oil prices to Spanish electricity prices; so although Spanish electricity prices are not affected in level by the movements of USD/Euro exchange rate, they are in volatility. In this kind of scenario the conclusions confirm that for countries so dependent on external causes as Spain, one possible solution for guarantying the energy security would be the promotion of the renewable energies. Therefore we cannot ignore the impact in the internal expenses of the cost of installation and generation of green energies so there must be a balance between the increase in renewables and the reasonable market price of the electricity. (author)

ACCOUNTING ASPECTS OF PRICING AND TRANSFER PRICING

Directory of Open Access Journals (Sweden)

TÜNDE VERES

2011-01-01

Full Text Available The pricing methods in practice need really complex view of the business situation and depend on the strategy and market position of a company. The structure of a price seems simple: cost plus margin. Both categories are special area in the management accounting. Information about the product costs, the allocation methodologies in cost accounting, the analyzing of revenue and different level of the margin needs information from accounting system. This paper analyzes the pricing methods from management accounting aspects to show out the role of the accounting system in the short term and long term pricing and transfer pricing decisions.

Mo(ve)ment methodology – Researching conflictual meanings, double-binds and change in extreme life situations

DEFF Research Database (Denmark)

Mørck, Line Lerche

2015-01-01

and change in conduct of life. This moment-movement methodology is developed in close collaboration with a former biker-gang member - involved as a research apprentice. Together we are developing the methodology, while researching concrete processes of change from biker gang member towards becoming......The social practice theoretical moment-movement methodology explores significant moments in depth, such as moments of frustration, anger, engagement and (be)longing. The moments are conceptualized as part of broader conflictual struggles and processes (movements), which include both continuity...... are reflected when methodological aspects from Collective Biography Work is integrated with a social phenomenological concept of double bind situations (R.D. Laing) into a social practice theoretical moment-movement ethnography....

Were stocks during the financial crisis more jumpy: a comparative study

Czech Academy of Sciences Publication Activity Database

Novotný, Jan

-, č. 416 (2010), s. 1-57 ISSN 1211-3298 R&D Projects: GA ČR(CZ) GA402/08/1376; GA MŠk LC542 Grant - others:MŠk(CZ) SVV-2010-261801 Institutional research plan: CEZ:MSM0021620846 Keywords : financial markets * price jumps * extreme price movements Subject RIV: AH - Economics http://www.cerge-ei.cz/pdf/wp/Wp416.pdf

Gas Price Formation, Structure and Dynamics

Energy Technology Data Exchange (ETDEWEB)

Davoust, R.

2008-07-01

of the LNG supply chain implies rising LNG international arbitrage, cargoes being diverted to the most profitable destinations. Co-movements are then expected between regional quotes, leading to the potential emergence of a world gas market with a single price. (author)

Gas Price Formation, Structure and Dynamics

International Nuclear Information System (INIS)

Davoust, R.

2008-01-01

the LNG supply chain implies rising LNG international arbitrage, cargoes being diverted to the most profitable destinations. Co-movements are then expected between regional quotes, leading to the potential emergence of a world gas market with a single price. (author)

Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases

International Nuclear Information System (INIS)

Radchenko, S.

2005-01-01

This paper analyzes the effect of volatility in oil prices on the degree of asymmetry in the response of gasoline prices to oil price increases and decreases. Several time series measures of the asymmetry between the responses of gasoline prices to oil price increases and decreases and several measures of the oil price volatility are constructed. In all models, the degree of asymmetry in gasoline prices declines with an increase in oil price volatility. The results support the oligopolistic coordination theory as a likely explanation of the observed asymmetry and are not consistent with the standard search theory and the search theory with Bayesian updating. (author)

Effects of illumination on store atmosphere, price and quality perception, and shopping intention

DEFF Research Database (Denmark)

Zielke, Stephan; Schielke, Thomas

This paper analyzes how store lighting influences store atmosphere, price and quality perception, and the intention to shop in a retail store. A first experiment shows how the number and brightness of light beams influence these dependent variables. Results demonstrate that especially extreme...... combinations of both variables result in higher pleasure and shopping intention, while for price and quality perception different effects cancel each other out. A second experiment shows that orange light results in greater pleasure and shopping intention compared to blue light, when colors are saturated...

IS THE PRICE RIGHT? PRICING FOR LONG TERM PROFITABILITY

Directory of Open Access Journals (Sweden)

Andrea Erika NYÁRÁDI

2007-01-01

Full Text Available The way how we choose our pricing strategy has a significant impact on company’s success. Nowadays companies more and more adopt a new way of thinking in pricing, namely pricing for a long term period in order to bring higher profitability, to build an efficient pricing strategy. Marketers have only recently begun to focus seriously on effective pricing. These companies are the so called progressive companies. They have begun doing more than just worrying about pricing. To increase profitability many are abandoning traditional reactive pricing procedures in favor of proactive pricing, making explicit corporate decisions to change their focus to growth in top-line sales to growth in profitability. The long-term implications of price strategies are still under-researched, and managers should be aware of shifts in customer reactions that may result from frequent adoption of certain strategies. The company pricing strategy should be seen in relation to developments in the company variables, internal ones (capital strength, competencies, organizational conditions, efficiency of the work force etc. as well as external ones (customers, competitors, the technological development etc., adopting strategic pricing. In this paper I will present the most effective pricing strategies leading to long term profitability, and also suggest practical conditions for pricing strategies to maximize profit in the long run.

Patients' views on price shopping and price transparency.

Science.gov (United States)

Semigran, Hannah L; Gourevitch, Rebecca; Sinaiko, Anna D; Cowling, David; Mehrotra, Ateev

2017-06-01

Driven by the growth of high deductibles and price transparency initiatives, patients are being encouraged to search for prices before seeking care, yet few do so. To understand why this is the case, we interviewed individuals who were offered access to a widely used price transparency website through their employer. Qualitative interviews. We interviewed individuals enrolled in a preferred provider organization product through their health plan about their experience using the price transparency tool (if they had done so), their past medical experiences, and their opinions on shopping for care. All interviews were transcribed and manually coded using a thematic coding guide. In general, respondents expressed frustration with healthcare costs and had a positive opinion of the idea of price shopping in theory, but 2 sets of barriers limited their ability to do so in reality. The first was the salience of searching for price information. For example, respondents recognized that due to their health plan benefits design, they would not save money by switching to a lower-cost provider. Second, other factors were more important than price for respondents when choosing a provider, including quality and loyalty to current providers. We found a disconnect between respondents' enthusiasm for price shopping and their reported use of a price transparency tool to shop for care. However, many did find the tool useful for other purposes, including checking their claims history. Addressing the barriers to price shopping identified by respondents can help inform ongoing and future price transparency initiatives.

Universal scaling and nonlinearity of aggregate price impact in financial markets

Science.gov (United States)

Patzelt, Felix; Bouchaud, Jean-Philippe

2018-01-01

How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different time scales. Here we reveal that price impact has a universal nonlinear shape for trades aggregated on any intraday scale. Its shape varies little across instruments, but drastically different master curves are obtained for order-volume and -sign impact. The scaling is largely determined by the relevant Hurst exponents. We further show that extreme order-flow imbalance is not associated with large returns. To the contrary, it is observed when the price is pinned to a particular level. Prices move only when there is sufficient balance in the local order flow. In fact, the probability that a trade changes the midprice falls to zero with increasing (absolute) order-sign bias along an arc-shaped curve for all intraday scales. Our findings challenge the widespread assumption of linear aggregate impact. They imply that market dynamics on all intraday time scales are shaped by correlations and bilateral adaptation in the flows of liquidity provision and taking.

Strategies for risk management using the paper markets [to minimize oil price risks

International Nuclear Information System (INIS)

Annesley, M.

1993-01-01

The severe price movement experienced within energy markets during the last few years have awakened significant interest in hedging, and other uses of the futures, options, forward and derivative markets, to minimise price risk. There are two basic strands of structure of the markets now available for risk mangement. The first of these is the Exchange markets (IPE, NYMEX, and SIMEX) providing various futures and options alternatives; the second is the forward cargo contracts. The liquidity in these forward cargo markets, is variable but the contracts do provide some hedging and price risk management opportunities, which supplement and complement the Exchange markets, particularly for the professional risk managers and market makers. A range of forward markets is potentially available serving all regions. The more recent development of widely used derivative contracts, notably the swaps and price triggering in physical sale contracts, gives further alternatives from which interested companies may choose. The derivative market, although by definition off-exchange' may use either the Exchanges, forward markets or various oil publications for establishing their prices. Therefore, Exchange futures and options, forward markets and either standard or individually tailored derivatives all provide possible solutions to the risk management needs of coping with today's volatile prices. (author)

Analyzing the effects of past prices on reference price formation

OpenAIRE

van Oest, R.D.; Paap, R.

2004-01-01

textabstractWe propose a new reference price framework for brand choice. In this framework, we employ a Markov-switching process with an absorbing state to model unobserved price recall of households. Reference prices result from the prices households are able to remember. Our model can be used to learn how many prices observed in the past are used for reference price formation. Furthermore, we learn to what extent households have sufficient price knowledge to form an internal reference price...

Suction is kid's play: extremely fast suction in newborn seahorses

Science.gov (United States)

Van Wassenbergh, Sam; Roos, Gert; Genbrugge, Annelies; Leysen, Heleen; Aerts, Peter; Adriaens, Dominique; Herrel, Anthony

2009-01-01

Ongoing anatomical development typically results in a gradual maturation of the feeding movements from larval to adult fishes. Adult seahorses are known to capture prey by rotating their long-snouted head extremely quickly towards prey, followed by powerful suction. This type of suction is powered by elastic recoil and requires very precise coordination of the movements of the associated feeding structures, making it an all-or-none phenomenon. Here, we show that newborn Hippocampus reidi are able to successfully feed using an extremely rapid and powerful snout rotation combined with a high-volume suction, surpassing that observed in adult seahorses. An inverse dynamic analysis shows that an elastic recoil mechanism is also used to power head rotation in newborn H. reidi. This illustrates how extreme levels of performance in highly complex musculoskeletal systems can be present at birth given a delayed birth and rapid development of functionally important structures. The fact that the head skeleton of newborn seahorses is still largely cartilaginous may not be problematic because the hydrodynamic stress on the rotating snout appeared considerably lower than in adult syngnathids. PMID:19324657

Forecasting Day-Ahead Electricity Prices : Utilizing Hourly Prices

NARCIS (Netherlands)

E. Raviv (Eran); K.E. Bouwman (Kees); D.J.C. van Dijk (Dick)

2013-01-01

textabstractThe daily average price of electricity represents the price of electricity to be delivered over the full next day and serves as a key reference price in the electricity market. It is an aggregate that equals the average of hourly prices for delivery during each of the 24 individual

Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices

International Nuclear Information System (INIS)

Menezes, Lilian M. de; Houllier, Melanie A.; Tamvakis, Michael

2016-01-01

Long-run dynamics of electricity prices are expected to reflect fuel price developments, since fuels generally account for a large share in the cost of generation. As an integrated European market for electricity develops, wholesale electricity prices should be converging as a result of market coupling and increased interconnectivity. Electricity mixes are also changing, spurred by a drive to significantly increase the share of renewables. Consequently, the electricity wholesale price dynamics are evolving, and the fuel–electricity price nexus that has been described in the literature is likely to reflect this evolution. This study investigates associations between spot prices from the British, French and Nordpool markets with those in connected electricity markets and fuel input prices, from December 2005 to October 2013. In order to assess the time-varying dynamics of electricity spot price series, localized autocorrelation functions are used. Electricity spot prices in the three markets are found to have stationary and non-stationary periods. When a trend in spot prices is observed, it is likely to reflect the trend in fuel prices. Cointegration analysis is then used to assess co-movement between electricity spot prices and fuel inputs to generation. The results show that British electricity spot prices are associated with fuel prices and not with price developments in connected markets, while the opposite is observed in the French and Nordpool day-ahead markets. - Highlights: • Electricity market integration policies may have altered EU spot electricity prices. • LACF is used to assess the changing nature of electricity spot prices. • EU electricity spot prices show both stationary and non-stationary periods. • Carbon and fuel prices have greater impact on British spot prices. • In continental Europe, electricity prices have decoupled from fuel prices.

Efficient Pricing of CPPI using Markov Operators

OpenAIRE

Louis Paulot; Xavier Lacroze

2009-01-01

Constant Proportion Portfolio Insurance (CPPI) is a strategy designed to give participation in a risky asset while protecting the invested capital. Some gap risk due to extreme events is often kept by the issuer of the product: a put option on the CPPI strategy is included in the product. In this paper we present a new method for the pricing of CPPIs and options on CPPIs, which is much faster and more accurate than the usual Monte-Carlo method. Provided the underlying follows a homogeneous pr...

The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries

International Nuclear Information System (INIS)

Bastianin, Andrea; Conti, Francesca; Manera, Matteo

2016-01-01

We study the effects of crude oil price shocks on the stock market volatility of the G7 countries. We identify the causes underlying oil price shocks and gauge the impacts that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks. On the contrary, demand shocks impact significantly on the volatility of the G7 stock markets. Our results suggest that economic policies and financial regulation activities designed to mitigate the adverse effects of unexpected oil price movements should be designed by looking at the source of the oil price shocks. - Highlights: • Effects of oil price shocks on the stock market volatility of the G7 countries. • Econometric identification of the different causes of oil shocks. • Stock market volatility does not respond to oil supply shocks. • Demand shocks impact significantly on stock market volatility. • Policy measures should be designed by considering the source of oil shocks.

Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices

OpenAIRE

Raviv, Eran; Bouwman, Kees E.; van Dijk, Dick

2013-01-01

This discussion paper led to a publication in 'Energy Economics' , 2015, 50, 227-239. The daily average price of electricity represents the price of electricity to be delivered over the full next day and serves as a key reference price in the electricity market. It is an aggregate that equals the average of hourly prices for delivery during each of the 24 individual hours. This paper demonstrates that the disaggregated hourly prices contain useful predictive information for the daily average ...

THE ANALYSIS OF THE COMMODITY PRICE FORECASTING SUCCESS CONSIDERING DIFFERENT LENGTHS OF THE INITIAL CONDITION DRIFT

Directory of Open Access Journals (Sweden)

Marcela Lascsáková

2015-09-01

Full Text Available In the paper the numerical model based on the exponential approximation of commodity stock exchanges was derived. The price prognoses of aluminium on the London Metal Exchange were determined as numerical solution of the Cauchy initial problem for the 1st order ordinary differential equation. To make the numerical model more accurate the idea of the modification of the initial condition value by the stock exchange was realized. By having analyzed the forecasting success of the chosen initial condition drift types, the initial condition drift providing the most accurate prognoses for the commodity price movements was determined. The suggested modification of the original model made the commodity price prognoses more accurate.

Higher Education Prices and Price Indexes. 1976 Supplement.

Science.gov (United States)

Halstead, Kent D.

The 1976 supplement presents higher education price index data for fiscal years 1971 through 1976. The basic study, "Higher Education Prices and Price Indexes" (ED 123 996) presents complete descriptions of the indexes together with index values and price data for fiscal years 1961 through 1974. Indexes are presented for research and development,…

Another look on the relationships between oil prices and energy prices

International Nuclear Information System (INIS)

Lahiani, Amine; Miloudi, Anthony; Benkraiem, Ramzi; Shahbaz, Muhammad

2017-01-01

This paper employs the Quantile Autoregressive Distributed Lags (QARDL) model developed recently by Cho et al. (2015) to investigate the pass-through of oil prices to a set of energy prices. This approach allows analyzing simultaneously short-term connections and long-run cointegrating relationships across a range of quantiles. It also provides insights on the short-run predictive power of oil prices in predicting energy prices while accounting for the cointegration between oil prices and each of the considered energy prices in low, medium and high quantiles. Two key findings emerge from this paper. First, all considered energy prices are shown to be cointegrated with oil price across quantiles meaning that a stationaryequilibriumrelationship exists between single energy price and oil price. Second, we find evidence that oil price is a significant predictor of individual petroleum products prices and natural gas in the short run. This paper has important policy implications for forecasters, energy policy-makers and portfolio managers. - Highlights: • The pass-through of oil prices to a set of energy prices is investigated for US economy. • All considered energy prices are shown to be cointegrated with oil price across quantiles. • Oil price is a significant predictor of individual petroleum products prices in the short run. • Oil price also predicts natural gas prices in the short run.

Biomechanics of fall arrest using the upper extremity: age differences.

Science.gov (United States)

Kim, Kyu-Jung; Ashton-Miller, James A

2003-05-01

This study tried to isolate critical biomechanical factors in fall arrests using the upper extremity during simulated forward falls. This study also attempted to find the differences in those factors between young and old age groups. The role of the upper extremity is not well defined despite its primary usage as a local shock absorber during fall impact. Comparative study in which two age groups underwent motion analysis.Methods. Ten healthy older males (mean age, 66.4 years) and 10 young males (mean age, 24.1 years) volunteered to perform self-initiated and cable-released falls at selected falling distances, while the joint motion and impact forces at the hand were recorded. Significant age differences were demonstrated in joint kinematics and impact force parameters at close distances. Excessive reflexive responses of the upper extremity in cable-released falls for the older adults resulted in 10-15 times higher peak impact forces and 2-3 times shorter body braking time than in self-initiated falls. Pre-impact activities of the upper extremity predispose the post-impact response during fall arrests. Suppressing excessive pre-impact reflexive activation of the arms could efficiently decrease the risk of fall-related injuries, which calls for securing sufficient arm movement time. Any fall prevention strategy that can increase arm movement time would be effective against injuries of the upper extremity during falling in the older adults. The findings will help to understand underlying mechanisms of fall arrest using the upper extremity for prevention of fall-related fractures.

Implementation phase - future price movements guidelines for a new tariff system

International Nuclear Information System (INIS)

Mozina, J.

1996-01-01

Natural gas reserves in Slovenia are negligible and, therefore, almost all natural gas has to be imported. The natural gas sources are geographically far from Slovenia, and this fact has a great impact first on costs for providing natural gas, and second, on the possibilities to adjust natural gas prices with other alternative and competitive fuels. Countries that are geographically closer to natural gas sources have lower fixed costs in providing natural gas, while in the case of Slovenia fixed costs could exceed half of total costs. Therefore, those countries may have an essentially different market attitude and behaviour. In Slovenia, there are two levels of supplying customers with the natural gas, i.e.: (a) supplies through the Slovenian natural gas pipeline system to industry and distribution companies; (b) supplies through local distribution networks to households, commercial customers and minor industrial customers. With regard to certain differences existing between those two levels, each level has been using a specific system of setting natural gas price as well as a particular tariff system. This paper refers only to supplying the level mentioned under point a. The new tariff system needs to consider first of all the modes of the natural gas use and possibilities of alternative fuels use. On this basis it shall define competitive conditions, convenient for supplying the natural gas to all categories of customers. The system is going to be introduced in several steps so that all necessary and unavoidable changes shall be gradually implemented. A complete introduction of the new, and to the energy market better adjusted tariff system, depends on a simultaneous introduction of fiscal changes. Due to the great dependence of the introduction of the new tariff system on the appropriate fiscal and tax energy regime, the time necessary for a full introduction may vary. We estimate that the tariff system could be fully introduced in about two-year period, once it

Stochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity market

International Nuclear Information System (INIS)

Higgs, Helen; Worthington, Andrew

2008-01-01

It is commonly known that wholesale spot electricity markets exhibit high price volatility, strong mean-reversion and frequent extreme price spikes. This paper employs a basic stochastic model, a mean-reverting model and a regime-switching model to capture these features in the Australian national electricity market (NEM), comprising the interconnected markets of New South Wales, Queensland, South Australia and Victoria. Daily spot prices from 1 January 1999 to 31 December 2004 are employed. The results show that the regime-switching model outperforms the basic stochastic and mean-reverting models. Electricity prices are also found to exhibit stronger mean-reversion after a price spike than in the normal period, and price volatility is more than fourteen times higher in spike periods than in normal periods. The probability of a spike on any given day ranges between 5.16% in NSW and 9.44% in Victoria

International price comparisons for pharmaceuticals. Measurement and policy issues.

Science.gov (United States)

Danzon, P M; Kim, J D

1998-01-01

dropped. When such an approach is taken to the comparison of international drug prices, quite different results from those obtained from less comprehensive comparisons may be obtained. Indeed, a major conclusion of this analysis is that international drug price comparisons are extremely sensitive to choices made about certain key methodological issues, such as sample selection, unit of measurement for price and volume, the relative weight given to consumption patterns in the countries being compared, and the use of exchange rates or purchasing power parities for currency conversion. In particular, the results of this analysis indicate that recent reports suggesting that manufacturer prices in the US are 32% higher than in Canada and 60% higher than in the UK are in fact overstatements which arise from limitations of the sample and methods used to calculate these price differentials.

NanoSIMS Analysis of Intravascular Lipolysis and Lipid Movement across Capillaries and into Cardiomyocytes

DEFF Research Database (Denmark)

He, Cuiwen; Weston, Thomas A; Jung, Rachel S

2018-01-01

, mice were given an injection of [2H]triglyceride-enriched TRLs, and the movement of 2H-labeled lipids across capillaries and into cardiomyocytes was examined by NanoSIMS. TRL processing and lipid movement in tissues were extremely rapid. Within 30 s, TRL-derived lipids appeared in the subendothelial...

Extreme-scale Algorithms and Solver Resilience

Energy Technology Data Exchange (ETDEWEB)

Dongarra, Jack [Univ. of Tennessee, Knoxville, TN (United States)

2016-12-10

A widening gap exists between the peak performance of high-performance computers and the performance achieved by complex applications running on these platforms. Over the next decade, extreme-scale systems will present major new challenges to algorithm development that could amplify this mismatch in such a way that it prevents the productive use of future DOE Leadership computers due to the following; Extreme levels of parallelism due to multicore processors; An increase in system fault rates requiring algorithms to be resilient beyond just checkpoint/restart; Complex memory hierarchies and costly data movement in both energy and performance; Heterogeneous system architectures (mixing CPUs, GPUs, etc.); and Conflicting goals of performance, resilience, and power requirements.

Stock Price Simulation Using Bootstrap and Monte Carlo

Directory of Open Access Journals (Sweden)

Pažický Martin

2017-06-01

Full Text Available In this paper, an attempt is made to assessment and comparison of bootstrap experiment and Monte Carlo experiment for stock price simulation. Since the stock price evolution in the future is extremely important for the investors, there is the attempt to find the best method how to determine the future stock price of BNP Paribas′ bank. The aim of the paper is define the value of the European and Asian option on BNP Paribas′ stock at the maturity date. There are employed four different methods for the simulation. First method is bootstrap experiment with homoscedastic error term, second method is blocked bootstrap experiment with heteroscedastic error term, third method is Monte Carlo simulation with heteroscedastic error term and the last method is Monte Carlo simulation with homoscedastic error term. In the last method there is necessary to model the volatility using econometric GARCH model. The main purpose of the paper is to compare the mentioned methods and select the most reliable. The difference between classical European option and exotic Asian option based on the experiment results is the next aim of tis paper.

Pricing Mining Concessions Based on Combined Multinomial Pricing Model

Directory of Open Access Journals (Sweden)

Chang Xiao

2017-01-01

Full Text Available A combined multinomial pricing model is proposed for pricing mining concession in which the annualized volatility of the price of mineral products follows a multinomial distribution. First, a combined multinomial pricing model is proposed which consists of binomial pricing models calculated according to different volatility values. Second, a method is provided to calculate the annualized volatility and the distribution. Third, the value of convenience yields is calculated based on the relationship between the futures price and the spot price. The notion of convenience yields is used to adjust our model as well. Based on an empirical study of a Chinese copper mine concession, we verify that our model is easy to use and better than the model with constant volatility when considering the changing annualized volatility of the price of the mineral product.

Effects of exchange rate volatility on export volume and prices of forest products

Science.gov (United States)

Sijia Zhang; Joseph Buongiorno

2010-01-01

The relative value of currencies varies considerably over time. These fluctuations bring uncertainty to international traders. As a result, the volatility in exchange rate movements may influence the volume and the price of traded commodities. The volatility of exchange rates was measured by the variance of residuals in a GARCH(1,1) model of the exchange rate. We...

The impact of electricity price changes on industrial prices and the general price level in Korea

International Nuclear Information System (INIS)

Lim, Seul-Ye; Yoo, Seung-Hoon

2013-01-01

Electricity has played an important role in the economic development of Korea and, thus, has become a critical factor in sustaining the well-being of the Korean people. This study attempts to investigate the impact of electricity price changes on industrial prices and the general price level using input–output (I–O) analysis. To this end, we apply the I–O price model to the 2011 I–O table recently produced by the Bank of Korea, paying particular attention to the electricity sector by considering it as exogenous and then investigating its impacts. The impacts of the electricity price changes on each industrial sector's prices and the general price level are quantitatively derived. For example, the overall impact of a 10% increase in electricity price on the Korean national economy is estimated to be 0.4367%. We also report the results from the model with the electricity sector endogenous and the model with endogenous electricity and labor sectors. This information can be usefully utilized in decision-making regarding price management for electricity. - Highlights: • We investigate the impact of electricity price changes on the Korean economy. • We use the input–output (I–O) analysis specifying the electricity sector as exogenous. • We apply the I–O price model to 2010 I–O table produced by the Bank of Korea. • The impact of a 10% increase in electricity price on the Korean economy is 0.2176%

Evidence on the nature and extent of the relationship between oil prices and equity values in the UK

International Nuclear Information System (INIS)

El-Sharif, Idris; Brown, Dick; Burton, Bruce; Nixon, Bill; Russell, Alex

2005-01-01

A number of recent studies have found a link between movements in crude oil prices and equity values. However, the literature concentrates almost exclusively on North American and Australian data and is primarily conducted at a stock market-wide level. The present study therefore investigates the relationship between the price of crude oil and equity values in the oil and gas sector using data relating to the United Kingdom, the largest oil producer in the European Union. The evidence indicates that the relationship is always positive, often highly significant and reflects the direct impact of volatility in the price of crude oil on share values within the sector. (Author)

Price fairness

OpenAIRE

Diller, Hermann

2013-01-01

Purpose – The purpose of this article is to integrate the various strands of fair price research into a concise conceptual model. Design/methodology/approach – The proposed price fairness model is based on a review of the fair pricing literature, incorporating research reported in not only English but also German. Findings – The proposed fair price model depicts seven components of a fair price: distributive fairness, consistent behaviour, personal respect and regard for the partner, fair dea...

Effect of oil price on Nigeria’s food price volatility

Directory of Open Access Journals (Sweden)

Ijeoma C. Nwoko

2016-12-01

Full Text Available This study examines the effect of oil price on the volatility of food price in Nigeria. It specifically considers the long-run, short-run, and causal relationship between these variables. Annual data on oil price and individual prices of maize, rice, sorghum, soya beans, and wheat spanning from 2000 to 2013 were used. The price volatility for each crop was obtained using Generalized Autoregressive Conditional Heteroskedascity (GARCH (1, 1 model. Our measure of oil price is the Refiner acquisition cost of imported crude oil. The Augmented Dickey–Fuller and Phillip–Perron unit root tests show that all the variables are integrated of order one, I (1. Therefore, we use the Johansen co-integration test to examine the long-run relationship. Our results show that there is no long-run relationship between oil price and any of the individual food price volatility. Thus, we implement a VAR instead of a VECM to investigate the short-run relationship. The VAR model result revealed a positive and significant short-run relationship between oil price and each of the selected food price volatility with exception of that of rice and wheat price volatility. These results were further confirmed by the impulse response functions. The Granger causality test result indicates a unidirectional causality from oil price to maize, soya bean, and sorghum price volatilities but does not show such relationship for rice and wheat price volatilities. We draw some policy implications of these findings.

Comparison of three-dimensional lower extremity running kinematics of young adult and elderly runners.

Science.gov (United States)

Fukuchi, Reginaldo K; Duarte, Marcos

2008-11-01

The objective of this study was to compare the three-dimensional lower extremity running kinematics of young adult runners and elderly runners. Seventeen elderly adults (age 67-73 years) and 17 young adults (age 26-36 years) ran at 3.1 m x s(-1) on a treadmill while the movements of the lower extremity during the stance phase were recorded at 120 Hz using three-dimensional video. The three-dimensional kinematics of the lower limb segments and of the ankle and knee joints were determined, and selected variables were calculated to describe the movement. Our results suggest that elderly runners have a different movement pattern of the lower extremity from that of young adults during the stance phase of running. Compared with the young adults, the elderly runners had a substantial decrease in stride length (1.97 vs. 2.23 m; P = 0.01), an increase in stride frequency (1.58 vs. 1.37 Hz; P = 0.002), less knee flexion/extension range of motion (26 vs. 33 degrees ; P = 0.002), less tibial internal/external rotation range of motion (9 vs. 12 degrees ; P heel strike (-5.8 vs. -1.0 degrees ; P = 0.009), and greater asynchronies between the ankle and knee movements during running. These results may help to explain why elderly individuals could be more susceptible to running-related injuries.

High prevalence of abnormal motor repertoire at 3 months corrected age in extremely preterm infants.

Science.gov (United States)

Fjørtoft, Toril; Evensen, Kari Anne I; Øberg, Gunn Kristin; Songstad, Nils Thomas; Labori, Cathrine; Silberg, Inger Elisabeth; Loennecken, Marianne; Møinichen, Unn Inger; Vågen, Randi; Støen, Ragnhild; Adde, Lars

2016-03-01

To compare early motor repertoire between extremely preterm and term-born infants. An association between the motor repertoire and gestational age and birth weight was explored in extremely preterm infants without severe ultrasound abnormalities. In a multicentre study, the early motor repertoire of 82 infants born extremely preterm (ELGAN:<28 weeks) and/or with extremely low birth weight (ELBW:<1000 g) and 87 term-born infants were assessed by the "Assessment of Motor Repertoire - 2 to 5 Months" (AMR) which is part of Prechtl's "General Movement Assessment", at 12 weeks post-term age. Fidgety movements were classified as normal if present and abnormal if absent, sporadic or exaggerated. Concurrent motor repertoire was classified as normal if smooth and fluent and abnormal if monotonous, stiff, jerky and/or predominantly fast or slow. Eight-teen ELBW/ELGAN infants had abnormal fidgety movements (8 absent, 7 sporadic and 3 exaggerated fidgety movements) compared with 2 control infants (OR:12.0; 95%CI:2.7-53.4) and 46 ELBW/ELGAN infants had abnormal concurrent motor repertoire compared with 17 control infants (OR:5.3; 95%CI:2.6-10.5). Almost all detailed aspects of the AMR differed between the groups. Results were the same when three infants with severe ultrasound abnormalities were excluded. In the remaining ELBW/ELGAN infants, there was no association between motor repertoire and gestational age or birth weight. ELBW/ELGAN infants had poorer quality of early motor repertoire than term-born infants.The findings were not explained by severe abnormalities on neonatal ultrasound scans and were not correlated to the degree of prematurity. The consequences of these abnormal movement patterns remain to be seen in future follow-up studies. Copyright © 2015 European Paediatric Neurology Society. Published by Elsevier Ltd. All rights reserved.

Oil prices and the rise and fall of the U.S. real exchange rate

International Nuclear Information System (INIS)

Amano, R.A.; Norden, S. van.

1993-12-01

It is examined whether a link exists between oil price shocks and the U.S. real effective exchange rate. Data used for the study are described and their time series properties and the long-run explanatory power of oil prices for the real exchange rate are examined. Apparent causal relationships between exchange rates and oil prices are examined. An unrestricted error correction model is reduced until an error correction model with reasonable properties is derived. Results show that the two variables appear to be cointegrated and that causality runs from oil prices to the exchange rate and not vice-versa. The single equation error correction model linking these two variables is stable and captures much of the in- and out-of-sample movement in the exchange rate in dynamic simulation. Tests are presented to show that the error correction model has significant post-sample predictive ability for both the size and sign of changes in the real effective exchange rate. The results suggest that oil prices may have been the dominant source of persistant real exchange rate shocks over the post-Bretton Woods period and that energy prices may have important implications for future work on exchange rate behaviour. 61 refs., 3 figs., 7 tabs

Delivered Pricing, FOB Pricing, and Collusion in Spatial Markets

OpenAIRE

Maria Paz Espinosa

1992-01-01

This article examines price discrimination and collusion in spatial markets. The problem is analyzed in the context of a repeated duopoly game. I conclude that the prevailing pricing systems depend on the structural elements of the market. Delivered pricing systems emerge in equilibrium in highly monopolistic and highly competitive industries, while FOB is used in intermediate market structures. The fact driving this result is that delivered pricing policies allow spatial price discrimination...

Pricing and Trust

DEFF Research Database (Denmark)

Huck, Steffen; Ruchala, Gabriele K.; Tyran, Jean-Robert

-competitive (monopolistic) markets. We then introduce a regulated intermediate price above the oligopoly price and below the monopoly price. The effect in monopolies is more or less in line with standard intuition. As price falls volume increases and so does quality, such that overall efficiency is raised by 50%. However......We experimentally examine the effects of flexible and fixed prices in markets for experience goods in which demand is driven by trust. With flexible prices, we observe low prices and high quality in competitive (oligopolistic) markets, and high prices coupled with low quality in non...

Development and Reliability Evaluation of the Movement Rating Instrument for Virtual Reality Video Game Play.

Science.gov (United States)

Levac, Danielle; Nawrotek, Joanna; Deschenes, Emilie; Giguere, Tia; Serafin, Julie; Bilodeau, Martin; Sveistrup, Heidi

2016-06-01

Virtual reality active video games are increasingly popular physical therapy interventions for children with cerebral palsy. However, physical therapists require educational resources to support decision making about game selection to match individual patient goals. Quantifying the movements elicited during virtual reality active video game play can inform individualized game selection in pediatric rehabilitation. The objectives of this study were to develop and evaluate the feasibility and reliability of the Movement Rating Instrument for Virtual Reality Game Play (MRI-VRGP). Item generation occurred through an iterative process of literature review and sample videotape viewing. The MRI-VRGP includes 25 items quantifying upper extremity, lower extremity, and total body movements. A total of 176 videotaped 90-second game play sessions involving 7 typically developing children and 4 children with cerebral palsy were rated by 3 raters trained in MRI-VRGP use. Children played 8 games on 2 virtual reality and active video game systems. Intraclass correlation coefficients (ICCs) determined intra-rater and interrater reliability. Excellent intrarater reliability was evidenced by ICCs of >0.75 for 17 of the 25 items across the 3 raters. Interrater reliability estimates were less precise. Excellent interrater reliability was achieved for far reach upper extremity movements (ICC=0.92 [for right and ICC=0.90 for left) and for squat (ICC=0.80) and jump items (ICC=0.99), with 9 items achieving ICCs of >0.70, 12 items achieving ICCs of between 0.40 and 0.70, and 4 items achieving poor reliability (close-reach upper extremity-ICC=0.14 for right and ICC=0.07 for left) and single-leg stance (ICC=0.55 for right and ICC=0.27 for left). Poor video quality, differing item interpretations between raters, and difficulty quantifying the high-speed movements involved in game play affected reliability. With item definition clarification and further psychometric property evaluation, the MRI

Forecasting electricity market pricing using artificial neural networks

International Nuclear Information System (INIS)

Pao, Hsiao-Tien

2007-01-01

Electricity price forecasting is extremely important for all market players, in particular for generating companies: in the short term, they must set up bids for the spot market; in the medium term, they have to define contract policies; and in the long term, they must define their expansion plans. For forecasting long-term electricity market pricing, in order to avoid excessive round-off and prediction errors, this paper proposes a new artificial neural network (ANN) with single output node structure by using direct forecasting approach. The potentials of ANNs are investigated by employing a rolling cross validation scheme. Out of sample performance evaluated with three criteria across five forecasting horizons shows that the proposed ANNs are a more robust multi-step ahead forecasting method than autoregressive error models. Moreover, ANN predictions are quite accurate even when the length of the forecast horizon is relatively short or long

Rainfall Variability and the Recent Climate Extremes in Nigeria ...

African Journals Online (AJOL)

Recently, large and extended weather and climate extremes were recorded in different parts of the country, causing significant socio-economic impacts. Weather patterns affecting the country are driven by the northward and southward movement of the Inter-Tropical Discontinuity (ITD) as well as developments within the ...

Essays on energy derivatives pricing and financial risk management =

Science.gov (United States)

Madaleno, Mara Teresa da Silva

This thesis consists of an introductory chapter (essay I) and five more empirical essays on electricity markets and CO2 spot price behaviour, derivatives pricing analysis and hedging. Essay I presents the structure of the thesis and electricity markets functioning and characteristics, as well as the type of products traded, to be analyzed on the following essays. In the second essay we conduct an empirical study on co-movements in electricity markets resorting to wavelet analysis, discussing long-term dynamics and markets integration. Essay three is about hedging performance and multiscale relationships in the German electricity spot and futures markets, also using wavelet analysis. We concentrate the investigation on the relationship between coherence evolution and hedge ratio analysis, on a time-frequency-scale approach, between spot and futures which conditions the effectiveness of the hedging strategy. Essays four, five and six are interrelated between them and with the other two previous essays given the nature of the commodity analyzed, CO2 emission allowances, traded in electricity markets. Relationships between electricity prices, primary energy fuel prices and carbon dioxide permits are analyzed on essay four. The efficiency of the European market for allowances is examined taking into account markets heterogeneity. Essay five analyzes stylized statistical properties of the recent traded asset CO2 emission allowances, for spot and futures returns, examining also the relation linking convenience yield and risk premium, for the German European Energy Exchange (EEX) between October 2005 and October 2009. The study was conducted through empirical estimations of CO2 allowances risk premium, convenience yield, and their relation. Future prices from an ex-post perspective are examined to show evidence for significant negative risk premium, or else a positive forward premium. Finally, essay six analyzes emission allowances futures hedging effectiveness, providing

Putting a Price Tag on the Common Core: How Much Will Smart Implementation Cost?

Science.gov (United States)

Murphy, Patrick; Regenstein, Elliot

2012-01-01

The Common Core State Standards (CCSS) for English language arts and mathematics represent a sea change in standards-based reform and their implementation is the movement's next--and greatest--challenge. Yet, while most states have now set forth implementation plans, these tomes seldom address the crucial matter of cost. Putting a Price Tag on the…

Moving in extreme environments: what's extreme and who decides?

Science.gov (United States)

Cotter, James David; Tipton, Michael J

2014-01-01

Humans work, rest and play in immensely varied extreme environments. The term 'extreme' typically refers to insufficiency or excess of one or more stressors, such as thermal energy or gravity. Individuals' behavioural and physiological capacity to endure and enjoy such environments varies immensely. Adverse effects of acute exposure to these environments are readily identifiable (e.g. heat stroke or bone fracture), whereas adverse effects of chronic exposure (e.g. stress fractures or osteoporosis) may be as important but much less discernable. Modern societies have increasingly sought to protect people from such stressors and, in that way, minimise their adverse effects. Regulations are thus established, and advice is provided on what is 'acceptable' exposure. Examples include work/rest cycles in the heat, hydration regimes, rates of ascent to and duration of stay at altitude and diving depth. While usually valuable and well intentioned, it is important to realise the breadth and importance of limitations associated with such guidelines. Regulations and advisories leave less room for self-determination, learning and perhaps adaptation. Regulations based on stress (e.g. work/rest cycles relative to WBGT) are more practical but less direct than those based on strain (e.g. core temperature), but even the latter can be substantively limited (e.g. by lack of criterion validation and allowance for behavioural regulation in the research on which they are based). Extreme Physiology & Medicine is publishing a series of reviews aimed at critically examining the issues involved with self- versus regulation-controlled human movement acutely and chronically in extreme environments. These papers, arising from a research symposium in 2013, are about the impact of people engaging in such environments and the effect of rules and guidelines on their safety, enjoyment, autonomy and productivity. The reviews will cover occupational heat stress, sporting heat stress, hydration, diving

Dynamic cyclical comovements of oil prices with industrial production, consumer prices, unemployment, and stock prices

International Nuclear Information System (INIS)

Ewing, Bradley T.; Thompson, Mark A.

2007-01-01

This paper examines the empirical relationship between oil prices and several key macroeconomic variables. In particular, we investigate the cyclical comovements of crude oil prices with output, consumer prices, unemployment, and stock prices. The methodology involves the use of the Hodrick-Prescott [Hodrick, R.J., Prescott, E.C., 1980. Post-War US Business Cycles: An Empirical Investigation. Working Paper, Carnegie Mellon University] and Baxter-King [Baxter, M., King, R.G., 1999. Measuring business cycles: approximate band-pass filters for economic time series. Review of Economics and Statistics 81, 575-593] filters, as well as the recently developed full-sample asymmetric Christiano-Fitzgerald [Christiano, L.J., Fitzgerald, T.J., 2003. The band pass filter. International Economic Review 44, 435-465] band-pass filter. Contemporaneous and cross-correlation estimates are made using the stationary cyclical components of the time series to make inference about the degree to which oil prices move with the cycle. Besides documenting a number of important cyclical relationships using three different time series filtering methods, the results suggest that crude oil prices are procyclical and lag industrial production. Additionally, we find that oil prices lead consumer prices. (author)

Energy prices and agricultural commodity prices: Testing correlation using copulas method

International Nuclear Information System (INIS)

Koirala, Krishna H.; Mishra, Ashok K.; D'Antoni, Jeremy M.; Mehlhorn, Joey E.

2015-01-01

The linear relationships between energy prices and prices for agricultural commodities such as corn and soybeans may have been affected, over the last several years, by policy legislations in the farm sector, the Energy Independence and Security Act of 2007, and the Renewable Fuel Standard Program for 2014. Using high-frequency data and newer methodology, this study investigates dependence between agricultural commodity futures prices and energy futures prices. Results reveal that agricultural commodity and energy future prices are highly correlated and exhibit positive and significant relationship. Findings from this study highlight that an increase in energy price increases the price of agricultural commodities. - Highlights: • Energy policy mandates production of 15 billion gallons of corn ethanol by 2015. • Energy-intensive agriculture has a link between energy sector and crop production costs. • We investigate correlation between energy prices and agricultural commodity prices. • Agricultural commodity and energy future prices are highly correlated. • Increase in energy price increases the price of agricultural commodity

Impact of European pharmaceutical price regulation on generic price competition: a review.

Science.gov (United States)

Puig-Junoy, Jaume

2010-01-01

Although economic theory indicates that it should not be necessary to intervene in the generic drug market through price regulation, most EU countries intervene in this market, both by regulating the maximum sale price of generics (price cap) and by setting the maximum reimbursement rate, especially by means of reference pricing systems. We analyse current knowledge of the impact of direct price-cap regulation of generic drugs and the implementation of systems regulating the reimbursement rate, particularly through reference pricing and similar tools, on dynamic price competition between generic competitors in Europe. A literature search was carried out in the EconLit and PubMed databases, and on Google Scholar. The search included papers published in English or Spanish between January 2000 and July 2009. Inclusion criteria included that studies had to present empirical results of a quantitative nature for EU countries of the impact of price capping and/or regulation of the reimbursement rate (reference pricing or similar systems) on price dynamics, corresponding to pharmacy sales, in the generic drug market. The available evidence indicates that price-cap regulation leads to a levelling off of generic prices at a higher level than would occur in the absence of this regulation. Reference pricing systems cause an obvious and almost compulsory reduction in the consumer price of all pharmaceuticals subject to this system, to a varying degree in different countries and periods, the reduction being greater for originator-branded drugs than for generics. In several countries with a reference pricing system, it was observed that generics with a consumer price lower than the reference price do not undergo price reductions until the reference price is reduced, even when there are other lower-priced generics on the market (absence of price competition below the reference price). Beyond the price reduction forced by the price-cap and/or reference pricing regulation itself

Oil price shocks and economy: an open question

International Nuclear Information System (INIS)

Di Marzio, G.

2006-01-01

During the 1970s and 1980s advanced oil importing economies faced the adverse effects of oil supply disruptions with abrupt energy price rise, followed by sensible business cycle inversions and stagflation. The negative effects of the sharp energy price increase were amplified by factors such the induced costly resources reallocation between labour and capital, and between sectors of activity; rising uncertainty discouraging investments, and income redistribution consequences on aggregate demands After a shock the economic system generally adjusts in favour of less energy intensive industries; this leads pauses in production as part of the existing capital stock become obsolete, and causes resources under utilization. Since the 1970s a number of economists have been sceptical about why even large price shocks in a resource that accounts for less than 3-4 pct. of global GDP could cause losses of magnitude as those experienced in most advanced economies. They believe that monetary policy has played a role in generating the observed negative correlation between oil prices and economic activity, and question whether the post-oil-shock recessions were attributable to the oil price shocks themselves or to the monetary policy responding to these shocks. Empirical research largely shows a primary responsibility of large price shocks and major oil-supply disruptions on recessionary movements of GDP. Energy prices have risen sharply since 2003, driven by strengthening global demand; market fundamentals suggest that a considerable fraction of recent hikes will be permanent and current price levels remain credible. With limited spare capacity, the medium term oil supply-demand balance is expected to remain tight, and the price probably near current levels. Today' s high oil prices reflect the effects of sustained energy demand trends and, jointly, oil industry under investment during and after the low price era of the 1990s. The apparent moderate macro economic effects of the

Understanding Price Controls and Non-Price Competition with Matching Theory

OpenAIRE

Hatfield, John William; Plott, Charles R.; Tanaka, Tomomi

2012-01-01

We develop a quality competition model to understand how price controls affect market outcomes in buyer-seller markets with discrete goods of varying quality. While competitive equilibria do not necessarily exist in such markets when price controls are imposed, we show that stable outcomes do exist and characterize the set of stable outcomes in the presence of price restrictions. In particular, we show that price controls induce non-price competition: price floors induce the trade of ineffici...

Separated influence of crude oil prices on regional natural gas import prices

International Nuclear Information System (INIS)

Ji, Qiang; Geng, Jiang-Bo; Fan, Ying

2014-01-01

This paper analyses the impact of global economic activity and international crude oil prices on natural gas import prices in three major natural gas markets using the panel cointegration model. It also investigates the shock impacts of the volatility and the increase and decrease of oil prices on regional natural gas import prices. The results show that both global economic activity and international crude oil prices have significant long-term positive effects on regional natural gas import prices. The volatility of international crude oil prices has a negative impact on regional natural gas import prices. The shock impact is weak in North America, lags in Europe and is most significant in Asia, which is mainly determined by different regional policies for price formation. In addition, the response of natural gas import prices to increases and decreases in international crude oil prices shows an asymmetrical mechanism, of which the decrease impact is relatively stronger. - Highlights: • Impacts of world economy and oil prices on regional natural gas prices are analysed • North American natural gas prices are mainly affected by world economy • Asian and European natural gas prices are mainly affected by oil prices • The volatility of oil prices has a negative impact on regional natural gas prices • The response of natural gas import prices to oil prices up and down shows asymmetry

Probability distribution of extreme share returns in Malaysia

Science.gov (United States)

Zin, Wan Zawiah Wan; Safari, Muhammad Aslam Mohd; Jaaman, Saiful Hafizah; Yie, Wendy Ling Shin

2014-09-01

The objective of this study is to investigate the suitable probability distribution to model the extreme share returns in Malaysia. To achieve this, weekly and monthly maximum daily share returns are derived from share prices data obtained from Bursa Malaysia over the period of 2000 to 2012. The study starts with summary statistics of the data which will provide a clue on the likely candidates for the best fitting distribution. Next, the suitability of six extreme value distributions, namely the Gumbel, Generalized Extreme Value (GEV), Generalized Logistic (GLO) and Generalized Pareto (GPA), the Lognormal (GNO) and the Pearson (PE3) distributions are evaluated. The method of L-moments is used in parameter estimation. Based on several goodness of fit tests and L-moment diagram test, the Generalized Pareto distribution and the Pearson distribution are found to be the best fitted distribution to represent the weekly and monthly maximum share returns in Malaysia stock market during the studied period, respectively.

Estimating the commodity market price of risk for energy prices

International Nuclear Information System (INIS)

Kolos, Sergey P.; Ronn, Ehud I.

2008-01-01

The purpose of this paper is to estimate the ''market price of risk'' (MPR) for energy commodities, the ratio of expected return to standard deviation. The MPR sign determines whether energy forward prices are upward- or downward-biased predictors of expected spot prices. We estimate MPRs using spot and futures prices, while accounting for the Samuelson effect. We find long-term MPRs generally positive and short-term negative, consistent with positive energy betas and hedging, respectively. In spot electricity markets, MPRs in Day-Ahead Prices agree with short-dated futures. Our results relate risk premia to informed hedging decisions, and futures prices to forecast/expected prices. (author)

Oil price and food price volatility dynamics: The case of Nigeria

Directory of Open Access Journals (Sweden)

Ijeoma C. Nwoko

2016-12-01

Full Text Available This study examines the long and short run relationships between oil price and food price volatility as well as the causal link between them. The study used annual food price volatility index from FAO from 2000 to 2013 and crude oil price from U.S. Energy Information and Administration (EIA from 2000 to 2013. The Johansen and Jesulius co-integration test revealed that there is a long run relationship between oil price and domestic food price volatility. The vector error correction model indicated a positive and significant short run relationship between oil price and food price volatility. The Granger causality test revealed a unidirectional causality with causality running from oil price to food price volatility but not vice versa. It is recommended that policies and interventions that will help reduce uncertainty about food prices such as improved market information, trade policies and investment in research and development among others should be encouraged. Also to reduce the effect of oil price shock, it is recommended that government should subsidise pump price of refined oil, seek alternative sources of energy and there should be less dependence on oil for fertilizer production.

Why do stumpage prices increase more than lumber prices?

Science.gov (United States)

William G. Luppold; John E. Baumgras; John E. Baumgras

1998-01-01

Every sawmiller who has been in business more than 5 years realizes that hardwood stumpage prices tend to increase faster than lumber prices, decreasing the margin between these two prices. Although increases in stumpage versus lumber prices are readily apparent, the reason for the decrease in the margin is not. Recent research findings indicate that the stumpage/...

Essays in the Application of Linear and Non-linear Bayesian VAR Models to the Macroeconomic Impacts of Energy Price Shocks

Science.gov (United States)

Nguyen, Bao H.

This thesis is a collection of five self contained empirical macroeconomic papers on the asymmetric effects of energy price shocks on various economies. Chapter 1 formally determines the number of regime changes in the US natural gas market by employing a MS-VAR model. Estimated using Bayesian methods, three regimes are identified for the period 1980 - 2016, namely, before the Decontrol Act, after the Decontrol Act and the Recession. The results show that the natural gas market tends to be much more sensitive to market fundamental shocks occurring in a Recession regime than in the other regimes. Augmenting the model by incorporating the price of crude oil, the results reveal that the impacts of oil price shocks on natural gas prices are relatively small. Chapter 2 provides new empirical evidence on the asymmetric reactions of the U.S. natural gas market and the U.S. economy to its market fundamental shocks in different phases of the business cycle. To this end, we employ a ST-VAR model to capture the asymmetric responses depending on economic conditions. Our results indicate that in contrast to the prediction made by a linear VAR model, the STVAR model provides a plausible explanation to the behavior of the U.S. natural gas market, which asymmetrically reacts in bad times and good times. Chapter 3 examines the relationship between China's economic growth and global oil market fluctuations between 1992Q1 and 2015Q3. We find that: (1) the time varying parameter VAR with stochastic volatility provides a better fit as compared to it's constant counterparts; (2) the impacts of intertemporal global oil price shocks on China's output are often small and temporary in nature; (3) oil supply and specific oil demand shocks generally produce negative movements in China's GDP growth whilst oil demand shocks tend to have positive effects; (4) domestic output shocks have no significant impact on price or quantity movements within the global oil market. Chapter 4 examines the

Impact of company performances on the stock price: An empirical analysis on select companies in Serbia

Directory of Open Access Journals (Sweden)

Milošević-Avdalović Snežana

2017-01-01

Full Text Available The global financial crisis of the late 2007 has provoked unprecedented shocks to the world markets and weaken investors' confidence due to the turbulent movements and frequent changes of stock prices. Emerging capital markets suffer from unsatisfactory corporate governance, market manipulation and insider trade problems. In such circumstances, institutional investors, managers, analysts and other market participants are in constant search of the trading strategy that will outperform the market. This research is an instrument for the identification of the main determinants of stock prices on the Belgrade Stock Exchange. The panel data regression analysis includes 42 companies that represent the composition of the BelexLine index for the period from 2010 to 2014. The paper looks at the impact of specific (internal variables of companies, such as company size, return on assets, return on equity, earnings per stock, book value, price-earning ratio, price-to-book ratio and leverage and the stock price of companies that compose the BelexLine index. The results indicate that variables such as the size of the company measured by assets, return on assets, leverage, earnings per stock, book value and price-to-book ratio provide a unique contribution to a statistically significant predictor of stock prices.

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

Science.gov (United States)

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

2014-12-01

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

Consistent Estimation of Pricing Kernels from Noisy Price Data

OpenAIRE

Vladislav Kargin

2003-01-01

If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new method is suggested: relaxed maximization of the relative entropy. This estimator is also consistent. Keywords: $\\epsilon$-entropy, non-parametric estimation, pricing kernel, inverse problems.

A Retrospective Review from 2006 to 2011 of Lower Extremity Injuries in Badminton in New Zealand

Directory of Open Access Journals (Sweden)

Joanna Reeves

2015-06-01

Full Text Available Aim: To describe lower extremity injuries for badminton in New Zealand. Methods: Lower limb badminton injuries that resulted in claims accepted by the national insurance company Accident Compensation Corporation (ACC in New Zealand between 2006 and 2011 were reviewed. Results: The estimated national injury incidence for badminton injuries in New Zealand from 2006 to 2011 was 0.66%. There were 1909 lower limb badminton injury claims which cost NZ$2,014,337 (NZ$ value over 2006 to 2011. The age-bands frequently injured were 10–19 (22%, 40–49 (22%, 30–39 (14% and 50–59 (13% years. Sixty five percent of lower limb injuries were knee ligament sprains/tears. Males sustained more cruciate ligament sprains than females (75 vs. 39. Movements involving turning, changing direction, shifting weight, pivoting or twisting were responsible for 34% of lower extremity injuries. Conclusion: The knee was most frequently injured which could be due to multi-planar loading. Turning or cutting movements typically involve motion in the frontal and transverse planes that may place the knee at greater risk of injury than movement in the sagittal plane alone. Further research on badminton specific movements is warranted to better understand the mechanisms of lower extremity injuries in the sport. Sports medicine and support personnel should take into account the susceptibility of the knee to injury when designing training and injury prevention programmes given the large number of change of direction movements during badminton.

Analysis of Right Issue Announcement Effect toward Stock Price Movement and Stock Trading Volume within Issuer in Indonesia Stock Exchange

Directory of Open Access Journals (Sweden)

Wilson Yaputra Yakup

2016-05-01

Full Text Available The purpose of this study were to identify and analyze the rights issue effect to the stock price, the effect of the rights issue on stock trading volume, the correlation between stock prices before and after the right issue, as well as the correlation between volume of trading activity before the right issue and after that event. The objects of the study are the companies listed on Indonesia Stock Exchange (JSX. The hypothesis stated that right issues have a significant effect on stock price on companies listed on the JSX, rights issues have a significant effect on the stock trading volume on companies listed on the JSX, there is a significant correlation between stock price before and after the rights issue on companies listed in JSX, there is a significant correlation between volume of the stock trading before the rights issue and after that event. Data analysis used were descriptive statistics, simple linear regression analysis and paired t-test. Hypothesis testing was performed by using the Pearson correlation test with significance level of 5%. The results show that the right issue has a positive effect but not significant toward stock prices of companies listed in JSX, right issue has a negative effect and not significant toward the trading volume activity (TVA on companies listed in JSX.

Everyday movement and use of the arms: Relationship in children with hemiparesis differs from adults.

Science.gov (United States)

Sokal, Brad; Uswatte, Gitendra; Vogtle, Laura; Byrom, Ezekiel; Barman, Joydip

2015-01-01

In adults with hemiparesis amount of movement of the more-affected arm is related to its amount of use in daily life. In children, little is known about everyday arm use. This report examines the relationships between everyday movement of the more-affected arm and its (a) everyday use and (b) motor capacity in children with hemiparesis. Participants were 28 children with a wide range of upper-extremity hemiparesis subsequent to cerebral palsy due to pre- or peri-natal stroke. Everyday movement of the more-affected arm was assessed by putting accelerometers on the children's forearms for three days. Everyday use of that arm and its motor capacity were assessed with the Pediatric Motor Activity Log-Revised and Pediatric Arm Function Test, respectively. Intensity of everyday movement of the more-affected arm was correlated with its motor capacity (rs ≥ 0.52, ps ≤ 0.003). However, everyday movement of that arm was not correlated with its everyday use (rs ≤ 0.30, ps ≥ $ 0.126). In children with upper-extremity hemiparesis who meet the study intake criteria amount of movement of the more-affected arm in daily life is not related to its amount to use, suggesting that children differ from adults in this respect.

48 CFR 216.203 - Fixed-price contracts with economic price adjustment.

Science.gov (United States)

2010-10-01

... 48 Federal Acquisition Regulations System 3 2010-10-01 2010-10-01 false Fixed-price contracts with economic price adjustment. 216.203 Section 216.203 Federal Acquisition Regulations System DEFENSE... CONTRACTS Fixed-Price Contracts 216.203 Fixed-price contracts with economic price adjustment. ...

Price Regulations in a Multi-unit Uniform Price Auction

DEFF Research Database (Denmark)

Boom, Anette

not exceed the price cap whereas a selective bid cap for only the larger firms, does not guarantee this outcome. A sufficiently high bid floor always destroys pure strategy equilibria with equilibrium prices above the marginal costs, no matter whether the floor applies to all or only to relatively small......Inspired by recent regulations in the New York ICAP market we examine the effect of different price regulations on a multi-unit uniform price auction. We investigate a bid cap and a bid foor. Given suffciently high total capacities general bid caps always ensure that the market price does...

Price Regulations in a Multi-unit Uniform Price Auction

DEFF Research Database (Denmark)

Boom, Anette

Inspired by recent regulations in the New York ICAP market we examine the effect of different price regulations on a multi-unit uniform price auction. We investigate a bid cap and a bid foor. Given suffciently high total capacities general bid caps always ensure that the market price does...... not exceed the price cap whereas a selective bid cap for only the larger firms, does not guarantee this outcome. A sufficiently high bid floor always destroys pure strategy equilibria with equilibrium prices above the marginal costs, no matter whether the floor applies to all or only to relatively small...

48 CFR 3016.203 - Fixed price contracts with economic price adjustments.

Science.gov (United States)

2010-10-01

... 48 Federal Acquisition Regulations System 7 2010-10-01 2010-10-01 false Fixed price contracts with economic price adjustments. 3016.203 Section 3016.203 Federal Acquisition Regulations System DEPARTMENT OF... TYPES OF CONTRACTS Fixed-Price Contracts 3016.203 Fixed price contracts with economic price adjustments. ...

Using Computer Techniques To Predict OPEC Oil Prices For Period 2000 To 2015 By Time-Series Methods

Directory of Open Access Journals (Sweden)

Mohammad Esmail Ahmad

2015-08-01

Full Text Available The instability in the world and OPEC oil process results from many factors through a long time. The problems can be summarized as that the oil exports dont constitute a large share of N.I. only but it also makes up most of the saving of the oil states. The oil prices affect their market through the interaction of supply and demand forces of oil. The research hypothesis states that the movement of oil prices caused shocks crises and economic problems. These shocks happen due to changes in oil prices need to make a prediction within the framework of economic planning in a short run period in order to avoid shocks through using computer techniques by time series models.

Exporter Price Premia?

DEFF Research Database (Denmark)

Jäkel, Ina Charlotte; Sørensen, Allan

This paper provides new evidence on manufacturing firms' output prices: in Denmark, on average, exported varieties are sold at a lower price (i.e. a negative exporter price premium) relative to only domestically sold varieties. This finding stands in sharp contrast to previous studies, which have...... found positive exporter price premia. We also document that the exporter price premium varies substantially across products (both in terms of sign and magnitude). We show that in a standard heterogeneous firms model with heterogeneity in quality as well as production efficiency there is indeed no clear......-cut prediction on the sign of the exporter price premium. However, the model unambiguously predicts a negative exporter price premium in terms of quality-adjusted prices, i.e. prices per unit of quality. This prediction is broadly borne out in the Danish data: while the magnitude of the premium varies across...

Beyond the sticker price: including and excluding time in comparing food prices.

Science.gov (United States)

Yang, Yanliang; Davis, George C; Muth, Mary K

2015-07-01

An ongoing debate in the literature is how to measure the price of food. Most analyses have not considered the value of time in measuring the price of food. Whether or not the value of time is included in measuring the price of a food may have important implications for classifying foods based on their relative cost. The purpose of this article is to compare prices that exclude time (time-exclusive price) with prices that include time (time-inclusive price) for 2 types of home foods: home foods using basic ingredients (home recipes) vs. home foods using more processed ingredients (processed recipes). The time-inclusive and time-exclusive prices are compared to determine whether the time-exclusive prices in isolation may mislead in drawing inferences regarding the relative prices of foods. We calculated the time-exclusive price and time-inclusive price of 100 home recipes and 143 processed recipes and then categorized them into 5 standard food groups: grains, proteins, vegetables, fruit, and dairy. We then examined the relation between the time-exclusive prices and the time-inclusive prices and dietary recommendations. For any food group, the processed food time-inclusive price was always less than the home recipe time-inclusive price, even if the processed food's time-exclusive price was more expensive. Time-inclusive prices for home recipes were especially higher for the more time-intensive food groups, such as grains, vegetables, and fruit, which are generally underconsumed relative to the guidelines. Focusing only on the sticker price of a food and ignoring the time cost may lead to different conclusions about relative prices and policy recommendations than when the time cost is included. © 2015 American Society for Nutrition.

Fiscal Deficits and Stock Prices in India: Empirical Evidence

Directory of Open Access Journals (Sweden)

Pooja Joshi

2015-08-01

Full Text Available The study aims at examining how fiscal deficits affect the performance of the stock market in India by using annual data from 1988–2012. The study makes use of Ng-Perron unit root tests to check the non-stationarity property of the series; the Auto Regressive Distributed Lag (ARDL bounds test and a Vector Error Correction Model (VECM for testing both short and long run dynamic relationships. The variance decomposition (VDC is used to predict the exogenous shocks of the variables. The findings of the bounds test reveal that the estimated equation and the series are co-integrated. The ARDL results suggest a long run negative relationship exists between budget deficit and stock prices and do not show any significant relationship in the short run. The VECM result shows that fiscal deficits influence the stock price only in the short run. The results of the Variance Decomposition show that stock price movement in the long run is mostly explained by shocks of fiscal deficits. The study implies that the government must adopt appropriate macroeconomic policies to reduce budget deficit, which will result in stock market growth and in turn will lead to the financial development of the country.

Currency risk and prices of oil and petroleum products: a simulation with a quantitative model

International Nuclear Information System (INIS)

Aniasi, L.; Ottavi, D.; Rubino, E.; Saracino, A.

1992-01-01

This paper analyzes the relationship between the exchange rates of the US Dollar against the four major European currencies and the prices of oil and its main products in those countries. In fact, the sensitivity of the prices to the exchange rate movements is of fundamental importance for the refining and distribution industries of importing countries. The result of the analysis shows that in neither free market conditions, as those present in Great Britain, France and Germany, nor in regulated markets, i.e. the italian one, do the variations of petroleum product prices fully absorb the variation of the exchange rates. In order to assess the above relationship, we first tested the order of co-integration of the time series of exchange rates of EMS currencies with those of international prices of oil and its derivative products; then we used a transfer-function model to reproduce the quantitative relationships between those variables. Using these results, we then reproduced domestic price functions with partial adjustment mechanisms. Finally, we used the above model to run a simulation of the deviation from the steady-state pattern caused by exchange-rate exogenous shocks. 21 refs., 5 figs., 3 tabs

Cost assessment of the movement restriction policy in France during the 2006 bluetongue virus episode (BTV-8).

Science.gov (United States)

Tago, Damian; Hammitt, James K; Thomas, Alban; Raboisson, Didier

2014-12-01

This study aims at evaluating the costs of the movement restriction policy (MRP) during the 2006 BTV-8 epidemic in France for the producers of 6-9 month old Charolais beef weaned calves (BWC), an important sector that was severely affected by the restrictions imposed. This study estimates the change in the number of BWC sold that was due to the movement restrictions, and evaluates the economic effect of the MRP. The change in BWC sold by producers located inside the restriction zone (RZ) was analyzed for 2006 by using a multivariate matching approach to control for any internal validity threat. The economic evaluation of the MRP was based on several scenarios that describe farms' capacity constraints, feeding prices, and the animal's selling price. Results show that the average farmer experienced a 21% decrease in animals sold due to the MRP. The economic evaluation of the MRP shows a potential gain during the movement standstill period in the case of no capacity constraint faced by the farm and food self-sufficiency. This gain remains limited and close to zero in case of a low selling price and when animals are held until they no longer fit the BWC market so that they cannot be sold as an intermediate product. Capacity constraints represent a tremendous challenge to farmers facing movement restrictions and the fattening profit becomes negative under such conditions. The timing and length of the movement standstill period significantly affect the profitability of the strategy employed by the farmer: for a 5.5 month-long standstill period with 3.5 months of cold weather, farmers with capacity constraints have stronger incentives to leave their animals outside during the whole period and face higher mortality and morbidity rates than paying for a boarding facility for the cold months. This is not necessarily true for a shorter standstill period. Strategies are also sensitive to the feed costs and to the food self-sufficiency of the farm. Altogether, the present work

Price Recall, Bertrand Paradox and Price Dispersion With Elastic Demand

NARCIS (Netherlands)

Carvalho, M.

2009-01-01

This paper studies the consequence of an imprecise recall of the price by the consumers in the Bertrand price competition model for a homogeneous good. It is shown that firms can exploit this weakness and charge prices above the competitive price. This markup increases for rougher recall of the

Analyzing the effects of past prices on reference price formation

NARCIS (Netherlands)

R.D. van Oest (Rutger); R. Paap (Richard)

2004-01-01

textabstractWe propose a new reference price framework for brand choice. In this framework, we employ a Markov-switching process with an absorbing state to model unobserved price recall of households. Reference prices result from the prices households are able to remember. Our model can be used to

The Effect of Price on Surgeons' Choice of Implants: A Randomized Controlled Survey.

Science.gov (United States)

Wasterlain, Amy S; Melamed, Eitan; Bello, Ricardo; Karia, Raj; Capo, John T

2017-08-01

Surgical costs are under scrutiny and surgeons are being held increasingly responsible for cost containment. In some instances, implants are the largest component of total procedure cost, yet previous studies reveal that surgeons' knowledge of implant prices is poor. Our study aims to (1) understand drivers behind implant selection and (2) assess whether educating surgeons about implant costs affects implant selection. We surveyed 226 orthopedic surgeons across 6 continents. The survey presented 8 clinical cases of upper extremity fractures with history, radiographs, and implant options. Surgeons were randomized to receive either a version with each implant's average selling price ("price-aware" group), or a version without prices ("price-naïve" group). Surgeons selected a surgical implant and ranked factors affecting implant choice. Descriptive statistics and univariate, multivariable, and subgroup analyses were performed. For cases offering implants within the same class (eg, volar locking plates), price-awareness reduced implant cost by 9% to 11%. When offered different models of distal radius volar locking plates, 25% of price-naïve surgeons selected the most expensive plate compared with only 7% of price-aware surgeons. For cases offering different classes of implants (eg, plate vs external fixator), there was no difference in implant choice between price-aware and price-naïve surgeons. Familiarity with the implant was the most common reason for choosing an implant in both groups (35% vs 46%). Price-aware surgeons were more likely to rank cost as a factor (29% vs 21%). Price awareness significantly influences surgeons' choice of a specific model within the same implant class. Merely including prices with a list of implants leads surgeons to select less expensive implants. This implies that an untapped opportunity exists to reduce surgical expenditures simply by enhancing surgeons' cost awareness. Economic/Decision Analyses I. Copyright © 2017 American

Sovereign Default Analysis through Extreme Events Identification

Directory of Open Access Journals (Sweden)

Vasile George MARICA

2015-06-01

Full Text Available This paper investigates contagion in international credit markets through the use of a novel jump detection technique proposed by Chan and Maheuin (2002. This econometrical methodology is preferred because it is non-linear by definition and not a subject to volatility bias. Also, the identified jumps in CDS premiums are considered as outliers positioned beyond any stochastic movement that can and is already modelled through well-known linear analysis. Though contagion is hard to define, we show that extreme discrete movements in default probabilities inferred from CDS premiums can lead to sound economic conclusions about the risk profile of sovereign nations in international bond markets. We find evidence of investor sentiment clustering for countries with unstable political regimes or that are engaged in armed conflict. Countries that have in their recent history faced currency or financial crises are less vulnerable to external unexpected shocks. First we present a brief history of sovereign defaults with an emphasis on their increased frequency and geographical reach, as financial markets become more and more integrated. We then pass to a literature review of the most important definitions for contagion, and discuss what quantitative methods are available to detect the presence of contagion. The paper continues with the details for the methodology of jump detection through non-linear modelling and its use in the field of contagion identification. In the last sections we present the estimation results for simultaneous jumps between emerging markets CDS and draw conclusions on the difference of behavior in times of extreme movement versus tranquil periods.

Modelling the impact of oil prices on Vietnam's stock prices

International Nuclear Information System (INIS)

Narayan, Paresh Kumar; Narayan, Seema

2010-01-01

The goal of this paper is to model the impact of oil prices on Vietnam's stock prices. We use daily data for the period 2000-2008 and include the nominal exchange rate as an additional determinant of stock prices. We find that stock prices, oil prices and nominal exchange rates are cointegrated, and oil prices have a positive and statistically significant impact on stock prices. This result is inconsistent with theoretical expectations. The growth of the Vietnamese stock market was accompanied by rising oil prices. However, the boom of the stock market was marked by increasing foreign portfolio investment inflows which are estimated to have doubled from US$0.9 billion in 2005 to US$1.9 billion in 2006. There was also a change in preferences from holding foreign currencies and domestic bank deposits to stocks local market participants, and there was a rise in leveraged investment in stock as well as investments on behalf of relatives living abroad. It seems that the impact of these internal and domestic factors were more dominant than the oil price rise on the Vietnamese stock market. (author)

Drug Pricing Reforms

DEFF Research Database (Denmark)

Kaiser, Ulrich; Mendez, Susan J.; Rønde, Thomas

2015-01-01

Reference price systems for prescription drugs have found widespread use as cost containment tools. Under such regulatory regimes, patients co-pay a fraction of the difference between pharmacy retail price of the drug and a reference price. Reference prices are either externally (based on drug...... prices in other countries) or internally (based on domestic drug prices) determined. In a recent study, we analysed the effects of a change from external to internal reference pricing in Denmark in 2005, finding that the reform led to substantial reductions in prices, producer revenues, and expenditures...... for patients and the health insurance system. We also estimated an increase in consumer welfare but the size effect depends on whether or not perceived quality differences between branded and other drugs are taken into account....

Impaired Interlimb Coordination of Voluntary Leg Movements in Poststroke Hemiparesis

Science.gov (United States)

Tseng, Shih-Chiao

2010-01-01

Appropriate interlimb coordination of the lower extremities is particularly important for a variety of functional human motor behaviors such as jumping, kicking a ball, or simply walking. Specific interlimb coordination patterns may be especially impaired after a lesion to the motor system such as stroke, yet this has not been thoroughly examined to date. The purpose of this study was to investigate the motor deficits in individuals with chronic stroke and hemiparesis when performing unilateral versus bilateral inphase versus bilateral antiphase voluntary cyclic ankle movements. We recorded ankle angular trajectories and muscle activity from the dorsiflexors and plantarflexors and compared these between subjects with stroke and a group of healthy age-matched control subjects. Results showed clear abnormalities in both the kinematics and EMG of the stroke subjects, with significant movement degradation during the antiphase task compared with either the unilateral or the inphase task. The abnormalities included prolonged cycle durations, reduced ankle excursions, decreased agonist EMG bursts, and reduced EMG modulation across movement phases. By comparison, the control group showed nearly identical performance across all task conditions. These findings suggest that stroke involving the corticospinal system projection to the leg specifically impairs one or more components of the neural circuitry involved in lower extremity interlimb coordination. The express susceptibility of the antiphase pattern to exaggerated motor deficits could contribute to functional deficits in a number of antiphase leg movement tasks, including walking. PMID:20463199

ACCOUNTING ASPECTS OF PRICING AND TRANSFER PRICING

OpenAIRE

TÜNDE VERES

2011-01-01

The pricing methods in practice need really complex view of the business situation and depend on the strategy and market position of a company. The structure of a price seems simple: cost plus margin. Both categories are special area in the management accounting. Information about the product costs, the allocation methodologies in cost accounting, the analyzing of revenue and different level of the margin needs information from accounting system. This paper analyzes the pricing methods from m...

The Baby Moves prospective cohort study protocol: using a smartphone application with the General Movements Assessment to predict neurodevelopmental outcomes at age 2 years for extremely preterm or extremely low birthweight infants.

Science.gov (United States)

Spittle, A J; Olsen, J; Kwong, A; Doyle, L W; Marschik, P B; Einspieler, C; Cheong, Jly

2016-10-03

Infants born extremely preterm (EP; smartphone application (app) developed for caregivers to video and upload their infant's general movements to be scored remotely by a certified GMA assessor. The aim of this study is to determine the predictive ability of using the GMA via the Baby Moves app for neurodevelopmental impairment in infants born EP/ELBW. This prospective cohort study will recruit infants born EP/ELBW across the state of Victoria, Australia in 2016 and 2017. A control group of normal birth weight (>2500 g birth weight), term-born (≥37 weeks' gestation) infants will also be recruited as a local reference group. Parents will video their infant's general movements at two time points between 3 and 4 months' corrected age using the Baby Moves app. Videos will be scored by certified GMA assessors and classified as normal or abnormal. Parental satisfaction using the Baby Moves app will be assessed via survey. Neurodevelopmental outcome at 2 years' corrected age includes developmental delay according to the Bayley Scales of Infant and Toddler Development-III and cerebral palsy diagnosis. This study was approved by the Human Research and Ethics Committees at the Royal Children's Hospital, The Royal Women's Hospital, Monash Health and Mercy Health in Melbourne, Australia. Study findings will be disseminated via peer-reviewed publications and conference presentations. Published by the BMJ Publishing Group Limited. For permission to use (where not already granted under a licence) please go to http://www.bmj.com/company/products-services/rights-and-licensing/.

Transfer Pricing

DEFF Research Database (Denmark)

Nielsen, Søren Bo

2014-01-01

Against a background of rather mixed evidence about transfer pricing practices in multinational enterprises (MNEs) and varying attitudes on the part of tax authorities, this paper explores how multiple aims in transfer pricing can be pursued across four different transfer pricing regimes. A MNE h...

Natural gas pricing

International Nuclear Information System (INIS)

Freedenthal, C.

1993-01-01

Natural gas pricing is the heart and soul of the gas business. Price specifically affects every phase of the industry. Too low a price will result in short supplies as seen in the mid-1970s when natural gas was scarce and in tight supply. To fully understand the pricing of this energy commodity, it is important to understand the total energy picture. In addition, the effect and impact of world and US economies, and economics in general are crucial to understanding natural gas pricing. The purpose of this presentation will be to show the parameters going into US natural gas pricing including the influence of the many outside industry factors like crude oil and coal pricing, market drivers pushing the gas industry, supply/demand parameters, risk management for buyers and sellers, and other elements involved in pricing analysis

The Sustainable Seafood Movement Is a Governance Concert, with the Audience Playing a Key Role

Directory of Open Access Journals (Sweden)

Kate Barclay

2018-01-01

Full Text Available Private standards, including ecolabels, have been posed as a governance solution for the global fisheries crisis. The conventional logic is that ecolabels meet consumer demand for certified “sustainable” seafood, with “good” players rewarded with price premiums or market share and “bad” players punished by reduced sales. Empirically, however, in the markets where ecolabeling has taken hold, retailers and brands—rather than consumers—are demanding sustainable sourcing, to build and protect their reputation. The aim of this paper is to devise a more accurate logic for understanding the sustainable seafood movement, using a qualitative literature review and reflection on our previous research. We find that replacing the consumer-driven logic with a retailer/brand-driven logic does not go far enough in making research into the sustainable seafood movement more useful. Governance is a “concert” and cannot be adequately explained through individual actor groups. We propose a new logic going beyond consumer- or retailer/brand-driven models, and call on researchers to build on the partial pictures given by studies on prices and willingness-to-pay, investigating more fully the motivations of actors in the sustainable seafood movement, and considering audience beyond the direct consumption of the product in question.

AN EVALUATION OF POINT AND DENSITY FORECASTS FOR SELECTED EU FARM GATE MILK PRICES

Directory of Open Access Journals (Sweden)

Dennis Bergmann

2018-01-01

Full Text Available Fundamental changes to the common agricultural policy (CAP have led to greater market orientation which in turn has resulted in sharply increased variability of EU farm gate milk prices and thus farmers’ income. In this market environment reliable forecasts of farm gate milk prices are extremely important as farmers can make improved decisions with regards to cash flow management and budget preparation. In addition these forecasts may be used in setting fixed priced contracts between dairy farmers and processors thus providing certainty and reducing risk. In this study both point and density forecasts from various time series models for farm gate milk prices in Germany, Ireland and for an average EU price series are evaluated using a rolling window framework. Additionally forecasts of the individual models are combined using different combination schemes. The results of the out of sample evaluation show that ARIMA type models perform well on short forecast horizons (1 to 3 month while the structural time series approach performs well on longer forecast horizons (12 month. Finally combining individual forecasts of different models significantly improves the forecast performance for all forecast horizons.

Testing causal relationships between wholesale electricity prices and primary energy prices

International Nuclear Information System (INIS)

Nakajima, Tadahiro; Hamori, Shigeyuki

2013-01-01

We apply the lag-augmented vector autoregression technique to test the Granger-causal relationships among wholesale electricity prices, natural gas prices, and crude oil prices. In addition, by adopting a cross-correlation function approach, we test not only the causality in mean but also the causality in variance between the variables. The results of tests using both techniques show that gas prices Granger-cause electricity prices in mean. We find no Granger-causality in variance among these variables. -- Highlights: •We test the Granger-causality among wholesale electricity and primary energy prices. •We test not only the causality in mean but also the causality in variance. •The results show that gas prices Granger-cause electricity prices in mean. •We find no Granger-causality in variance among these variables

Consumer food choices: the role of price and pricing strategies.

Science.gov (United States)

Steenhuis, Ingrid H M; Waterlander, Wilma E; de Mul, Anika

2011-12-01

To study differences in the role of price and value in food choice between low-income and higher-income consumers and to study the perception of consumers about pricing strategies that are of relevance during grocery shopping. A cross-sectional study was conducted using structured, written questionnaires. Food choice motives as well as price perceptions and opinion on pricing strategies were measured. The study was carried out in point-of-purchase settings, i.e. supermarkets, fast-food restaurants and sports canteens. Adults (n 159) visiting a point-of-purchase setting were included. Price is an important factor in food choice, especially for low-income consumers. Low-income consumers were significantly more conscious of value and price than higher-income consumers. The most attractive strategies, according to the consumers, were discounting healthy food more often and applying a lower VAT (Value Added Tax) rate on healthy food. Low-income consumers differ in their preferences for pricing strategies. Since price is more important for low-income consumers we recommend mainly focusing on their preferences and needs.

An electricity price model with consideration to load and gas price effects.

Science.gov (United States)

Huang, Min-xiang; Tao, Xiao-hu; Han, Zhen-xiang

2003-01-01

Some characteristics of the electricity load and prices are studied, and the relationship between electricity prices and gas (fuel) prices is analyzed in this paper. Because electricity prices are strongly dependent on load and gas prices, the authors constructed a model for electricity prices based on the effects of these two factors; and used the Geometric Mean Reversion Brownian Motion (GMRBM) model to describe the electricity load process, and a Geometric Brownian Motion(GBM) model to describe the gas prices; deduced the price stochastic process model based on the above load model and gas price model. This paper also presents methods for parameters estimation, and proposes some methods to solve the model.

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

Science.gov (United States)

Herr, Annika; Suppliet, Moritz

2017-12-01

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

Recovering a time-homogeneous stock price process from perpetual option prices

OpenAIRE

Ekström, Erik; Hobson, David

2009-01-01

It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American options for different strikes, we show how to construct a time-homogeneous stock price model which reproduces the given option prices.

Revolutionaries, wanderers, converts, and compliants: Life histories of extreme right activists

NARCIS (Netherlands)

Linden, A.; Klandermans, P.G.

2007-01-01

Life-history interviews were conducted with thirty-six extreme right activists in the Netherlands (1996-1998). Becoming an activist was a matter of continuity, of conversion, or of compliance. Continuity denotes life histories wherein movement membership and participation are a natural consequence

How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing?

Directory of Open Access Journals (Sweden)

H. Raouf Sheybani

2016-09-01

Full Text Available In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncertainty in fuel price, day-ahead market pricing, and elasticity of consumers to strike price, premium price, and day-ahead price are taken into account in these models. By applying the presented models to a test system impact of day-ahead market pricing on equilibrium of joint put option and day-ahead markets are studied.

Gold prices

OpenAIRE

Joseph G. Haubrich

1998-01-01

The price of gold commands attention because it serves as an indicator of general price stability or inflation. But gold is also a commodity, used in jewelry and by industry, so demand and supply affect its pricing and need to be considered when gold is a factor in monetary policy decisions.

Determining Optimal Crude Oil Price Benchmark in Nigeria: An Empirical Approach

Directory of Open Access Journals (Sweden)

Saibu Olufemi Muibi

2015-12-01

Full Text Available This paper contributes to on-going empirical search for an appropriate crude oil price benchmark that ensures greater financial stability and efficient fiscal management in Nigeria. It adopted the seasonally adjusted ARIMA forecasting models using monthly data series from 2000m01 to 2012m12 to predict future movement in Nigeria crude oil prices. The paper derived a more robust and dynamic framework that accommodates fluctuation in crude oil price and also in government spending. The result shows that if the incessant withdrawal from the ECA fund and the increasing debt profile of government in recent times are factored into the benchmark, the real crude oil numerical fiscal rule is (US$82.3 for 2013 which is higher than the official benchmark of $75 used for 2013 and 2014 budget proposal. The paper argues that the current long run price rule based on 5-10 year moving average approach adopted by government is rigid and inflexible as a rule for managing Nigerian oil funds. The unrealistic assumption of the extant benchmark accounted for excessive depletion and lack of accountability of the excess crude oil account. The paper concludes that except the federal government can curtail its spending profligacy and adopts a more stringent fiscal discipline rules, the current benchmark is unrealistic and unsuitable for fiscal management of oil revenue in the context of Nigerian economic spending profile.

Co-movement of Africa's equity markets: Regional and global analysis in the frequency-time domains

Science.gov (United States)

Boako, Gideon; Alagidede, Paul

2017-02-01

This paper examines regional and global co-movement of Africa's stock markets using the three-dimensional continuous Morlet wavelet transform methodology. The analyses which are done in segments investigate co-movements with global markets; bilateral exchange rates expressed in US dollars and euro; and four regional markets in Africa. First, we find evidence of stronger co-movements broadly narrowed to short-run fluctuations. The co-movements are time-varying and commonly non-homogeneous - with phase difference arrow vectors implying lead-lag relationships. The presence of lead-lag effects and stronger co-movements at short-run fluctuations may induce arbitrage and diversification opportunities to both local and international investors with long-term investment horizons. The findings also reveal that some African equity markets are, to a degree, segmented from volatilities of the dollar and euro exchange rates. Thus, inferring that, ceteris paribus, international investors may diversify their portfolio investments across those markets without worrying about the effects of currency price volatility.

Extreme Value Theory and Value at Risk. Application to oil market

International Nuclear Information System (INIS)

Marimoutou, Velayoudoum; Raggad, Bechir; Trabelsi, Abdelwahed

2009-01-01

Recent increases in energy prices, especially oil prices, have become a principal concern for consumers, corporations, and governments. Most analysts believe that oil price fluctuations have considerable consequences on economic activity. Oil markets have become relatively free, resulting in a high degree of oil-price volatility and generating radical changes to world energy and oil industries. Consequently, oil markets are naturally vulnerable to significant high price shifts. An example of such a case is the oil embargo crisis of 1973. In this newly created climate, protection against market risk has become a necessity. Value at Risk (VaR) measures risk exposure at a given probability level and is very important for risk management. Appealing aspects of Extreme Value Theory (EVT) have made convincing arguments for its use in managing energy price risks. In this paper, we model VaR for long and short trading positions in oil market by applying both unconditional and conditional EVT models to forecast Value at Risk. These models are compared to the performances of other well-known modelling techniques, such as GARCH, Historical Simulation and Filtered Historical Simulation. Both conditional EVT and Filtered Historical Simulation procedures offer a major improvement over the conventional methods. Furthermore, GARCH(1, 1)-t model may provide equally good results which are comparable to two combined procedures. Finally, our results confirm the importance of filtering process for the success of standard approaches. (author)

Extreme Value Theory and Value at Risk. Application to oil market

Energy Technology Data Exchange (ETDEWEB)

Marimoutou, Velayoudoum [GREQAM, Universite de la Mediterranee, Institut Francais de Pondichery (France); Raggad, Bechir; Trabelsi, Abdelwahed [BESTMOD, Institut Superieur de Gestion de Tunis (Tunisia)

2009-07-15

Recent increases in energy prices, especially oil prices, have become a principal concern for consumers, corporations, and governments. Most analysts believe that oil price fluctuations have considerable consequences on economic activity. Oil markets have become relatively free, resulting in a high degree of oil-price volatility and generating radical changes to world energy and oil industries. Consequently, oil markets are naturally vulnerable to significant high price shifts. An example of such a case is the oil embargo crisis of 1973. In this newly created climate, protection against market risk has become a necessity. Value at Risk (VaR) measures risk exposure at a given probability level and is very important for risk management. Appealing aspects of Extreme Value Theory (EVT) have made convincing arguments for its use in managing energy price risks. In this paper, we model VaR for long and short trading positions in oil market by applying both unconditional and conditional EVT models to forecast Value at Risk. These models are compared to the performances of other well-known modelling techniques, such as GARCH, Historical Simulation and Filtered Historical Simulation. Both conditional EVT and Filtered Historical Simulation procedures offer a major improvement over the conventional methods. Furthermore, GARCH(1, 1)-t model may provide equally good results which are comparable to two combined procedures. Finally, our results confirm the importance of filtering process for the success of standard approaches. (author)

Response to Niklasson's comment on Lin, et al. (2012) : "the relation between postural movement and bilateral motor integration".

Science.gov (United States)

Lin, Chin-Kai; Kuo, Bor-Chen; Wu, Huey-Min

2014-10-01

In the study of Lin, Wu, Lin, Wu, Wu, Kuo, and Yeung (2012 ), the relationship between the validity of postural movement and bilateral motor integration in terms of sensory integration theory was examined. Postural movement is the ability to use the antigravity postures required for stabilization of the neck, trunk and upper extremities via muscle co-contractions in the neck and upper extremities, and balance. Niklasson's (2013 ) comment argued that postural movement should include primitive reflexes in terms of the general abilities approach. Niklasson (2013 ) focused on the efficacy of the treatment rather than the theoretical frameworks implied in the therapeutic activities. For that purpose Lin, et al. (2012 ) used sensory integration as the theoretical foundation, and the relationship between postural movement and bilateral motor integration was assessed via empirical data. The result of Lin, et al. (2012 ) was offered as a theoretical reference for therapeutic activities.

Value-based differential pricing: efficient prices for drugs in a global context.

Science.gov (United States)

Danzon, Patricia; Towse, Adrian; Mestre-Ferrandiz, Jorge

2015-03-01

This paper analyzes pharmaceutical pricing between and within countries to achieve second-best static and dynamic efficiency. We distinguish countries with and without universal insurance, because insurance undermines patients' price sensitivity, potentially leading to prices above second-best efficient levels. In countries with universal insurance, if each payer unilaterally sets an incremental cost-effectiveness ratio (ICER) threshold based on its citizens' willingness-to-pay for health; manufacturers price to that ICER threshold; and payers limit reimbursement to patients for whom a drug is cost-effective at that price and ICER, then the resulting price levels and use within each country and price differentials across countries are roughly consistent with second-best static and dynamic efficiency. These value-based prices are expected to differ cross-nationally with per capita income and be broadly consistent with Ramsey optimal prices. Countries without comprehensive insurance avoid its distorting effects on prices but also lack financial protection and affordability for the poor. Improving pricing efficiency in these self-pay countries includes improving regulation and consumer information about product quality and enabling firms to price discriminate within and between countries. © 2013 The Authors. Health Economics published by John Wiley & Sons Ltd.

Price movement in the Brazilian land market (1994-2010: an analysis in the light of post-Keynesian theory

Directory of Open Access Journals (Sweden)

TIAGO SANTOS TELLES

2016-03-01

Full Text Available ABSTRACT The present study aims to evaluate crop, pasture and forest land prices in Brazil, between 1994 and 2010, in the light of Post-Keynesian theory. The results provide evidence that land, more than just a simple factor of production, must be conceived of as an economic asset. In fact, the price of rural land is determined not only by the expected profitability deriving from agricultural activities but also by the agents' expectations about its future appreciation and liquidity in an economic environment permeated with uncertainty. In this context, as an object of speculation, land has been particularly important as a store of value.

Modeling the relationship between the oil price and global food prices

International Nuclear Information System (INIS)

Chen, Sheng-Tung; Kuo, Hsiao-I; Chen, Chi-Chung

2010-01-01

The growth of corn-based ethanol production and soybean-based bio-diesel production following the increase in the oil prices have significantly affect the world agricultural grain productions and its prices. The main purpose of this paper is to investigate the relationships between the crude oil price and the global grain prices for corn, soybean, and wheat. The empirical results show that the change in each grain price is significantly influenced by the changes in the crude oil price and other grain prices during the period extending from the 3rd week in 2005 to the 20th week in 2008 which implies that grain commodities are competing with the derived demand for bio-fuels by using soybean or corn to produce ethanol or bio-diesel during the period of higher crude oil prices in these recent years. The subsidy policies in relation to the bio-fuel industries in some nations engaging in bio-fuel production should be considered to avoid the consequences resulting from high oil prices. (author)

Energy prices and taxes

International Nuclear Information System (INIS)

2004-01-01

Energy Prices and Taxes contains a major international compilation of energy prices at all market levels: import prices, industry prices and consumer prices. The statistics cover main petroleum products, gas, coal and electricity, giving for imported products an average price both for importing country and country of origin. Every issue includes full notes on sources and methods and a description of price mechanisms in each country

Financial Fundamental Influence Analysis, SBI Interest Level and the Inflation Level of Share Price Movement

OpenAIRE

Sularto, Lana; Permana, Yogi

2008-01-01

A number of relevant information is required by investors who are interested in investing their funds in a capital market, especially in the form of stocks. An efficient capital market is that market that provides all relevant information to stock prices. This information could be obtained through fundamental financial performance of emiten and macroeconomic conditions. The present study aims are to analyze the effect of fundamen...

Public sentiment analysis in Twitter data for prediction of a company's stock price movements

NARCIS (Netherlands)

Li, B.; Chan, K.C.C.; Ou, C.X.J.; Li, Y.; Guo, J.

2014-01-01

There has recently been some effort to mine social media for public sentiment analysis. Studies have suggested that public emotions shown through Tweeter may well be correlated with the Dow Jones Industrial Average. However, can public sentiment be analyzed to predict the movements of the stock

Psychological Prices and Price Rigidity in Grocery Retailing: Analysis of German Scanner Data

OpenAIRE

Herrmann, Roland; Moeser, Anke

2005-01-01

A substantial degree of price rigidity has been reported for branded foods in various studies with scanner data. One possible explanation for price rigidity is the existence of psychological pricing points. We analyze to which extent psychological pricing plays a role in grocery retailing and whether it contributes to price rigidity of branded foods in Germany. Psychological pricing defined here as just-below-the-round-figure-pricing is empirically analyzed with scanner data of weekly prices ...

A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices

Directory of Open Access Journals (Sweden)

Daniel Leonhardt

2017-09-01

Full Text Available Energy commodities and their futures naturally show cointegrated price movements. However, there is empirical evidence that the prices of futures with different maturities might have, e.g., different jump behaviours in different market situations. Observing commodity futures over time, there is also evidence for different states of the underlying volatility of the futures. In this paper, we therefore allow for cointegration of the term structure within a multi-factor model, which includes seasonality, as well as joint and individual jumps in the price processes of futures with different maturities. The seasonality in this model is realized via a deterministic function, and the jumps are represented with thinned-out compound Poisson processes. The model also includes a regime-switching approach that is modelled through a Markov chain and extends the class of geometric models. We show how the model can be calibrated to empirical data and give some practical applications.

Value-based pricing

OpenAIRE

Netseva-Porcheva Tatyana

2010-01-01

The main aim of the paper is to present the value-based pricing. Therefore, the comparison between two approaches of pricing is made - cost-based pricing and value-based pricing. The 'Price sensitively meter' is presented. The other topic of the paper is the perceived value - meaning of the perceived value, the components of perceived value, the determination of perceived value and the increasing of perceived value. In addition, the best company strategies in matrix 'value-cost' are outlined. .

How do minimum cigarette price laws affect cigarette prices at the retail level?

Science.gov (United States)

Feighery, E C; Ribisl, K M; Schleicher, N C; Zellers, L; Wellington, N

2005-04-01

Half of US states have minimum cigarette price laws that were originally passed to protect small independent retailers from unfair price competition with larger retailers. These laws prohibit cigarettes from being sold below a minimum price that is set by a formula. Many of these laws allow cigarette company promotional incentives offered to retailers, such as buydowns and master-type programmes, to be calculated into the formula. Allowing this provision has the potential to lower the allowable minimum price. This study assesses whether stores in states with minimum price laws have higher cigarette prices and lower rates of retailer participation in cigarette company promotional incentive programmes. Retail cigarette prices and retailer participation in cigarette company incentive programmes in 2001 were compared in eight states with minimum price laws and seven states without them. New York State had the most stringent minimum price law at the time of the study because it excluded promotional incentive programmes in its price setting formula; cigarette prices in New York were compared to all other states included in the study. Cigarette prices were not significantly different in our sample of US states with and without cigarette minimum price laws. Cigarette prices were significantly higher in New York stores than in the 14 other states combined. Most existing minimum cigarette price laws appear to have little impact on the retail price of cigarettes. This may be because they allow the use of promotional programmes, which are used by manufacturers to reduce cigarette prices. New York's strategy to disallow these types of incentive programmes may result in higher minimum cigarette prices, and should also be explored as a potential policy strategy to control cigarette company marketing practices in stores. Strict cigarette minimum price laws may have the potential to reduce cigarette consumption by decreasing demand through increased cigarette prices and reduced

48 CFR 5416.203 - Fixed-price contracts with economic price adjustment.

Science.gov (United States)

2010-10-01

... 48 Federal Acquisition Regulations System 7 2010-10-01 2010-10-01 false Fixed-price contracts with economic price adjustment. 5416.203 Section 5416.203 Federal Acquisition Regulations System DEFENSE LOGISTICS AGENCY, DEPARTMENT OF DEFENSE TYPES OF CONTRACTS Fixed Price Contracts 5416.203 Fixed-price...

The Earnings/Price Risk Factor in Capital Asset Pricing Models

Directory of Open Access Journals (Sweden)

Rafael Falcão Noda

2015-01-01

Full Text Available This article integrates the ideas from two major lines of research on cost of equity and asset pricing: multi-factor models and ex ante accounting models. The earnings/price ratio is used as a proxy for the ex ante cost of equity, in order to explain realized returns of Brazilian companies within the period from 1995 to 2013. The initial finding was that stocks with high (low earnings/price ratios have higher (lower risk-adjusted realized returns, already controlled by the capital asset pricing model's beta. The results show that selecting stocks based on high earnings/price ratios has led to significantly higher risk-adjusted returns in the Brazilian market, with average abnormal returns close to 1.3% per month. We design asset pricing models including an earnings/price risk factor, i.e. high earnings minus low earnings, based on the Fama and French three-factor model. We conclude that such a risk factor is significant to explain returns on portfolios, even when controlled by size and market/book ratios. Models including the high earnings minus low earnings risk factor were better to explain stock returns in Brazil when compared to the capital asset pricing model and to the Fama and French three-factor model, having the lowest number of significant intercepts. These findings may be due to the impact of historically high inflation rates, which reduce the information content of book values, thus making the models based on earnings/price ratios better than those based on market/book ratios. Such results are different from those obtained in more developed markets and the superiority of the earnings/price ratio for asset pricing may also exist in other emerging markets.

Reliability of a New Lower-Extremity Motor Coordination Test

Directory of Open Access Journals (Sweden)

Antosiak-Cyrak Katarzyna

2015-12-01

Full Text Available Introduction. Motor coordination is a basic motor ability necessary for daily life, which also allows athletes to win a sports rivalry and patients to assess their recovery progress after therapy and rehabilitation. The aim of the present study was to assess the reliability of a new lower-extremity rate of movements test and testing apparatus.

Exchange rate pass-through and the frequency of price adjustment across different inflation regimes

Directory of Open Access Journals (Sweden)

Petrović Pavle

2015-01-01

Full Text Available The paper explores the link between the inflationary environment and the size of the exchange rate pass-through (ERPT into domestic prices, as inflation descends from an extreme, second highest and second longest hyperinflation in the 20th century, to high and then moderate inflation in Serbia. We found that ERPT decreases with a decline in the inflation level, variability and persistence, thus supplementing findings previously acquired in panel studies across countries. Our findings can be explained by surging empirical evidence on state contingent behavior of pricing, which indicates a sharp increase in the frequency of price adjustment as one moves from moderate, via high to hyperinflation, suggesting that the degree of price rigidities is a key determinant of the size and speed of ERPT. ERPT estimates are embedded in careful analysis of inflation episodes in Serbia, showing that hyper and high inflation episodes subscribe to the same, fiscal explanation, as opposed to the moderate inflation ones, where supply and demand shocks have been the main inflation drivers.

48 CFR 16.203 - Fixed-price contracts with economic price adjustment.

Science.gov (United States)

2010-10-01

... 48 Federal Acquisition Regulations System 1 2010-10-01 2010-10-01 false Fixed-price contracts with economic price adjustment. 16.203 Section 16.203 Federal Acquisition Regulations System FEDERAL ACQUISITION REGULATION CONTRACTING METHODS AND CONTRACT TYPES TYPES OF CONTRACTS Fixed-Price Contracts 16.203 Fixed-price...

Potential impacts of electricity price changes on price formation in the economy: a social accounting matrix price modeling analysis for Turkey

International Nuclear Information System (INIS)

Akkemik, K. Ali

2011-01-01

Recent reforms in the Turkish electricity sector since 2001 aim to introduce a tariff system that reflects costs. This is expected to affect the production and consumer prices of electricity. The changes in electricity prices are then reflected in production costs in other segments of the economy. Subsequently, producer and consumer prices will be affected. The potential impact of the changes in electricity prices that the ongoing electricity reforms in Turkey will bring about may have important implications on the price formation in economic activities and the cost of living for households. This paper evaluates the potential impacts of changes in electricity prices from a social accounting matrix (SAM) price modeling perspective. It is found that based on the estimated price multipliers that prices in the energy-producing sectors, mining, and iron and steel manufacturing sectors would be affected more severely than the remaining sectors of the economy. Consumer prices are affected slightly less than producer prices. - Research Highlights: → The impact of electricity generation costs on prices in other sectors is modeled. → A micro-SAM emphasizing electricity supply is constructed using 2002 I-O tables. → Energy, mining, and steel sectors are more responsive to electricity costs. → Living costs are less responsive to electricity cost changes than producer prices.

Value-based pricing

Directory of Open Access Journals (Sweden)

Netseva-Porcheva Tatyana

2010-01-01

Full Text Available The main aim of the paper is to present the value-based pricing. Therefore, the comparison between two approaches of pricing is made - cost-based pricing and value-based pricing. The 'Price sensitively meter' is presented. The other topic of the paper is the perceived value - meaning of the perceived value, the components of perceived value, the determination of perceived value and the increasing of perceived value. In addition, the best company strategies in matrix 'value-cost' are outlined. .

The Volatility of Oil Prices on Stock Exchanges in the Context of Recent Events

Directory of Open Access Journals (Sweden)

Popescu Maria-Floriana

2016-04-01

Full Text Available Oil along with currencies and gold are the main indicators of the most important processes which take place in the world economy, quotations’ volatility being always followed by economic and social events. Quiet periods of oil prices, when quotations have a constant evolution or only suffer minor fluctuations, are very rare. Most of the time, very sharp price increases or decreases are happening over night or week. This is mostly due to the fact that the oil market is extremely speculative, being influenced by political, military, social, or meteorological events. Since the major oil price shocks of the 70s, the impact of oil price changes on the economic reality of a country or region has been widely studied by academic researchers. Moreover, the stock market plays an important role in the economic welfare and development of a country. Therefore, a vast number of studies have investigated the relationship between oil prices and stock market returns, being discovered significant effects of oil price shocks on the macroeconomic activity for both developed and emerging countries. The purpose of this study is to investigate the volatility of oil prices on stock exchanges taking into consideration the recent events that have affected the oil markets around the globe. Furthermore, based on the findings of this research, some possible scenarios will be developed, taking into account various events that might take place and their potential outcome for oil prices’ future.

Transfer Pricing

DEFF Research Database (Denmark)

Rohde, Carsten; Rossing, Christian Plesner

trade internally as the units have to decide what prices should be paid for such inter-unit transfers. One important challenge is to uncover the consequences that different transfer prices have on the willingness in the organizational units to coordinate activities and trade internally. At the same time...... the determination of transfer price will affect the size of the profit or loss in the organizational units and thus have an impact on the evaluation of managers‟ performance. In some instances the determination of transfer prices may lead to a disagreement between coordination of the organizational units...

The discount framing in different pricing schemes: Combined versus partitioned pricing

OpenAIRE

Matthew Lee; Dr. Frankie Law

2015-01-01

Pricing is one of the most sophisticated and critical issues which managers have to face. It is obvious that managers have been undervaluing the behavioural and psychological perspective of pricing for many years. With a clear understanding of behavioural pricing, managers are able to make extra profit for their firms. In the current study, it was interesting to investigating exactly how manipulation of discounts in the combined pricing scheme and partitioned pricing scheme affects the purcha...

Sensitivity of price elasticity of demand to aggregation, unobserved heterogeneity, price trends, and price endogeneity: Evidence from U.S. Data

International Nuclear Information System (INIS)

Miller, Mark; Alberini, Anna

2016-01-01

Price elasticity estimates of residential electricity demand vary widely across the energy economics and policy literature. In this paper, we seek to explain these findings using three nationwide datasets from the U.S. – the American Housing Survey, Forms EIA-861, and the Residential Energy Consumption Survey. We examine the role of the sample period, level of aggregation, use of panel data, use of instrumental variables, and inclusion of housing characteristics and capital stock. Our findings suggest that price elasticities have remained relatively constant over time. Upon splitting our panel datasets into annual cross sections, we do observe a negative relationship between price elasticities and the average price. Whether prices are rising or falling appears to have little effect on our estimates. We also find that aggregating our data can result in both higher and lower price elasticity estimates, depending on the dataset used, and that controlling for unit-level fixed effects with panel data generally results in more inelastic demand functions. Addressing the endogeneity of price and/or measurement error in price with instrumental variables has a small but noticeable effect on the price elasticities. Finally, controlling for housing characteristics and capital stock produces a lower price elasticity. - Highlights: • The price elasticity of residential electricity demand varies widely across studies. • We use three large datasets from the US to examine reasons for such wide variation. • Some assessed effects include aggregation, unobserved heterogeneity, and price trends. • Correcting for such issues can change the estimated price elasticity by 50–100%.

MARKET ECONOMICS PRICING PARTICULARS

Directory of Open Access Journals (Sweden)

V. I. Parshin

2011-01-01

Full Text Available The price performs several economic functions: accounting, stimulation, distribution, demand and offer balancing, serving as production site rational choice criterion, information. Most important pricing principles are: price scientific and purpose-aimed substantiation, single pricing and price control process. Pricing process factors are external, internal, basic (independent on money-market, market-determined and controlling. Different pricing methods and models are to be examined, recommendations on practical application of those chosen are to be written.

Target Price Accuracy

Directory of Open Access Journals (Sweden)

Alexander G. Kerl

2011-04-01

Full Text Available This study analyzes the accuracy of forecasted target prices within analysts’ reports. We compute a measure for target price forecast accuracy that evaluates the ability of analysts to exactly forecast the ex-ante (unknown 12-month stock price. Furthermore, we determine factors that explain this accuracy. Target price accuracy is negatively related to analyst-specific optimism and stock-specific risk (measured by volatility and price-to-book ratio. However, target price accuracy is positively related to the level of detail of each report, company size and the reputation of the investment bank. The potential conflicts of interests between an analyst and a covered company do not bias forecast accuracy.

STS pricing policy

Science.gov (United States)

Lee, C. M.; Stone, B.

1982-01-01

In 1977 NASA published Shuttle Reimbursement Policies for Civil U.S. Government, DOD and Commercial and Foreign Users. These policies were based on the principle of total cost recovery over a period of time with a fixed flat price for initial period to time to enhance transition. This fixed period was to be followed with annual adjustments thereafter, NASA is establishing a new price for 1986 and beyond. In order to recover costs, that price must be higher than the initial fixed price through FY 1985. NASA intends to remain competitive. Competitive posture includes not only price, but other factors such as assured launch, reliability, and unique services. NASA's pricing policy considers all these factors.

Cross-border electricity market effects due to price caps in an emission trading system: An agent-based approach

International Nuclear Information System (INIS)

Richstein, Jörn C.; Chappin, Emile J.L.; Vries, Laurens J. de

2014-01-01

The recent low CO 2 prices in the European Union Emission Trading Scheme (EU ETS) have triggered a discussion whether the EU ETS needs to be adjusted. We study the effects of CO 2 price floors and a price ceiling on the dynamic investment pathway of two interlinked electricity markets (loosely based on Great Britain, which already has introduced a price floor, and on Central Western Europe). Using an agent-based electricity market simulation with endogenous investment and a CO 2 market (including banking), we analyse the cross-border effects of national policies as well as system-wide policy options. A common, moderate CO 2 auction reserve price results in a more continuous decarbonisation pathway. This reduces CO 2 price volatility and the occurrence of carbon shortage price periods, as well as the average cost to consumers. A price ceiling can shield consumers from extreme price shocks. These price restrictions do not cause a large risk of an overall emissions overshoot in the long run. A national price floor lowers the cost to consumers in the other zone; the larger the zone with the price floor, the stronger the effect. Price floors that are too high lead to inefficiencies in investment choices and to higher consumer costs. - Highlights: • Cross-border effects of CO 2 policies were investigated with an agent-based model. • The current EU ETS might cause CO 2 price shocks and CO 2 price volatility. • A CO 2 auction reserve price does not lower welfare, but lowers CO 2 price volatility. • A national CO 2 price floor lowers consumer cost in the other countries. • A CO 2 price ceiling does not lead to an overshoot of emissions

Evaluating the movement of active faults on buried pipelines | Parish ...

African Journals Online (AJOL)

During the earthquake, a buried pipeline may be experienced extreme loading that is the result of the relatively large displacement of the Earth along the pipe. Large movements of ground could occur by faulting, liquefaction, lateral spreading, landslides, and slope failures. Since the pipelines are widely spread, and in ...

Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices

International Nuclear Information System (INIS)

Bunn, Derek; Chevallier, Julien; Le Pen, Yannick; Sevi, Benoit

2013-01-01

As both speculative and hedging financial flows into commodity futures are expected to link commodity price formation more strongly to equity indices, we investigate whether these processes also create increased correlation amongst the commodities themselves. Considering U.S. oil and gas futures, using the large approximate factor models methodology we investigate whether common factors derived from a large international dataset of real and nominal macro variables are able to explain both returns and whether, beyond these fundamental common factors, the residuals remain correlated. We further investigate a possible explanation for this residual correlation by using some proxies for hedging and speculative activity, showing that speculation increases and hedging reduces the inter-commodity correlations. (authors)

Imperfect price-reversibility of US gasoline demand: Asymmetric responses to price increases and declines

International Nuclear Information System (INIS)

Gately, D.

1992-01-01

This paper describes a framework for analyzing the imperfect price-reversibility (hysteresis) of oil demand. The oil demand reductions following the oil price increases of the 1970s will not be completely reversed by the price cuts of the 1980s, nor is it necessarily true that these partial demand reversals themselves will be reversed exactly by future price increases. The author decomposes price into three monotonic series: price increases to maximum historic levels, price cuts, and price recoveries (increases below historic highs). He would expect that the response to price cuts would be no greater than to price recoveries, which in turn would be no greater than for increases in maximum historic price. For evidence of imperfect price-reversibility, he tests econometrically the following US data: vehicle miles per driver, the fuel efficiency of the automobile fleet, and gasoline demand per driver. In each case, the econometric results allow him to reject the hypothesis of perfect price-reversibility. The data show smaller response to price cuts than to price increases. This has dramatic implications for projections of gasoline and oil demand, especially under low-price assumptions. 26 refs., 13 figs., 3 tabs

Pharmaceutical policies: effects of reference pricing, other pricing, and purchasing policies.

Science.gov (United States)

Acosta, Angela; Ciapponi, Agustín; Aaserud, Morten; Vietto, Valeria; Austvoll-Dahlgren, Astrid; Kösters, Jan Peter; Vacca, Claudia; Machado, Manuel; Diaz Ayala, Diana Hazbeydy; Oxman, Andrew D

2014-10-16

Pharmaceuticals are important interventions that could improve people's health. Pharmaceutical pricing and purchasing policies are used as cost-containment measures to determine or affect the prices that are paid for drugs. Internal reference pricing establishes a benchmark or reference price within a country which is the maximum level of reimbursement for a group of drugs. Other policies include price controls, maximum prices, index pricing, price negotiations and volume-based pricing. To determine the effects of pharmaceutical pricing and purchasing policies on health outcomes, healthcare utilisation, drug expenditures and drug use. We searched the Cochrane Central Register of Controlled Trials (CENTRAL), part of The Cochrane Library (including the Effective Practice and Organisation of Care Group Register) (searched 22/10/2012); MEDLINE In-Process & Other Non-Indexed Citations and MEDLINE, Ovid (searched 22/10/2012); EconLit, ProQuest (searched 22/10/2012); PAIS International, ProQuest (searched 22/10/2012); World Wide Political Science Abstracts, ProQuest (searched 22/10/2012); INRUD Bibliography (searched 22/10/2012); Embase, Ovid (searched 14/12/2010); NHSEED, part of The Cochrane Library (searched 08/12/2010); LILACS, VHL (searched 14/12/2010); International Political Science Abstracts (IPSA), Ebsco (searched (17/12/2010); OpenSIGLE (searched 21/12/10); WHOLIS, WHO (searched 17/12/2010); World Bank (Documents and Reports) (searched 21/12/2010); Jolis (searched 09/10/2011); Global Jolis (searched 09/10/2011) ; OECD (searched 30/08/2005); OECD iLibrary (searched 30/08/2005); World Bank eLibrary (searched 21/12/2010); WHO - The Essential Drugs and Medicines web site (browsed 21/12/2010). Policies in this review were defined as laws; rules; financial and administrative orders made by governments, non-government organisations or private insurers. To be included a study had to include an objective measure of at least one of the following outcomes: drug use

International positioning of South African electricity prices and commodity differentiated pricing

Directory of Open Access Journals (Sweden)

George A. Thopila

2013-07-01

Full Text Available The South African electricity industry has seen a dramatic increase in prices over the past 3 years. This increase has been blanketed across all sectors and is based on a number of factors such as sector, usage and, in the case of domestic pricing, suburb. The cost of electricity in South Africa, particularly to the industrial sector, has been among the lowest in the world. In this paper, we analyse the recent price increases in the South African electricity sector and discuss the price determination mechanism employed by Eskom, South Africa's electricity provider. We also analyse the revenue and sales of Eskom and review the electricity price from an international perspective. The concept of differential pricing and international benchmarking is analysed as a possibility for the South African industrial electricity industry, so that all sectors are not adversely affected by across-the-board increases. Our aim is to raise the question of whether South Africa's electricity prices are in line with international increases and to suggest the possibility of differentiated prices in the local electricity sector.

What Factors Affect the Prices of Low-Priced U.S. Solar PV Systems?

Energy Technology Data Exchange (ETDEWEB)

Nemet, Gregory F. [Univ. of Wisconsin, Madison, WI (United States); Mercator Research Inst. on Global Commons and Climate Change, Berlin (Germany); O' Shaughnessy, Eric [National Renewable Energy Lab. (NREL), Golden, CO (United States); Wiser, Ryan [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Darghouth, Naïm R. [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Gillingham, Ken [Yale Univ., New Haven, CT (United States); Rai, Varun [Univ. of Texas, Austin, TX (United States)

2016-08-01

The price of solar PV systems has declined rapidly, yet there are some much lower-priced systems than others. This study explores the factors leading some systems to be so much lower priced than others. Using a data set of 42,611 residential-scale PV systems installed in the U.S. in 2013, we use quantile regressions to estimate the importance of factors affecting the installed prices for low-priced (LP) systems (those at the 10th percentile) in comparison to median-priced systems. We find that the value of solar to consumers–a variable that accounts for subsidies, electric rates, and PV generation levels–is associated with lower prices for LP systems but higher prices for median priced systems. Conversely, systems installed in new home construction are associated with lower prices at the median but higher prices for LP. Other variables have larger cost-reducing effects on LP than on median priced systems: systems installed in Arizona and Florida, as well as commercial and thin film systems. In contrast, the following have a smaller effect on prices for LP systems than median priced systems: tracking systems, self-installations, systems installed in Massachusetts, the system size, and installer experience. These results highlight the complex factors at play that lead to LP systems and shed light into how such LP systems can come about.

Do higher-priced generic medicines enjoy a competitive advantage under reference pricing?

Science.gov (United States)

Puig-Junoy, Jaume

2012-11-01

In many countries with generic reference pricing, generic producers and distributors compete by means of undisclosed discounts offered to pharmacies in order to reduce acquisition costs and to induce them to dispense their generic to patients in preference over others. The objective of this article is to test the hypothesis that under prevailing reference pricing systems for generic medicines, those medicines sold at a higher consumer price may enjoy a competitive advantage. Real transaction prices for 179 generic medicines acquired by pharmacies in Spain have been used to calculate the discount rate on acquisition versus reimbursed costs to pharmacies. Two empirical hypotheses are tested: the discount rate at which pharmacies acquire generic medicines is higher for those pharmaceutical presentations for which there are more generic competitors; and, the discount rate at which pharmacies acquire generic medicines is higher for those pharmaceutical forms for which the consumer price has declined less in relation to the consumer price of the brand drug before generic entry (higher-priced generic medicines). An average discount rate of 39.3% on acquisition versus reimbursed costs to pharmacies has been observed. The magnitude of the discount positively depends on the number of competitors in the market. The higher the ratio of the consumer price of the generic to that of the brand drug prior to generic entry (i.e. the smaller the price reduction of the generic in relation to the brand drug), the larger the discount rate. Under reference pricing there is intense price competition among generic firms in the form of unusually high discounts to pharmacies on official ex-factory prices reimbursed to pharmacies. However, this effect is highly distorting because it favours those medicines with a higher relative price in relation to the brand price before generic entry.

Regulation of Pharmaceutical Prices

DEFF Research Database (Denmark)

Kaiser, Ulrich; Mendez, Susan J.; Rønde, Thomas

On April 1, 2005, Denmark changed the way references prices, a main determinant of reimbursements for pharmaceutical purchases, are calculated. The previous reference prices, which were based on average EU prices, were substituted to minimum domestic prices. Novel to the literature, we estimate...... the joint eects of this reform on prices and quantities. Prices decreased more than 26 percent due to the reform, which reduced patient and government expenditures by 3.0 percent and 5.6 percent, respectively, and producer revenues by 5.0 percent. The prices of expensive products decreased more than...

The spot prices evolution for the coal at the second half-year 2003

International Nuclear Information System (INIS)

2004-04-01

This document proposes an analysis of the prices increase on the coal world market since the beginning of the second half-year 2003. Many phenomena can explain this increase: supply problems in China, a poor availability of cargoes, an increase of the european importations for the electric power production, a high demand of the japanese power plants, social movements at the Kaltim Prima mine and uncertainties on the coal availability in Poland. (A.L.B.)