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Sample records for financial price fluctuations

  1. A top-bottom price approach to understanding financial fluctuations

    Science.gov (United States)

    Rivera-Castro, Miguel A.; Miranda, José G. V.; Borges, Ernesto P.; Cajueiro, Daniel O.; Andrade, Roberto F. S.

    2012-02-01

    The presence of sequences of top and bottom (TB) events in financial series is investigated for the purpose of characterizing such switching points. They clearly mark a change in the trend of rising or falling prices of assets to the opposite tendency, are of crucial importance for the players' decision and also for the market stability. Previous attempts to characterize switching points have been based on the behavior of the volatility and on the definition of microtrends. The approach used herein is based on the smoothing of the original data with a Gaussian kernel. The events are identified by the magnitude of the difference of the extreme prices, by the time lag between the corresponding events (waiting time), and by the time interval between events with a minimal magnitude (return time). Results from the analysis of the inter day Dow Jones Industrial Average index (DJIA) from 1928 to 2011 are discussed. q-Gaussian functions with power law tails are found to provide a very accurate description of a class of measures obtained from the series statistics.

  2. House price fluctuations and the business cycle dynamics

    DEFF Research Database (Denmark)

    Abate, Girum Dagnachew; Anselin, Luc

    areas in the US from 2001 to 2013, it is shown that house price fluctuations have detrimental effect on output growth and spillover from one location to another. The loss of output due to house price fluctuations is more pronounced during the recent financial crisis. The time varying recursive...

  3. Fluctuation behaviors of financial return volatility duration

    Science.gov (United States)

    Niu, Hongli; Wang, Jun; Lu, Yunfan

    2016-04-01

    It is of significantly crucial to understand the return volatility of financial markets because it helps to quantify the investment risk, optimize the portfolio, and provide a key input of option pricing models. The characteristics of isolated high volatility events above certain threshold in price fluctuations and the distributions of return intervals between these events arouse great interest in financial research. In the present work, we introduce a new concept of daily return volatility duration, which is defined as the shortest passage time when the future volatility intensity is above or below the current volatility intensity (without predefining a threshold). The statistical properties of the daily return volatility durations for seven representative stock indices from the world financial markets are investigated. Some useful and interesting empirical results of these volatility duration series about the probability distributions, memory effects and multifractal properties are obtained. These results also show that the proposed stock volatility series analysis is a meaningful and beneficial trial.

  4. Theory of Financial Risk and Derivative Pricing

    Science.gov (United States)

    Bouchaud, Jean-Philippe; Potters, Marc

    2009-01-01

    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.

  5. 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.

  6. Financial instrument pricing using C++

    CERN Document Server

    Duffy, Daniel J

    2004-01-01

    One of the best languages for the development of financial engineering and instrument pricing applications is C++. This book has several features that allow developers to write robust, flexible and extensible software systems. The book is an ANSI/ISO standard, fully object-oriented and interfaces with many third-party applications. It has support for templates and generic programming, massive reusability using templates (?write once?) and support for legacy C applications. In this book, author Daniel J. Duffy brings C++ to the next level by applying it to the design and implementation of class

  7. Financial Constraints and Nominal Price Rigidities

    DEFF Research Database (Denmark)

    Menno, Dominik Francesco; Balleer, Almut; Hristov, Nikolay

    This paper investigates how financial market imperfections and the frequency of price adjustment interact. Based on new firm-level evidence for Germany, we document that financially constrained firms adjust prices more often than their unconstrained counterparts, both upwards and downwards. We show...... that these empirical patterns are consistent with a partial equilibrium menu-cost model with a working capital constraint. We then use the model to show how the presence of financial frictions changes profits and the price distribution of firms compared to a model without financial frictions. Our results suggest...... that tighter financial constraints are associated with higher nominal rigidities, higher prices and lower output. Moreover, in response to aggregate shocks, aggregate price rigidity moves substantially, the response of inflation is dampened, while output reacts more in the presence of financial frictions...

  8. Oil Price Fluctuations and Industry Stock Return

    OpenAIRE

    Reza Tahmoorespour; Marjan Rezvani; Meysam Safari; Elias Randjbarand

    2015-01-01

    This study investigates the impact of oil price variation on 14 industries in six markets, including Canada, China, France, India, the United Kingdom, and the United States. Panel weekly data were collected from June 1998 to December 2011. The results indicate that price fluctuations primarily affect the Oil and Gas as well as the Mining industries and have the least influence on the Food and Beverage industry. Furthermore, in three out of six of these countries (Canada, France, and the U.K.)...

  9. Characterizing price index behavior through fluctuation dynamics

    CERN Document Server

    Panigrahi, Prasanta K; Banerjee, Arjun; Bahadur, Jainendra; Manimaran, P

    2012-01-01

    We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact that these basis sets satisfy vanishing moments conditions makes them ideal to extract local polynomial trends, through the low pass or `average coefficients'. Subtracting the trends from the original time series yields the fluctuations, at different scales, depending on the level of low-pass coefficients used for finding the `average behavior'. The fluctuations are then studied using wavelet based multifractal detrended fluctuation analysis to analyze their self-similar and non-statistical properties. Due to the multifractality of such time series, they deviate from Gaussian behavior in different frequency regimes. Their departure from random matrix theory predictions in such regimes is also analyzed. These deviations and non-statistical properties of the fluctuations can...

  10. Oil Price Fluctuation Reflects International Power Balance

    Institute of Scientific and Technical Information of China (English)

    张宇燕; 管清友

    2008-01-01

    Due to the uncertainty of the oil economy,economists have yet to build a perfect analytical framework for the oil market.Over a period of time,oil price fluctuates according to the supply and demand of the international market.In the long run,however,given the political nature of oil,oil price fluctuation is also dependent on the power balance between oil consumer and producer countries.History has proven that the world energy landscape is constantly in a process of change and evolution,which underlies the increasing oil price uncertainty in the long run.From the perspective of the world energy landscape and its evolution,this article applies international political-economic methodology in addressing the energy security issues facing China,with the purpose of offering recommendations for further areas of energy research.

  11. Capital Gains Taxation and House Price Fluctuations

    DEFF Research Database (Denmark)

    Fuest, Clemens; Nielsen, Søren Bo

    2004-01-01

    Recent years have seen large swings in house prices in many countries. Motivated by housing price variations, proposals for taxing capital gains on housing have repeatedly been put forth. The idea seems to be that such taxes would curb the redistribution occurring between those owning houses...... and those trying to get into the market for owner-occupied housing. Our paper shows that at least in simple settings, a tax on real capital gains on housing will only lead to even bigger price swings and will not be able to redistribute between people appearing on either side of the housing market.......Keywords: capital gains tax, housing market, price fluctuationsJEL-Classification: H23, H24, R 31.Addresses:...

  12. Financial Risk And Share Price Behavior

    Directory of Open Access Journals (Sweden)

    Sobia Quayyoum

    2015-04-01

    Full Text Available Abstract Financial risk fluctuations have a significant effect on overall economy. Macroeconomic variables and stock return are related to each other. Financial risk and share price behavior has been investigated in this dissertation. For this purpose monthly data from 2003 to 2012 and annual data for period of 2003 to 2012 has been used. The stock return data of 115 companies has been used as dependent variable where as exchange rare interest rate financial exposure firm size total risk growth rate and profitability has been used as independent variable. This study employs multivariate regression analysis. This study is focused on financial risk and it impact on firm through different dimensions first on industry level then on firm level and lastly analysis for exporting and non-exporting firms has been done. The industry level analysis shows that statistically significant negative relationship exists between exchange rate interest rate and stock return. The relationship of total risk foreign exposure firm size and growth rate is found insignificant with industry returns. The firm level analysis is done from different dimensions. The interest rate is negatively related to monthly returns of the firm and this relationship is found significant. The relationship of total risk foreign exposure firm size and growth rate is found insignificant with firm level stock returns. For exporting and non-exporting firms the study shows positive relationship between interest rate and firm stock returns and this relation is stronger in exporting firms as compare to other firms operating in same industry. Whereas negative relationship between exchange rate and firm stock return. Thus this dissertation is a spatial extension of the previous researches. Instead of taking the all monetary variables like previous research this researchs focus on firm analysis by using two factor model.

  13. Housing Price Fluctuations Across China: An Equilibrium Mechanism Perspective

    Institute of Scientific and Technical Information of China (English)

    ZHANG Hong; WENG Shaoqun; ZHOU Xuan

    2007-01-01

    The mechanisms affecting housing prices were studied using the equilibrium housing prices based on classic supply/demand theory. The fluctuations of the actual housing prices were then analyzed relative to the equilibrium prices. The equilibrium prices for each area were calculated from economic statistics and housing prices in 35 China metropolitan areas. The fluctuations of the actual prices are then manifested as functions of the equilibrium price, the mean reversion, and the autocorrelation coefficient. The results show that the equilibrium prices are determined by the basic economic conditions in China and that the equilibrium prices greatly affect the fluctuation of the actual prices, which return to the equilibrium price through self-adjustments. The data also shows that the actual prices in China have the trend of continuing to rise in the future.

  14. Self-organization of price fluctuation distribution in evolving markets

    Science.gov (United States)

    Pan, R. K.; Sinha, S.

    2007-03-01

    Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively different in emerging markets as compared to developed markets. Here we analyse both high-frequency tick-by-tick as well as daily closing price data to show that the price fluctuations in the Indian stock market, one of the largest emerging markets, have a distribution that is identical to that observed for developed markets (e.g., NYSE). In particular, the cumulative distribution has a long tail described by a power law with an exponent α ap 3. Also, we study the historical evolution of this distribution over the period of existence of the National Stock Exchange (NSE) of India, which coincided with the rapid transformation of the Indian economy due to liberalization, and show that this power law tail has been present almost throughout. We conclude that the "inverse cubic law" is a truly universal feature of a financial market, independent of its stage of development or the condition of the underlying economy.

  15. Effective multifractal features of high-frequency price fluctuations time series and l-variability diagrams

    Energy Technology Data Exchange (ETDEWEB)

    Souza, Jeferson de [Laboratorio de Analise de Bacias e Petrofisica, Departamento de Geologia, Universidade Federal do Parana, Centro Politecnico - Jardim das Americas, Caixa Postal 19001, 81531-990 Curitiba-PR (Brazil); Centro Brasileiro de Pesquisas Fisicas, Rua Dr. Xavier Sigaud 150, 22290-180 Rio de Janeiro-RJ (Brazil)], E-mail: jdesouza@ufpr.br; Duarte Queiros, Silvio M. [Centro Brasileiro de Pesquisas Fisicas, Rua Dr. Xavier Sigaud 150, 22290-180 Rio de Janeiro-RJ (Brazil)], E-mail: sdqueiro@googlemail.com

    2009-11-30

    In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose the Dow Jones Industrial Average. The analysis consists about the quantification of the influence of dependence and non-Gaussianity on the multifractal character of financial quantities. Our results point out an equivalent importance of dependence and non-Gaussianity on the multifractality of time series. Moreover, we analyse l-diagrams of price fluctuations. In the latter case, we show that the fractal dimension of these maps is basically independent of the lag between price fluctuations that we assume.

  16. Fractality feature in oil price fluctuations

    CERN Document Server

    Momeni, M; Talebi, K

    2008-01-01

    The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within a non-stationary process formulation. It is shown that, when returns are measured over intervals less than 10 days, the Probability Density Functions (PDFs) exhibit self-similarity and monoscaling, in contrast to the multifractal behavior of the PDFs at macro-scales (typically larger than one month). We find that the time evolution of the distributions are well fitted by a Levy distribution law at micro-scales. The relevance of a Levy distribution is made plausible by a simple model of nonlinear transfer

  17. Financial structure signalling to auditors` pricing

    Directory of Open Access Journals (Sweden)

    Etumudon Ndidi ASIEN

    2017-05-01

    Full Text Available This paper empirically examines capital structure signalling to auditors. Financial structure has adverse selection that can negatively affect auditors’ perception of firm value or risk, which can lead the auditor to charge high price. We expect firms’ financial structure to positively relate with auditors’ pricing. Using panel data analysis methodology to analyse data of 311 firm-year observations of non-finance firms covering the period 2012-2015, pooled OLS regression results suggest that financial structure is positively related to auditors’ price. We find that equity, but not debt, is significantly related to auditors’ price. These results hold after controlling for auditor type. The positive relations suggest lower perceptions of firm value (hence high risk by auditors, thereby making firms to pay higher auditors’ price. This suggests that auditors penalise equity financed firms more than debt financed firms, probably because auditors interpret equity financing as firms’ inability to raise debt. Based on the findings, we recommend that auditors should monitor the capital structure of their clients to guide them in pricing their services. We also recommend that corporate finance managers should rebalance their firms’ capital structure cognisant of the fact that it signals to auditors.

  18. Self-organization of price fluctuation distribution in evolving markets

    CERN Document Server

    Pan, R K; Pan, Raj Kumar; Sinha, Sitabhra

    2006-01-01

    Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively different in emerging markets as compared to developed markets. Here we analyse both high-frequency tick-by-tick as well as daily closing price data to show that the price fluctuations in the Indian stock market, one of the largest emerging markets, have a distribution that is identical to that observed for developed markets (e.g., NYSE). In particular, the cumulative distribution has a long tail described by a power law with an exponent $\\alpha \\approx 3$. Also, we study the historical evolution of this distribution over the period of existence of the National Stock Exchange (NSE) of India, which coincided with the rapid transformation of the Indian economy due to liberalization, and show that this power law tail has been present almost throughout. We conclude that the ``...

  19. The Mathematical Statistics Theory Application on the Price Fluctuation Analysis

    Directory of Open Access Journals (Sweden)

    Jintao Meng

    2013-01-01

    Full Text Available Grain price and output fluctuation are the normal state of market economy. It is one of the most important economic researches to understand grain price and output fluctuation law, which provides theory basis for the macroeconomic regulation and control. According to the cobweb model theory, the relationship between citrus production and price is accord with the divergence type of cobweb model .This means that simply relying on market regulation can make fluctuation between production and price bigger, go against citrus production and cultivation, thus, affecting the interests of farmers. It is well-known most farmers are concerned about the future price trend and the probability of price fluctuation. This paper uses mathematical statistics theory to study the citrus price changes, and the corresponding change trend, providing a theoretical basis for majority of farmers to better estimate citrus price change trend.

  20. How College Pricing Undermines Financial Aid

    Science.gov (United States)

    Martin, Robert E.; Gillen, Andrew

    2011-01-01

    The primary purpose of government provided student financial aid is to increase college access by bringing the out-of-pocket price of attendance within reach of more students. The basic idea is quite straightforward. If a good or service costs $100 to buy and the government gives consumers a $50 subsidy, then consumers need only spend $50 of their…

  1. Fluctuation traits of Litchi wholesale price in China

    Science.gov (United States)

    Yan, F. F.; Qi, W. E.; Ouyang, X.

    2017-07-01

    This paper chose the wholesale price of litchi as research object based on the daily data of 11 main sales markets in China -- Beijing, Chengdu, Guangzhou, Hefei, Jiaxing, Nanjing, Shanghai, Shenyang, Changsha, Zhengzhou and Chongqing from April 1, 2012 to September 30, 2016. After analyzing the fluctuation characteristics with BP filter method and H-P filter method, and the fluctuation trends of litchi wholesale price in China obtained by BP filter are roughly consistent with the trends obtained by H-P filter. The main conclusions are as follows: there is strong cyclicality in the fluctuation of litchi wholesale price; the period of fluctuations of litchi wholesale prices are not repeatable; litchi wholesale price fluctuates asymmetrically in one fluctuation cycle.

  2. Entropy-based financial asset pricing.

    Directory of Open Access Journals (Sweden)

    Mihály Ormos

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

  3. Entropy-based financial asset pricing.

    Science.gov (United States)

    Ormos, Mihály; Zibriczky, Dávid

    2014-01-01

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

  4. Liquidity crisis, granularity of the order book and price fluctuations

    Science.gov (United States)

    Cristelli, M.; Alfi, V.; Pietronero, L.; Zaccaria, A.

    2010-01-01

    We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity g) as a proxy for liquidity. This leads to a Price Impact Surface which depends on both volume ω and g. The dependence on the volume (averaged over the granularity) of the Price Impact Surface is found to be a concave power law function g ˜ ωδ with δ ≈ 0.59. Instead the dependence on the granularity is φ(ω,g|ω) ˜ gα with α ≈ -1, showing a divergence of price fluctuations in the limit g → 0. Moreover, even in intermediate situations of finite liquidity, this effect can be very large and it is a natural candidate for understanding the origin of large price fluctuations.

  5. 资产价格波动对金融稳定的影响--基于中国数据的实证研究%The Influence of Asset Prices Fluctuation on Financial Stability--An Empirical Research Based on China Data

    Institute of Scientific and Technical Information of China (English)

    王劲松; 韩克勇; 赵琪

    2016-01-01

    Asset prices fluctuation is an important factor affecting financial stability. Financial stability does not only mean the stability of bank credit and exchange rate fluctuation;it is also a multi-dimensional indicator system that can be used to comprehensively measure the stability of such finance related variables as banks,securities,foreign exchanges,and other macro economic situations. The influence of asset prices fluctuation on financial stability is studied via empirical evidence based on the establishment of financial stability target systems. The research indicates that sale prices and stock prices of China ’s real estate have a significant effect on financial stability. The drastic fluctuations in asset prices of real estate,stock and so on are the important reasons triggering financial instability. Therefore,policy authority should be well aware of the influence of fluctuations in asset prices on financial stability and strengthen the supervision on asset markets of real estate and stock,thereby reducing the possibility of causing financial crisis by fluctuations in asset prices.%资产价格波动是影响金融稳定的重要因素。金融稳定不仅仅指银行信贷或汇率波动的稳定性,而是一个多维度的、能够全面衡量银行、证券、外汇以及宏观经济状况等金融相关变量稳定性的指标体系。本文在构建金融稳定指标体系的基础上,实证研究了我国资产价格波动对金融稳定的影响,结果表明,中国房地产销售价格和股票价格等资产价格显著影响金融稳定,且房地产、股票等资产价格的剧烈波动是引发金融不稳定的重要原因。为此,政策当局要充分意识到这一点,通过加大股票市场监管力度、建立股票市场和房地产市场的预警体系等手段来观测资产价格波动情况;同时,在制定货币政策时应高度关注资产价格,从而在一定程度上降低由资产价格剧烈波动引发金融危机的可能性。

  6. Some Thoughts on Effects of Fluctuation of Stock and Real Estate Prices on Consumer Expenditure

    Institute of Scientific and Technical Information of China (English)

    刘琳

    2006-01-01

    @@ With the rapid development of China' s financial markets,stocks and real estate are becoming one of the assets that can exert remarkable influence on consumer behavior.Since the early 1990s, sharp rises in stock market value in some European and North American countries, along with violent swings of stock market in other countries (Japan, for instance), have asserted enormous influence upon their perspective level of consumer expenditure.In the meantime, influence of fluctuation of real estate prices has been growing consistently as well.Dr.Greenspan,Chairman of the Federal Reserve System, proclaimed in 2001 that fluctuation of U.S.real estate prices should have had a more significant impact on consumer expenditure than that from fluctuation of stock prices in that year, and this trend should continue to strengthen in U.S.

  7. Incomplete Financial Markets and Jumps in Asset Prices

    DEFF Research Database (Denmark)

    Crès, Hervé; Markeprand, Tobias Ejnar; Tvede, Mich

    A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets...... are incomplete, jumps in asset prices may be unavoidable. Consequently incomplete financial markets may increase volatility in asset prices significantly....

  8. Essays in financial transmission rights pricing

    Science.gov (United States)

    Posner, Barry

    This work examines issues in the pricing of financial transmission rights in the PJM market region. The US federal government is advocating the creation of large-scale, not-for-profit regional transmission organizations to increase the efficiency of the transmission of electricity. As a non-profit entity, PJM needs to allocate excess revenues collected as congestion rents, and the participants in the transmission markets need to be able to hedge their exposure to congestion rents. For these purposes, PJM has developed an instrument known as the financial transmission right (FTR). This research, utilizing a new data set assembled by the author, looks at two aspects of the FTR market. The first chapter examines the problem of forecasting congestion in a transmission grid. In the PJM FTR system firms bid in a competitive auction for FTRs that cover a period of one month. The auctions take place in the middle of the previous month; therefore firms have to forecast congestion rents for the period two to six weeks after the auction. The common methods of forecasting congestion are either time-series models or full-information engineering studies. In this research, the author develops a forecasting system that is more economically grounded than a simple time-series model, but requires less information than an engineering model. This method is based upon the arbitrage-cost methodology, whereby congesting is calculated as the difference of two non-observable variables: the transmission price difference that would exist in the total absence of transmission capacity between two nodes, and the ability of the existing transmission to reduced that price difference. If the ability to reduce the price difference is greater than the price difference, then the cost of electricity at each node will be the same, and congestion rent will be zero. If transmission capacity limits are binding on the flow of power, then a price difference persists and congestion rents exist. Three

  9. Particle-scale modelling of financial price dynamics

    Science.gov (United States)

    Liu, David

    2017-02-01

    This paper proposes a particle-based computational framework for modeling of financial price dynamics, which is an extension of the recent empirical work of Financial Brownian Particle (FBP), and discretizes and solves the Langevin equation that is the continuum representation of a financial market. The framework enables us to simulate the limit order book of the USD/JPY exchange rates. The research yields results that are in good agreement with the published empirical results. Our framework of modelling financial prices is of multidisciplinary nature, and can bridge the fields of empirical studies of financial order books, particle dynamics simulation, and modelling of financial market.

  10. Lectures on financial mathematics discrete asset pricing

    CERN Document Server

    Anderson, Greg

    2010-01-01

    This is a short book on the fundamental concepts of the no-arbitrage theory of pricing financial derivatives. Its scope is limited to the general discrete setting of models for which the set of possible states is finite and so is the set of possible trading times--this includes the popular binomial tree model. This setting has the advantage of being fairly general while not requiring a sophisticated understanding of analysis at the graduate level. Topics include understanding the several variants of "arbitrage", the fundamental theorems of asset pricing in terms of martingale measures, and applications to forwards and futures. The authors' motivation is to present the material in a way that clarifies as much as possible why the often confusing basic facts are true. Therefore the ideas are organized from a mathematical point of view with the emphasis on understanding exactly what is under the hood and how it works. Every effort is made to include complete explanations and proofs, and the reader is encouraged t...

  11. TRANSFER PRICING AS A TOOLFOR FINANCIAL ANALYSIS OFENTERPRISES

    Directory of Open Access Journals (Sweden)

    Alexey S. Besfamilnyy

    2015-01-01

    Full Text Available The article outlines the basics of using transfer pricing methods applied to the financial analysis of the enterprise. It focuses on the application of transfer pricing methods not only over prices control between related organizations, but for analysis of the financial performance of companies. It proposes to use comparison of profitability of comparable companies during the reporting period. Shows an approach for the search and selection of comparable companies using information systems SPARKS or Bureau van Dijk. It analysis some examples in which the methodology is applicable transfer pricing as a tool of financial analysis.

  12. Quantifying price fluctuations in the Brazilian stock market

    Science.gov (United States)

    Tabak, B. M.; Takami, M. Y.; Cajueiro, D. O.; Petitinga, A.

    2009-01-01

    This paper investigates price fluctuations in the Brazilian stock market. We employ a recently developed methodology to test whether the Brazilian stock price returns present a power law distribution and find that we cannot reject such behavior. Empirical results for sub-partitions of the time series suggests that for most of the time the power law is not rejected, but that in some cases the data set does not conform with a power law distribution.

  13. Why Are There Great Fluctuations in the Prices of Vegetables?

    Institute of Scientific and Technical Information of China (English)

    Shuang; CHEN; Lijia; HU

    2013-01-01

    The normal supply of vegetables is related to the people’s livelihood and social stability,and smooth prices of vegetables are vital to social development. Based on the phenomenon of great fluctuations in the prices of vegetables in recent years,we use living example to analyze the real reasons for great fluctuations in the prices of vegetables from the perspective of supply chain node of vegetables and macroeconomic policies. Finally,from the balance of supply and demand,industry standardization,circulation,market order and the government mechanism,we put forth the following management strategies for controlling great fluctuations in the prices of vegetables: establishing and improving the channels of information transmission,making the production and marketing information symmetrical,and balancing supply and demand; actively promoting the industry standardization of vegetables; reducing the intermediate links,and curtailing the circulation cost of vegetables; regulating the " green channel" of vegetables,and preventing uptick in the prices of vegetables in the " last mile" ; cracking down on the vegetable speculation behavior to ensure the healthy development of the vegetable market; actively giving play to the role of government,and building the vegetable protection system.

  14. Consideration on the price stability – financial stability relationship in the context of financial globalization

    National Research Council Canada - National Science Library

    Marius Apostoaie

    2010-01-01

    ...: price stability and financial stability. These two key concepts are part of an old and ongoing debate that the current turmoil has revived, and that is whether monetary policy should aim, or not, at ensuring financial stability in parallel...

  15. Pricing Strategy, Pricing Stability and Financial Condition in the Defense Aerospace Industry

    OpenAIRE

    Johnstone, Jeffrey Carl; Keavney, Patrick Daniel

    1987-01-01

    Approved for public release, distribution unlimited The purpose of this research is to determine if pricing strategy and pricing stability for products in the defense aerospace industry can be predicted based on a firm's financial condition. The sample for this research includes 17 contractors and 52 missile and aircraft programs. Two separate issues are addressed. The first issue concerns the relationship between financial condition and contractor pricing strategy. The second concerns the...

  16. Research on the trend of Yen exchange rate and international crude oil price fluctuation affected by Japan’s earthquake

    Directory of Open Access Journals (Sweden)

    Xiaoguang Li

    2014-05-01

    Full Text Available Purpose: Whether this earthquake would become a turning point of the high oil price and whether it would have big impact on yen exchange rate are two issues to be discussed in this paper.Design/methodology/approach: To analyze deeply the internal relations between changes in yen exchange rate caused by Japan’s earthquake and price fluctuation of international crude oil, this research chooses middle rate of yen exchange rate during the 45 days around Japan’s earthquake and price data of international crude oil to do an empirical study, uses VAR model and HP trend decomposition to estimate the mutual effect of yen exchange rate change and price fluctuation of international crude oil in this period.Findings: It has been found in the empirical study with VAR model and HP filter decomposition model on the yen exchange rate and the international crude oil price fluctuation during 45 days around Japan’s earthquake that: the fluctuation of yen exchange rate around the earthquake is one of the main reasons for the drastic fluctuation of international crude oil price in that period. The fluctuation of international crude oil price directly triggered by yen exchange rate occupies 13.54% of its total variance. There is a long-term interactive relationship between yen exchange rate and international crude oil price. The upward trend of international crude oil price after the earthquake was obvious, while yen exchange rate remained relatively stable after the earthquake.Originality/value: As economic globalization goes deeper, the influence of natural disasters on international financial market and world economy will become more and more obvious. It has a great revelatory meaning to studying further each kind of natural disaster’s impacts on international financial market and world economics.

  17. Dynamic analysis of house price diffusion across Asian financial centres

    OpenAIRE

    Nanda, Anupam; Yeh, Jia-Huey

    2012-01-01

    The aim of this paper is to explore effects of macroeconomic variables on house prices and also, the lead-lag relationships of real estate markets to examine house price diffusion across Asian financial centres. The analysis is based on the Global Vector Auto-Regression (GVAR) model estimated using quarterly data for six Asian financial centres (Hong Kong, Tokyo, Seoul, Singapore, Taipei and Bangkok) from 1991Q1 to 2011Q2. The empirical results indicate that the global economic conditions pla...

  18. A multilayer approach for price dynamics in financial markets

    CERN Document Server

    Biondo, Alessio Emanuele; Rapisarda, Andrea

    2016-01-01

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

  19. Impact of Oil Price Fluctuation on China's Petroleum Security

    Institute of Scientific and Technical Information of China (English)

    2002-01-01

    @@ Based on the sampling survey on the countries with population exceeding 100 million people, China ranks ninth among the 10 large population countries for the national security of natural resources and environment, only ahead of Japan. What is worse, the population growth and promotion of living standard exert greater pressure on the currently weak natural resources and environment. The recent upward trend of oil price has caused concerns from the society. People may ask whether the current oil price fluctuation will affect China's petroleum security.

  20. Financial liberalization and house price dynamics in Europe

    NARCIS (Netherlands)

    Ganoulis, I.; Giuliodori, M.

    2011-01-01

    This article investigates the determinants of house prices in a sample of European countries over the period 1970 to 2004. Focusing on the role of financial liberalization, we find that it has mainly affected the short-term dynamics of residential prices. In particular, the impulse effects on house

  1. How People Think About: College Prices, Quality, and Financial Aid

    Science.gov (United States)

    Shireman, Robert; Baum, Sandy; Steele, Patricia

    2012-01-01

    Over the past year, the authors have discussed college prices, college quality, and student financial aid with elected officials and staff from several state legislatures, financial aid administrators from a variety of campuses, and policy analysts from Washington DC advocacy organizations. They have also been able to informally gain insights at…

  2. Actuarial risk measures for financial derivative pricing

    NARCIS (Netherlands)

    M.J. Goovaerts; R.J.A. Laeven

    2008-01-01

    We present an axiomatic characterization of price measures that are superadditive and comonotonic additive for normally distributed random variables. The price representation derived involves a probability measure transform that is closely related to the Esscher transform, and we call it the Esscher

  3. Interacting price model and fluctuation behavior analysis from Lempel–Ziv complexity and multi-scale weighted-permutation entropy

    Energy Technology Data Exchange (ETDEWEB)

    Li, Rui, E-mail: lirui1401@bjtu.edu.cn; Wang, Jun

    2016-01-08

    A financial price model is developed based on the voter interacting system in this work. The Lempel–Ziv complexity is introduced to analyze the complex behaviors of the stock market. Some stock market stylized facts including fat tails, absence of autocorrelation and volatility clustering are investigated for the proposed price model firstly. Then the complexity of fluctuation behaviors of the real stock markets and the proposed price model are mainly explored by Lempel–Ziv complexity (LZC) analysis and multi-scale weighted-permutation entropy (MWPE) analysis. A series of LZC analyses of the returns and the absolute returns of daily closing prices and moving average prices are performed. Moreover, the complexity of the returns, the absolute returns and their corresponding intrinsic mode functions (IMFs) derived from the empirical mode decomposition (EMD) with MWPE is also investigated. The numerical empirical study shows similar statistical and complex behaviors between the proposed price model and the real stock markets, which exhibits that the proposed model is feasible to some extent. - Highlights: • A financial price dynamical model is developed based on the voter interacting system. • Lempel–Ziv complexity is the firstly applied to investigate the stock market dynamics system. • MWPE is employed to explore the complexity fluctuation behaviors of the stock market. • Empirical results show the feasibility of the proposed financial model.

  4. The price of complexity in financial networks.

    Science.gov (United States)

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

    2016-09-06

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

  5. The price of complexity in financial networks

    Science.gov (United States)

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

    2016-09-01

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

  6. The price of complexity in financial networks

    Science.gov (United States)

    May, Robert M.; Roukny, Tarik; Stiglitz, Joseph E.

    2016-01-01

    Financial institutions form multilayer networks by engaging in contracts with each other and by holding exposures to common assets. As a result, the default probability of one institution depends on the default probability of all of the other institutions in the network. Here, we show how small errors on the knowledge of the network of contracts can lead to large errors in the probability of systemic defaults. From the point of view of financial regulators, our findings show that the complexity of financial networks may decrease the ability to mitigate systemic risk, and thus it may increase the social cost of financial crises. PMID:27555583

  7. STOCHASTIC DYNAMICS OF PRICES IN A MODEL OF FINANCIAL MARKET WITH DIFFERENT TYPES OF NOISE TRADERS

    Directory of Open Access Journals (Sweden)

    Lebedeva T. S.

    2015-12-01

    Full Text Available In the present study, the calculations of price dynamics are made in the model of a financial market consisting of fundamentalist and noise traders. Numerical calculations are carried out in accordance with the full Walrasian dynamic price adjustment rule. To describe fluctuations in the number of optimistic and pessimistic noise traders, a seminal stochastic Kirman’s ant model (reducible to a Markov chain is used, as well as its modification with different scaling properties of the parameter controlling the strength of herding behavior of noise agents

  8. Uncovering the evolution of nonstationary stochastic variables: The example of asset volume-price fluctuations

    Science.gov (United States)

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

    2016-05-01

    We present a framework for describing the evolution of stochastic observables having a nonstationary distribution of values. The framework is applied to empirical volume-prices from assets traded at the New York Stock Exchange, about which several remarks are pointed out from our analysis. Using Kullback-Leibler divergence we evaluate the best model out of four biparametric models commonly used in the context of financial data analysis. In our present data sets we conclude that the inverse Γ distribution is a good model, particularly for the distribution tail of the largest volume-price fluctuations. Extracting the time series of the corresponding parameter values we show that they evolve in time as stochastic variables themselves. For the particular case of the parameter controlling the volume-price distribution tail we are able to extract an Ornstein-Uhlenbeck equation which describes the fluctuations of the highest volume-prices observed in the data. Finally, we discuss how to bridge the gap from the stochastic evolution of the distribution parameters to the stochastic evolution of the (nonstationary) observable and put our conclusions into perspective for other applications in geophysics and biology.

  9. Financial price dynamics and pedestrian counterflows: A comparison of statistical stylized facts

    Science.gov (United States)

    Parisi, Daniel R.; Sornette, Didier; Helbing, Dirk

    2013-01-01

    We propose and document the evidence for an analogy between the dynamics of granular counterflows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the counterflows of simulated pedestrians through a door display eight stylized facts observed in financial markets when the density around the door is compared with the logarithm of the price. Finding so many stylized facts is very rare indeed among all agent-based models of financial markets. The stylized properties are present when the agents in the pedestrian model are assumed to display a zero-intelligent behavior. If agents are given decision-making capacity and adapt to partially follow the majority, periods of herding behavior may additionally occur. This generates the very slow decay of the autocorrelation of absolute return due to an intermittent dynamics. Our findings suggest that the stylized facts in the fluctuations of the financial prices result from a competition of two groups with opposite interests in the presence of a constraint funneling the flow of transactions to a narrow band of prices with limited liquidity.

  10. Measuring the Behavioral Component of Financial Fluctuations

    DEFF Research Database (Denmark)

    Caporin, Massimiliano; Corazzini, Luca; Costola, Michele

    We study the evolution of the behavioral component of the financial market by estimating a Bayesian mixture model in which two types of investors coexist: one rational, with standard subjective expected utility theory (SEUT) preferences, and one behavioral, endowed with an S-shaped utility function....... We perform our analysis by using monthly data on the constituents of the S&P 500 index from January 1962 to April 2012. We assume that agents take investment decisions by ranking the alternative assets according to their performance measures. A tuning parameter blending the rational...... and the behavioral choices can be estimated by using a criterion function. The estimated parameter can be interpreted as an endogenous market sentiment index. This is confirmed by a number of checks controlling for the correlation of our endogenous index with measures of (implied) financial volatility, market...

  11. Price-level versus inflation targeting with financial market imperfections

    OpenAIRE

    Covas, Francisco; Zhang, Yahong

    2010-01-01

    Price-level targeting (PT) is compared with inflation targeting (IT) in a DSGE model augmented with imperfections in both debt and equity markets. The PT regime outperforms the IT regime, and the gain depends on the degree of financial market frictions. This is because inflation is better anchored under PT, owing to the expectation channel, and therefore the monetary authority has more leverage to deal with the financial market distortions. We also find that the gain is higher if the optimal ...

  12. When Oil Prices Encounter the Financial Crisis

    Institute of Scientific and Technical Information of China (English)

    Tang Jintao

    2008-01-01

    @@ The oil market is just like the sea; it is never quiet for a single moment. Facing the sea to observe the tide, we must behave calm in order to act correctly. The oil in the country is like the blood of the economy, and the oil prices in the economy is like a barometer. Under the mysterious veil, there are oil supply changes, the pattern of political restructuring...

  13. Fluctuation of Gold Price in India Versus Global Consumer Price Index

    Science.gov (United States)

    Mali, P.

    2013-03-01

    The time series of gold price in the Indian market and the global consumer price index for the period of January 1985 to June 2013 are analyzed in terms of the multifractal detrended fluctuation analysis (MF-DFA). Multifractal variables, such as the generalized Hurst exponent, the multifractal mass exponent, the singularity spectrum, are extracted for both the series. Special emphasis is given on the possible source(s) of correlations in these series. The multifractal results are fitted to the generalized binomial multifractal model consists of only two parameters. Our analysis show that the multifractal nature of the Indian gold market time series and the global consumer price index series is due to both the long-range temporal correlation and the fat-tailed probability density function of the values. Surprisingly, the series are well described by the two-parameter binomial multifractal model used.

  14. FINANCIAL RATIOS AND STOCK PRICES ON DEVELOPED CAPITAL MARKETS

    Directory of Open Access Journals (Sweden)

    BOGDAN DIMA

    2013-03-01

    Full Text Available This study empirically tests for the relevance of a set of financial ratios designed to capture issuers’ financial performance for the dynamics of stock prices, on a dataset of quarterly values for 495 trading quotes from major European capital markets as well as from S&P 500 market covering a time span between 2003/1 and 2011/1. The research hypothesis is that financial ratios reflecting issuers’ financial health matter in the selection of portfolios’ structure. We tested this hypothesis in a GMM methodological framework and found that such relationship holds on long run, even if there appears to be some differences in the reactions of European and United States’ stocks to financial information.

  15. Kinetic market models with single commodity having price fluctuations

    CERN Document Server

    Chatterjee, A; Chakrabarti, Bikas K.; Chatterjee, Arnab

    2006-01-01

    We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of trading or exchange of money and commodity proceeds, with local (in time) fluctuations in the price of the commodity. These distributions are studied in markets with agents having uniform and random saving factors. The self-organizing features in money distribution are similar to the cases without any commodity (or with consumable commodities), the commodity distribution shows an exponential decay. The wealth distribution shows interesting behavior: Gamma like distribution for uniform saving propensity and has the same power-law tail, as that of the money distribution for a market with agents having random saving propensity.

  16. The COS Method: An Efficient Fourier Method for Pricing Financial Derivatives

    NARCIS (Netherlands)

    Fang, F.

    2010-01-01

    When valuing and risk-managing financial derivatives, practitioners demand fast and accurate prices and sensitivities. Aside from the pricing of non-standard exotic financial derivatives, so-called plain vanilla European options form the basis for the calibration of financial models. As any pricing

  17. Scaling of the distribution of price fluctuations of individual companies.

    Science.gov (United States)

    Plerou, V; Gopikrishnan, P; Nunes Amaral, L A; Meyer, M; Stanley, H E

    1999-12-01

    We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major U.S. stock markets: (a) the New York Stock Exchange, (b) the American Stock Exchange, and (c) the National Association of Securities Dealers Automated Quotation stock market. Specifically, we consider (i) the trades and quotes database, for which we analyze 40 million records for 1000 U.S. companies for the 2-yr period 1994-95; and (ii) the Center for Research and Security Prices database, for which we analyze 35 million daily records for approximately 16,000 companies in the 35-yr period 1962-96. We study the probability distribution of returns over varying time scales Delta t, where Delta t varies by a factor of approximately 10(5), from 5 min up to approximately 4 yr. For time scales from 5 min up to approximately 16 days, we find that the tails of the distributions can be well described by a power-law decay, characterized by an exponent 2.5 (Delta t)(x) approximately equal to 16 days, we observe results consistent with a slow convergence to Gaussian behavior. We also analyze the role of cross correlations between the returns of different companies and relate these correlations to the distribution of returns for market indices.

  18. Consideration on the price stability – financial stability relationship in the context of financial globalization

    Directory of Open Access Journals (Sweden)

    Marius Apostoaie

    2010-12-01

    Full Text Available This study is focused upon the involvement of the central banks regarding the fulfillment of the two main objectives: price  stability and financial stability. These two key concepts are part of an old and ongoing debate that the current turmoil has revived, and that is whether monetary policy should aim, or not, at ensuring financial stability in parallel to its main objective of price stability. On both sides there are solid and well known arguments. In the beginning of the study I have  considered a literature review with regard to price and financial stability issues. After that I have tried to shed some light (from a theoretical point of view on the nature and dynamics of the fundamental interlinkages between the two aspects and there implications on the central banks and the economy. Finally I outline some general conclusions that have emerged in the present study.

  19. On the Effect of Hot Money Flows on Asset Price Fluctuation and Financial Fragility --Based on Empirical Analysis of SVAR Model%热钱流动对资产价格波动和金融脆弱性的影响——基于SVAR模型的实证分析

    Institute of Scientific and Technical Information of China (English)

    马亚明; 赵慧

    2012-01-01

    本文在对热钱流动导致资产价格波动进而影响金融脆弱性的进行系统论述的基础上,基于国内2003年1月至2011年12月月度股票收益率和房屋价格指数,利用SVAR模型研究了热钱对我国股票市场和房地产市场价格的影响。结果表明,热钱对股票市场和房地产市场有着长期均衡关系,热钱流入显著推动了股票价格指数上涨;股票收益率波动的30%是由热钱异动所致,但热钱对房屋价格指数影响相对较小,表现在房价变动中20%与热钱流动有关;股价上涨同时对房地产市场价格有着正向影响,被抬高的房价会进一步吸引热钱的流入。基于热钱对金融稳定与脆弱性的影响,提出完善人民币汇率和利率机制,合理疏导等治理热钱的政策建议。%In this paper, on the basis of a systematic discussion on the effect ofhot money flows on financial fragility by means of asset price fluctuation, based on the stock yield and housing price index from January 2003 to December 2011, we make a research on the effect of hot money on stock market and real estate market price in China with SVAR model. It turns out that there is a long- term equilibrium relationship between hot money and stock market and real estate market. And hot money flows remarkably leads the increase in stock market index, and 30~ of stock benefit rate is caused by the irregular hot money flows. But the effect of hot money on housing price index is rela tively not obvious; on the other hand, the increase in stock price has a positive effect on the real es- tate market price, and the elevated housing price will further attract hot money flows. Based on the effect of hot money on financial stability and fragility, we propose the policies and suggestions for improving RMB exchange rate and interest rate mechanism and reasonable guidance to control the hot money.

  20. Jump diffusion models and the evolution of financial prices

    Energy Technology Data Exchange (ETDEWEB)

    Figueiredo, Annibal; Castro, Marcio T. de [Institute of Physics, University of Brasilia (Brazil); Silva, Sergio da [Department of Economics, Federal University of Santa Catarina (Brazil); Gleria, Iram, E-mail: iram@pq.cnpq.br [Institute of Physics, Federal University of Alagoas (Brazil)

    2011-08-08

    We analyze a stochastic model to describe the evolution of financial prices. We consider the stochastic term as a sum of the Wiener noise and a jump process. We point to the effects of the jumps on the return time evolution, a central concern of the econophysics literature. The presence of jumps suggests that the process can be described by an infinitely divisible characteristic function belonging to the De Finetti class. We then extend the De Finetti functions to a generalized nonlinear model and show the model to be capable of explaining return behavior. -- Highlights: → We analyze a stochastic model to describe the evolution of financial prices. → The stochastic term is considered as a sum of the Wiener noise and a jump process. → The process can be described by an infinitely divisible characteristic function belonging to the De Finetti class. → We extend the De Finetti functions to a generalized nonlinear model.

  1. Oil price dynamics and speculation. A multivariate financial approach

    Energy Technology Data Exchange (ETDEWEB)

    Cifarelli, Giulio [University of Florence, Dipartimento di Scienze Economiche, via delle Pandette 9, 50127, Florence (Italy); Paladino, Giovanna [Economics Department, LUISS University (Italy); BIIS International Division (Italy)

    2010-03-15

    This paper assesses empirically whether speculation affects oil price dynamics. The growing presence of financial operators in the oil markets has led to the diffusion of trading techniques based on extrapolative expectations. Strategies of this kind foster feedback trading that may cause considerable departures of prices from their fundamental values. We investigate this hypothesis using a modified CAPM following Shiller (1984) and Sentana and Wadhwani (1992). First, a univariate GARCH(1,1)-M is estimated assuming the risk premium to be a function of the conditional oil price volatility. The single factor model, however, is outperformed by the multifactor ICAPM (Merton, 1973), which takes into account a larger investment opportunity set. Analysis is then carried out using a trivariate CCC GARCH-M model with complex nonlinear conditional mean equations where oil price dynamics are associated with both stock market and exchange rate behavior. We find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time-varying first and second order conditional moment interactions affects both the CAPM and feedback trading components of the model. Despite the difficulties, we identify a significant role played by speculation in the oil market, which is consistent with the observed large daily upward and downward shifts in prices - a clear evidence that it is not a fundamental-driven market. Thus, from a policy point of view - given the impact of volatile oil prices on global inflation and growth - actions that monitor speculative activities on commodity markets more effectively are to be welcomed. (author)

  2. Relationship Between Financial Ratios amp Share Prices And Prediction Of Financial Failure Evidence From Sri Lanka

    Directory of Open Access Journals (Sweden)

    R.M.D.S Rajapaksha

    2015-08-01

    Full Text Available in this paper a thorough analysis regarding the listed companies on Colombo Stock Exchange is conducted. The main objective of this study is to determine a relationship between share price and financial ratios of the companies which are listed on the Colombo Stock Exchange for the period 2011 to 2013 using an econometric model called panel data regression. Then a group of companies are categorized by their share price using factor analysis. Finally the financial failure of companies is predicted using k-nearest neighbor discriminant analysis. The results of the study showed that there is a high positive relationship between the share price and Earnings per share EPS. At the same time there is a moderate positive relationship between share price and Dividends per share DPS. Also there are significant low positive associations between share price and Return on Equity ROE Return on Assets ROA Asset Turnover Price to Book PB and Net profit Margin NP margin respectively. Using panel data regression analysis a feasible generalized least squares FGLS model is fitted to determine the share price using the variables DPS EPS ROE PB Ratio and NP Margin. Then using factor analysis hidden relationships are examined by considering 10 stocks which are listed one Colombo Stock Exchange. Using the analysis three factors are found. They are general market component multinational company component and diversified component. Finally the financial failure of companies is predicted using k-nearest neighbor discriminant analysis. The predicted financial failure is the compared with the results that were obtained using Altman Z score. It is found that the percentage of classifying a successful company and an unsuccessful company correctly are 65 and 95 respectively.

  3. Scale-dependent price fluctuations for the Indian stock market

    Science.gov (United States)

    Matia, K.; Pal, M.; Salunkay, H.; Stanley, H. E.

    2004-06-01

    Classic studies of the probability density of price fluctuations g for stocks and foreign exchanges of several highly developed economies have been interpreted using a power law probability density function P(g) ~ g-(α + 1) with exponent values α > 2. To test the ubiquity of this relationship we analyze daily returns for the period November 1994 June 2002 for the 49 largest stocks of the National Stock Exchange which has the highest trade volume in India. We find the surprising result that P(g) decays as an exponential function P(g) ~ exp [ - βg] with a characteristic decay scale β = 1.51 ± 0.05 for the negative tail and β = 1.34 ± 0.04 for the positive tail. The exponential function is significantly different from the power law function observed for highly developed economies. Thus, we conclude that the stock market of the less highly developed economy of India belongs to a different class from that of highly developed countries.

  4. Nonlinear Fluctuation Behavior of Financial Time Series Model by Statistical Physics System

    Directory of Open Access Journals (Sweden)

    Wuyang Cheng

    2014-01-01

    Full Text Available We develop a random financial time series model of stock market by one of statistical physics systems, the stochastic contact interacting system. Contact process is a continuous time Markov process; one interpretation of this model is as a model for the spread of an infection, where the epidemic spreading mimics the interplay of local infections and recovery of individuals. From this financial model, we study the statistical behaviors of return time series, and the corresponding behaviors of returns for Shanghai Stock Exchange Composite Index (SSECI and Hang Seng Index (HSI are also comparatively studied. Further, we investigate the Zipf distribution and multifractal phenomenon of returns and price changes. Zipf analysis and MF-DFA analysis are applied to investigate the natures of fluctuations for the stock market.

  5. Environmental Factors Influencing Fluctuation of Share Prices on ...

    African Journals Online (AJOL)

    Nekky Umera

    An International Multi-Disciplinary Journal, Ethiopia. Vol. 3 (5), October, 2009 ... Share Prices on Nigeria Stock Exchange Market. Umar Gunu - Department of .... examined share prices of first cross sectional samples. Equities quoted on the.

  6. Chinese Stock Index Futures Price Fluctuation Analysis and Prediction Based on Complementary Ensemble Empirical Mode Decomposition

    Directory of Open Access Journals (Sweden)

    Ruoyang Chen

    2016-01-01

    Full Text Available Since the CSI 300 index futures officially began trading on April 15, 2010, analysis and predictions of the price fluctuations of Chinese stock index futures prices have become a popular area of active research. In this paper, the Complementary Ensemble Empirical Mode Decomposition (CEEMD method is used to decompose the sequences of Chinese stock index futures prices into residue terms, low-frequency terms, and high-frequency terms to reveal the fluctuation characteristics over different time scales of the sequences. Then, the CEEMD method is combined with the Particle Swarm Optimization (PSO algorithm-based Support Vector Machine (SVM model to forecast Chinese stock index futures prices. The empirical results show that the residue term determines the long-term trend of stock index futures prices. The low-frequency term, which represents medium-term price fluctuations, is mainly affected by policy regulations under the analysis of the Iterated Cumulative Sums of Squares (ICSS algorithm, whereas short-term market disequilibrium, which is represented by the high-frequency term, plays an important local role in stock index futures price fluctuations. In addition, in forecasting the daily or even intraday price data of Chinese stock index futures, the combination prediction model is superior to the single SVM model, which implies that the accuracy of predicting Chinese stock index futures prices will be improved by considering fluctuation characteristics in different time scales.

  7. Jump diffusion models and the evolution of financial prices

    Science.gov (United States)

    Figueiredo, Annibal; de Castro, Marcio T.; da Silva, Sergio; Gleria, Iram

    2011-08-01

    We analyze a stochastic model to describe the evolution of financial prices. We consider the stochastic term as a sum of the Wiener noise and a jump process. We point to the effects of the jumps on the return time evolution, a central concern of the econophysics literature. The presence of jumps suggests that the process can be described by an infinitely divisible characteristic function belonging to the De Finetti class. We then extend the De Finetti functions to a generalized nonlinear model and show the model to be capable of explaining return behavior.

  8. A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices

    Science.gov (United States)

    Tiwari, Aviral Kumar; Albulescu, Claudiu Tiberiu; Yoon, Seong-Min

    2017-10-01

    This study challenges the efficient market hypothesis, relying on the Dow Jones sector Exchange-Traded Fund (ETF) indices. For this purpose, we use the generalized Hurst exponent and multifractal detrended fluctuation analysis (MF-DFA) methods, using daily data over the timespan from 2000 to 2015. We compare the sector ETF indices in terms of market efficiency between short- and long-run horizons, small and large fluctuations, and before and after the global financial crisis (GFC). Our findings can be summarized as follows. First, there is clear evidence that the sector ETF markets are multifractal in nature. We also find a crossover in the multifractality of sector ETF market dynamics. Second, the utilities and consumer goods sector ETF markets are more efficient compared with the financial and telecommunications sector ETF markets, in terms of price prediction. Third, there are noteworthy discrepancies in terms of market efficiency, between the short- and long-term horizons. Fourth, the ETF market efficiency is considerably diminished after the global financial crisis.

  9. Chocolate price fluctuations may cause depression: an analysis of price pass-through in the cocoa chain

    OpenAIRE

    Araujo Bonjean, Catherine; Jean-François BRUN

    2014-01-01

    The aim of this paper is to explore the channels of transmission of the fluctuations in the world price of cocoa to the consumer of chocolate bars in France. This case study can be considered as an illustration of a more general pattern of asymmetric vertical price transmission in the commodity-final product chain. Two types of asymmetry are suspected: asymmetry in the transmission of positive and negative shocks that may reflect non-competitive behavior in the chocolate industry and asymmetr...

  10. The COS Method: An Efficient Fourier Method for Pricing Financial Derivatives

    OpenAIRE

    2010-01-01

    When valuing and risk-managing financial derivatives, practitioners demand fast and accurate prices and sensitivities. Aside from the pricing of non-standard exotic financial derivatives, so-called plain vanilla European options form the basis for the calibration of financial models. As any pricing and risk management system has to be able to calibrate to these plain vanilla options, it is important to be able to value these options quickly and accurately. By means of the risk-neutral valuati...

  11. Interacting price model and fluctuation behavior analysis from Lempel-Ziv complexity and multi-scale weighted-permutation entropy

    Science.gov (United States)

    Li, Rui; Wang, Jun

    2016-01-01

    A financial price model is developed based on the voter interacting system in this work. The Lempel-Ziv complexity is introduced to analyze the complex behaviors of the stock market. Some stock market stylized facts including fat tails, absence of autocorrelation and volatility clustering are investigated for the proposed price model firstly. Then the complexity of fluctuation behaviors of the real stock markets and the proposed price model are mainly explored by Lempel-Ziv complexity (LZC) analysis and multi-scale weighted-permutation entropy (MWPE) analysis. A series of LZC analyses of the returns and the absolute returns of daily closing prices and moving average prices are performed. Moreover, the complexity of the returns, the absolute returns and their corresponding intrinsic mode functions (IMFs) derived from the empirical mode decomposition (EMD) with MWPE is also investigated. The numerical empirical study shows similar statistical and complex behaviors between the proposed price model and the real stock markets, which exhibits that the proposed model is feasible to some extent.

  12. Essays on international portfolio choice and asset pricing under financial contagion

    NARCIS (Netherlands)

    Fan, Zhenzhen

    2017-01-01

    The 2008 financial crisis has witnessed prices of assets traded on different exchange markets, of various asset classes, from different geographical locations plunge simultaneously or in close succession, causing serious problems for banks, insurance companies, and other financial institutions. It

  13. Uncovering the evolution of non-stationary stochastic variables: the example of asset volume-price fluctuations

    CERN Document Server

    Rocha, Paulo; Boto, João P; Lind, Pedro G

    2015-01-01

    We present a framework for describing the evolution of stochastic observables having a non-stationary distribution of values. The framework is applied to empirical volume-prices from assets traded at the New York stock exchange. Using Kullback-Leibler divergence we evaluate the best model out from four biparametric models standardly used in the context of financial data analysis. In our present data sets we conclude that the inverse $\\Gamma$-distribution is a good model, particularly for the distribution tail of the largest volume-price fluctuations. Extracting the time-series of the corresponding parameter values we show that they evolve in time as stochastic variables themselves. For the particular case of the parameter controlling the volume-price distribution tail we are able to extract an Ornstein-Uhlenbeck equation which describes the fluctuations of the largest volume-prices observed in the data. Finally, we discuss how to bridge from the stochastic evolution of the distribution parameters to the stoch...

  14. Analysis of Financial Markets' Fluctuation by Textual Information

    Science.gov (United States)

    Izumi, Kiyoshi; Goto, Takashi; Matsui, Tohgoroh

    In this study, we proposed a new text-mining methods for long-term market analysis. Using our method, we analyzed monthly price data of financial markets; Japanese government bond market, Japanese stock market, and the yen-dollar market. First we extracted feature vectors from monthly reports of Bank of Japan. Then, trends of each market were estimated by regression analysis using the feature vectors. As a result, determination coefficients were over 75%, and market trends were explained well by the information that was extracted from textual data. We compared the predictive power of our method among the markets. As a result, the method could estimate JGB market best and the stock market is the second.

  15. Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis

    Science.gov (United States)

    Lahmiri, Salim

    2015-11-01

    The purpose of this study is to investigate long-range dependence in trend and short variation of stock market price and return series before, during, and after 2008 financial crisis. Variational mode decomposition (VMD), a newly introduced technique for signal processing, is adopted to decompose stock market data into a finite set of modes so as to obtain long term trends and short term movements of stock market data. Then, the detrended fluctuation analysis (DFA) and range scale (R/S) analysis are used to estimate Hurst exponent in each variational mode obtained from VMD. For both price and return series, the empirical results from twelve international stock markets show evidence that long term trends are persistent, whilst short term variations are anti-persistent before, during, and after 2008 financial crisis.

  16. Fluctuation of USA Gold Price - Revisited with Chaos-based Complex Network Method

    CERN Document Server

    Bhaduri, Susmita; Ghosh, Subhadeep

    2016-01-01

    We give emphasis on the use of chaos-based rigorous nonlinear technique called Visibility Graph Analysis, to study one economic time series - gold price of USA. This method can offer reliable results with fiinite data. This paper reports the result of such an analysis on the times series depicting the fluctuation of gold price of USA for the span of 25 years(1990 - 2013). This analysis reveals that a quantitative parameter from the theory can explain satisfactorily the real life nature of fluctuation of gold price of USA and hence building a strong database in terms of a quantitative parameter which can eventually be used for forecasting purpose.

  17. Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations

    KAUST Repository

    Markowich, Peter A.

    2016-10-04

    In this paper we propose an extension of the Lasry-Lions price formation model which includes uctuations of the numbers of buyers and vendors. We analyze the model in the case of deterministic and stochastic market size uctuations and present results on the long time asymptotic behavior and numerical evidence and conjectures on periodic, almost periodic, and stochastic uctuations. The numerical simulations extend the theoretical statements and give further insights into price formation dynamics.

  18. Optimization of pricing and price policy of the enterprise in the conditions of financial and economic instability

    OpenAIRE

    Matsak, Alexander

    2015-01-01

    The subject of this Bachelors or of Art work is research of pricing and price policy of management company CJSC "Nash Standart" , which is included in group of companies Properties O1 enterprises, in the conditions of financial and economic instability. The purpose of work is search of ways of optimization of price policy in the market of commercial real estate. The management company CJSC "Nash Standart" is one of the leaders in the Moscow market in granting to clients professional services ...

  19. How volatilities nonlocal in time affect the price dynamics in complex financial systems.

    Science.gov (United States)

    Tan, Lei; Zheng, Bo; Chen, Jun-Jie; Jiang, Xiong-Fei

    2015-01-01

    What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time.

  20. How volatilities nonlocal in time affect the price dynamics in complex financial systems.

    Directory of Open Access Journals (Sweden)

    Lei Tan

    Full Text Available What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time.

  1. Reaction-diffusion-branching models of stock price fluctuations

    Science.gov (United States)

    Tang, Lei-Han; Tian, Guang-Shan

    Several models of stock trading (Bak et al., Physica A 246 (1997) 430.) are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the short-time market price variation is subdiffusive with a Hurst exponent H=1/4. Biased diffusion towards the market price and blind-eyed copying lead to crossovers to the empirically observed random-walk behavior ( H=1/2) at long times. The calculated crossover forms and diffusion constants are shown to agree well with simulation data.

  2. 78 FR 41835 - Inflation Adjustments to the Price-Anderson Act Financial Protection Regulations

    Science.gov (United States)

    2013-07-12

    ... 3150-AJ25 Inflation Adjustments to the Price-Anderson Act Financial Protection Regulations AGENCY... deferred premiums specified in the Price-Anderson Act for inflation at least once during each 5-year period... Federal Regulations is sold by the Superintendent of Documents. #0;Prices of new books are listed in the...

  3. Pricing multi-asset financial derivatives with time-dependent parameters—Lie algebraic approach

    Directory of Open Access Journals (Sweden)

    C. F. Lo

    2002-01-01

    Full Text Available We present a Lie algebraic technique for the valuation of multi-asset financial derivatives with time-dependent parameters. Exploiting the dynamical symmetry of the pricing partial differential equations of the financial derivatives, the new method enables us to derive analytical closed-form pricing formulae very straightforwardly. We believe that this new approach will provide an efficient and easy-to-use method for the valuation of financial derivatives.

  4. How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis

    Science.gov (United States)

    Reboredo, Juan C.; Rivera-Castro, Miguel A.; Miranda, José G. V.; García-Rubio, Raquel

    2013-04-01

    In this paper we analyse price fluctuations with the aim of measuring how long the market takes to adjust prices to weak-form efficiency, i.e., how long it takes for prices to adjust to a fractional Brownian motion with a Hurst exponent of 0.5. The Hurst exponent is estimated for different time horizons using detrended fluctuation analysis-a method suitable for non-stationary series with trends-in order to identify at which time scale the Hurst exponent is consistent with the efficient market hypothesis. Using high-frequency share price, exchange rate and stock data, we show how price dynamics exhibited important deviations from efficiency for time periods of up to 15 min; thereafter, price dynamics was consistent with a geometric Brownian motion. The intraday behaviour of the series also indicated that price dynamics at trade opening and close was hardly consistent with efficiency, which would enable investors to exploit price deviations from fundamental values. This result is consistent with intraday volume, volatility and transaction time duration patterns.

  5. International transfer pricing restrictions: impact on corporate financial policy

    OpenAIRE

    Limberg,Stephen T.; Robinson,John R.; Christians,Raimundo L.M.

    1997-01-01

    Transfer pricing is a pervasive issue that presents significant tax savings potential concerning international enterprises. The authors discuss company incentives to manage transfer prices in an article appearing in the preceding issue of this journal. In response to these incentives, governments have increasingly enacted and enforced domestic restrictions on transfer prices. In this article, contemporary norms restricting transfer pricing are analyzed. The OEGO and US pricing standards are a...

  6. Ambiguity Aversion, Asset Prices, and the Welfare Costs of Aggregate Fluctuations

    DEFF Research Database (Denmark)

    Alonso, Irasema; Prado, Mauricio

    2015-01-01

    Under the hypothesis that aggregate U.S. consumption is random and, more importantly, viewed as ambiguous by consumers, we examine the implications for asset prices and for how consumption fluctuations influence consumer welfare. We consider a simple, Mehra–Prescott-style endowment economy...... with a representative agent facing consumption fluctuations calibrated to match U.S. data from 1889 to 2008. Our experiment is to restrict preference parameters in order to as well as possible match some asset-price facts—the average returns on equity and a short-term risk-free bond—and then compute the welfare...

  7. Predicting Bitcoin price fluctuation with Twitter sentiment analysis

    OpenAIRE

    Stenqvist, Evita; Lönnö, Jacob

    2017-01-01

    Programmatically deriving sentiment has been the topic of many a thesis: it’s application in analyzing 140 character sentences, to that of 400-word Hemingway sentences; the methods ranging from naive rule based checks, to deeply layered neural networks. Unsurprisingly, sentiment analysis has been used to gain useful insight across industries, most notably in digital marketing and financial analysis. An advancement seemingly more excitable to the mainstream, Bitcoin, has risen in number of Goo...

  8. Crossover Phenomena in Detrended Fluctuation Analysis Used in Financial Markets

    Institute of Scientific and Technical Information of China (English)

    MA Shi-Hao

    2009-01-01

    A systematic analysis of Shanghai and Japan stock indices for the period of Jan.1984 to Dec.2005 is performed.After stationarity is verified by ADF (Augmented Dickey-Fuller) test, the power spectrum of the data exhibits a power law decay as a whole characterized by 1/fβ processes with possible long range correlations.Subsequently, by using the method of detrended fluctuation analysis (DFA) of the genera/volatility in the stock markets, we find that the long-range correlations are occurred among the return series and the crossover phenomena exhibit in the results obviously.Further, Shanghai stock market shows long-range correlations in short time scale and shows short-range correlations in long time scale.Whereas, for Japan stock market, the data behaves oppositely absolutely.Last, we compare the varying of scale exponent in large volatility between two stock markets.All results obtained may indicate the possibility of characteristic of multifractal scaling behavior of the financial markets.

  9. Investors’ risk attitudes and stock price fluctuation asymmetry

    Science.gov (United States)

    Zhang, Yu; Li, Honggang

    2011-05-01

    Price rise/fall asymmetry, which indicates enduring but modest rises and sudden short-term falls, is a ubiquitous phenomenon in stock markets throughout the world. Instead of the widely used time series method, we adopt inverse statistics from turbulence to analyze this asymmetry. To explore its underlying mechanism, we build a multi-agent model with two kinds of investors, which are specifically referred to as fundamentalists and chartists. Inspired by Kahneman and Tversky’s claim regarding peoples’ asymmetric psychological responses to the equivalent levels of gains and losses, we assume that investors take different risk attitudes to gains and losses and adopt different trading strategies. The simulation results of the model developed herein are consistent with empirical work, which may support our conjecture that investors’ asymmetric risk attitudes might be one origin of rise/fall asymmetry.

  10. Essays on international portfolio choice and asset pricing under financial contagion

    OpenAIRE

    Fan, Zhenzhen

    2017-01-01

    The 2008 financial crisis has witnessed prices of assets traded on different exchange markets, of various asset classes, from different geographical locations plunge simultaneously or in close succession, causing serious problems for banks, insurance companies, and other financial institutions. It calls for models that account for the unconventional dependence structure of asset prices beyond the classical paradigm. The class of mutually exciting jump-diffusion processes is a promising workho...

  11. Oil Market Forecast and the Analysis of Economic Impact of Oil Price Fluctuations

    Energy Technology Data Exchange (ETDEWEB)

    Lee, M.B. [Korea Energy Economics Institute, Euiwang (Korea)

    2001-12-01

    In the past two years, we noticed that oil prices have fluctuated with a wide range of $10 per barrel in the international oil markets. Since her annual oil import exceeded 10% of the national gross import, Korea became much concerned with economic impacts of changes in crude oil prices along with the short-term outlook of international crude oil market. In this context, this study is conducted to build a macro-economic model as well as an input-output analysis to deal with such changes in oil prices. The major findings are as follows: In the short-term, oil import price in 2001 is expected to stay at the level of $23.50 per barrel and the price will drop to the level of $20{approx}$22, approximately 10% drop from the previous year. The short-term impacts of these oil prices include: 3.0% increase in GDP; 9.7% decrease in export; 2.8% increase in petroleum product prices; 2.8% increase in demand for petroleum products; 6.1% increase in producer price index (PPI) in 2001. The impacts of 10% drop in oil prices under a scenario of the constant foreign exchange rate against US dollar include: 5.2% increase in GDP; 3.7% increase in import, 1.1% increase in petroleum product prices, 8.1% increase in demand for petroleum; and 3.7% increase in PPI. An input-output analysis reveals that the decrease in petroleum production cost induced by 10% drop in oil import prices amounted to approximately 5{approx}6%. Other sectors which show a big drop in production cost are basic petro-chemical industry, heat suppliers, electricity sector, and city gas suppliers. Among the petroleum products, naphtha shows the biggest drop of 8% in production cost, followed by fuel oils (7%), kerosene and diesel (6%), LPG (6%), and gasoline (3%). (author). 20 refs., 7 figs., 12 tabs.

  12. Macro economy, stock market and oil prices. Do meaningful relationships exist among their cyclical fluctuations?

    Energy Technology Data Exchange (ETDEWEB)

    Filis, George [University of Portsmouth, Department of Economics, Portsmouth Business School, Richmond Building, Portland Street, Portsmouth, PO1 3DE (United Kingdom)

    2010-07-15

    This paper examines the relationship among consumer price index, industrial production, stock market and oil prices in Greece. Initially we use a unified statistical framework (cointegration and VECM) to study the data in levels. We then employ a multivariate VAR model to examine the relationship among the cyclical components of our series. The period of the study is from 1996:1 to 2008:6. Findings suggest that oil prices and the stock market exercise a positive effect on the Greek CPI, in the long run. Cyclical components analysis suggests that oil prices exercise significant negative influence to the stock market. In addition, oil prices are negatively influencing CPI, at a significant level. However, we find no effect of oil prices on industrial production and CPI. Finally, no relationship can be documented between the industrial production and stock market for the Greek market. The findings of this study are of particular interest and importance to policy makers, financial managers, financial analysts and investors dealing with the Greek economy and the Greek stock market. (author)

  13. THEORETICAL CONSIDERATIONS OF PRICE STABILITY AS PART OF THE FINANCIAL STABILITY

    Directory of Open Access Journals (Sweden)

    Magdalena RĂDULESCU

    2012-09-01

    Full Text Available Currently there are many authors who consider that the only objective of the central bank should be the price stability and between the respective objective and financial stability there is incompatibility. As far we are concerned, we subscribe the idea that between price stability and financial stability there are complementarities. And a strong argument in the favour of this position is also historical. Actually, many older or newer facts show that banking crises were often caused by the unfavourable macroeconomic situation coupled with the bad macroeconomic policies carried by the authorities. But, a monetary policy that aims the price stability reduces this risk. The truth is that the central banks have a series of tools that allow them to act for achieving both the objective of price stability, and that of the stability of financial sector. Although the financial stability is not, usually, an explicit objective for the modern central bank, the systematic financial instability can cancel their performances in achieving their major final objective: the price stability. Being that, because of the need that it creates to inject additional liquidity into the banking system, a crisis of the banking sector may directly affect the monetary stability. Here the mentioned complementarities arise between price stability and financial stability, although the achievement of the first does not necessarily involve the assurance of the last.

  14. A Partial Backlogging Inventory Model for Deteriorating Items with Fluctuating Selling Price and Purchasing Cost

    Directory of Open Access Journals (Sweden)

    Hui-Ling Yang

    2012-01-01

    Full Text Available In today’s competitive markets, selling price and purchasing cost are usually fluctuating with economic conditions. Both selling price and purchasing cost are vital to the profitability of a firm. Therefore, in this paper, I extend the inventory model introduced by Teng and Yang (2004 to allow for not only the selling price but also the purchasing cost to change from one replenishment cycle to another during a finite time horizon. The objective is to find the optimal replenishment schedule and pricing policy to obtain the profit as maximum as possible. The conditions that lead to a maximizing solution guarantee that the existence, uniqueness, and global optimality are proposed. An efficient solution procedure and some theoretical results are presented. Finally, numerical examples for illustration and sensitivity analysis for managerial decision making are also performed.

  15. Electricity pricing and the financial health of electric utilities in the United States. Final report

    Energy Technology Data Exchange (ETDEWEB)

    1984-08-01

    The electric utility industry in the United States is characterized by wide diversity in utility ownership, management, cost structure, and regulation. There are approxiately 240 investor-owned utilities in the US. There are more than 1900 government utilities in the US. There are more than 50 regulatory commissions which regulate retail prices to ultimate customers. This substantial diversity in regulatory policies, processes, and rules applied to utilities across the country as well as significant regional variations in costs results in a wide variation in electricity prices and financial health among utilities. Prices and financial conditions for the industry as a whole also have varied substantially over time. During the 1960s, utilities were financially healthy, and real electricity prices were falling. In the decade following the Arab oil embargo in 1973, however, the industry was characterized by poor financial health and rapidly rising prices, although the reasons for these conditions varied somewhat between the first part of the decade and the last few years (1980-82) of the decade. Improved economic conditions during 1983 have contributed to improved utility financial health. A continuation of these economic conditions would result in continued financial stability for most utilties. Some individual utilities - particularly those with large constuction programs and those facing substantial reductions in the demand for electricity - may continue to exhibit financial problems. Utilities that have attempted to complete large nuclear projects during the presence of sharply declining load growth face severe financial problems. Prospects for the future financial health of the industry depend critically on the future demand for electricity, requirements for new generating capacity and other utility investments, and resolution of several policy issues affecting utility ratemaking, operations, and financial accounting.

  16. The Impact of Price Fluctuations in Supply Chain Uncertainty and Risk in Oil & Gas Industry

    OpenAIRE

    Mikayilova, Khatira

    2015-01-01

    Abstract Purpose – The purpose of this research is to examine the challenges faced in oil and gas Supply Chain (SC) during the oil price fluctuations, provide recommendation on a way to reduce uncertainty in SC of oil and gas industry. Design/methodology/approach-The companies chosen for this research are called BP and two service companies: Schlumberger and Halliburton. In order to carry out this study, a qualitative research method was applied. Primary data was gathered through semi-s...

  17. Introducing a price variation limiter mechanism into a behavioral financial market model.

    Science.gov (United States)

    Naimzada, Ahmad; Pireddu, Marina

    2015-08-01

    In the present paper, we consider a nonlinear financial market model in which, in order to decrease the complexity of the dynamics and to achieve price stabilization, we introduce a price variation limiter mechanism, which in each period bounds the price variation so that the current price is forced to belong to a certain interval determined by the price realization in the previous period. More precisely, we introduce such mechanism into a financial market model in which the price dynamics are described by a sigmoidal price adjustment mechanism characterized by the presence of two asymptotes that bound the price variation and thus the dynamics. We show that the presence of our asymptotes prevents divergence and negativity issues. Moreover, we prove that the basins of attraction are complicated only under suitable conditions on the parameters and that chaos arises just when the price limiters are loose enough. On the other hand, for some suitable parameter configurations, we detect multistability phenomena characterized by the presence of up to three coexisting attractors.

  18. Analysis on the Impact of the Fluctuation of the International Gold Prices on the Chinese Gold Stocks

    Directory of Open Access Journals (Sweden)

    Jiankang Jin

    2014-01-01

    Full Text Available Five gold stocks in Chinese Shanghai and Shenzhen A-share and Comex gold futures are chosen to form the sample, for the purpose of analysing the impact of the fluctuation of the international gold prices on the gold stocks in Chinese Shanghai and Shenzhen A-share. Using the methods of unit root test, Granger causality test, VAR model, and impulse response function, this paper has analysed the relationship between the price change of the international gold futures and the price fluctuation of gold stocks in Chinese Shanghai and Shenzhen comprehensively. The results suggest the fluctuation of the international gold futures has a strong influence on the domestic futures.

  19. Calculation of slope-cover height under price fluctuation in open-pit mines

    Institute of Scientific and Technical Information of China (English)

    Ma Jinyan; Cai Qingxiang; Liu Fuming; Chen Shuzhao

    2014-01-01

    Leaving ditches between adjacent mining areas can effectively reduce re-stripping in the latter mining area and simultaneously lead to an increment in internal dumping costs in the former mining area. This paper establishes calculation models for these two marginal costs. The optimizing model for slope cover height can be determined by including marginal cost models in the objective function. The paper has two main contributions:(a) it fully considers redistribution of dumping space in the model;(b) it introduces price fluctuations and cash discounts in the model. We use the typical open-pit mine as an example to test and prove the model. We conclude that a completely covered slope is reasonable in Haerwusu open pit mine;in addition to an increasing price index, the slope cover height can be reduced;and that price changes are one of the most important influencing factors of slope cover height optimization in an open-pit mine.

  20. Optimal operation strategies of compressed air energy storage (CAES) on electricity spot markets with fluctuating prices

    DEFF Research Database (Denmark)

    Lund, Henrik; Salgi, Georges; Elmegaard, Brian;

    2009-01-01

    on electricity spot markets by storing energy when electricity prices are low and producing electricity when prices are high. In order to make a profit on such markets, CAES plant operators have to identify proper strategies to decide when to sell and when to buy electricity. This paper describes three...... plants will not be able to achieve such optimal operation, since the fluctuations of spot market prices in the coming hours and days are not known. Consequently, two simple practical strategies have been identified and compared to the results of the optimal strategy. This comparison shows that...... independent computer-based methodologies which may be used for identifying the optimal operation strategy for a given CAES plant, on a given spot market and in a given year. The optimal strategy is identified as the one which provides the best business-economic net earnings for the plant. In practice, CAES...

  1. Factors Influencing Pricing Decision: Evidence from Non-Financial Firms in Nigeria

    Directory of Open Access Journals (Sweden)

    Luqman Olawale

    2017-02-01

    Full Text Available This study examines the significant factors influencing pricing decision in Nigeria. The study is based on the appraisal of the factors that influence pricing decision using 100 non-financial companies listed on the Nigeria Stock Exchange (NSE in 2013. The cross sectional data was obtained from annual reports of the sampled firms which were analyzed based on OrdinaryRegression model. The results revealed that cost of sales has an insignificant positive effect on pricing policy, while company’s objective and consumer perception has significant positive relationship on pricing policy. On the external determinants, market demand and availability of close substitute has a significant negative effect on pricing policy while macroeconomic trend and market segment has insignificant negative effect on pricing policy. This study therefore suggests among others that, effort should be made on reducing cost of production in order to maximize profit.

  2. The Financial Indicators’ and Listed Company‘s Stock Price Link Determining the Value

    Directory of Open Access Journals (Sweden)

    Rima Tamošiūnienė

    2016-06-01

    Full Text Available The demand for value determination increased after rising of the Lithuanian economics. The joint-stock company value depends on the stock price and the company’s profit according to the “stock pricing for profit” method. The purpose of this scientific paper is the financial indicators’ and listed company’s stock price link determining the value. The analysis methods are: the research of scientific literature, data analysis, summarizing and graphic visualization. The link between financial indicators and the stock price is determined on the basis of correlation regression analysis. The analysis showed that listed on the stock exchange company’s stocks already have some value as they raise the capital. The research results revealed the stock price’s direct dependence on the fixed asset turnover and the debt-to-asset ratios.

  3. Financial frictions and the reaction of stock prices to monetary policy shocks

    OpenAIRE

    Ozdagli, Ali

    2014-01-01

    This paper reveals and tests a new theoretical implication of the credit channel of monetary policy: as financial frictions (monitoring or auditing costs) increase, the reaction of stock prices to monetary policy shocks decreases. Correspondingly, towards the end of the Enron accounting scandal, the stock prices of firms sharing the same auditor as Enron responded by about 50 to 60 basis points less than other firms to a 10 basis point reduction in the federal funds target rate. This effect i...

  4. Oil Prices, Credit Risks in Banking Systems, and Macro-Financial Linkages across GCC Oil Exporters

    Directory of Open Access Journals (Sweden)

    Saleh Alodayni

    2016-11-01

    Full Text Available This paper assesses the effect of the recent 2014–2015 oil price slump on the financial stability in the Gulf Cooperation Council (GCC region. The first objective of this paper is to assess how oil price shock propagates within the macroeconomy and how the macro shocks transmit to GCC banks’ balance sheets. This part of the paper implements a System Generalized Method of Moments (GMM and a Panel Fixed Effect Model to estimate the response of nonperforming loans (NPLs to its macroeconomic determinants. The second objective of this paper is to assess any negative feedback effects between the GCC banking systems and the economy. The paper, therefore, implements a Panel VAR model to explore the macro-financial linkages between GCC banking systems and the real economy. The results indicate that oil price, non-oil GDP, interest rate, stock prices, and housing prices are major determinants of NPLs across GCC banks and the overall financial stability in the region. Credit risk shock tends to propagate disturbances to non-oil GDP, credit growth, and stock prices across GCC economies. A higher level of NPLs restricts banks’ credit growth and can dampen economic growth in these economies. The results support the notion that disturbances in banking systems lead to unwanted economic consequences for the real sector.

  5. Option pricing from wavelet-filtered financial series

    Science.gov (United States)

    de Almeida, V. T. X.; Moriconi, L.

    2012-10-01

    We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component defined by most (≃99.6%) of the wavelet coefficients can be neglected for the purpose of option premium evaluation. The relevance of the hugely compressed information provided by low-pass wavelet-filtering is related to the fact that the non-gaussian statistical structure of the original financial time series is essentially preserved for expiration times which are larger than just one trading day.

  6. An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty

    Directory of Open Access Journals (Sweden)

    Hanlei Hu

    2017-01-01

    Full Text Available In financial markets with volatility uncertainty, we assume that their risks are caused by uncertain volatilities and their assets are effectively allocated in the risk-free asset and a risky stock, whose price process is supposed to follow a geometric G-Brownian motion rather than a classical Brownian motion. The concept of arbitrage is used to deal with this complex situation and we consider stock price dynamics with no-arbitrage opportunities. For general European contingent claims, we deduce the interval of no-arbitrage price and the clear results are derived in the Markovian case.

  7. Pricing Asian options in financial markets using Mellin transforms

    Directory of Open Access Journals (Sweden)

    Indranil SenGupta

    2014-11-01

    Full Text Available We derived an expression for the floating strike put arithmetic asian options in financial market when the asset is driven by the generalized Barndorff-Nielsen and Shephard model with stochastic volatility. A solution procedure for the resulting partial differential equation is provided using the technique of Mellin transforms.

  8. The analysis of volatility of gold coin price fluctuations in Iran using ARCH & VAR models

    Directory of Open Access Journals (Sweden)

    Younos Vakilolroaya

    2014-03-01

    Full Text Available The aim of this study is to investigate the changes in gold price and modeling of its return volatility and conditional variance model. The study gathers daily prices of gold coins as the dependent variable and the price of gold in world market, the price of oil in OPEC, exchange rate USD to IRR and index of Tehran Stock Exchange from March 2007 to July 2013 and using ARCH family models and VAR methods, the study analysis the data. The study first examines whether the data are stationary or not and then it reviews the household stability, Arch and Garch models. The proposed study investigates the causality among variables, selects different factors, which could be blamed of uncertainty in the coin return. The results indicate that the effect of sudden changes of standard deviation and after a 14-day period disappears and gold price goes back to its initial position. In addition, in this study we observe the so-called leverage effect in Iran’s Gold coin market, which means the good news leads to more volatility in futures market than bad news in an equal size. Finally, the result of analysis of variance implies that in the short-term, a large percentage change in uncertainty of the coin return is due to changes in the same factors and volatility of stock returns in the medium term, global gold output, oil price and exchange rate fluctuation to some extent will show the impact. In the long run, the effects of parameters are more evident.

  9. Fluctuation behaviors of financial time series by a stochastic Ising system on a Sierpinski carpet lattice

    Science.gov (United States)

    Fang, Wen; Wang, Jun

    2013-09-01

    We develop a financial market model using an Ising spin system on a Sierpinski carpet lattice that breaks the equal status of each spin. To study the fluctuation behavior of the financial model, we present numerical research based on Monte Carlo simulation in conjunction with the statistical analysis and multifractal analysis of the financial time series. We extract the multifractal spectra by selecting various lattice size values of the Sierpinski carpet, and the inverse temperature of the Ising dynamic system. We also investigate the statistical fluctuation behavior, the time-varying volatility clustering, and the multifractality of returns for the indices SSE, SZSE, DJIA, IXIC, S&P500, HSI, N225, and for the simulation data derived from the Ising model on the Sierpinski carpet lattice. A numerical study of the model’s dynamical properties reveals that this financial model reproduces important features of the empirical data.

  10. Electricity prices in a competitive environment: Marginal cost pricing of generation services and financial status of electric utilities. A preliminary analysis through 2015

    Energy Technology Data Exchange (ETDEWEB)

    NONE

    1997-08-01

    The emergence of competitive markets for electricity generation services is changing the way that electricity is and will be priced in the United States. This report presents the results of an analysis that focuses on two questions: (1) How are prices for competitive generation services likely to differ from regulated prices if competitive prices are based on marginal costs rather than regulated {open_quotes}cost-of-service{close_quotes} pricing? (2) What impacts will the competitive pricing of generation services (based on marginal costs) have on electricity consumption patterns, production costs, and the financial integrity patterns, production costs, and the financial integrity of electricity suppliers? This study is not intended to be a cost-benefit analysis of wholesale or retail competition, nor does this report include an analysis of the macroeconomic impacts of competitive electricity prices.

  11. The Multiscale Fluctuations of the Correlation between Oil Price and Wind Energy Stock

    Directory of Open Access Journals (Sweden)

    Shupei Huang

    2016-06-01

    Full Text Available Wind energy is considered a clear and sustainable substitution for fossil fuel, and the stock index of the wind energy industry is closely related to the oil price fluctuation. Their relationship is characterized by multiscale and time-varying features based on a variety of stakeholders who have different objectives within various time horizons, which makes it difficult to identify the factor in which time scale could be the most influential one in the market. Aiming to explore the correlation between oil price and the wind energy stock index from the time–frequency domain in a dynamic perspective, we propose an algorithm combining the wavelet transform, complex network, and gray correlation analyses and choose the Brent oil price and the international securities exchange (ISE global wind energy index from January 2006 to October 2015 in daily frequency as data sample. First, we define the multiscale conformation by a set of fluctuation information with different time horizons to represent the fluctuation status of the correlation of the oil–wind nexus rather than by a single original correlation value. Then, we transform the multiscale conformation evolution into a network model, and only 270 multiscale conformations and 710 transmissions could characterize 2451 data points. We find that only 30% of conformations and transmissions work as a backbone of the entire correlation series; through these major conformations, we identify that the main factor that could influence the oil–wind nexus are long-term components, such as policies, the status of the global economy and demand–supply issues. In addition, there is a clustering effect and transmissions among conformations that mainly happen inside clusters and rarely among clusters, which means the interaction of the oil–wind nexus is stable over a short period of time.

  12. Relationship between financial speculation and food prices or price volatility: applying the principles of evidence-based medicine to current debates in Germany.

    Science.gov (United States)

    Bozorgmehr, Kayvan; Gabrysch, Sabine; Müller, Olaf; Neuhann, Florian; Jordan, Irmgard; Knipper, Michael; Razum, Oliver

    2013-10-16

    There is an unresolved debate about the potential effects of financial speculation on food prices and price volatility. Germany's largest financial institution and leading global investment bank recently decided to continue investing in agricultural commodities, stating that there is little empirical evidence to support the notion that the growth of agricultural-based financial products has caused price increases or volatility. The statement is supported by a recently published literature review, which concludes that financial speculation does not have an adverse effect on the functioning of the agricultural commodities market. As public health professionals concerned with global food insecurity, we have appraised the methodological quality of the review using a validated and reliable appraisal tool. The appraisal revealed major shortcomings in the methodological quality of the review. These were particularly related to intransparencies in the search strategy and in the selection/presentation of studies and findings; the neglect of the possibility of publication bias; a lack of objective or rigorous criteria for assessing the scientific quality of included studies and for the formulation of conclusions. Based on the results of our appraisal, we conclude that it is not justified to reject the hypothesis that financial speculation might have adverse effects on food prices/price volatility. We hope to initiate reflections about scientific standards beyond the boundaries of disciplines and call for high quality, rigorous systematic reviews on the effects of financial speculation on food prices or price volatility.

  13. Underlying Dynamics of Typical Fluctuations of an Emerging Market Price Index: The Heston Model from Minutes to Months

    CERN Document Server

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

    2006-01-01

    We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian S\\~ao Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20 minutes to 160 days. At time scales shorter than 20 minutes we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at i...

  14. Rising Prices of Targeted Oral Anticancer Medications and Associated Financial Burden on Medicare Beneficiaries.

    Science.gov (United States)

    Shih, Ya-Chen Tina; Xu, Ying; Liu, Lei; Smieliauskas, Fabrice

    2017-08-01

    Purpose The high cost of oncology drugs threatens the affordability of cancer care. Previous research identified drivers of price growth of targeted oral anticancer medications (TOAMs) in private insurance plans and projected the impact of closing the coverage gap in Medicare Part D in 2020. This study examined trends in TOAM prices and patient out-of-pocket (OOP) payments in Medicare Part D and estimated the actual effects on patient OOP payments of partial filling of the coverage gap by 2012. Methods Using SEER linked to Medicare Part D, 2007 to 2012, we identified patients who take TOAMs via National Drug Codes in Part D claims. We calculated total drug costs (prices) and OOP payments per patient per month and compared their rates of inflation with general health care prices. Results The study cohort included 42,111 patients who received TOAMs between 2007 and 2012. Although the general prescription drug consumer price index grew at 3% per year over 2007 to 2012, mean TOAM prices increased by nearly 12% per year, reaching $7,719 per patient per month in 2012. Prices increased over time for newly and previously launched TOAMs. Mean patient OOP payments dropped by 4% per year over the study period, with a 40% drop among patients with a high financial burden in 2011, when the coverage gap began to close. Conclusion Rising TOAM prices threaten the financial relief patients have begun to experience under closure of the coverage gap in Medicare Part D. Policymakers should explore methods of harnessing the surge of novel TOAMs to increase price competition for Medicare beneficiaries.

  15. Rational expectations and the effects of financial liberalization on price level and output

    Directory of Open Access Journals (Sweden)

    Rangan Gupta

    2013-02-01

    Full Text Available This paper develops a generalized short-term model of a small open financially repressed economy, characterized by unorganized money markets, intermediate goods imports, capital mobility, flexible exchange rates and rational expectations, to analyze the price- and output-effects of financial liberalization. The analysis shows that financial deregulation, in the form of increased rate of interest on deposits and higher cash reserve requirements, unambiguously and unconditionally reduces domestic price level, but fails to affect output. Moreover, the result does not depend on the degree of capital mobility. The paper recommends that a small open developing economy should deregulate interest rates and tighten monetary policy if reducing inflation is a priority. Such a policy, however, requires the establishment of a flexible exchange rate regime.

  16. Asymmetric statistical features of the Chinese domestic and international gold price fluctuation

    Science.gov (United States)

    Cao, Guangxi; Zhao, Yingchao; Han, Yan

    2015-05-01

    Analyzing the statistical features of fluctuation is remarkably significant for financial risk identification and measurement. In this study, the asymmetric detrended fluctuation analysis (A-DFA) method was applied to evaluate asymmetric multifractal scaling behaviors in the Shanghai and New York gold markets. Our findings showed that the multifractal features of the Chinese and international gold spot markets were asymmetric. The gold return series persisted longer in an increasing trend than in a decreasing trend. Moreover, the asymmetric degree of multifractals in the Chinese and international gold markets decreased with the increase in fluctuation range. In addition, the empirical analysis using sliding window technology indicated that multifractal asymmetry in the Chinese and international gold markets was characterized by its time-varying feature. However, the Shanghai and international gold markets basically shared a similar asymmetric degree evolution pattern. The American subprime mortgage crisis (2008) and the European debt crisis (2010) enhanced the asymmetric degree of the multifractal features of the Chinese and international gold markets. Furthermore, we also make statistical tests for the results of multifractatity and asymmetry, and discuss the origin of them. Finally, results of the empirical analysis using the threshold autoregressive conditional heteroskedasticity (TARCH) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models exhibited that good news had a more significant effect on the cyclical fluctuation of the gold market than bad news. Moreover, good news exerted a more significant effect on the Chinese gold market than on the international gold market.

  17. Financial fluctuations anchored to economic fundamentals: A mesoscopic network approach.

    Science.gov (United States)

    Sharma, Kiran; Gopalakrishnan, Balagopal; Chakrabarti, Anindya S; Chakraborti, Anirban

    2017-08-14

    We demonstrate the existence of an empirical linkage between nominal financial networks and the underlying economic fundamentals, across countries. We construct the nominal return correlation networks from daily data to encapsulate sector-level dynamics and infer the relative importance of the sectors in the nominal network through measures of centrality and clustering algorithms. Eigenvector centrality robustly identifies the backbone of the minimum spanning tree defined on the return networks as well as the primary cluster in the multidimensional scaling map. We show that the sectors that are relatively large in size, defined with three metrics, viz., market capitalization, revenue and number of employees, constitute the core of the return networks, whereas the periphery is mostly populated by relatively smaller sectors. Therefore, sector-level nominal return dynamics are anchored to the real size effect, which ultimately shapes the optimal portfolios for risk management. Our results are reasonably robust across 27 countries of varying degrees of prosperity and across periods of market turbulence (2008-09) as well as periods of relative calmness (2012-13 and 2015-16).

  18. The Impact of the Oil Price Fluctuations on the Agrarian Policy in Azerbaijan

    Directory of Open Access Journals (Sweden)

    Elchin Suleymanov

    2017-06-01

    Full Text Available Azerbaijan passed into market economy after independence as well as other post-soviet countries. Azerbaijan acquired huge revenues from oil being oil exporting country like Russia and Kazakhstan and those revenues were pooled to make fund for transit period. But other sectors, especially agriculture shrank down despite its traditional and special place. Nevertheless losing revenues with fall in oil prices since end of 2014, Azerbaijan realized the important share of agriculture sector and agricultural export. This study investigates Azerbaijan agricultural policy in 2016 due to oil price fluctuations and main steps that government should take in order to eliminate Dutch Disease and increase non-oil sector and also applicability of agricultural policy of main CIS agricultural product export countries. At the end some suggestions are given on agricultural policy. Despite successful results on reconstruction economy on market based economy, integration into global economy through huge projects, there are still questions like efficiency management of free market economy; required reforms in oil price volatility need answer. In this study, comparatively analysed agriculture sector and agricultural export in Azerbaijan the period 2014-2016.

  19. Global commodity chains, financial markets, and local market structures: Price risks in the coffee sector in Ethiopia

    OpenAIRE

    Tröster, Bernhard; Staritz, Cornelia

    2015-01-01

    Risks related to commodity price volatility are a major thread to actors in commodity chains, particularly to smallholder farmers in low income countries. Therefore, price setting and transmission within global commodity chains are of crucial importance from a developmental and distributional perspective. With the end of global price stabilization mechanisms in the 1980s, financial derivative markets have taken over the central role in price discovery and risk management. This is also true fo...

  20. Characterization of large price variations in financial markets

    Science.gov (United States)

    Johansen, Anders

    2003-06-01

    Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher (> two) order correlations, they offer a better measure of real market risks than the variance or other cumulants of daily (or some other fixed time scale) of returns. Previous results have shown that the vast majority of drawdowns occurring on the major financial markets have a distribution which is well represented by a stretched exponential, while the largest drawdowns are occurring with a significantly larger rate than predicted by the bulk of the distribution and should thus be characterized as outliers (Eur. Phys. J. B 1 (1998) 141; J. Risk 2001). In the present analysis, the definition of drawdowns is generalized to coarse-grained drawdowns or so-called ε-drawdowns and a link between such ε- outliers and preceding log-periodic power law bubbles previously identified (Quantitative Finance 1 (2001) 452) is established.

  1. Geometric Brownian Motion, Option Pricing, and Simulation: Some Spreadsheet-Based Exercises in Financial Modeling

    Directory of Open Access Journals (Sweden)

    Kevin D. Brewer

    2012-11-01

    Full Text Available This paper presents some Excel-based simulation exercises that are suitable for use in financial modeling courses. Such exercises are based on a stochastic process of stock price movements, called geometric Brownian motion, that underlies the derivation of the Black-Scholes option pricing model. Guidance is provided in assigning appropriate values of the drift parameter in the stochastic process for such exercises. Some further simulation exercises are also suggested. As the analytical underpinning of the materials involved is provided, this paper is expected to be of interest also to instructors and students of investment courses.

  2. Effect of worldwide oil price fluctuations on biomass fuel use and child respiratory health: evidence from Guatemala.

    Science.gov (United States)

    Venkataramani, Atheendar S; Fried, Brian J

    2011-09-01

    We examined the effect of worldwide oil price fluctuations on household fuel use and child respiratory health in Guatemala. We regressed measures of household fuel use and child respiratory health on the average worldwide oil price and a rich set of covariates. We leveraged variation in oil prices over the 6-month period of the survey to identify associations between fuel prices, fuel choice, and child respiratory outcomes. A $1 (3.4% point) increase in worldwide fuel prices was associated with a 2.8% point decrease in liquid propane gasoline use (P increase in wood use (P increase in the likelihood of the child reporting a respiratory symptom (P prices and the fuel choice indicators was largest for households in the middle of the income distribution. Fluctuations in worldwide fuel prices affected household fuel use and, consequently, child health. Policies to help households tide over fuel price shocks or reduce pollution from biomass sources would confer positive health benefits. Such policies would be most effective if they targeted both poor and middle-income households.

  3. Fluctuation complexity of agent-based financial time series model by stochastic Potts system

    Science.gov (United States)

    Hong, Weijia; Wang, Jun

    2015-03-01

    Financial market is a complex evolved dynamic system with high volatilities and noises, and the modeling and analyzing of financial time series are regarded as the rather challenging tasks in financial research. In this work, by applying the Potts dynamic system, a random agent-based financial time series model is developed in an attempt to uncover the empirical laws in finance, where the Potts model is introduced to imitate the trading interactions among the investing agents. Based on the computer simulation in conjunction with the statistical analysis and the nonlinear analysis, we present numerical research to investigate the fluctuation behaviors of the proposed time series model. Furthermore, in order to get a robust conclusion, we consider the daily returns of Shanghai Composite Index and Shenzhen Component Index, and the comparison analysis of return behaviors between the simulation data and the actual data is exhibited.

  4. An equation of state for the financial markets: connecting order flow to price formation.

    Science.gov (United States)

    Gerig, Austin; Mike, Szabolcs; Doyne Farmer, J.

    2006-03-01

    Many of the peculiarities of price formation in the financial marketplace can be understood as the result of a few regularities in the placement and removal of trading orders. Based on a large data set from the London Stock Exchange we show that the distribution of prices where people place orders to buy or sell follows a surprisingly simple functional form that depends on the current best prices. In addition, whether or not an order is to buy or sell is described by a long-memory process, and the cancellation of orders can be described by a few simple rules. When these results are combined, simply by following the rules of the continuous double auction, the resulting simulation model produces good predictions for the distribution of price changes and transaction costs without any adjustment of parameters. We use the model to empirically derive equations of state relating order flow and the statistical properties of prices. In contrast to previous conjectures, our results demonstrate that these distributions are not universal, but rather depend on parameters of individual markets. They also show that factors other than supply and demand play an important role in price formation.

  5. Financial Frictions and Reaction of Stock Prices to Monetary Policy Shocks

    OpenAIRE

    Ali Ozdagli

    2014-01-01

    This paper reveals a new theoretical implication of the credit channel of monetary policy: the stock prices of financially more constrained firms are less responsive to monetary policy shocks. In order to study this implication, we use Enron scandal as an exogenous variation in the monitoring cost of the Arthur Andersen clients relative to other firms in a difference in differences framework. We find that Arthur Andersen clients have responded about 40 to 50 basis points less than other firms...

  6. FINANCIAL STABILITY AND PRICE STABILITY: AN EMPIRICAL ANALYSIS IN EURO AREA

    Directory of Open Access Journals (Sweden)

    Cristi Spulbăr

    2012-12-01

    Full Text Available In this paper we study the relationship between price stability and financial stability. We try to determine whether asset prices are useful indicators for determining future inflation rates and we analyze the tensions in the interbank market during the last five years by means of a GARCH (1,1 model. The results show that the interest rate leads to a decrease in the inflation rate, while oil and real estate prices give a positive impulse. Before the crisis, Euribor-Eoniaswap spread had a low volatility. But the intervention of central banks by injecting liquidity into the banking system led to a considerable increase in its volatility. Another explanation for the evolution of this phenomenon is due to the loss of control by the ECB on the MBR and Eoniaswap spread.

  7. Cyclicality, Mortality, and the Value of Time: The Case of Coffee Price Fluctuations and Child Survival in Colombia.

    Science.gov (United States)

    Miller, Grant; Urdinola, B Piedad

    2010-02-01

    Recent studies demonstrate procyclical mortality in wealthy countries, but there are reasons to expect a countercyclical relationship in developing nations. We investigate how child survival in Colombia responds to fluctuations in world Arabica coffee prices - and document starkly procyclical child deaths. In studying this result's behavioral underpinnings, we highlight that: (1) The leading determinants of child health are inexpensive but require considerable time, and (2) As the value of time declines with falling coffee prices, so does the relative price of health. We find a variety of direct evidence consistent with the primacy of time in child health production.

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

    Science.gov (United States)

    Lamba, H.

    2010-09-01

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

  9. Roughness and Finite Size Effect in the NYSE Stock-Price Fluctuations

    CERN Document Server

    Alfi, V; Petri, A; Pietronero, L

    2006-01-01

    We consider the roughness properties of NYSE (New York Stock Exchange) stock-price fluctuations. The statistical properties of the data are relatively homogeneous within the same day but the large jumps between different days prevent the extension of the analysis to large times. This leads to intrinsic finite size effects which alter the apparent Hurst (H) exponent. We show, by analytical methods, that finite size effects always lead to an enhancement of H. We then consider the effect of fat tails on the analysis of the roughness and show that the finite size effects are strongly enhanced by the fat tails. The non stationarity of the stock price dynamics also enhances the finite size effects which, in principle, can become important even in the asymptotic regime. We then compute the Hurst exponent for a set of stocks of the NYSE and argue that the interpretation of the value of H is highly ambiguous in view of the above results. Finally we propose an alternative determination of the roughness in terms of the ...

  10. A Correlation Study between Listed Companies' Accounting Information and Stock Price Fluctuation%上市公司会计信息和股价变动相关性研究

    Institute of Scientific and Technical Information of China (English)

    李祎; 翟玮

    2012-01-01

    The writer of this paper intends to classify the financial indicators into three categories and conduct an analysis into the relationship between the financial indicators of the listed companies and the price fluctuation by making use of the Pearson correlation coefficient, with the latest three years' financial data of listed companies in Shanghai and Shenzhen as samples. The results shows that: the listed companies' financial indicators of the explanatory power of the stock prices present a weakening trend; the main factors that affect the stock prices include the per-share earnings and rate of return on total assets; the companies' solvency is negatively correlated with stock prices, which has no statistical relativity with the fluctuations of stock prices; and the profitability of the company is the main factor that influences the listed company's share prices.%文章以近三年的沪深能源类上市公司的财务数据为样本,将财务指标分为三类,运用皮尔逊相关性系数分析了上市公司财务指标与其股价的关系。结果发现:上市公司财务指标对股价的解释力呈减弱的趋势;每股收益和总资产报酬率是影响股价的主要因素;公司偿债能力与股价呈负相关,对股价变动不具有统计意义上的相关性;公司盈利能力是影响上市公司股价的主要因素。

  11. Risk sharing versus financial contagion in Asia: An asset price perspective

    Directory of Open Access Journals (Sweden)

    Phurichai Rungcharoenkitkul

    2012-07-01

    Full Text Available This paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial contagion cost. We construct a new measure of risk sharing based on a term structure model, which allows identification of realized stochastic discount factors. Risk sharing is low in Asia, and varies across time and countries, whereas contagion risks are more significant intra-regionally, and relatively stable over the past decade. An overall tradeoff exists between risk sharing and contagion, but the terms of tradeoffs vary across countries, depending on relative economic fluctuations and inflation differentials. Asia therefore can potentially enhance risk sharing without raising contagion risk.

  12. 2008 East Asia Investment Forum Investment Cooperation in East Asia Facing Global Financial Fluctuations

    Institute of Scientific and Technical Information of China (English)

    2008-01-01

    @@ 2008 East Asia Investment Forum was held from May 10 to May 11 in Beijing with the theme of"Investment Cooperation in East Asia Facing Global Financial Fluctuations".It shed light on investment challenges and opportunities in Vietnam,Lao,Cambodia and Burma which are the four emerging markets in East Asia,and investment hotspots in Vietnam as well as the potential for investment cooperation in East Asia.

  13. GLOBAL FINANCIAL CRISIS AND AGRARIAN HOUSEHOLDS' INCOME, REMITTANCE AND PRICES IN RURAL NIGERIA AMID POLICY RESPONSES

    Directory of Open Access Journals (Sweden)

    Mmaduabuchukwu Mkpado

    2012-06-01

    Full Text Available The recent global financial crisis affected almost all aspect of human life. This paper explored effects of the global financial crisis on farmers' income, remittance and prices of food staples and highlighted certain government policy responses. The study was conducted in Nigeria. Secondary data were used. Data were analyzed using descriptive statistics, equivalent variation and Shannon index analysis. Results showed the global financial crisis affected the agrarian households/sector in Nigeria. The increase in prices meant more nominal income to farmers but grossly reduced their welfare due to decrease in real income as result of high inflation trend. Recommendations include that government should continue to sustain agrarian programs aimed at helping poor farmers to increase their capacity in production to meet the growing demand and changes. In both cases, the disturbed age structure has a reverse effect on the movement of the population (the size of reproductive contingent, but also to all other structures of the population (the size of contingent employment, population, compulsory school contingent, contingent dependent population ratio. Rating natural conditions aimed at separation of homogenous territorial units with some degree of benefits and limitations types of economic development.

  14. Brokers and business cycles: Does financial market volatility cause real fluctuations?

    OpenAIRE

    Döpke, Jörg; Pierdzioch, Christian

    1998-01-01

    This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of interest and test for the impact of the conditional variance on the future stance of the business cycle and on the volatility of industrial production. The results of our empirical investigation lead ...

  15. Jakarta Islamic Index-L 45: Rate Financial Performance, Beta Stocks and Stock Price in Indonesian Stock Exchange

    Directory of Open Access Journals (Sweden)

    Tajus Subqi

    2016-08-01

    Full Text Available This research had analyzed the effect of financial performance and stock beta (systematic risk towards stock price of eight listed companies in Jakarta Islamic Index (JII – LQ 45 for the time period of 2012-2014. The data was gathered by employing literature study and documentation of financial statements. Multiple regressions are used to measure the effect of independent variable towards dependent variable along with ttest and F test. The results based on overall test suggested that only ROE and NPM had opposite direction correlation with the stock price, meanwhile other variables had positive direction correlation. From partial test with 5% level of significance, only EPS and PER had significant effect on stock price while other variables had no effect.   Keywords: financial performance analysis, stock price, stock beta (systematic risk, Jakarta Islamic Index

  16. Financialization, price risks, and global commodity chains: Distributional implications on cotton sectors in Sub-Saharan Africa

    OpenAIRE

    Staritz, Cornelia; Newman, Susan; Tröster, Bernhard; Plank, Leonhard

    2015-01-01

    The functioning of commodity markets has changed related to processes of financialization that involve two major developments - the rise of financial interest on commodity derivative markets through the increasing presence of financial investors and the changing business models of international commodity trading houses and the increasing importance of these markets in price setting and risk management since the liberalization of national commodity sectors. A critical question is how these glo...

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

    Science.gov (United States)

    Ormoneit, D

    1999-12-01

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

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

    Science.gov (United States)

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

    2006-02-01

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

  19. Analysis of the causes of price fluctuations of dairy products at individual levels of the product vertica

    Directory of Open Access Journals (Sweden)

    Z. Gebeltová

    2010-09-01

    Full Text Available The paper analyzes the reasons for the prices of milk and milk products in the Czech Republic for the period 2008 – 2009. In January 2008, the purchase price of raw milk was 10.08 CZK/l, and in the subsequent period it began to decline. At the end of 2008, the price was more than 3 crowns lower, and still the decrease continued. The research determined that the essential reason for the price fluctuations is the impact of the economic crisis. A substantial portion of the article was devoted to analyzing the behavior of supermarket chains toward their suppliers. It was discovered that even here there is a lot of room for the creation of pricing policy. Margin trading networks up to 25% of the delivered goods. Price negotiations affect the position papers in the manufacturing vertical. The power of suppliers and processors is based on the establishment of a strong integration unit. In the conclusion the author discusses possible future developments in price, sales policy, and the self-sufficiency of milk production in the Czech Republic. The paper was processed within the framework of the Research Project of MSM 6046070906 "The economics of Czech agricultural resources and their effective use within the framework of multifunctional agri-food systems".

  20. Anchoring effect on first passage process in Taiwan financial market

    Science.gov (United States)

    Liu, Hsing; Liao, Chi-Yo; Ko, Jing-Yuan; Lih, Jiann-Shing

    2017-07-01

    Empirical analysis of the price fluctuations of financial markets has received extensive attention because a substantial amount of financial market data has been collected and because of advances in data-mining techniques. Price fluctuation trends can help investors to make informed trading decisions, but such decisions may also be affected by a psychological factors-the anchoring effect. This study explores the intraday price time series of Taiwan futures, and applies diffusion model and quantitative methods to analyze the relationship between the anchoring effect and price fluctuations during first passage process. Our results indicate that power-law scaling and anomalous diffusion for stock price fluctuations are related to the anchoring effect. Moreover, microscopic price fluctuations before switching point in first passage process correspond with long-term price fluctuations of Taiwan's stock market. We find that microscopic trends could provide useful information for understanding macroscopic trends in stock markets.

  1. Oil price fluctuations and their impact on the macroeconomic variables of Kuwait: a case study using a VAR model

    Energy Technology Data Exchange (ETDEWEB)

    Eltony, M. Nagy; Al-Awadi, Mohammad [Arab Planning Inst., Safat (Kuwait)

    2001-09-01

    In this study, a vector autoregression model (VAR) and a vector error correction model (VECM) were estimated to examine the impact of oil price fluctuations on seven key macroeconomic variables for the Kuwaiti economy. Quarterly data for the period 1984-1998 were utilised. Theoretically and empirically speaking, VECM is superior to the VAR approach. Also, the results corresponding to the VECM model are closer to common sense. However, the estimated models indicate a high degree of interrelation between major macroeconomic variables. The empirical results highlight the causality running from the oil prices and oil revenues, to government development and current expenditure and then towards other variables. For the most part, the empirical evidence indicates that oil price shocks and hence oil revenues have a notable impact on government expenditure, both development and current. However, government development expenditure has been influenced relatively more. The results also point out the significant of the CPI in explaining a notable part of the variations of both types of government expenditure. On the other hand, the variations in value of imports are mostly accounted for by oil revenue fluctuations. On the other hand, the variations in value of imports are mostly accounted for by oil revenue fluctuations and then by the fluctuation in government development expenditures. Also, the results from the VECM approach indicate that a significant part of LM2 variance is explained by the variance in oil revenue. It reaches about 46 per cent in the 10th quarter, even more than its own variations. (Author)

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

    Science.gov (United States)

    Lau, Chun Sing

    This thesis studies two types of problems in financial derivatives pricing. The first type is the free boundary problem, which can be formulated as a partial differential equation (PDE) subject to a set of free boundary condition. Although the functional form of the free boundary condition is given explicitly, the location of the free boundary is unknown and can only be determined implicitly by imposing continuity conditions on the solution. Two specific problems are studied in details, namely the valuation of fixed-rate mortgages and CEV American options. The second type is the multi-dimensional problem, which involves multiple correlated stochastic variables and their governing PDE. One typical problem we focus on is the valuation of basket-spread options, whose underlying asset prices are driven by correlated geometric Brownian motions (GBMs). Analytic approximate solutions are derived for each of these three problems. For each of the two free boundary problems, we propose a parametric moving boundary to approximate the unknown free boundary, so that the original problem transforms into a moving boundary problem which can be solved analytically. The governing parameter of the moving boundary is determined by imposing the first derivative continuity condition on the solution. The analytic form of the solution allows the price and the hedging parameters to be computed very efficiently. When compared against the benchmark finite-difference method, the computational time is significantly reduced without compromising the accuracy. The multi-stage scheme further allows the approximate results to systematically converge to the benchmark results as one recasts the moving boundary into a piecewise smooth continuous function. For the multi-dimensional problem, we generalize the Kirk (1995) approximate two-asset spread option formula to the case of multi-asset basket-spread option. Since the final formula is in closed form, all the hedging parameters can also be derived in

  3. Energy Efficiency, Food Consumption Influence on China's Economy based on Energy and Agricultural Food Price Fluctuations

    Directory of Open Access Journals (Sweden)

    Yantao Wang

    2015-08-01

    Full Text Available External shocks have significant effects on China's economy, as energy and agriculture food price. In recent years, the increasing of energy price will promote energy efficiency; also increasing prices of agricultural products will impact on production efficiency and economy. In this study, we make a statistical analysis on the impact of energy and agricultural food prices to domestic economy. The result shows that energy price will influence the energy efficiency in the short time, LnEP at lag 1 period increased one percentage can drive LnEE growth by 0.627 percentage, at the same time, agricultural food price will impact on the production efficiency, LnAFP at lag 1 period and the 2 period increased 1 percentage will drive the LnPE increased by 0.245 and 0.016 percentage respectively. Therefore, agricultural food prices have direct mutual promotion effect. Also, there exist at least one direct co-integration relationship between energy price and energy efficiency, which means that there exist a long-term equilibrium relationship between energy price and energy efficiency.

  4. Stages of the 2007/2008 Global Financial Crisis Is There a Wandering Asset-Price Bubble?

    OpenAIRE

    Orlowski, Lucjan T.

    2008-01-01

    This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market; spillovers into broader credit market; the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns and Lehman Brothers with counterparty risk effects on other financial institutions; the commodity price bubble, and the ultimate demise of investment banking in the U.S. The study argues that the severity of the crisis is influenced strongly by c...

  5. Investigating the effects of global financial crisis on stock price and operating profit: Evidence from Tehran Stock Exchange

    Directory of Open Access Journals (Sweden)

    Seyedeh Shideh Dianat Jahromi

    2013-09-01

    Full Text Available In some decades, capitalism countries have suffered from financial crises and the financial crises have created economic recession started from the country of origin and distributed to other counties. The purpose of this paper is to study the global financial crisis effects on the stock price as well as operating profit of some listed companies in Tehran Stock Exchange(TSE. This research shows the difference between operating profit and the price of the products of the firms before and after the global financial crisis. The aim of this research is to study the effects of the global financial crisis on 133 TSE firms over the period 2004-2011 by considering two periods: Before/after crisis, i.e. 2004-2008 and 2008-2011. The results of testing different hypotheses show that there was a significant difference between the operating profit and the stock price of the firms before and after the global financial crisis on the different industries of the Iranian companies.

  6. The impacts of petroleum price fluctuations on income distribution across ethnic groups in Malaysia

    NARCIS (Netherlands)

    Saari, M. Yusof; Dietzenbacher, Erik; Los, Bart

    2016-01-01

    Crude oil price hikes have compelled governments of developing countries to let domestic prices of energy increase. Fiscal priorities made it impossible to fully compensate the hikes by raising energy subsidies. This paper examines the potential impacts of a limited deregulation of the petroleum pri

  7. The impacts of petroleum price fluctuations on income distribution across ethnic groups in Malaysia

    NARCIS (Netherlands)

    Saari, M. Yusof; Dietzenbacher, Erik; Los, Bart

    2016-01-01

    Crude oil price hikes have compelled governments of developing countries to let domestic prices of energy increase. Fiscal priorities made it impossible to fully compensate the hikes by raising energy subsidies. This paper examines the potential impacts of a limited deregulation of the petroleum pri

  8. Research on Asset Price Bubbling and Financial Crises%资产价格泡沫化与金融危机

    Institute of Scientific and Technical Information of China (English)

    周吉来; 张建平

    2012-01-01

    本文从文献述评的角度,归纳研究了资产价格与金融危机的特征和相互作用的机理。在金融危机的孕育阶段,金融自由化、经济上升周期、货币政策、国际资本流动和心理等因素导致或助涨资产价格向上运动和泡沫化现象。金融危机通常在局部地区和市场首先触发,并向实体经济蔓延并实现国际传导,在泡沫崩溃和危机传导过程中,流动性枯竭和金融系统的脆弱性发挥了重要作用。最后,本文给出了加强金融体系改革和宏观审慎管理的几点建议。%Based on the literatures, the paper concludes the natures of and relationship between assets prices and financial crises. At the initial phase when financial crises buds, the elements of markets and macro-polices including financial liberalization, economic growth, monetary polices, inflow and outflow of international capitals and expectation, partly or jointly exacerbate the fluctuation and bubbles on asset prices. Both the exhaustion of liquidity and fragility of financial system play the crucial parts, from the very beginning when crisis was triggered by the changes in economic environment, to the stage of spillover towards real economic parts, as well as through international contagion or propagation. The paper is ends up with some advices on macro-prudent supervision and systemic innovations.

  9. Financial Brownian Particle in the Layered Order-Book Fluid and Fluctuation-Dissipation Relations

    Science.gov (United States)

    Yura, Yoshihiro; Takayasu, Hideki; Sornette, Didier; Takayasu, Misako

    2014-03-01

    We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysis of comprehensive market data enables us to identify all motions of the fluid particles. Correlations between the motions of the Brownian particle and its surrounding fluid particles reflect specific layering interactions; in the inner layer the correlation is strong and with short memory, while in the outer layer it is weaker and with long memory. By interpreting and estimating the contribution from the outer layer as a drag resistance, we demonstrate the validity of the fluctuation-dissipation relation in this nonmaterial Brownian motion process.

  10. Studies of Carbon Emissions Permit Prices Impacting on China's Energy Prices and Price Fluctuations%碳排放权价格对我国能源价格及物价波动的影响研究

    Institute of Scientific and Technical Information of China (English)

    钟世和; 曾小春

    2014-01-01

    以2003年1月—2012年8月芝加哥环境交易所碳价格月度数据为样本,采用VAR模型、脉冲响应及方差分解等方法,探讨碳价波动对我国能源价格及消费者物价指数( CPI)波动的影响。结果表明:碳价波动构成我国能源价格波动的原因,但对CPI影响较小。研究结果为我国政府和企业参与2013—2020年第二期碳减排承诺期碳交易提供了理论基础,防止碳价波动对我国实体经济产生负面影响,并提出了利用碳排放交易促进我国实体经济发展、推进经济结构调整的政策建议。%Adopting VAR modeL,impuLse response and variance decomposition methods,the paper discusses the infLuence of carbon price fLuctuations to China's energy prices and consumer price index( CPI),based on the sampLe of carbon price monthLy data of Chicago environmentaL exchange between August 2012 -January 2003. The resuLt shows that the carbon price fLuctuations constitute the reason of China's energy price voLatiLity but Less impact on the CPI. The resuLt provides a theoreticaL basis for the Chinese government and enterprises to participate in the 2013 -2020,the second phase carbon trading in carbon reduction commitment period, and prevents a negative impact of carbon price fLuctuation on China's reaL economy,and puts forward the poLi-cy proposaL by using carbon emissions trading to promote China's reaL economy deveLopment and boost the eco-nomic structure adjustment.

  11. MARKET CHANGES, BUSINESS CYCLES AND FLUCTUATIONS IN ELECTRICITY PRICES - EU EVIDENCE FROM GERMANY AND SLOVENIA

    Directory of Open Access Journals (Sweden)

    France Križanič

    2013-01-01

    Full Text Available This article deals with interesting oscillation pattern in electricity prices during the period of EU electric power supply liberalization process, its transition from infrastructure to market activity and during last economic crisis, when at first prices declined significantly, to be raised afterward and start to decline again during the last recession. Using empirical evidence from Germany and Slovenia and based on short theoretical background we try to explain how can such strong oscillations occur and what we can expect in the future? It was discovered that such oscillations can be connected with business cycles dynamic, only that electricity prices oscillations proved to be even stronger unless a major technological breakthrough occurs in the way energy is produced or spent. Economic growth affects electricity prices even in relative terms, causes growth in prices with respect to inflation and vice versa. To conclude, we can expect relative growth of electric power prices together with economic recovery in the near future, but growth should be moderately slower than growth of real GDP.

  12. The Impact of the 2008 Global Financial Crisis on the Structure of the Transmission of Price Innovations Across Financial Markets: The Case of Southwest Asian Equity Markets

    Directory of Open Access Journals (Sweden)

    Liao Qunfeng

    2016-06-01

    Full Text Available This study examines the reaction of Southeast Asian equity markets to the transmission of price innovations from major equity markets during the pre and post periods of the 2008 global financial crisis. In particular, we examine the reaction of returns indices in Malaysia, the Philippines, South Korea, Taiwan, and Thailand as endogenous variables, and compare them to the returns indices of the U.S., the Eurozone, Japan, and China as exogenous variables. The results of VAR models indicate the combined and individual impact of the price innovations from the major equity markets on the volatility of returns of selected countries is relatively trivial during either the pre- or post-financial crisis periods. However, the individual impact of the U.S. innovations is generally higher during the post-financial crisis. The ARCH and GARCH models indicate the stock markets of Southeast Asian countries are more responsive to their own price innovations during both the pre- and the post-crisis periods, although some response to U.S. and Eurozone shocks is also observed.

  13. The macroeconomic effects of oil price fluctuations on a small open oil-producing country. The case of Trinidad and Tobago

    Energy Technology Data Exchange (ETDEWEB)

    Lorde, Troy; Thomas, Chrystol [Department of Economics, Cave Hill Campus, University of the West Indies, P.O. Box 64, Bridgetown, St. Michael (Barbados); Jackman, Mahalia [Research Department, Central Bank of Barbados, Tom Adams Financial Centre (Barbados)

    2009-07-15

    Using vector autoregressive (VAR) methodology, this paper empirically investigates the macroeconomic effects of oil price fluctuations on Trinidad and Tobago. Overall, we find that the price of oil is a major determinant of economic activity of the country. Our impulse response functions suggest that following a positive oil price shock, output falls within the first two years followed by positive and growing response. We also investigate the macroeconomic impact of oil price volatility. Results suggest that an unanticipated shock to oil price volatility brings about random swings in the macroeconomy; however, only government revenue and the price level exhibit significant responses. With regard to the magnitude of the responses, shocks to oil price volatility tend to yield smaller macroeconomic impacts in comparison to shocks to oil prices. Variance decompositions suggest that the price of oil is a major component of forecast variation for most macroeconomic variables. Finally, Granger-causality tests indicate causality from oil prices to output and oil prices to government revenue. (author)

  14. The macroeconomic effects of oil price fluctuations on a small open oil-producing country: The case of Trinidad and Tobago

    Energy Technology Data Exchange (ETDEWEB)

    Lorde, Troy [Department of Economics, Cave Hill Campus, University of the West Indies, P.O. Box 64, Bridgetown, St. Michael (Barbados)], E-mail: troy.lorde@cavehill.uwi.edu; Jackman, Mahalia [Research Department, Central Bank of Barbados, Tom Adams Financial Centre (Barbados); Thomas, Chrystol [Department of Economics, Cave Hill Campus, University of the West Indies, P.O. Box 64, Bridgetown, St. Michael (Barbados)

    2009-07-15

    Using vector autoregressive (VAR) methodology, this paper empirically investigates the macroeconomic effects of oil price fluctuations on Trinidad and Tobago. Overall, we find that the price of oil is a major determinant of economic activity of the country. Our impulse response functions suggest that following a positive oil price shock, output falls within the first two years followed by positive and growing response. We also investigate the macroeconomic impact of oil price volatility. Results suggest that an unanticipated shock to oil price volatility brings about random swings in the macroeconomy; however, only government revenue and the price level exhibit significant responses. With regard to the magnitude of the responses, shocks to oil price volatility tend to yield smaller macroeconomic impacts in comparison to shocks to oil prices. Variance decompositions suggest that the price of oil is a major component of forecast variation for most macroeconomic variables. Finally, Granger-causality tests indicate causality from oil prices to output and oil prices to government revenue.

  15. The impact of a financial transaction tax on stylized facts of price returns—Evidence from the lab

    Science.gov (United States)

    Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael

    2012-01-01

    As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how “stylized facts”, namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets. PMID:23565012

  16. The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab.

    Science.gov (United States)

    Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael

    2012-08-01

    As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how "stylized facts", namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets.

  17. Rural electrification in Sub Saharan Africa in a context of fluctuating oil-prices

    DEFF Research Database (Denmark)

    Nygaard, Ivan; Bindner, Henrik W.; Katic, Ivan

    2009-01-01

    grid rural electrification schemes based on hybrid solar PVdiesel generators. This may bring PV systems in line with fossil fuel based systems in terms of consumer cost and options for productive use and it changes the market for PV from mainly donor supported schemes into mainstream rural...... electrification schemes governed and financed by electric utilities and rural electrification agencies. Based on a literature review and the experience with a full scale hybrid wind/PV diesel system at RISØ DTU, this paper provides cost estimates for hybrid PV-diesel systems and policy recommendations to change...... parts of the populations and with little or no value for productive uses. However, feasibility for solar PV has improved in the last few years. Retail prices for solar photovoltaic modules are reduced by 20-30% since 2001, and although far from the peak in 2008, oil prices in the next two years to come...

  18. Computational Models of Financial Price Prediction: A Survey of Neural Networks, Kernel Machines and Evolutionary Computation Approaches

    Directory of Open Access Journals (Sweden)

    Javier Sandoval

    2011-12-01

    Full Text Available A review of the representative models of machine learning research applied to the foreign exchange rate and stock price prediction problem is conducted.  The article is organized as follows: The first section provides a context on the definitions and importance of foreign exchange rate and stock markets.  The second section reviews machine learning models for financial prediction focusing on neural networks, SVM and evolutionary methods. Lastly, the third section draws some conclusions.

  19. FINANCIAL IMPACT AND ECONOMIC AND SOCIAL EFFECTS OF THE CORRELATIONS BETWEEN PRICE AND WAGE

    OpenAIRE

    Anatol Caraganciu; Gheorghe Costandachi

    2009-01-01

    In this paper are investigated correlations between prices and wages. Were analyzed the prices of food essentials of the market compared to some countries in the European Union and the USA. In the research process were put in evidence the main consequences of the functioning of the Moldovan market prices. Conclusions were formulated and proposed solutions to harmonize the development of market relations.

  20. Asset Price Shocks, Real Expenditures, and Financial Structure : A Multi-Country Analysis

    NARCIS (Netherlands)

    Chirinko, Robert S.; Haan, Leo de; Sterken, Elmer

    2004-01-01

    This paper examines the response of the economies of 11 EU countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural Vector Auto Regressive (SVAR) model, and four key findings emerge. First, the impacts of asset price shocks are hetero

  1. Financialization, price risks, and global commodity\\ud chains: Distributional implications on cotton sectors\\ud in Sub-Saharan Africa

    OpenAIRE

    Staritz, C.; Newman, S.; Tröster, B.; Plank, L

    2015-01-01

    The functioning of commodity markets has changed related to processes of financialization that involve two major developments – the rise of financial interest on commodity derivative markets through the increasing presence of financial investors and the changing business models of international commodity trading houses and the increasing importance of these markets in price setting and risk management since the liberalization of national commodity sectors. A critical question is how these glo...

  2. Quantifying risks with exact analytical solutions of derivative pricing distribution

    Science.gov (United States)

    Zhang, Kun; Liu, Jing; Wang, Erkang; Wang, Jin

    2017-04-01

    Derivative (i.e. option) pricing is essential for modern financial instrumentations. Despite of the previous efforts, the exact analytical forms of the derivative pricing distributions are still challenging to obtain. In this study, we established a quantitative framework using path integrals to obtain the exact analytical solutions of the statistical distribution for bond and bond option pricing for the Vasicek model. We discuss the importance of statistical fluctuations away from the expected option pricing characterized by the distribution tail and their associations to value at risk (VaR). The framework established here is general and can be applied to other financial derivatives for quantifying the underlying statistical distributions.

  3. Fluttuazioni endogene, deflazione da debiti e instabilità finanziaria (Endogenous fluctuations, debt deflation and financial instability

    Directory of Open Access Journals (Sweden)

    Piero Ferri

    2012-04-01

    Full Text Available Il presente lavoro studia le relazioni che intercorrono fra fluttuazioni endogene e crisi finanziarie facendo riferimento ad alcuni concetti, strumenti e metodologie che si rifanno all’analisi di Minsky. In particolare, l’articolo utilizza una funzione degli investimenti basata sul concetto di “cash flow” e la collega a una particolare struttura del mercato del lavoro in grado di generare una mutevole distribuzione del reddito. Queste equazioni sono arricchite dalla presenza di aspettative da parte dei vari operatori che cercano di “apprendere” (learning la dinamica del sistema facendo riferimento a “rolling regressions”. Le simulazioni del modello non-lineare sono in grado di generare fluttuazioni persistenti che sono accompagnate, a seconda delle ipotesi fatte, da fenomeni inflazionistici o deflazionistici. In questo contesto, l'instabilità finanziaria e la deflazione da debiti rappresentano più l’incapacità del sistema ad avere fluttuazioni contenute che non lo scoppio di bolle finanziarie come in Minsky.   This paper studies the relationships between endogenous fluctuations and financial crises with reference to some of the concepts, tools and methodologies that are based on the analysis of Minsky. In particular, the article uses a function of investment based on the concept of "cash flow" and connects it to a particular structure of the labor market can generate a changing distribution of income. These equations are enriched by the presence of expectations of various actors who seek to "learn" the dynamics of the system by referring to "rolling regressions". The simulations of the non-linear model are able to generate persistent fluctuations that are accompanied, depending on the assumptions made​​, by phenomena inflation or deflation. In this context, financial instability and debt deflation are more the inability of the system to fluctuate given that the bursting of financial bubbles as in Minsky.  JEL Codes: E

  4. 矿产资源价格扰动性及对策分析%Analysis on the Fluctuation of Mineral Resources Price and Its Counter Measures

    Institute of Scientific and Technical Information of China (English)

    廖桂生; 陈建宏; 郑海力

    2011-01-01

    针对国内外矿产资源价格扰动现象,从西方经济学的供求关系、宏观政策执行、需求预期、替代品等基本理论入手,分析矿产资源价格扰动的动态机理,定性分析各种不同因素造成的价格扰动度,并依此提出强化宏观调控、实行矿产资源战略储备、促进替代品使用和实施两型社会建设等降低价格扰动策略的措施。%Aiming at the fluctuation of mineral resources price at home and abroad, from the basic theories of supply - demand relationship,the execution of macroscopic policy,predictable demand and substitutes, the dynamic mechanism of fluctuation of mineral resources price was analyzed, the qualitative analysis of the disturbance degree of various factors on the price of mineral resources was made. According to these, some measures against the price fluctuation were advanced, such as strengthening the macroscopic regulation, implementing the strategic reserves of mineral resources, promoting the uses of alternatives, and implementing the building of the" two types" society.

  5. ANALYSIS OF FINANCIAL DERIVATIVES BY MECHANICAL METHOD (Ⅰ)-BASIC EQUATION OF PRICE OF INDEX FUTURES

    Institute of Scientific and Technical Information of China (English)

    云天铨

    2001-01-01

    Similar to the method of continuum mechanics, the variation of the price of index futures is viewed to be continuous and regular. According to the characteristic of index futures, a basic equation of price of index futures was established. It is a differential equation, its solution shows that the relation between time and price forms a logarithmic circle. If the time is thought of as the probability of its corresponding price, then such a relation is perfectly coincided with the main assumption of the famous formula of option pricing, based on statistical theory, established by Black and Scholes winner of 1997 Nobel' prize on economy. In that formula, the probability of price of basic assets (they stand for index futures here) is assummed to be a logarithmic normal distribution. This agreement shows that the same result may be obtained by two analytic methods with different bases. However, the result, given by assumption by Black-Scholes, is derived from the solution of the differential equation.

  6. The influence of the 2008 financial crisis on the predictiveness of risky asset pricing models in Brazil

    Directory of Open Access Journals (Sweden)

    Adriana Bruscato Bortoluzzo

    Full Text Available ABSTRACT This article examines three models for pricing risky assets, the capital asset pricing model (CAPM from Sharpe and Lintner, the three factor model from Fama and French, and the four factor model from Carhart, in the Brazilian mark et for the period from 2002 to 2013. The data is composed of shares traded on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA on a monthly basis, excluding financial sector shares, those with negative net equity, and those without consecutive monthly quotations. The proxy for market return is the Brazil Index (IBrX and for riskless assets savings accounts are used. The 2008 crisis, an event of immense proportions and market losses, may have caused alterations in the relationship structure of risky assets, causing changes in pricing model results. Division of the total period into pre-crisis and post-crisis sub-periods is the strategy used in order to achieve the main objective: to analyze the effects of the crisis on asset pricing model results and their predictive power. It is verified that the factors considered are relevant in the Brazilian market in both periods, but between the periods, changes occur in the statistical relevance of sensitivities to the market premium and to the value factor. Moreover, the predictive ability of the pricing models is greater in the post-crisis period, especially for the multifactor models, with the four factor model able to improve predictions of portfolio returns in this period by up to 80%, when compared to the CAPM.

  7. 国际油价波动对中国经济的影响分析%Effects of International Oil Price Fluctuations on the Chinese Economy

    Institute of Scientific and Technical Information of China (English)

    吴有君

    2016-01-01

    Affected by geopolitical and economic situation,the international oil price has fluctuated greatly in recent years,which significantly affected the global and Chinese economy.Based on analysis of the various causes of fluctuations in oil price,it was concluded that the volatility in oil price would continue,but high oil price was unlikely to be repeated in the long run.Low oil price is generally favorablefor Chinese economy,but will have some impacts on the new energy and oil extraction industries.Proposal was raised thatthe government should take measures to support the above industries.%受经济形势和地缘政治的影响,近年来石油价格的波动幅度比较大,对世界乃至我国的经济影响很大。对导致油价波动的各种原因进行了分析,认为石油价格的大幅波动还将持续,而从长期趋势看高油价时代已不太可能重现。低油价对我国经济总体有利,但会对我国的新能源和采油等产业造成一定影响,建议国家采取一定的措施予以扶持。

  8. 国际油价变化及未来趋势判断%A Fluctuated International Crude Oil Price and Its Perspective

    Institute of Scientific and Technical Information of China (English)

    张雷; 李江苏; 黄园淅; 杨波

    2011-01-01

    Soon after the beginning of the petroleum times, economic development for many countries has to be faced with a great challenge from a fluctuated crude oil prices. The authors revealed the facts as follows. Between 1965 and 2000, a key factor dominating the change of crude oil price in the whole world came mainly from the politic conflicts between the advanced countries or the traditional oil-importer and the organization of oil exporters. Yom Kippur War or October War in 1973, Islamic Revolution in 1979, and Iraq invaded Kuwait in 1990 were the best examples in explanting the acutely soaring crude oil prices in the whole world. This situation, however, has been changed since the very beginning of the 21 st century when the key factor dominating the oil price floating in the world has transformed from political to economic reasons when the market game transformed from a traditional binary structure constituted only by exporters and importers to a new ternary one made up by the oil exporters, the old importers (the developed countries), and the newly emerging importers (the newly developing countries). In fact, demand growth has been much higher in the developing world than that in the developed one since 2001. According to BP statistics, there had about 95% of the demand growth of the whole world contributed by the developing countries during the period 2001-2008, compared with that of only 30% during the period of 1965-2000. In the meantime, there were 17 old importers or developed countries which witnessed their shrinking in demand in 2008, compared with only 10 in 2003. Along with such a change, the world oil market has been becoming an ideal place for speculation businesses. Soon after reached a low point in 1999 of $17 per barrel (all prices are in US$ per barrel) with the Asian Financial Crisis, which reduced demand, crude oil prices increased rapidly, more than doubling by September 2000 to $35, and steadily increased to $40-50 in 2004. In 2005, crude

  9. Monetary Policy under the Border between Price Stability and Financial Stability

    Directory of Open Access Journals (Sweden)

    Irina-Raluca BADEA

    2015-09-01

    Full Text Available The international financial crisis drew the line for the international and national authorities that conducted and implemented faulty monetary and financial policies, regardless the potential risks that might arise. It was only after the crisis burst when everyone realized the impact the systemic risk can have on the global financial system and, consequently, on every national economy. The conventional point of view is that inflation is the main source of financial instability, but recent evidence points out the fact that reaching the inflation target does not necessarily mean that the financial system is stable. What is the most important is that any source of financial instability should be diminished if not erased, hence preserving financial stability has become an important goal for the authorities, who dispute whether to include it on the objectives list of central banks or authorize another institution to achieve it. Therefore, the main goal of this paper is framing the present monetary policy framework with respect to its objectives and strategies and the necessity to reconsider it in a realistic manner in order to prevent another collapse in case of an economic downturn.

  10. ANALYSIS OF FINANCIAL DERIVATIVES BY MECHANICAL METHOD (Ⅱ)-BASIC EQUATION OF MARKET PRICE OF OPTION

    Institute of Scientific and Technical Information of China (English)

    云天铨

    2001-01-01

    The basic equation of market price of option is formulated by taking assumptions based on the characteristics of option and similar method for formulating basic equations in solid mechanics: hv0 (t) = m1 v0-1 (t) -n1 v0 (t) + F , where h, m1 ,n1 , F are constants.The main assumptions are: the ups and downs of market price v0 (t) are determined by supply and demand of the market;the factors, such as the strike price, tenor, volatility, etc.that affect on v0 (t) are demonstrated by using proportion or inverse proportion relation;opposite rules are used for purchasing and selling respectively. The solutions of the basic equation under various conditions are found and are compared with the solution vf (t) of the basic equation of market price of futures. Furthermore the one-one correspondence between vf and v0 (t) is proved by implicit function theorem, which forms the theoretic base for study of vf affecting on the market price of option v0(t) .

  11. Carbon financial markets: A time-frequency analysis of CO2 prices

    Science.gov (United States)

    Sousa, Rita; Aguiar-Conraria, Luís; Soares, Maria Joana

    2014-11-01

    We characterize the interrelation of CO2 prices with energy prices (electricity, gas and coal), and with economic activity. Previous studies have relied on time-domain techniques, such as Vector Auto-Regressions. In this study, we use multivariate wavelet analysis, which operates in the time-frequency domain. Wavelet analysis provides convenient tools to distinguish relations at particular frequencies and at particular time horizons. Our empirical approach has the potential to identify relations getting stronger and then disappearing over specific time intervals and frequencies. We are able to examine the coherency of these variables and lead-lag relations at different frequencies for the time periods in focus.

  12. Bulk Fuel Pricing: DOD Needs to Reevaluate Its Approach to Better Manage the Effect of Market Fluctuations

    Science.gov (United States)

    2014-07-01

    Office of Management and Budget OUSD(C) Office of the Under Secretary of Defense (Comptroller) WTI West Texas Intermediate This is a work of the...Intermediate ( WTI ) crude oil benchmark with other crude oil pricing benchmarks to determine whether DOD’s approach to setting its standard price reflects...coming from the prices in the futures market for both West Texas Intermediate ( WTI ) and Brent crude oil prices.5 DOD uses the WTI projection as its

  13. 我国原料乳价格波动、影响及建议%Price Fluctuation, Influence and Suggestions of Raw Milk in China

    Institute of Scientific and Technical Information of China (English)

    魏秀芬; 周莹

    2014-01-01

    Since the second half of 2007, the raw milk price fluctuation in China can be divided into three stages. The breeding cost, the supply and demand of raw milk, the quality of raw milk, imports of dairy products, international dairy price, climate, epidemic situation and policies are the main factors of influencing raw milk price fluctuation. Excessive fluctuation of raw milk price will affect the interests of dairy farmers, dairy enterprise and consumers. So, the scientific dairy development plan should be made, the transaction of raw milk should be regulated, and the monitoring and early warning mechanism, reasonable raw milk price formation mechanism and benefit coupling mechanism between dairy enterprise and dairy farmers should be constructed.%2007年下半年以来,我国原料乳价格波动情况分为3个阶段。影响其波动的主要原因有饲养成本、原料乳供求、原料乳质量、乳制品进口、国际乳制品价格、气候、疫情和政策。原料乳价格波动过大会影响奶农、乳企和消费者的利益。必须科学制定乳业发展规划,规范原料乳交易,建立监测与预警机制、合理的价格形成机制以及乳企与奶农的利益联结机制。

  14. 黄金价格波动对黄金生产企业股价影响的实证分析%Empirical analysis on influences of gold price fluctuations on stock prices of gold enterprises

    Institute of Scientific and Technical Information of China (English)

    郑秀田; 徐虹; 李巧丽

    2013-01-01

      This paper based on the binary linear regression modeling analyzes the impact of changes in the price of gold and the stock market index on the stock prices of 3 gold production enterprises listed on the domestic stock ex-change,and came to the following conclusions .Both the fluctuation of spot gold price and volatility of stock market have significant positive impact on the stock prices of gold production enterprises .A rise of spot gold price and stock market index will boost the stock prices ,while a drop of spot gold price and stock market index will cause the stock prices to fall.%  通过建立二元线性回归模型,分析了黄金价格和证券市场指数的波动对在国内证劵交易所上市的3家黄金生产企业股价的影响,得出了现货黄金价格和证券市场指数波动都能对黄金生产企业的股价产生显著的正向影响,即黄金现货价格上扬和证券市场的走强会带动黄金生产企业股价的上涨,黄金现货价格下挫和证券市场的走弱会带动黄金生产企业股价的下跌。

  15. The Weird Vegetable Price

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    The Chinese Government faces the task of stabilizing vegetable prices to avoid steep increases and dips Fluctuations of vegetable prices in China have recently caused near panic in the domestic market.Purchase prices for farm produce are decreasing dramatically

  16. Assessing the Predictive Power of Customer Satisfaction for Financial and Market Performances: Price-to-Earnings Ratio is a Better Predictor Overall

    Directory of Open Access Journals (Sweden)

    Pierre Rostan

    2012-01-01

    Full Text Available Our paper shows that based on the RMSE criteria, Price-to-Earnings ratio is a better predictor of financial and market performances of the firm than the Customer Satisfaction index (CS. This conclusion is based on the choice of five financial and seven market indicators that we consider as proxies for financial and market performances with a sample comprising eighty-six companies: Book value, dividend yield, Gross Profit Margin, Price to Cash-Flows, Price-to-Earnings, Price to Sales, Annual return, ROA, ROE, ROI, Volatility and Tobin’s Q. However, CS clearly outperforms our five benchmarks (Tobin’s Q, Price-to-Cash Flows, Price-to-Earnings, Volatility or the indicator itself when forecasting Tobin’s Q, Volatility, ROE and ROI. In periods of volatile market such as year 2008, CS is a more stable predictor of Volatility or ROE than the indicators themselves (i.e. Volatility for Volatility, ROE for ROE.

  17. Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets

    Science.gov (United States)

    Tóth, B.; Lempérière, Y.; Deremble, C.; de Lataillade, J.; Kockelkoren, J.; Bouchaud, J.-P.

    2011-10-01

    We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V shaped and vanishes around the current price. This result is generic, and only relies on mild assumptions about the order flow and on the fact that prices are, to a first approximation, diffusive. This naturally accounts for two striking stylized facts: First, large metaorders have to be fragmented in order to be digested by the liquidity funnel, which leads to a long memory in the sign of the order flow. Second, the anomalously small local liquidity induces a breakdown of the linear response and a diverging impact of small orders, explaining the “square-root” impact law, for which we provide additional empirical support. Finally, we test our arguments quantitatively using a numerical model of order flow based on the same minimal ingredients.

  18. Solution of time fractional Black-Scholes European option pricing equation arising in financial market

    Science.gov (United States)

    Ravi Kanth, A. S. V.; Aruna, K.

    2016-12-01

    In this paper, we present fractional differential transform method (FDTM) and modified fractional differential transform method (MFDTM) for the solution of time fractional Black-Scholes European option pricing equation. The method finds the solution without any discretization, transformation, or restrictive assumptions with the use of appropriate initial or boundary conditions. The efficiency and exactitude of the proposed methods are tested by means of three examples.

  19. The Effects of Financial Ratio and Market Based Ratio toward the Stock Price of Manufacturing Industry Sector in Indonesia Stock Exchange

    Directory of Open Access Journals (Sweden)

    Mulyono Mulyono

    2015-11-01

    Full Text Available The research objectives to examine the magnitude of the significant influence between financial ratios and the market based ratio toward the stock price of manufacturing industry sector in Indonesia Stock Exchange (IDX. In accordance IDX data by December 2013, the number of companies, included in the stock of the manufacturing industry sector, is 139 companies. Based on the analysis, it is concluded that the variable return on assets (ROA and price to book value (PBV has positive influence on stock prices. It can be interpreted that the higher the return on assets ratio and price to book value, the more positive influence on the increase of the stock price. The variable debt to equity ratio (DER and price earnings ratio (PER has negatively influence the stock price on the stock of manufacturing industry sector. This can be interpreted the higher the value of the debt to equity ratio and price earnings ratio, the more negatively influence on the decrease stock price.

  20. The Effects of Financial Ratio and Market Based Ratio toward the Stock Price of Manufacturing Industry Sector in Indonesia Stock Exchange

    Directory of Open Access Journals (Sweden)

    Mulyono

    2015-11-01

    Full Text Available The research objectives to examine the magnitude of the significant influence between financial ratios and the market based ratio toward the stock price of manufacturing industry sector in Indonesia Stock Exchange (IDX. In accordance IDX data by December 2013, the number of companies, included in the stock of the manufacturing industry sector, is 139 companies. Based on the analysis, it is concluded that the variable return on assets (ROA and price to book value (PBV has positive influence on stock prices. It can be interpreted that the higher the return on assets ratio and price to book value, the more positive influence on the increase of the stock price. The variable debt to equity ratio (DER and price earnings ratio (PER has negatively influence the stock price on the stock of manufacturing industry sector. This can be interpreted the higher the value of the debt to equity ratio and price earnings ratio, the more negatively influence on the decrease stock price.

  1. Effects of time delay on stochastic resonance of the stock prices in financial system

    Energy Technology Data Exchange (ETDEWEB)

    Li, Jiang-Cheng [Department of Physics, Yunnan University, Kunming, 650091 (China); Li, Chun [Department of Computer Science, Puer Teachers' College, Puer 665000 (China); Mei, Dong-Cheng, E-mail: meidch@ynu.edu.cn [Department of Physics, Yunnan University, Kunming, 650091 (China)

    2014-06-13

    The effect of time delay on stochastic resonance of the stock prices in finance system was investigated. The time delay is introduced into the Heston model driven by the extrinsic and intrinsic periodic information for stock price. The signal power amplification (SPA) was calculated by numerical simulation. The results indicate that an optimal critical value of delay time maximally enhances the reverse-resonance in the behaviors of SPA as a function of long-run variance of volatility or cross correlation coefficient between noises for both cases of intrinsic and extrinsic periodic information. Moreover, in both cases, being a critical value in the delay time, when the delay time takes value below the critical value, reverse-resonance increases with the delay time increasing, however, when the delay time takes value above the critical value, the reverse-resonance decrease with the delay time increasing. - Highlights: • The effects of delay time on stochastic resonance of the stock prices was investigated. • There is an optimal critical value of delay time maximally enhances the reverse-resonance • The reverse-resonance increases with the delay time increasing as the delay time takes value below the critical value • The reverse-resonance decrease with the delay time increasing as the delay time takes value above the critical value.

  2. Prices, Productivity, and Investment: Assessing Financial Strategies in Higher Education. ERIC Digest.

    Science.gov (United States)

    St. John, Edward P.

    This digest of a full report of the same title critically examines the cost controversy in higher education to better understand the types of financial strategies that can help resolve the crisis in college costs. A look at why these costs are so controversial finds that rapid rise in tuition, public debate about educational expenditures and real…

  3. Global financial crisis making a V-shaped fluctuation in NO2 pollution over the Yangtze River Delta

    Science.gov (United States)

    Du, Yin; Xie, Zhiqing

    2017-04-01

    The Yangtze River Delta (YRD), China's main cultural and economic center, has become one of the most seriously polluted areas in the world with respect to nitrogen oxides (NOx), owing to its rapid industrialization and urbanization, as well as substantial coal consumption. On the basis of nitrogen dioxide (NO2) density data from ozone monitoring instrument (OMI) and ground-based observations, the effects of industrial fluctuations due to the financial crisis on local NO2 pollution were quantitatively assessed. The results were as follows. (1) A distinct V-shaped fluctuation of major industrial products, thermal generating capacity, electricity consumption, and tropospheric NO2 densities was associated with the global financial crisis from May 2007 to December 2009, with the largest anomalies 1.5 times more than standard deviations at the height of the crisis period from November 2008 to February 2009. (2) Among all industrial sectors, thermal power plants were mainly responsible for fluctuations in local NO2 pollution during the crisis period. Thermal generating capacity had its greatest decrease of 12.10% at the height of the crisis compared with that during November 2007-February 2008, leading to local tropospheric NO2 density decreasing by 16.97%. As the crisis appeased, thermal generating capacity increased by 29.63% from November 2009 to February 2010, and tropospheric NO2 densities correspondingly increased by 30.07%. (3) Among all industrial sectors in the YRD, the thermal power sector has the greatest coal consumption of about 65.96%. A decline in thermal power of about 10% can induce a decrease of about 30% in NOx emissions and NO2 densities, meaning that a relative small fluctuation in industrial production can lead to a large decrease in tropospheric NO2 densities over industrially developed areas like the YRD region. Since electricity is mainly obtained from local coal-burning thermal plants without NOx-processing equipment, installing NOx

  4. Near-zero U.S. Interest Rates, Primary Commodity Prices, and Financial Control in Emerging Markets

    Institute of Scientific and Technical Information of China (English)

    RONALD; I.; MCKINNON

    2014-01-01

    The U.S. Federal Reserve’s monetary policy at the center of the world dollar standard has a first-order impact on global financial stability. However, except in moments of international crises, the Fed focuses inward on domestic American economic indicators and generally ignores collateral damage from its monetary policies in the rest of the world. But this makes the U.S. economy less stable. Currently, ultra-low interest rates on dollar assets ignite waves of hot money into emerging markets by carry traders that generate bubbles in international primary commodity prices and other assets. These bubbles burst when some accident at the center, such as a banking crisis, causes a reflux of the hot money. Ironically, these near-zero interest rates hold back investment in the American economy itself.

  5. Empirical Analysis on the Financial Intermediary Development and the Economic Fluctuation in China%金融中介发展与中国宏观经济波动实证分析

    Institute of Scientific and Technical Information of China (English)

    杨海燕

    2005-01-01

    This article analyzes the relationship between financial intermediary development and economic fluctuation in the last 50 years in China. It was found that a steady and long-term relation existed between these two variables, and that different aspects of the development of the financial intermediary system had different effects on the economic fluctuation. The improvement of the intermediary's efficiency can repress the economic fluctuation, but the increase of financial intermediaries can intensify the fluctuation. On that basis, some suggestions about the development of the financial intermediary are proposed in this essay.

  6. High food prices and the global financial crisis have reduced access to nutritious food and worsened nutritional status and health.

    Science.gov (United States)

    Brinkman, Henk-Jan; de Pee, Saskia; Sanogo, Issa; Subran, Ludovic; Bloem, Martin W

    2010-01-01

    A global economic and financial crisis is engulfing the developing world, coming on top of high food and fuel prices. This paper assesses the impact of the crises on food consumption, nutrition, and health. Several methods were applied, including risk analysis using the cost of the food basket, assessment surveys, simulations, regression analysis using a food consumption score (FCS), reflecting diet frequency and diversity, and a review of the impact of such dietary changes on nutritional status and health. The cost of the food basket increased in several countries, forcing households to reduce quality and quantity of food consumed. The FCS, which is a measure of diet diversity, is negatively correlated with food prices. Simulations show that energy consumption declined during 2006-2010 in nearly all developing regions, resulting potentially in an additional 457 million people (of 4.5 billion) at risk of being hungry and many more unable to afford the dietary quality required to perform, develop, and grow well. As a result of the crises, large numbers of vulnerable households have reduced the quality and quantity of foods they consume and are at risk of increased malnutrition. Population groups most affected are those with the highest requirements, including young children, pregnant and lactating women, and the chronically ill (particularly people with HIV/AIDS and tuberculosis). Because undernutrition during the first 2 y of life has life-long consequences, even short-term price rises will have long-term effects. Thus, measures to mitigate the impact of the crises are urgently required.

  7. Financial Intermediation, House Prices and the Welfare Effects of the U.S. Great Recession

    DEFF Research Database (Denmark)

    Menno, Dominik Francesco; Oliviero, Tommaso

    2014-01-01

    intermediation sector. The model matches the boom-bust cycle in house prices, the dynamics of household mortgage debt, and the increase in wealth inequality observed in the U.S. between 2001-2013. We find larger welfare costs of the Great Recession for borrowers than for savers. Borrowers experience a larger...... drop in consumption than savers who relatively benefit from a redistribution of housing wealth during the recession. We show that the size of this redistribution mechanism would have been significantly lower if (i) mortgage spreads would have remained at the low pre-crisis levels during the recession...

  8. Financial Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Pricing Pure Endowments

    CERN Document Server

    Milevsky, Moshe A; Young, Virginia R

    2007-01-01

    We develop a theory for pricing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. We prove that our ensuing valuation formula satisfies a number of desirable properties. For example, we show that it is subadditive in the number of contracts sold. A key result is that if the hazard rate is stochastic, then the risk-adjusted survival probability is greater than the physical survival probability, even as the number of contracts approaches infinity.

  9. Glo d price trends and financial plan ning strategies%黄金价格走势与理财策略

    Institute of Scientific and Technical Information of China (English)

    赵劼勋

    2014-01-01

    通过对黄金价格走势的历史回顾,分析了影响黄金价格的主要因素,并预测了未来黄金价格走势情况,阐述了黄金理财准备以及黄金投资品种及特点,从而提出了黄金理财投资的策略和建议,以期对黄金投资者起到帮助作用。%The paper reviews the historical gold price trends,analyzes the factors affecting the gold price trends, predicts the price trends in the future,elucidates the preparation of financial planning and gold investment products and their characteristics,and thus offers suggestions and strategies for gold financial planning and investment as well aids the gold investors.

  10. Asset price dynamics in a financial market with heterogeneous trading strategies and time delays

    Science.gov (United States)

    Sansone, Alessandro; Garofalo, Giuseppe

    2007-08-01

    In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process market information with different time delays. Each class of investors is characterized by path dependent risk aversion. We also allow for the possibility of evolutionary switching between trend following and contrarian strategies. We find that the system shows periodic, quasi-periodic and chaotic dynamics as well as synchronization between technical traders. Furthermore, the model is able to generate time series of returns that exhibit statistical properties similar to those of the S&P 500 index, which is characterized by excess kurtosis, volatility clustering and long memory.

  11. Mathematics, Pricing, Market Risk Management and Trading Strategies for Financial Derivatives (1/3)

    CERN Document Server

    CERN. Geneva; Coffey, Brian

    2009-01-01

    Abstract: An introduction to the mathematics and practicalities of market trading and risk management for financial derivatives, the course will focus on examples from the short-term and long term Foreign Exchange (FX) and Interest Rate (IR) derivatives markets. Topics: - Government Bonds and IR Curves - Stochastic FX, Black-Scholes Vanilla FX Options and Martingales - Risk Management and Market Trading for Vanilla FX Options, Market Implied Volatility, Valuation and Risk Management, Market Trading Strategies - Stochastic IR Curves and Implied Volatility, IR Derivatives - Long Term FX Options: Interaction of Stochastic FX and Stochastic IR Vanilla Foreign Exchange (FX) Options - $ Government Bonds, Interest Rate (IR) Curves, Continuous IR - Domestic ($) and Foreign (Yen) Government Bonds, IR curves - Stochastic Spot FX, Forward FX: Ito processes for $ and Yen Investors - Black-Scholes Vanilla FX Options, Connection to Heat/Diffusion Equation - Stochastic Differential Equations with Mart...

  12. Economic Explanations on Fluctuation of Pig Price in China%中国生猪价格波动的经济学解释

    Institute of Scientific and Technical Information of China (English)

    张晨; 罗强; 俞美莲

    2013-01-01

    Pig farming industry has an important position in China. The frequent fluctuation of pig price in recent years has certain impact on smooth running of national economy and healthy development of pig farming industry. Known from studying the relevant literatures, there were both endogenous and exogenous factors in fluctuation of pig price, and then the paper proposed to study the causes of fluctuation of pig price using theories of economics. Cobweb model was a principal tool to explain price fluctuation of agricultural products. By analyzing data from January, 2000 to July, 2012, it was found that the fluctuation of pig price in China presents a state of“cobweb disturbance”showing divergent case in general while convergent case and closed case in certain periods of time. It was believed that this phenomenon was closely related to change of macroeconomic environment in China, particularly the change of monetary policy represented by the interest rate. By analyzing pig farmer’s behavior to price change of piglet and feed, and analyzing relation between real wage and pig farming industry from the angle of macro labor demand and goods supply, the paper brought up two new exploratory explanations which were helpful to supplement the deficiency of cobweb model.%  生猪养殖业在中国具有举足轻重的地位。近年来生猪市场价格波动频繁,对国民经济平稳运行和产业良性发展具有一定影响。通过对相关文献进行梳理可知,生猪价格波动具有内生性、外生性因素,进而笔者提出以经济学理论研究生猪价格波动的成因。蛛网模型是解释农产品价格波动的主要工具。以2000年1月—2012年7月的数据为分析对象,发现中国生猪价格波动呈现出整体发散,但局部封闭、收敛的“蛛网紊乱”状态,认为这与中国宏观经济环境的变化,尤其是以利率为代表的货币政策的变化有密切关联。通过仔猪和饲料价格变化分

  13. Dynamic Evolution of Financial Network and its Relation to Economic Crises

    Science.gov (United States)

    Gao, Ya-Chun; Wei, Zong-Wen; Wang, Bing-Hong

    2013-02-01

    The static topology properties of financial networks have been widely investigated since the work done by Mantegna, yet their dynamic evolution with time is little considered. In this paper, we comprehensively study the dynamic evolution of financial network by a sliding window technique. The vertices and edges of financial network are represented by the stocks from S&P500 components and correlations between pairs of daily returns of price fluctuation, respectively. Furthermore, the duration of stock price fluctuation, spanning from January 4, 1985 to September 14, 2009, makes us to carefully observe the relation between the dynamic topological properties and big financial crashes. The empirical results suggest that the financial network has the robust small-world property when the time evolves, and the topological structure drastically changes when the big financial crashes occur. This correspondence between the dynamic evolution of financial network and big financial crashes may provide a novel view to understand the origin of economic crisis.

  14. Hisse Senetleri Fiyatlarının Belirlenmesinde Finansal Oranların Rolü(The Role of Financial Ratios in Determining the Stock Prices

    Directory of Open Access Journals (Sweden)

    Oğuzhan AYDEMİR

    2012-01-01

    Full Text Available In this study, financial ratios being effective in determining stock prices are investigated by panel data analysis. In this aim, data set belonging to 73 companies indexed in Istanbul Stock Exchange (ISE and operating in manufacturing sector over the period of 1990-2000 is used. Empirical results suggest that profitability and liquidity ratios have a positive effect on stock returns. Moreover, leverage ratio taken as an indicator of indebtedness has the same effect. However, it is seen that operating ratios have no impact on stock returns. Consequently, it may be said that the role of financial ratios in determining the stock returns is low.

  15. On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market

    CERN Document Server

    Sazuka, N

    2006-01-01

    We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between trades are not exponentially distributed. Here we show that our data is well approximated by a Weibull distribution rather than an exponential distribution in a non-asymptotic regime. Moreover, we quantitatively evaluate how much an empirical data is far from an exponential distribution using a Weibull fit. Finally, we discuss a phase transition between a Weibull-law and a power-law in the asymptotic long waiting time regime.

  16. 市场价格波动引起的合同价款调整研究%Research on the Contract Sum Adjustment by Fluctuation in Market Price

    Institute of Scientific and Technical Information of China (English)

    杨帆; 柯洪

    2015-01-01

    In the building materials market, material costs, labor costs and machinery costs constitute a direct project cost. Therefore, when material costs, labor costs and machinery costs fluctuate in market prices, construction cost of the project will also change accordingly. This paper researches on how the two concerned sides deal with contract price adjustment caused by market price fluctuation during the construction. With regard to coping methods to the construction cost change caused by market price fluctuation, on the price index adjusting the price margin and comes to a conclusion that the price adjustment base period, index, fixed coefficient and weight must be defined in order to obtain the method of price index adjusting the price margin under the market price fluctuation. Then separately explicates the time point of price adjustment base period and price adjustment cardinality, elaborates options and sources of price adjustment index and determines the fixed coefficient and weight, subsequently reaches to the point that the problem can be settled by the method of price index adjusting the price margin.%在建筑市场中建筑材料费、人工费以及机械费构成了直接工程费。因此,当建筑材料费、人工费以及机械费市场价格发生波动时,工程的施工成本也必将随之改变。本文对承发包双方如何处理施工过程中市场价格波动引起的合同价款调整问题进行研究,针对市场价格波动引起的施工成本变化的应对方法,重点分析价格指数调整价格差额方法,就必须确定调价基期、调价指数以及固定系数和权重。接着分别确定了调价基期的时点和调价基数,阐述了调价指数的选择和来源,确定了固定系数和权重,既而用价格指数调整价格差额方法解决问题。

  17. Effects of U.S. Macroeconomic Shocks on International Commodity Prices: Emphasis on Price and Exchange Rate Pass-through Effects

    Directory of Open Access Journals (Sweden)

    Won Joong Kim

    2011-01-01

    Full Text Available Using a structural VAR with block exogeneity, diagonality and identifying restrictions, this paper analyzes: first, the macroeconomic linkages among the oil price, U.S. output, interest rate, money supply, general price level and exchange rate; and second, the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity groups. By assuming the block exogeneity of U.S. macroeconomic variables with respect to the international nonfuel commodity prices, the paper discusses how exogenous oil/macroeconomic shocks affect the international commodity prices. It finally explores which oil/macroeconomic shocks are important in explaining the variations in international commodity prices. The results show that the sources of major fluctuations in the international commodities differ greatly by commodity. Soft and hard commodity prices such as those of ‘seafood’, ‘industrial metals’, and ‘gold’ seem to be strongly affected by the financial factor. Moreover, for some commodities, price fluctuations are more affected by the financial factor than by the real factor, supporting the view of “financialization” of commodities. Those commodities include ‘vegetable oils and protein meals’, ‘meat’, ‘seafood’, and ‘industrial metals’. The financial factor is also an important source of fluctuations in the oil prices. Oil price shocks have effects on the volatilities of interest rates, money supply, and general price level instantly, as well as on the exchange rate instead of the general price two years after the shock. Over the whole forecasting horizon, the degree of exchange rate pass-through is low on the general price level but is positive and high on oil and nonfuel international commodity prices

  18. The average behaviour of financial market by 2 scale homogenisation

    CERN Document Server

    Wojnar, R

    2006-01-01

    The financial market is nonpredictable, as according to the Bachelier, the mathematical expectation of the speculator is zero. Nevertheless, we observe in the price fluctuations the two distinct scales, short and long time. Behaviour of a market in long terms, such as year intervals, is different from that in short terms. A diffusion equation with a time dependent diffusion coefficient that describes the fluctuations of the financial market, is subject to a two-scale homogenisation, and long term characteristics of the market such as mean behaviour of price and variance, are obtained. We indicate also that introduction of convolution into diffusion equation permits to obtain L- stable behaviour of finance.

  19. 全球黄金价格的波动趋势与影响因素%Fluctuation Trend and Driving Factors of Global Gold Price

    Institute of Scientific and Technical Information of China (English)

    张明

    2013-01-01

    全球黄金价格在2001~2011年期间大幅上涨,但在2012~2013年间显著回调。从名义价格来看,2001~2011年的金价上涨幅度显著超过20世纪70年代末至80年代初的幅度,但从实际价格来看,2011年的黄金价格尚未超过1980年的黄金价格。全球黄金供应量相对稳定,且相对于黄金存量而言规模太小,因此全球黄金价格波动主要受到需求、尤其是投资需求变化的影响。本文建立了一个以投资需求为主体的全球黄金价格波动的分析框架,发现通货膨胀率、实际利率、全球金价与美国CPI的比率以及美元汇率这四个指标,与全球黄金价格的走势关系最为密切,用来预测未来黄金价格走势的能力也最强。通过运用这一分析框架,认为2013年下半年与2014年,全球黄金价格在波动中下行仍是大概率事件。%The global gold price surged during 2001 to 2011, but declined significantly in 2012 and 2013. From the per-spective of nominal price, the rise of gold price in the last decade was much larger that the rise in the late 1970 and ear-ly 1980. But from the perspective of real price, the former still lag behind the latter. The global gold supply is relatively stable, and the ratio of supply flow to the stock of gold is too small, therefore the fluctuation of global gold price could be largely attributed to the change of demand, especially investment demand of gold. This paper tries to establish an analyt-ical framework of gold price movement which focuses on investment demand. We find that the inflation rate, the long-term real interest rate, the ratio of gold price to U.S. CPI index and US exchange rate index have not only the closest re-lationship with gold price but also the strongest predicting power about the future gold price. Based on this framework, we think that the gold price tend to decline further in the rest of 2013 and even 2014.

  20. Correlative Cluster Effect of Financial Crisis's Impact on the Housing Price Index of 70 Chinese Cities%金融危机对中国70城市房价影响的关联聚集效应

    Institute of Scientific and Technical Information of China (English)

    黄飞雪; 谷静

    2011-01-01

    In this paper a subdominant ultra-metric space with exactly defined topology sequence is applied to study the fluctuations and correlation of real estate prices of 70 cities under the impact of Financial Crisis.A comparative analysis of the monthly data from sample Housing Sales Price Index from July 2005 to July 2009 shows that the cluster effect in the real estate prices of the 70 cities is more significant after outbreak of the global financial crisis.Over time,the housing price span among different cities tends narrower,indicating that real estate price fluctuations among different cities are becoming more correlative.The central nodes in China are shifting from tier 2 and 3 cities to tier 1 cities.The influence of tier 1 cities is stronger.Although the global financial crisis led to much lower housing prices of the 70 cities,the whole housing market remains relatively stable.It is suggested to pay more attention to the housing prices of tier 1 cities in an effort to construct a harmonious society where every household has a house to live in.%为了考察金融危机影响下中国70个大中城市房价的波动特征及关联变化,提出采用具有准确拓扑序列的亚超度量空间方法。通过对2005年7月至2009年7月中国70个大中城市房屋销售价格指数样本的月数据进行金融危机前后对比实证,结果发现:金融危机爆发后,中国70个大中城市房价间聚集效应更加明显;房价间距离明显缩短,表明70城市房价波动的关联性提高;聚集的中心节点由二三线城市逐渐变为一线城市,使得一线城市的影响力大幅增强。虽然全球金融危机爆发,使得中国70个大中城市房价大幅降低,但其整体上仍然是相对稳定的。建议继续加

  1. Decrease of interest rate, credit expansion and the fluctuation of housing prices - -Empirical data from transnational panel data%利润率下降、信贷扩张与房价波动——来自跨国面板数据的经验证据

    Institute of Scientific and Technical Information of China (English)

    谭政勋

    2012-01-01

    非金融部门利润率的下降是导致信用扩张的内生性原因,信用游离于实体经济之外、单纯在金融系统内循环是房价上涨和波动的主要推动力。信贷扩张和房价波动相互影响,但信贷扩张对房价的影响远远大于房价上涨对信贷扩张的影响;信贷扩张对房价的放大机制即加速器效应在国际房地产市场普遍存在,加速器效应是房价顺周期性变化的潜在原因,但房价上涨引起信贷进一步扩张的加速器效应不存在。以美日为代表的发达国家的实体经济利润率下降、信用扩张、房价泡沫的累积、直至危机爆发的历史经验值得深思。%The decline of profit margin of non - financial sectors is the internal reason of credit expansion. Divorced from the real economy credit purely circulates inside the financial system as the driving force for the increase and fluctuation of housing prices. Credit expansion and housing price fluctuation are interacted, but the former is more influential to the latter than the other way around. The amplification mechanism of housing price by credit expansion, namely the acceleration effect, is universal in the international property market. This effect is the potential cause for the periodic change of housing price. However, the deceleration effect of credit expansion by rising housing price is not yet existent. Such historic experience is worth our reflection as the decrease of profit margin, the credit expansion, the aecumulation of housing price bubble and even the breakout of economic crisis in de- veloped countries represented by America and Japan.

  2. 鲜奶零售价格波动规律与趋势预测%Fresh Milk Retail Price Fluctuations and Future Trend Forecasting

    Institute of Scientific and Technical Information of China (English)

    钱贵霞; 陈思

    2011-01-01

    近年中国奶业发生了一系列突发事件,原料奶及乳制品价格出现了较大幅度的波动,给生产者和消费者均带来了不利的影响,也阻碍了奶业的健康发展。本文在总结牛奶产量和牛奶价格波动特征的基础上,利用CensusXl2季节调整方法和HP滤波法分析了鲜奶价格的实际数据变动、趋势变动规律、季节性变动和不规则要素以及波动周期。结果表明,鲜奶零售价格呈现出逐年增长的趋势,在每一年内,鲜奶价格在一月份最低,年中回落,第三季度逐渐攀升,具有明显的季节变动特征。鲜奶零售价格的不规则要素的波动随机性较强,不具有规律性。2000年至今鲜奶零售价格分为4个明显的周期,周期平均长度为四年,2006~2008年的波动较为剧烈。本文还利用季节指数预测法和Holt—Winters季节乘积模型对未来两年的鲜奶零售价格走势进行了预测,结果显示,鲜奶零售价格在未来的两年中有明显的上涨趋势。据此提出了形成原料奶按质论价体系,建立价格补贴联动机制及加强食品安全监管等稳定鲜奶价格的政策建议。’%A series of unexpected events occurred in China's dairy industry, which caused the price of raw milk and dairy products fluctuating severely. The price fluctuations did harm to dairy farmers and consumers and even the sustainable development of the whole dairy industry. In this paper, based on the them, the cycle from 2006-2008 had strong fluctuations in fresh milk price. Based on the above analysis, we used two forecasting methods: were used seasonal index and Holt-Winters seasonal multiplicative model to forecast the future trend of fresh milk price. The result indicated that fresh will rise in next two years. Based on the above results, some policy recommendations had been put forward.

  3. Analysis on 'new fundamentals' and range of oil price trend in the long run

    Energy Technology Data Exchange (ETDEWEB)

    Rui, Chen

    2010-09-15

    The range of trend of oil price will be decided by marginal production cost of crude oil and production cost of alternative energy consumed as transportation fuel on a large scale. The former factor determines the lower limit and the latter determines the upper limit of oil price. financial factors and the value of USD will not only affect the short-term change of oil price, they may become fundamentals factors that exert influence on the mid-long term change of oil price, namely, New Fundamentals, which will determine the fluctuation degree of oil price in the long run.

  4. Overall fluctuations and fat tails in an artificial financial market: The two-sided impact of leveraged trading

    Science.gov (United States)

    Yang, G.; Zhu, C. G.; An, K. N.; Huang, J. P.

    2015-09-01

    Recent years have seen leveraged trading playing an increasingly important role in financial markets. However, the effect of leverage on the markets is still an open question. Here, we introduce a framework to investigate leveraged trading through both agent-based simulations and controlled human experiments on a one-stock artificial market. It shows that leverage increases the market risks, and at the same time decreases the outbreak probabilities of financial bubbles or crises. This work helps to understand the impact of leverage on financial markets appropriately.

  5. Price-volume multifractal analysis and its application in Chinese stock markets

    Science.gov (United States)

    Yuan, Ying; Zhuang, Xin-tian; Liu, Zhi-ying

    2012-06-01

    An empirical research on Chinese stock markets is conducted using statistical tools. First, the multifractality of stock price return series, ri(ri=ln(Pt+1)-ln(Pt)) and trading volume variation series, vi(vi=ln(Vt+1)-ln(Vt)) is confirmed using multifractal detrended fluctuation analysis. Furthermore, a multifractal detrended cross-correlation analysis between stock price return and trading volume variation in Chinese stock markets is also conducted. It is shown that the cross relationship between them is also found to be multifractal. Second, the cross-correlation between stock price Pi and trading volume Vi is empirically studied using cross-correlation function and detrended cross-correlation analysis. It is found that both Shanghai stock market and Shenzhen stock market show pronounced long-range cross-correlations between stock price and trading volume. Third, a composite index R based on price and trading volume is introduced. Compared with stock price return series ri and trading volume variation series vi, R variation series not only remain the characteristics of original series but also demonstrate the relative correlation between stock price and trading volume. Finally, we analyze the multifractal characteristics of R variation series before and after three financial events in China (namely, Price Limits, Reform of Non-tradable Shares and financial crisis in 2008) in the whole period of sample to study the changes of stock market fluctuation and financial risk. It is found that the empirical results verified the validity of R.

  6. Oil prices and the stock prices of alternative energy companies

    Energy Technology Data Exchange (ETDEWEB)

    Henriques, Irene; Sadorsky, Perry [Schulich School of Business, 4700 Keele Street, Toronto, Ontario (Canada)

    2008-05-15

    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)

  7. Study on the Shock-transmission Mechanism of Stock Price among China, Russia and India

    Directory of Open Access Journals (Sweden)

    Menggen Chen

    2014-08-01

    Full Text Available Researchers pay more and more attention on the price comovement-effect among international stock markets. This paper deals with the transmission mechanism of price shocks among three stock markets of China, Russia and India, with a sample of weekly returns. The results showed that the price fluctuation of each market has an influence on other markets, although the price behavior is significantly independent. The impact of external price innovations will last 5 or 6 weeks usually and disappear after about 8 weeks. The pattern of transmission-mechanism for the price shocks is very different from each other. Besides, a further study revealed that the influence of external shocks on the domestic stock price increased significantly among the three markets after the 2008 international financial crisis.

  8. Strategic wholesale pricing for an incumbent supplier facing with a competitive counterpart.

    Science.gov (United States)

    Sun, Jianwu

    2014-01-01

    We introduce a wholesale pricing strategy for an incumbent supplier facing with a competitive counterpart. We propose a profit function which considers both the present loss and future loss from a wholesale price and then study the optimal wholesale prices for different objectives about this profit function for the incumbent supplier. First, we achieve an optimal wholesale price for the incumbent supplier to maximize his expected profit. Then, to reduce the risk originating from the fluctuation in the competitive supplier's wholesale price, we integrate the conditional value-at-risk (CVaR) measure in financial risk management into this study and derive an optimal wholesale price to maximize CVaR about profit for the incumbent supplier. Besides, the properties of the two optimal wholesale prices are discussed. Finally, some management insights are suggested for the incumbent supplier in a competitive setting.

  9. Relationship between Gold and Oil Prices and Stock Market Returns

    Directory of Open Access Journals (Sweden)

    Muhammad Mansoor Baig

    2013-10-01

    Full Text Available This study objective to examine the relationship between gold prices, oil prices and KSE100 return. This study important for the investor whose want to invest in real assets and financial assets. This study helps investor to achieve the portfolio diversification. This study uses the monthly data of gold prices, KSE100, and oil prices for the period of 2000 to 2010 (monthly. This study applied Descriptive statistics, Augmented Dickey Fuller test Phillip Perron test, Johansen and Jelseluis Co-integration test, Variance Decomposition test to find relationship. This study concludes that Gold prices growth, Oil prices growth and KSE100 return have no significant relationship in the long run. This study provides information to the investors who want to get the benefit of diversification by investing in Gold, Oil and stock market. In the current era Gold prices and oil prices are fluctuating day by day and investors think that stock returns may or may not affected by these fluctuations. This study is unique because it focuses on current issues and takes the current data in this research to help the investment institutions or portfolio managers.

  10. Relative Prices and Inflation Stabilisation

    OpenAIRE

    Aoki, Kosuke

    2015-01-01

    When price adjustment is sluggish, inflation is costly in terms of welfare because it distorts various kinds of relative prices. Stabilising aggregate price inflation does not necessarily minimise these costs, but stabilising a well-designed core inflation minimises the cost of relative price fluctuations and thus the cost of inflation.

  11. PRICE AND PRICING STRATEGIES

    OpenAIRE

    Titus SUCIU

    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...

  12. PRICE AND PRICING STRATEGIES

    OpenAIRE

    Titus SUCIU

    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...

  13. Crude oil prices: Speculation versus fundamentals

    Science.gov (United States)

    Kolodziej, Marek Krzysztof

    Beginning in 2004, the price of crude oil fluctuates rapidly over a wide range. Large and rapid price increases have recessionary consequences and dampen long-term infrastructural investment. I investigate whether price changes are driven by market fundamentals or speculation. With regard to market fundamentals, I revisit econometric evidence for the importance of demand shocks, as proxied by dry maritime cargo rates, on oil prices. When I eliminate transportation costs from both sides of the equation, disaggregate OPEC and non-OPEC production, and allow for more than one cointegrating relation, I find that previous specifications are inconsistent with arguments that demand shocks play an important role. Instead, results confirm the importance of OPEC supply shocks. I investigate two channels by which speculation may affect oil prices; the direct effect of trader behavior and changes in oil from a commodity to a financial asset. With regard to trader behavior, I find evidence that trader positions are required to explain the spread between spot and futures prices of crude oil on the New York Mercantile Exchange. The inclusion of trader positions clarifies the process of equilibrium error correction, such that there is bidirectional causality between prices and trader positions. This creates the possibility of speculative bubbles. With regard to oil as a commodity and/or financial asset, I use a Kalman Filter model to estimate the time-varying partial correlation between returns to investments in equity and oil markets. This correlation changes from negative to positive at the onset of the 2008 financial crisis. The low interest rates used to rescue the economy depress convenience yields, which reduces the benefits of holding oil as a commodity. Instead, oil becomes a financial asset (on net) as the oil market changed from contango to backwardation. Contradicting simple political narratives, my research suggests that both market fundamentals and speculation drive

  14. Asymmetric and symmetric meta-correlations in financial markets

    Science.gov (United States)

    Li, Xiaohui; Shen, Xiangying; Huang, Jiping

    2016-10-01

    In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al., to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition, unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale. Project supported by the National Natural Science Foundation of China (Grant No. 11222544), the Fok Ying Tung Education Foundation (Grant No. 131008), and the Program for New Century Excellent Talents in University, China (Grant No. NCET-12-0121).

  15. 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. Second

  16. Loss Aversion, Adaptive Beliefs, and Asset Pricing Dynamics

    Directory of Open Access Journals (Sweden)

    Kamal Samy Selim

    2015-01-01

    Full Text Available We study asset pricing dynamics in artificial financial markets model. The financial market is populated with agents following two heterogeneous trading beliefs, the technical and the fundamental prediction rules. Agents switch between trading rules with respect to their past performance. The agents are loss averse over asset price fluctuations. Loss aversion behaviour depends on the past performance of the trading strategies in terms of an evolutionary fitness measure. We propose a novel application of the prospect theory to agent-based modelling, and by simulation, the effect of evolutionary fitness measure on adaptive belief system is investigated. For comparison, we study pricing dynamics of a financial market populated with chartists perceive losses and gains symmetrically. One of our contributions is validating the agent-based models using real financial data of the Egyptian Stock Exchange. We find that our framework can explain important stylized facts in financial time series, such as random walk price behaviour, bubbles and crashes, fat-tailed return distributions, power-law tails in the distribution of returns, excess volatility, volatility clustering, the absence of autocorrelation in raw returns, and the power-law autocorrelations in absolute returns. In addition to this, we find that loss aversion improves market quality and market stability.

  17. Description of dynamics of stock prices by a Langevin approach

    Institute of Scientific and Technical Information of China (English)

    Huang Zi-Gang; Chen Yong; Zhang Yong; Wang Ying-Hai

    2007-01-01

    We have studied the Langevin description of stochastic dynamics of financial time series. A sliding-window algorithm is used for our analysis. We find that the fluctuation of stock prices can be understood from the view of a time-dependent drift force corresponding to the drift parameter in Langevin equation. It is revealed that the statistical results of the drift force estimated from financial time series can be approximately considered as a linear restoring force. We investigate the significance of this linear restoring force to the prices evolution from its two coefficients, the equilibrium position and the slope coefficient. The daily log-returns of S&P 500 index from 1950 to 1999 are especially analysed. The new simple form of the restoring force obtained both from mathematical and numerical analyses suggests that the Langevin approach can effectively present not only the macroscopical but also the detailed properties of the price evolution.

  18. The Study on the Lending Interest Rate Pricing of Micro and Small Financial Institutions under the Interest Rate Liberalization%利率市场化下小微金融机构贷款利率定价研究

    Institute of Scientific and Technical Information of China (English)

    陈永明; 吴蔚蓝; 杨正荣; 李双红; 张武浩

    2015-01-01

    在利率市场化背景下,贷款定价对小微金融机构具有重要意义,而我国小微金融机构目前贷款利率定价中存在自身定价能力不足、传统定价模式影响、基准利率缺失等问题。本文借鉴国际银行业金融机构贷款定价主要模式,结合我国国情、市场环境、金融发展程度等因素,采用规范分析和对比分析相结合的方法,综合目前三种主要定价模式,提出了小微金融机构新型定价模型,并选取一家具有代表性的区域性金融机构进行验证,得出运用模型确定的利率水平。最后对小微金融机构进行贷款定价提出了加强成本核算、掌握行业利润率与客户资料等建议。%Under the background of interest rate liberalization, lending pricing is of great significance to micro and small financial institutions. While in China, there exist some problems such as insufficiency in the ability to price the interest rate, influenced by the traditional pricing mode and lack of benchmark interest rate and so on when micro and small financial institutions price the lending in-terest rate. Learning from the main lending pricing modes of international banking institutions, combined with the factors such as Chi-na’s conditions, the market environment and the financial development degree etc., adopting the methods of the normative analysis and comparative analysis, integrating the current three kinds of pricing modes, the paper puts forward the new pricing model for micro and small financial institutions, and selects a representative regional financial institution to verify the pricing model and by using the model determines the interest rate level. Finally, the paper puts forward some suggestions that micro and small financial institutions should strengthen the cost accounting and know about the business profitability and customers’data.

  19. 猪肉价格波动与通货膨胀相依关系研究%Research on the Interdependence between Infaltion and Price Fluctuation of Pork

    Institute of Scientific and Technical Information of China (English)

    张国富; 杜子平

    2015-01-01

    This paper calls the produces with capital goods characteristic capitalized agricultural produces , and takes pork as an example to calculate the coefficient of contingency of inflation and price fluctuation of pork by using five fami-lies of copula models;based on the Akaike Information Criterion ( AIC) and Bayesian Information Criterion ( BIC,) the frank copula is found to be the most suitable to model the interdependence between inflation and price fluctuation of pork. Using the frank copula, we calculate the Kendall′τand Spearman′ρbetween inflation and price fluctuation of pork.The results indicate that there are positive correlations between them.The rise of pork price has remarkable impact on infla-tion.%本文将具有资本品特征的农产品称为资产化农产品,以猪肉作为资产化农产品的代表,利用五种Copula函数计算了通货膨胀率序列和猪肉价格指数收益序列的相依系数;通过AIC和BIC法则选择Frank Copula为最优模型,并基于Frank Copula模型计算了通货膨胀率和猪肉价格波动率之间的Kendall’τ和Spearman’ρ相依系数。结果表明通货膨胀率和猪肉价格波动率之间存在正的相依关系,猪肉价格上涨对诱发通货膨胀有很强的推动作用。

  20. 对经济萧条期金融工具公允价值计量可靠性的分析%Pondering on the Reliability of Financial Instruments' Fair-value Pricing in the Economic Depression

    Institute of Scientific and Technical Information of China (English)

    宋永鹏; 张静

    2012-01-01

    由美国次级债引发的全球金融危机带来了全球经济的萧条,而究其根源,金融工具的公允计价成为众矢之的。此时,金融工具的公允计价究竟是否可靠的确值得我们深思。文章就经济萧条期金融工具公允计价的可靠性进行了探讨,提出了完善我国公允计价规则的具体措施建议。%The Global financial crisis caused by US Sub -prime loan crisis brought the economic recession. Tracing its'source, the Fair - value Pricing of financial instrument became the principal cause. Meanwhile, the reliability of Financial Instruments" Fair - value Pricing is worth thinking deeply about. In this article, the reliability of fair valuation of financial instruments in the economic recession was discussed. Finally, it presented several concrete proposals for the improvement of financial instruments fair pricing in our country.

  1. 基于双边市场理论的金融超市竞争定价策略研究%Pricing Strategy of Financial Super-market Based on Two-sided Markets

    Institute of Scientific and Technical Information of China (English)

    王镭; 李一军; 张凯

    2014-01-01

    Based on two-sided market, this paper analyzs the pricing competition strategies of financial super-mar-ket under the case of duopoly , and is mainly focused on the price discrimination strategies .The paper builds price discrimination model by which the discriminatory criteria are transaction times on the platform , and analy-zes equilibrium price , equilibrium profit and market shares in two different cases:financial super-market pursues long term maximum profit or short term maximum one .Then we draw the conclusion that price discrimination is good for financial super-markets’ short term profit maximization but not short term or long term profit .So the pa-per suggests financial super-markets should take the strategies of price discrimination in development stage and maturation stage appropriately ,and be within a certain period of time and transactions , so as to get more profit .%基于双边市场理论,重点分析金融超市在双寡头垄断情形下的竞争定价策略。即在在一般定价模型的基础上,构建起加入金融超市双边用户交易次数为歧视标准的价格歧视竞争模型。并且围绕金融超市追求长期利益和短期利益两种不同动机,对采取该策略均衡时最终用户的均衡进入价格、金融超市利润和市场份额进行比较分析。最后,给出金融超市实施价格歧视策略的对策和建议。

  2. 未预期的收入冲击与离婚:来自住房市场的证据%Unexpected House-Price Fluctuations and Marital Dissolution

    Institute of Scientific and Technical Information of China (English)

    范子英; 胡贤敏

    2015-01-01

    在Becker (1977)所开创的婚姻经济学中,离婚是由两个因素导致的:婚姻错配和收入冲击,不过实证研究却很难将两者的效应分离。本文使用中国地级市2005—2012年的离婚和房价的面板数据,采用向量自回归的残差项测量未预期到的房价变化,证实收入冲击是影响离婚率的一个重要因素;并且,由于未预期到的房价波动与婚姻匹配的质量无关,因此未预期到的房价冲击效应就可以全部归结为收入冲击。这些研究发现说明近年来高速上涨的房价与离婚率攀升是相互关联的,并且在婚姻市场上,“同享福”比“共患难”更不稳定,这也暗示着从更宏大视角来评估房地产市场的必要性。%Marital mismatch and uncertain income shock are two general causes leading to marital disso -lution according to Becker (1977) theory, however, it is difficult to distinguish the later from the former in empirical studies .Using vector autoregressive residual as the measurement of unexpected house -price , this pa-per takes the panel data of house-price and divorce from 2005 to 2012 to study the relation between house-price and marital dissolution .We find that, firstly, unexpected house-price fluctuations significantly affects di-vorce rate .Secondly , the relationship between house prices and divorce rates is asymmetric .House-price de-creases have no statistically significant effect on the share of the population that is divorced , while house-price increases increase the divorce rate .Thirdly, the higher house-price fluctuations are , the greater impact on the divorce rate .

  3. Visibility graph network analysis of natural gas price: The case of North American market

    Science.gov (United States)

    Sun, Mei; Wang, Yaqi; Gao, Cuixia

    2016-11-01

    Fluctuations in prices of natural gas significantly affect global economy. Therefore, the research on the characteristics of natural gas price fluctuations, turning points and its influencing cycle on the subsequent price series is of great significance. Global natural gas trade concentrates on three regional markets: the North American market, the European market and the Asia-Pacific market, with North America having the most developed natural gas financial market. In addition, perfect legal supervision and coordinated regulations make the North American market more open and more competitive. This paper focuses on the North American natural gas market specifically. The Henry Hub natural gas spot price time series is converted to a visibility graph network which provides a new direction for macro analysis of time series, and several indicators are investigated: degree and degree distribution, the average shortest path length and community structure. The internal mechanisms underlying price fluctuations are explored through the indicators. The results show that the natural gas prices visibility graph network (NGP-VGN) is of small-world and scale-free properties simultaneously. After random rearrangement of original price time series, the degree distribution of network becomes exponential distribution, different from the original ones. This means that, the original price time series is of long-range negative correlation fractal characteristic. In addition, nodes with large degree correspond to significant geopolitical or economic events. Communities correspond to time cycles in visibility graph network. The cycles of time series and the impact scope of hubs can be found by community structure partition.

  4. 我国金融市场间风险波动溢出效应分析%Risk Fluctuation spillover in Financial Markets of China

    Institute of Scientific and Technical Information of China (English)

    方盛奇

    2016-01-01

    基于变量之间的协整关系,构建三元VEC模型分析了中国股票市场、债券市场以及期货市场间的风险波动溢出效应。 Granger因果检验和协整方程表明:金融市场间的风险波动在较长时期内存在均衡关系,股票市场的风险波动会对债券市场以及期货市场产生显著影响,期货市场和债券市场的风险波动存在着反向的变动关系。脉冲响应分析和方差分解进一步表明股票市场风险波动冲击对自身以及债券市场和期货市场的贡献度较大,而受其他市场影响较小,债券市场以及期货市场的风险冲击对对方市场波动有一定的影响。%Based on the cointegration relationship among the variables , this paper analyzes the risk fluctua-tion spillover among stock market , bond market and the futures market in China by making VEC model . Granger causality test and cointegration equation show that there is a long -term balanced relationship of risk fluctuation in the three financial markets .The risk fluctuation in the stock market has a significant impact on the bond market as well as the futures market;futures market and bond market have a reverse relationship of risk fluctuation .Impulse response analysis and variance decomposition further show that impact of risk fluc -tuation in stock market contributes greatly to bond market , futures market and stock market itself , which are less influenced by other markets .The risk shock of bond market and futures market has mutual effect on both of them to a certain degree .

  5. Cement Industry Overview and Market Price Forecasting In Azerbaijan

    Directory of Open Access Journals (Sweden)

    Latafat Gardashova

    2016-10-01

    Full Text Available Global economic situation and energy resources’ prices influence local economic trends, investment of capital, status of financial institutions and cement industry in Azerbaijan in whole. These trends influence demand and activities of cement business communities which start to optimize expenses and find new priority decisions in business. Moreover some independent economic analysts refer to forecasts that since 2016 yearly demand will increase 4-5% in Azerbaijan. Objectives are to forecast cement price in the market using Fuzzy c-means (together with Fuzzy Inference System and ANFIS which are entered MATLAB mathematical packet and to compare the results of these methods.Taking into consideration the results of research and applied forecast models the cement price can show the stable slow increasing in the market even there is probability of some periodic fluctuations and regulating actions by the state authorities. Therefore it is high probability that the cement price will increase next 1-2 years.

  6. European option pricing model in a stochastic and fuzzy environment

    Institute of Scientific and Technical Information of China (English)

    LIU Wen-qiong; LI Sheng-hong

    2013-01-01

    The primary goal of this paper is to price European options in the Merton’s frame-work with underlying assets following jump-diff usion using fuzzy set theory. Owing to the vague fluctuation of the real financial market, the average jump rate and jump sizes cannot be recorded or collected accurately. So the main idea of this paper is to model the rate as a triangular fuzzy number and jump sizes as fuzzy random variables and use the property of fuzzy set to deduce two diff erent jump-diff usion models underlying principle of rational expectations equilibrium price. Unlike many conventional models, the European option price will now turn into a fuzzy number. One of the major advantages of this model is that it allows investors to choose a reasonable European option price under an acceptable belief degree. The empirical results will serve as useful feedback information for improvements on the proposed model.

  7. Alternative Monetary Policy Rules in a Small Open Economy with Financial Frictions: The Case of Korea

    Directory of Open Access Journals (Sweden)

    Yongseung Jung

    2011-09-01

    Full Text Available This paper first shows an empirical result of VAR that Korean economy has experienced a severe economic contraction to an exogenous country spread shock. To analyze the effect of alternative monetary policy on the economy, the paper sets up a multi-sector small open economy new Keynesian (NK hereafter model with financial frictions due to asymmetric information between firms and financial intermediaries along the line of Bernanke et al. (1999. It shows that the small economy with financial frictions is more vulnerable to the exogenous shocks such as the foreign exchange rate shock under the fixed exchange rate regime than under the flexible exchange regime. It also shows that the interest rate rule that responds to financial market conditions is better than any other interest rate rules only if it does not react to the exchange rate fluctuations. Moreover, an interest rate rule that responds to the exchange rate fluctuations, i.e. the monetary policy under the managed floating exchange rate regime is inferior to the monetary policy rules that do not respond to the exchange rate fluctuations. Finally, it shows that the monetary authority needs to stabilize a narrow price index such as domestic price index rather than a general price index such as consumer price index under the financial friction circumstances.

  8. An Empirical Analysis of Price Fluctuations in the Transient China%中国转轨时期物价波动的实证分析

    Institute of Scientific and Technical Information of China (English)

    高铁梅; 刘玉红; 王金明

    2004-01-01

    @@ 1. Introduction In the transition to the socialist market economy in the last decade, the inherent contradictions in China's economy have undergone tremendous changes and the price level has experienced a process from high inflation to deflation.

  9. 财务困境上市公司的股价同步性实证研究%An Empirical Research on Stock Price Synchronicity of Listed Company in Financial Distress

    Institute of Scientific and Technical Information of China (English)

    刘晓; 徐向艺

    2015-01-01

    This paper conducts an empirical study using the data of the companies listed in Shenzhen Stock Exchange A-share market that are non-financial firms and are in financial distress from 2009 to 2013.The study has four main research findings.First,financial distress has significantly positive effect on stock price synchronicity.Second,the information disclosure quality of the companies with financial distress has significantly negative effect on stock price synchronicity. Third, the information disclosure quality partially mediates the relationship between financial distress and stock price synchronicity.Finally,the industry competition moderates the relationship between financial distress and stock price synchronicity.Especially,the positive effect of financial distress on stock price synchronicity is stronger when the company is in low competitive industry rather than in high competitive industry.%以我国20092013年深市 A 股非金融类并陷入财务困境的上市公司数据进行了实证检验。研究结果表明:在目前我国证券市场情形下,财务困境对股价同步性具有显著的正向影响;陷入财务困境的上市公司信息披露质量对股价同步性具有显著的负向影响;信息披露质量在财务困境与股价同步性的关系之间起部分中介作用;行业竞争属性在财务困境与股价同步性的关系中起着调节作用,即相较于高度竞争行业,处于低度竞争行业中,财务困境对股价同步性的正向作用更强。

  10. Essays in Empirical Asset Pricing

    DEFF Research Database (Denmark)

    Rzeznik, Aleksandra

    This thesis consists of three essays investigating financial and real estate markets and identifying a relationship between them. A 2008 financial crises provides a perfect example of sizeable interactions between US housing market and equity prices, where a negative shock to house prices trigger...... a word-wide recession. Therefore, understanding forces driving investors behaviour and preferences, which in turn affect asset prices in both equity and housing market are of great interest....

  11. Essays in Empirical Asset Pricing

    DEFF Research Database (Denmark)

    Rzeznik, Aleksandra

    This thesis consists of three essays investigating financial and real estate markets and identifying a relationship between them. A 2008 financial crises provides a perfect example of sizeable interactions between US housing market and equity prices, where a negative shock to house prices triggered...... a word-wide recession. Therefore, understanding forces driving investors behaviour and preferences, which in turn affect asset prices in both equity and housing market are of great interest....

  12. 煤炭价格波动与电力供应紧张--基于月度数据的经验证据%Fluctuations in Coal Prices and Electricity Shortage ---Evidence based on Monthly Data

    Institute of Scientific and Technical Information of China (English)

    王建林; 赵佳佳

    2013-01-01

    Coal price could have an effect on electricity supply in China , which does not attract most researchers'attention.We analyze the relationship between power supply , coal price and economic growth .Empirical test is applied using the data from October 1996 to May 2012.The result suggests that there is a long-run equilibrium relationship be-tween power supply , coal price and economic growth .Power shortage is a departure from the long-run equilibrium relation-ship.Using bootstrap granger causality testing approach we find a unidirectional Granger causality running from power supply to economic growth , a unidirectional Granger causality running from coal price to power supply and a bidirectional Granger causality between coal price and economic growth .Policy solutions are also discussed in the paper , such as perfection of coal-electricity price link system , monitoring coal price fluctuation and breaking the administrative monopoly in electricity market .%近十年来电力供应紧张一直困扰中国经济,大量文献检验了电力供应与经济增长的关系,而忽视了煤炭价格这一因素。基于1996年10月到2012年5月的月度数据,我们使用了包含煤炭价格的多变量方法进行分析。研究结果显示, Johansen协整检验发现电力供应、煤炭价格和经济增长之间存在长期均衡关系;拔靴Granger因果检验发现,电力供应单向引导经济增长,煤炭价格单向引起电力供应,煤炭价格与经济增长之间存在双向的Granger因果联系。据此,我们建议完善煤电价格联动机制,密切关注煤炭价格波动和打破电力市场行政垄断等。

  13. 鲜活农产品拍卖市场品类价格波动的相关性分析与检验%The Correlations and Tests of the Breed Price Fluctuations in Fresh Agricultural Product Auction Market

    Institute of Scientific and Technical Information of China (English)

    朱苗绘; 秦开大; 杨保建

    2012-01-01

    Cointegration and Granger causality tests are widely used to analyze the relationship among economic variables in macroeconomic fields. However, it is rarely seen such analysis in enterprise micro market structure. The paper chooses the real deal data of rose in Kunming international flower auction market from Feb. 16, 2009 to Feb. 12, 2010, and analyzes correlations and influences of the rose price fluctuations. The empirical results show that there is a long-term equilibrium relationship between price and supply volume which is the the endogenous variable of price. Price has an impact on supply volume with one lagged period, whereas supply volume with three lagged periods on the price. At the same time, the price affect the rate of abortion with three lagged periods, and the abortion rate has no causality to the price.%协整与Granger因果检验被广泛应用于宏观经济领域经济变量间的关系分析中,但是,将协整与Granger因果检验应用于企业微观市场结构经济变量之间的分析的文献还鲜见报道.论文选择昆明国际花卉拍卖市场2009年2月16日至2010年2月12日间玫瑰的交易数据,分析鲜活农产品拍卖市场品类价格波动的相关性及其影响.实证结果表明:价格与供货量存在长期的均衡关系,供货量是价格的内生变量;价格对滞后一期的供货量产生影响,供货量则影响滞后三期的价格;此外,价格对滞后三期的流拍率产生影响,但流拍率的变化不会对价格产生影响.

  14. Impact of Drought on Price Fluctuation of Agricultural Production across the North China Region%华北地区干旱对中国主要农产品市场价格变动的影响预测

    Institute of Scientific and Technical Information of China (English)

    邓祥征; 林英志; 葛全胜; 赵永宏

    2011-01-01

    Over the past three decades, economic loss from the agricultural sector in the N(o)rth China Region has generally increased due to increasingly severe drought. In this paper, an estimation model was built based on the partial equilibrium theory, which appears to be capable of simulating the fluctuation of market prices of agricultural products corresponding to the frequency and intensity of natural disasters. Four types of crop products (including rice, wheat, maize, and legume), four types of livestock products (including pork, beef, eggs, and milk product), as well as three types of production factors (including capital, labor, and land) are comprehensively taken into account in the proposed model. Three scenarios, i.e., mild drought, moderate drought, and severe drought, were designed so as to obtain more robust results. Using this model and data from China Statistical Yearbook and China Agriculture Yearbook, we estimated market price fluctuations of eight types of crop and livestock products across the North China Region under the three drought scenarios. Results indicate that the prices of rice, wheat, and beef could rise by 0.67%, the prices of maize, pork, eggs, and milk products could rise by 0.56%, and the price of legume could rise by 0.57% under the mild drought scenario compared with that under the absence of drought. Under the scenario of moderate drought, the prices of maize, pork, eggs, and milk products rise by 1.78%-1.79%, and the prices of wheat and rice rise by 1.89% and 1.78%, respectively, with reference to the absence of drought. The rise in beef price could be 1.91% and the rise in legume price could reach 1.72% under the absence of drought. Under the scenario of severe drought, prices of rice, wheat, maize, and legume could rise by 3.56%-3.57%. The rise of the beef price of 3.59% is severest among all crop and livestock products. The prices of eggs and milk products could rise by 3.47% and 3.46%, respectively

  15. ACCOUNTING INNOVATION ANALYSIS FOR THE STOCK PRICES AND MACROECONOMIC FACTORS OF FIVE ASEAN COUNTRIES DURING AND POST THE 1997 ASIAN FINANCIAL CRISIS

    Directory of Open Access Journals (Sweden)

    Adwin Surja Atmadja

    2004-01-01

    Full Text Available This paper seeks to examine some of the dynamic interactions of stock prices and macroeconomic factors in five ASEAN countries, Indonesia; Malaysia; the Philippines; Singapore; and Thailand with particular attention to the 1997 Asian financial crisis and period onwards. Using monthly time series data of the countries, accounting innovation analyses based on vector autoregressive (VAR analytical framework is employed to empirically examine the interaction among the variables. This research reveals that, firstly, a shock to a particular variable in the model results in various contemporaneous reactions by other variables across the countries during the sample period. Secondly, the general forecast error variance decomposition results likely reinforce the outcomes of the general impulse response analyses in most of the countries. Abstract in Bahasa Indonesia : Makalah ini ditujukan untuk mengkaji berbagai interaksi dinamik yang terjadi antara indeks harga saham dan factor-faktor ekonomi makro di kelima negara-negara ASEAN, yaitu Indonesia; Malaysia; Filipina; Singapura; dan Thailand pada saat dan setelah berlangsungnya krisis keuangan Asia tahun 1997. Dengan menggunakan data time series bulanan dari negara-negara tersebut, accounting innovation analysis yang didasarkan atas kerangka analisa vector autoregressive (VAR diaplikasikan untuk menguji secara empiris interaksi dinamik antara berbagai variabel tersebut. Penelitian ini mengungkapkan bahwa, pertama, suatu goncangan terhadap suatu variabel tertentu di dalam model menghasilkan berbagai reaksi temporer oleh variabel-variabel lainnya di seluruh negara-negara tersebut selama periode penelitian. Kedua, hasil-hasil analisa general forecast error variance decomposition nampaknya cenderung memperkuat hasil-hasil dari analisa general impulse response di sebagian besar negara-negara ASEAN tersebut. Kata kunci: analisa accounting innovation, krisis keuangan Asia, pasar modal, faktor-faktor ekonomi makro

  16. COMPANY ACTIVITY FINANCIAL RISK

    Directory of Open Access Journals (Sweden)

    Caruntu Genu Alexandru

    2012-12-01

    Full Text Available In economic and financial activity, risk is an inherent financial decisions, encountered in daily agenda of managers of companies. Unexpected changes in the price of a product development not only affect the financial results of a company, but can cause even bankruptcy. In fact, the nature of financial decisions involve uncertainty. Financial decisions are made based on cash flows under future contracts, which are par excellence incerte.Activitatea an enterprise that holds any weight in the industry is subject to risks, since it can not predict with certainty different components of its outcome (cost, quantity, price and operating cycle (purchase, processing, sales.

  17. The Analysis of Domestic Oil Price Fluctuation Based on ARCH Models%基于ARCH类模型的国内油价波动分析

    Institute of Scientific and Technical Information of China (English)

    潘慧峰; 张金水

    2005-01-01

    The ARCH type models are applied on the weekly data of crude oil return from January 1997 to November 2003 to examine the features of volatility in China market. Our findings indicate that there exists significant conditional heteroskedasticity but with low persistence in the return of crude oil. The leverage effect in oil market is different from the one in the stock market, which shows that upward movements in the price of crude oil are followed by higher volatilities than downward movements of the same magnitude. Based on this, this paper analyzes the cause of the leverage effect in crude oil market from the angel of nonrenewable resources and discusses the countermeasures to deal with the volatility in oil price in terms of the situation of China.

  18. 金融机构信贷扩张、资产价格波动与金融危机——基于资产负债表分析模型%Financial Credit Expansion, Asset Price Volatility and Financial Crisis Based on the Balance Sheet Analysis Model

    Institute of Scientific and Technical Information of China (English)

    刘朝阳; 安亚人

    2012-01-01

    Financial crisis has a cyclical characteristics. before and after the crisis. With the same cycle of Typically there is a significant volatility on asset prices banking-credit and macro-economic, credit expansion and accumulation of the assets price bubbles preceding the tions; Market prosperity is often accompanied with Through building and analyzing a quantitative model on the dimensions of capital adequacy ratio, financial financial crisis covers up financial liberalization , systemic risk on financial institumoral hazard and deregulation. of balance sheet of the financial department, and standing assets measurement attributes, bad debt provision ratio, we propose counter-cyclical financial regulation strategy to reduce the probability of the occurrence of financial crisis.%金融危机具有周期性特征,通常在金融危机爆发前后会发生显著的资产价格剧烈波动。由于银行中介信贷周期与宏观经济周期的同周期性,金融危机爆发前的信贷扩张与资产价格泡沫积累掩盖了金融机构的系统性风险问题;市场高涨往往伴随着金融自由化思潮、道德风险问题与实质性监管松弛。基于对金融中介机构资产负债表量化模型的构建与分析,应从资本充足率、金融资产计量属性、坏账拔备比率三个维度采取逆周期金融监管策略,以降低金融危机发生的概率。

  19. 农产品价格波动“过山车”现象的经济机制分析%The Economic Mechanism of "Roller Coaster" Phenomenon of Price Fluctuations of Farm Produce

    Institute of Scientific and Technical Information of China (English)

    蔡志强

    2012-01-01

    若将“蛛网模型”和“均衡移动模型”结合起来,探讨农产品价格决定和价格波动中的关键因素及其相互作用的机理,就会得如下结论:我国农产品的合约制生产与流通组织化模式发展滞后,自然因素的随机作用造成农户生产决策的混同均衡,大量资金频繁进出农产品生产领域和流通环节,以及消费偏好的意外变化,这种种因素的“共振作用”就使得农产品价格波动屡屡发生“过山车”现象。而农产品合约制生产与流通的组织化模式的建立,应为治理农产品价格波动“过山车”现象的有效策略。%Combining Cobweb Model with Equilibrium Movement Model, the article explores the key factors and interactional mechanism of price establishment and fluctuations of farm produce, and reaches the following conclusions. China lags behind in the contractual agreement production and organizational development of distribution of farm produce. The stochastic function of natural factors results in the pooling equilibrium of farmers' decision-making. A lot of capital frequently flows into and out of the field of production and distribution of farm produce. The consumers' pref- erence varies unexpectedly. The synchronous vibration of various factors leads to the "roller coast- er" phenomenon of price fluctuations of farm produce. Therefore, the contractual agreement production and organizational development of distribution of farm produce are the effective strategies for dealing with "roller coaster" phenomenon of price fluctuations of farm produce.

  20. 国际大宗商品价格波动的中国因素探讨%On Chinaese Influencing Factors of International Commodity Price Fluctuation

    Institute of Scientific and Technical Information of China (English)

    王皓; 朱明侠

    2016-01-01

    国际大宗商品价格的持续上涨加剧了全球通货膨胀压力,而随着中国经济发展和地位提升,中国因素被认为是推动国际大宗商品价格上涨的重要原因。借鉴国外学者的FAVAR模型,采用多变量建立较为完整的宏观经济模型,研究结果表明:第一,中国需求的增加对国际大宗商品价格的上涨具有显著作用;第二,中国利率、人民币对美元汇率的上升会在短期内抑制国际大宗商品价格的上涨;第三,人民币汇率和利率虽然都会对国际大宗商品价格产生显著影响,但利率的作用效果要弱于汇率。因此,应尽快促进利率市场化,鼓励企业走出去,并加快推进产业结构调整,从而实现经济的持续健康发展。%The rise of international commodity price increases the pressure of global inflation;and with the economic development of China and the improvement of China’s position,Chinese factors have become the most important cause for the rise of international commodity price. With the help of FAVAR model,the authors carry out the related study on this by establishing a comprehensive macro economic model based on multi-variables. It is found that:first,the increase of Chinese demand has significant impact on the rise of international commodity price;second,the rise of China’s interest rate and the exchange rate of RMB to US dollars will restrain the rise of international commodity price in the short term;and third,the interest rate and exchange rate of RMB will both have significant impact on the price of international commodity,and the impact of interest rate will weaker than that of the exchange rate. So,we should accelerate interest rate liberalization,encourage the enterprises to go out,and accelerate industrial restructuring to realize the sustainable and healthy economic development.

  1. The Hurst exponent in energy futures prices

    Science.gov (United States)

    Serletis, Apostolos; Rosenberg, Aryeh Adam

    2007-07-01

    This paper extends the work in Elder and Serletis [Long memory in energy futures prices, Rev. Financial Econ., forthcoming, 2007] and Serletis et al. [Detrended fluctuation analysis of the US stock market, Int. J. Bifurcation Chaos, forthcoming, 2007] by re-examining the empirical evidence for random walk type behavior in energy futures prices. In doing so, it uses daily data on energy futures traded on the New York Mercantile Exchange, over the period from July 2, 1990 to November 1, 2006, and a statistical physics approach-the ‘detrending moving average’ technique-providing a reliable framework for testing the information efficiency in financial markets as shown by Alessio et al. [Second-order moving average and scaling of stochastic time series, Eur. Phys. J. B 27 (2002) 197-200] and Carbone et al. [Time-dependent hurst exponent in financial time series. Physica A 344 (2004) 267-271; Analysis of clusters formed by the moving average of a long-range correlated time series. Phys. Rev. E 69 (2004) 026105]. The results show that energy futures returns display long memory and that the particular form of long memory is anti-persistence.

  2. 国际石油价格波动的结构性因素分析——基于结构向量自回归模型的实证研究%Analysis on structural factors of international price fluctuation of crude oil: empirical study based on structural vector auto regression model

    Institute of Scientific and Technical Information of China (English)

    李丹; 崔日明

    2011-01-01

    Since 1970s, the international price of crude oil fluctuated sharply for many times, and the analysis on its causation is always a hot topic in academic field. The history of international price fluctuation of crude oil is retrospected and devided into stages firstly, the structural factors of international price fluctuation of crude oil is analyzed secondly, and the causes of international price fluctuation of crude oil is analyzed empirically by applying SVAR model at last. The result shows that both shocks of general supply and short-term exogenous factors will inflence international price fluctuation of crude oil, but it is relatively not significant. Comparatively, the inflence of demand shock exceeds supply shock on international price fluctuation of crude oil, and the general demand shock evaluated by index of economic activities has not resulted in severe international price fluctuation of crude oil. It is showed that the uneven international price fluctuation of crude oil has no direct causation with the great increasing demand of crude oil in China in recent years.%20世纪70年代以来,国际油价经历多次剧烈波动,对于油价波动原因的分析一直是理论界的热点话题。首先对国际油价波动的历史进行梳理和阶段性划分,然后对国际油价波动的结构性因素进行分析,最后采用SVAR模型对国际油价波动的原因进行实证分析,结果显示一般供给冲击和短期外部因素冲击均会对国际油价波动产生影响,但其影响并不大。相比而言,需求冲击对国际油价的影响超过供给冲击,而且以经济活动指数衡量的一般需求冲击并未造成国际油价的剧烈波动。这说明,国际油价的异常波动与我国近年来对石油需求的大幅增加并没有直接的联系。

  3. 中国金融状况周期波动特征及趋势周期分解%Periodic Fluctuation Characteristic and Trend-cycle Decomposition of China's Financial Condition

    Institute of Scientific and Technical Information of China (English)

    陈守东; 孙彦林; 刘洋

    2015-01-01

    本文基于 RTV-DFM 合成的金融状况指数(FCI)分析中国的金融状况,通过趋势周期分解试图揭示中国金融状况周期波动及长期趋势特征,并在此基础上进行预测。研究发现,本文合成的FCI很好地刻画了中国的金融状况,可作为金融经济变量的先行指标,中国金融周期与货币政策周期高度一致,随机性趋势与 FCI 趋势高度一致,周期性短期波动与 FCI 同步反向变化,市场情绪及投资者预期非理性掩护下的随机冲击是中国金融状况剧烈波动的原因。预测显示中国金融状况将渐进式“走出最坏,逼近光明”。%This paper, based on FCI synthesized by RTV-DFM to analysis China's financial condition, attempted to reveal the characteristics about periodic fluctuation and long-term trends of China's financial condition and then make predictions, by trend-cycle decomposition. The study finds that FCI of this paper is a good description of China's financial condition which could be used as the leading indicator of financial economic variables, and China's financial cycle is highly consistent with the monetary policy cycle; besides, though random trends are consistent with the trend of FCI, periodic short-term fluctuations and FCI synchronous reverse change, and random shocks behind irrational market sentiment and investor expectations are the causes of the severe fluctuation of China's financial situation; lastly, the forecast shows that China's financial condition will gradually "get out of the worst, approaching the light".

  4. Study on the Price Fluctuations of Angelica Sinensis in Minxian, Gansu%甘肃省岷县1990-2010年当归价格波动分析

    Institute of Scientific and Technical Information of China (English)

    王秀兰; 云立新

    2012-01-01

    In recent years, there have been several wide fluctuations in the price of Chinese herbal medicines due to the epidemics and natural disasters. Take Minxian County's Angelica sinensis resource as an example, which is the most influential in China, and analyzed the divergent fluctuations between its price and planting area in 1990-2010. The result shows that: the Chinese herbal medicine as a kind of special agricultural product,whose production can not be formed completely by the market regulating due to marketing delay, limited herbalist rational and in complete information, the government should strengthen to control its supply, demand, distribution, storage and other aspects.%近年来,由于受突发疫情、自然灾害等影响,我国中药材价格大幅波动问题逐渐引起社会关注.通过对我国当归的最大产地——甘肃岷县进行实地调研,分析1990-2010年岷县当归价格和种植面积的发散式波动情况,发现中药材作为一种特殊农产品,产销存在时滞、药农理性有限和信息不完全条件下,往往会发生一缺就上,一上就多,一多就下,一下就缺的怪圈.提出有效缓解价格波动的对策,中药材不能任由市场来调节产量,政府应从供给、需求、流通、仓储等方面加强宏观调控.

  5. Does the Expectation of Federal Reserve Interest Rates Raising Cause Asset Price Fluctuations in China?-Based on Empirical Evidence of the RMB Exchange Rate Transmission Path%美联储加息预期会引起我国资产价格波动吗?--基于汇率传导路径的经验证据

    Institute of Scientific and Technical Information of China (English)

    刘金全; 徐宁; 刘达禹

    2016-01-01

    以美联储加息预期和近期的人民币汇率波动为背景,以人民币兑美元实际汇率为桥梁,采用TVP -VAR 模型探究了“美联储利率调整→人民币汇率变动→资产价格波动”这一传导路径的有效性。结果发现:美联储宣布加息后,中国汇股两市会逐渐形成“人民币贬值→资产价格重置→我国股票抛售→资产价格下跌→外国资本流出→人民币再次贬值”的阶段性特征,但这一影响不具有长期效应。为此,中国政府应该在短期内高度重视美联储加息,通过加强外汇储备管理和金融市场监管来平抑短期内的汇股两市波动;而在长期内,政府仍应有计划有节奏的推动人民币国际化与钉住单一美元脱钩,提升人民币政策的独立性,从而在根本上稳定汇率波动并促进金融市场健康发展。%Based on the expectation of Fed interest rate raising and fluctuations of the RMB exchange rate,regarding the RMB real exchange rate as a bridge,we use the TVP -VAR model to explore the effectiveness of conduction path of "the federal reserve interest rates adjustment→the RMB exchange rate change→asset prices volatility".The results showed that after the Fed announced increasing interest rates,our Stock market and currency markets will gradually form the spiral pattern:Devaluation→asset prices reset→sell China′s stock→asset prices fall→foreign capital outflow→the RMB depreciated again.But this effect does not have a long -term effect.Therefore,the Chinese government should pay more attention to the Federal Reserve raising interest rates in the short term,through the strengthening management of foreign exchange reserves and regulation of financial markets to stabilize short -term foreign exchange and stock mar-ket volatility.In the long term,government should promote the RMB getting unhooked with US dollars in a planned way,enhancing the independence of the RMB policy

  6. 金融控股公司财务指标与股价相关性研究--以台湾为例%The Study of the Correlation between Financial Holding Company's Financial Indicators and Stock Price--In the Case of Taiwan

    Institute of Scientific and Technical Information of China (English)

    王碧芳

    2014-01-01

    金融控股公司专业分工的强化、经营效率、资源共享和财务管理弹性化也是金融控股公司的优势,因此在成立金融控股公司后会替其带来正向绩效。为了解金融控股公司的财务绩效与股价之间的关联性,即各个财务比率对股价是否呈现显著的正负向关系,以提供投资人对金融控股产业股票价格的预期依据。探讨获利性、成长性、规模以及风险性财务指标对股价影响,研究结果发现获利性以及成长性对金控股价有显著影响。将金融控股公司依照其主要业务类型分成保险业、银行业、证券业三大类,可能造成各家金融控股公司的股价报酬率不同,探讨其财务指标在不同主体类型中是否有显著差异。最后,纳入对金融业最重要的三个变动率:利率变动率、指数变动率、汇率变动率进行分析对不同主体金融控股公司股价报酬率的影响。%The strengthening of the financial holding company specialized division of labor, management efficiency, resou-rce sharing and flexible financial management is also the advantage of financial holding company, so after establish the financial holding company can bring forward for its performance. To understand financial holding company of the correlation between finan-cial performance and stock price, namely the financial ratios of shares whether present significant positive and negative to the rel-ationship, to provide investors with financial holding industry based on stock price expectations. To investigate the profitability, growth, size and financial indicators of risk impact on stock prices, researchers found that profitability and growth for financial holdings have a significant effect. In accordance with the financial holding company whose principal business types into insurance, banking, securities three categories, may cause various financial holding company stock returns are different, and explore its

  7. Understanding Financial Market States Using an Artificial Double Auction Market.

    Science.gov (United States)

    Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

    2016-01-01

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

  8. Price smarter on the Net.

    Science.gov (United States)

    Baker, W; Marn, M; Zawada, C

    2001-02-01

    Companies generally have set prices on the Internet in two ways. Many start-ups have offered untenably low prices in a rush to capture first-mover advantage. Many incumbents have simply charged the same prices on-line as they do off-line. Either way, companies are missing a big opportunity. The fundamental value of the Internet lies not in lowering prices or making them consistent but in optimizing them. After all, if it's easy for customers to compare prices on the Internet, it's also easy for companies to track customers' behavior and adjust prices accordingly. The Net lets companies optimize prices in three ways. First, it lets them set and announce prices with greater precision. Different prices can be tested easily, and customers' responses can be collected instantly. Companies can set the most profitable prices, and they can tap into previously hidden customer demand. Second, because it's so easy to change prices on the Internet, companies can adjust prices in response to even small fluctuations in market conditions, customer demand, or competitors' behavior. Third, companies can use the clickstream data and purchase histories that it collects through the Internet to segment customers quickly. Then it can offer segment-specific prices or promotions immediately. By taking full advantage of the unique possibilities afforded by the Internet to set prices with precision, adapt to changing circumstances quickly, and segment customers accurately, companies can get their pricing right. It's one of the ultimate drivers of e-business success.

  9. İşgal Yıllarında İzmir İktisadi Bölgesinde Fiyat Hareketleri Price Movements In İzmir Financial District During The Occupation Years

    Directory of Open Access Journals (Sweden)

    Filiz ÇOLAK

    2012-12-01

    Full Text Available Izmir has always had an important role because of its involvement both at the beginning and the end of the National Struggle. Greece, which used to be a vassal of the Ottoman State, occupied Izmir on 15 May 1919. Greece was supported by the British Empire and Izmir had a crucial location for their economy and for their Megola Idea ambitions. This occupation did not remain limited to Izmir, but continued further including its hinterland. Consequently, occupation of Izmir accelerated the organization of the national resistance in Anatolia. The most important front wars of military operation in the National Struggle took place in the Western Anatolia, Izmir and its hinterland and repossession of Izmir by the Turkish army on 9 September 1922 marked the end of the war.Before the Armistice, during the First World War years, product and commodity prices considerably increased because of commodity shortages and continuous currency depreciation. This situation continued during the Armistice and occupation years after the Armistice. Increase in prices reduced the public purchasing power and with the inclusion of profiteering and black-marketeering to this chaos environment, Anatolian people had difficulty even in finding bread to eat.In this study, price increases, which were the concrete source of public financial difficulties during the occupation years, and the reasons behind these price increases in Izmir and in its hinterland will be analyzed in the light of period resources and comparisons between the status before and after the occupation years will be made.

  10. Dynamic Analysis of the Differences of Fluctuations of Real Estate Price Among Cities with Different Economic Levels%城市间房地产价格波动差异的动态分析

    Institute of Scientific and Technical Information of China (English)

    周峰; 杨美超

    2015-01-01

    不同经济发展水平城市的房价波动存在着明显的差异。为探析造成这种差异的深层次原因,分别选取一、二、三线有代表性的城市作为样本,首先直观地分析了各类别城市之间房价的波动差异。然后针对不同类别城市分别建立了面板数据模型(Panel Data)和误差修正模型(ECM),深入分析造成房价波动差异的长期和短期原因。结果表明:收入对不同类别城市房价影响不同,并且对同一类别城市房价的长期和短期影响也不一样;实际利率对一线城市房价影响显著,而对二、三线城市房价影响不显著;经济发展水平越高的城市,房价由短期非均衡向长期均衡调整的速度越快。最后根据以上分析给出政策建议。%There exists obvious distinctions in the housing price fluctuation among cities with different economic levels .Taking some representative first - tier ,second - tier and third - tier cities as examples ,firstly ,we analyze the different fluctuation characteristics of the different ranked cities qualitatively and then establish panel data model (Panel Data) and error correction model (ECM) respectively among the three kinds of cities .According to these two models ,we can draw a conclusion of the factors affecting the house prices and its influence from short - term to long - term .The conclusion indicates that incomes have different effects on different kinds of cities ; real interest rates have significant effects on the first - tier cities , but not on the second - tier or the third - tier cities .It is faster for the first - tier cities that the price of house regresses from volatility in short - term to equilibrium in long - term .Finally ,we propose some policy suggestions .

  11. Understanding Financial Innovation: An Introduction to Derivative Financial Products.

    Science.gov (United States)

    Robinson, J. N.

    1992-01-01

    Explains the use of forwards, futures, swaps, and options in international currency trading. Argues that pricing options are based on the same basic principles as pricing other financial instruments. Concludes that, although financial markets have developed several new products, hedging and speculation involve similar processes. (CFR)

  12. On Down-and-out Call Option Pricing in Fractional Financial Market%分数金融市场中的下出局买权定价研究

    Institute of Scientific and Technical Information of China (English)

    赵巍

    2009-01-01

    Brownian motion, as the basic hypothesis of Black-Scholes Model, has been questioned by financial hetero-morphism. Fractional Brownian motion could modify it, but that produced the difficulties in stochastic computation for it was not a semi-martingale. The paper assumes that price of assets is subject to fractional Brownian motion. Based on risk neutral measure, the paper solves fractional Black-Scholes equation and gives the down-and-out call option pricing in a fractional Brownian motion environment by the method of quasi-martingale pricing. The results show that, compared with standard option price, fractional option price depends on the maturity time and Hurst parameter H.%布朗运动作为Black-Scholes模型的初始假定,一直受到金融异象的质疑.分数布朗运动虽然对此进行了补救,却因本质上不是半鞅给随机计算带来困难.本文假定标的资产价格服从几何分数布朗运动,利用风险中性测度下的拟鞅(quasi-maningale)定价方法解出了分数Black-Scholes公式,最后在分数布朗运动环境中对下出局买权进行了定价.结果表明,与标准期权价格相比,分数期权价格要同时取决于到期日和Hurst参数H.

  13. Heterogeneous traders, price-volume signals, and complex asset price dynamics

    Directory of Open Access Journals (Sweden)

    Frank H. Westerhoff

    2005-01-01

    model reveal that interactions between fundamentalists and chartists may cause intricate endogenous price fluctuations. Contrary to the intuition, we find that chart trading may increase market stability.

  14. Cost minimization and asset pricing

    OpenAIRE

    Robert G. Chambers; John Quiggin

    2005-01-01

    A cost-based approach to asset-pricing equilibrium relationships is developed. A cost function induces a stochastic discount factor (pricing kernel) that is a function of random output, prices, and capital stockt. By eliminating opportunities for arbitrage between financial markets and the production technology, firms minimize the current cost of future consumption. The first-order conditions for this cost minimization problem generate the stochastic discount factor. The cost-based approach i...

  15. Labor Unions and Asset Prices

    DEFF Research Database (Denmark)

    Busato, Francesco; Addessi, William

    The paper investigates the nexus between labor and financial markets, focusing on the interaction between labor union behavior in setting wages, firms' investment strategy and asset prices. The way unions set wage claims after observing firm's financial performance increases the volatility of firms...

  16. Managing industrial price risk: a balancing act

    Energy Technology Data Exchange (ETDEWEB)

    Muse, J-F. [Cargill Energy (United States)

    2000-07-01

    The challenge of managing industrial price risk is assessed by a senior executive of Cargill, a diversified industrial conglomerate, involved in steel manufacturing and recycling, oilseeds, cocoa, beef, pork, and poultry processing, fertilizer and fruit juice production, in addition to trading and financial risk management. Energy is a key component in many of Cargill's businesses, hence the company has good reason to be concerned about price volatility. The effects of energy risk management on the company's shareholders are demonstrated by an analysis of month-to-month price fluctuations over the Nov 1999 to Oct 2000 period, showing the monthly value of risk at the 95 per cent confidence level as $4,832,195. The effects of alternatives for an end-user such as passing on cost to customers, improving energy efficiency. fuel switching and production curtailment, are explored and limitations and problems with each of the approaches are discussed. The best options for industrial end-users of natural gas are suggested to be a proactive risk management program in the short-term and asset diversification, fuel switching, and geographic relocation of production facilities in the long-term.

  17. A mini-review on econophysics: Comparative study of Chinese and western financial markets

    Science.gov (United States)

    Zheng, Bo; Jiang, Xiong-Fei; Ni, Peng-Yun

    2014-07-01

    We present a review of our recent research in econophysics, and focus on the comparative study of Chinese and western financial markets. By virtue of concepts and methods in statistical physics, we investigate the time correlations and spatial structure of financial markets based on empirical high-frequency data. We discover that the Chinese stock market shares common basic properties with the western stock markets, such as the fat-tail probability distribution of price returns, the long-range auto-correlation of volatilities, and the persistence probability of volatilities, while it exhibits very different higher-order time correlations of price returns and volatilities, spatial correlations of individual stock prices, and large-fluctuation dynamic behaviors. Furthermore, multi-agent-based models are developed to simulate the microscopic interaction and dynamic evolution of the stock markets.

  18. Trading Network Predicts Stock Price

    Science.gov (United States)

    Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi

    2014-01-01

    Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading network. We then classify the nodes of trading network into three roles according to their connectivity pattern. Strong Granger causality is found between stock price and trading relationship indices, i.e., the fraction of trading relationship among nodes with different roles. We further predict stock price by incorporating these trading relationship indices into a neural network based on time series of stock price. Experimental results on 51 stocks in two Chinese Stock Exchanges demonstrate the accuracy of stock price prediction is significantly improved by the inclusion of trading relationship indices.

  19. Trading network predicts stock price.

    Science.gov (United States)

    Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi

    2014-01-16

    Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading network. We then classify the nodes of trading network into three roles according to their connectivity pattern. Strong Granger causality is found between stock price and trading relationship indices, i.e., the fraction of trading relationship among nodes with different roles. We further predict stock price by incorporating these trading relationship indices into a neural network based on time series of stock price. Experimental results on 51 stocks in two Chinese Stock Exchanges demonstrate the accuracy of stock price prediction is significantly improved by the inclusion of trading relationship indices.

  20. Financial Risk in the ERM Contex

    Institute of Scientific and Technical Information of China (English)

    周荃; 胡潇

    2015-01-01

    What is financial risk? What is the relationship between risk and uncertainty? What causes financial risk? This is a brief and highly personal study of the definition of finance risk and the causes. Knowing the definition of financial risk can promote a better understanding of it and help managers recognize potential financial risks. Then it analyses causes of financial risk ,involving currency price volatility,interest rate changes and commodity price fluctuations. The uncertainty of the factors listed above will affect the profits , cash flow and market value of a company. Thus,in addition,it aims to be a guidance for managers to discover sources of risk so that they can control and find certain solutions to deal with financial risk.%面对复杂多变的市场环境,现代企业要想生存与发展,必须善于驾驭企业的财务风险。那么财务风险是什么?财务风险与不确定性有何相关性?财务风险的影响因素有哪些?针对这些问题,首先对财务风险的定义以及影响因素做出了介绍;其次,研究了引发财务风险的原因,包括汇率变动、利率变动以及商品价格波动。这些因素将会影响企业的盈利能力、现金流以及企业市值。研究有助于企业经管人员测度、评估和控制风险。

  1. A Study on Financial Intermediaries , Financial Accelerator and Economy Fluctuation in the View of Double - principal Agent%双重委托-代理视角下的金融中介、金融加速器与经济波动的研究

    Institute of Scientific and Technical Information of China (English)

    蔡祥锋

    2012-01-01

    In this paper, based on the financial accelerator model of BGG (1999), we develop a double -principal agent model incorporating entrepreneurs, financial intermediaries and investors, in which both fi- nancial intermediaries and entrepreneurs are subjected to credit constraints. We analyze the impact of the net worth of financial intermediaries on economy fluctuation, and draw a conclusion that both the net worth of en- trepreneurs and financial intermediaries will affect the external financial premium. We found that the financial intermediaries sector enhances the financial accelerator effect in response to all external shocks.%本文在BGG模型基础上,建立了包含企业、金融中介、投资者的双重委托一代理模型,将金融中介纳入信贷市场摩擦的分析框架内。分析了金融中介自身受信贷约束时,其资产净值变化对经济产生的金融加速器效应。得出在双重委托代理的信用契约下,企业外部融资溢价不但受自身资产净值的影响,还受金融中介资产净值的影响。各种外部冲击通过信贷市场中金融中介的传导对经济波动造成进一步放大的效应,经济波动的金融加速器效应在考虑金融中介资产净值的影响后得到了增强。

  2. Volatility, persistence, and survival in financial markets.

    Science.gov (United States)

    Constantin, M; Sarma, S Das

    2005-11-01

    We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price fluctuations as a non-Markovian stochastic process using the first-passage statistical concepts of persistence and survival. We report the results of empirical measurements of the normalized qth-order correlation functions fq(t), survival probability S(t), and persistence probability P(t) for several stock market dynamical sets. We analyze both minute-to-minute and higher-frequency stock market recordings (i.e., with the sampling time deltat of the order of days). We find that the fluctuating stock price is multifractal and the choice of deltat has no effect on the qualitative multifractal behavior displayed by the 1/q dependence of the generalized Hurst exponent Hq associated with the power-law evolution of the correlation function fq(t) approximately tHq. The probability S(t) of the stock price remaining above the average up to time t is very sensitive to the total measurement time tm and the sampling time. The probability P(t) of the stock not returning to the initial value within an interval t has a universal power-law behavior P(t) approximately t(-theta), with a persistence exponent theta close to 0.5 that agrees with the prediction theta=1-H2. The empirical financial stocks also present an interesting feature found in turbulent fluids, the extended self-similarity.

  3. Response of Monetary Policy on Asset Price Fluctuations in an Opening -type Big Country---Based on the new Keynesian risk spillover perspective%开放型大国货币政策对资产价格波动反应研究--基于新凯恩斯风险外溢视角

    Institute of Scientific and Technical Information of China (English)

    冯涛; 罗小伟; 徐浩

    2015-01-01

    Based on the new Keynesian risk spillover perspective,this paper explores whether the monetary policy in the open country should respond to asset price fluctuations.Through comparing four alternative monetary policy rules,we reveal that relative to the benchmark rule,the remaining three monetary rules that respond to the asset price fluctuations all boost the so-cial welfare effect,whereas the monetary policy rule that responds to both domestic asset prices and foreign asset prices fluctu-ations will bring about less losses to the social welfare.In a two -country risk spillover framework,therefore,the central bank should respond to both domestic and foreign asset price fluctuations when implementing the monetary policy.%基于新凯恩斯风险外溢视角,探讨了开放型大国货币政策是否应该对资产价格波动进行回应。在对四种可选择货币规则比较后发现:相对于基准规则,其它三种对资产价格波动做出了反应的货币规则都提升了社会福利效应,而对国内外两种资产价格波动都进行反应的混合型货币规则更是带来了社会福利损失更小化。因此,在一个两国风险外溢框架下,开放型大国央行在执行货币政策时不但应该对国内资产价格波动进行反应,也应该对国外的资产价格波动进行反应。

  4. Prediction of the daily share price fluctuations of SURAMINV. A neural netword model Predicción del comportamiento diario de la acción de SURAMINV. Un modelo de redes neuronales

    Directory of Open Access Journals (Sweden)

    Jaime Enrique Arrieta Bechara

    2009-12-01

    Full Text Available As opposed to the weak form of efficient-market hypothesis, the current study shows that it is possible to do good predictions about the daily share price fluctuations of Suraminv, using artificial neural network models. Furthermore, the forecasts obtained are used to analyze the possibility of gaining extraordinary returns with regard to the Buy & Hold strategy, through negotiation systems with basic rules.La investigación muestra que es posible realizar, por medio de modelos de redes neuronales artificiales, buenas predicciones sobre el comportamiento diario de la acción de SURAMINV. Tales resultados contrarían la hipótesis de la teoría de eficiencia débil de mercado. A partir de dichas predicciones y con el uso de sistemas de negociación, se evalúa la posibilidad de obtener rendimientos extraordinarios sobre la estrategia Buy & Hold teniendo en cuenta costos de transacción y oportunidad.

  5. Effects of coal prices on merchandise prices in China

    Institute of Scientific and Technical Information of China (English)

    Ding Zhihua; Zhou Meihua; Liu Yan

    2011-01-01

    Coal is the principal form of energy used in China.Hence,coal price variations are expected to have some influence on merchandise prices.Monthly data from January,2002,to October,2010,were used to construct a varying-parameter state space model,and an error correction model,to estimate the influence of coal prices on Chinese merchandise prices.The time lag and the dynamic relationship were determined from the data.A long term equilibrium relationship between coal price and the PPI,and the CPI,can be observed.The long term influence of coal price fluctuations on the PPI is 0.263%.The corresponding value for the CPI is 0.157%.The PPI shows an influence from coal price change in the first period of observation:by eight periods the influence is obvious,after which it diminishes.The effect of coal price change on the CPI is rather weak and has no long term memory.Analysis of variance shows a similar situation.The elasticity coefficient of coal prices on the CPI,or the PPI,fluctuates over the 2002-2004 period.From 2002 to 2007 the influence elasticity on the CPI declined and subsequently levelled off after 2009.

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

    Science.gov (United States)

    2014-03-01

    Order Volume to Peak Size of All Different Iceberg Sell Orders in the Sample (from Esser & Monch, 2005, p.10). ............................. 28! Figure...MILDECc military deception MPT modern portfolio theory NE non-execution OPSEC operations security R-CAPM revised-CAPM Reg NMS regulation national...Much of Sharpe’s theory on the appropriate price for capital assets (i.e., equity) rotates around the notion of risk. Generically, risk is defined as

  7. The financial feasibility of delivering forest treatment residues to bioenergy facilities over a range of diesel fuel and delivered biomass prices

    Science.gov (United States)

    Greg Jones; Dan Loeffler; Edward Butler; Susan Hummel; Woodam. Chung

    2013-01-01

    Forest treatments have the potential to produce significant quantities of forest residue biomass, which includes the tops and limbs from merchantable trees and smaller trees removed to meet management objectives. We spatially analyzed the sensitivity of financially feasible biomass volumes for delivery to a bioenergy facility across 16 combinations of delivered biomass...

  8. Eroding market stability by proliferation of financial instruments

    Science.gov (United States)

    Caccioli, F.; Marsili, M.; Vivo, P.

    2009-10-01

    We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently provides more means for risk diversification, making the market more efficient and complete. In the simple market of interacting traders discussed here, the proliferation of financial instruments erodes systemic stability and it drives the market to a critical state characterized by large susceptibility, strong fluctuations and enhanced correlations among risks. This suggests that the hypothesis of APT may not be compatible with a stable market dynamics. In this perspective, market stability acquires the properties of a common good, which suggests that appropriate measures should be introduced in derivative markets, to preserve stability. in here

  9. Price Strategies in Banking Marketing

    Directory of Open Access Journals (Sweden)

    Iuliana Cetina

    2007-01-01

    Full Text Available All organizations must settle a price for the services they offer. The price for services is an important element of the marketing mix, being an important income source for the organization. The settlement of a correct price, both for the market and the competition, is a significant element for the sector of financial - banking services. Another important factor to take into consideration is the fact that the banks do not settle only the prices for individual services, but also coordinate their prices for service packages. As the competition in the financial - banking services has intensified, the settlement of correct prices has become an essential element for the marketing strategy. Nevertheless it is important to remind that the price is not a central element. There are other significant grounds, the price being only one of the elements of the marketing mix. Although in Romania many customers may be sensitive in present to the price, as the competition will increase, the quality of the services will become more important to the customers, and the demand will be complex.

  10. Interest Rate Derivative Pricing with Stochastic Volatility

    NARCIS (Netherlands)

    Chen, B.

    2012-01-01

    One purpose of exotic derivative pricing models is to enable financial institutions to quantify and manage their financial risk, arising from large books of portfolios. These portfolios consist of many non-standard exotic financial products. Risk is managed by means of the evaluation of sensitivity

  11. Approximate option pricing

    Energy Technology Data Exchange (ETDEWEB)

    Chalasani, P.; Saias, I. [Los Alamos National Lab., NM (United States); Jha, S. [Carnegie Mellon Univ., Pittsburgh, PA (United States)

    1996-04-08

    As increasingly large volumes of sophisticated options (called derivative securities) are traded in world financial markets, determining a fair price for these options has become an important and difficult computational problem. Many valuation codes use the binomial pricing model, in which the stock price is driven by a random walk. In this model, the value of an n-period option on a stock is the expected time-discounted value of the future cash flow on an n-period stock price path. Path-dependent options are particularly difficult to value since the future cash flow depends on the entire stock price path rather than on just the final stock price. Currently such options are approximately priced by Monte carlo methods with error bounds that hold only with high probability and which are reduced by increasing the number of simulation runs. In this paper the authors show that pricing an arbitrary path-dependent option is {number_sign}-P hard. They show that certain types f path-dependent options can be valued exactly in polynomial time. Asian options are path-dependent options that are particularly hard to price, and for these they design deterministic polynomial-time approximate algorithms. They show that the value of a perpetual American put option (which can be computed in constant time) is in many cases a good approximation to the value of an otherwise identical n-period American put option. In contrast to Monte Carlo methods, the algorithms have guaranteed error bounds that are polynormally small (and in some cases exponentially small) in the maturity n. For the error analysis they derive large-deviation results for random walks that may be of independent interest.

  12. 76 FR 53533 - Notification of New Pricing Methodology

    Science.gov (United States)

    2011-08-26

    ... United States Mint Notification of New Pricing Methodology ACTION: Notice. SUMMARY: The United States Mint is implementing a new pricing methodology for its commemorative gold coins to mitigate the effect that fluctuating gold commodity costs has on the pricing of these products. The new pricing methodology...

  13. Coherence and incoherence collective behavior in financial market

    Science.gov (United States)

    Zhao, Shangmei; Xie, Qiuchao; Lu, Qing; Jiang, Xin; Chen, Wei

    2015-10-01

    Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find that a Financial Coherence and Incoherence (FCI) coexistence collective behavior emerges as the system evolves into the stable state, in which the stocks split into two groups: one is represented by coherent, phase-locked oscillators, the other is composed of incoherent, drifting oscillators. It is demonstrated that the size of the coherent stock groups fluctuates during the economic periods according to real-world financial instabilities or shocks. Further, we introduce the coherent characteristic matrix to characterize the involvement dynamics of stocks in the coherent groups. Clustering results on the matrix provides a novel manifestation of the correlations among stocks in the economic periods. Our analysis for components of the groups is consistent with the Global Industry Classification Standard (GICS) classification and can also figure out features for newly developed industries. These results can provide potentially implications on characterizing the inner dynamical structure of financial markets and making optimal investment into tragedies.

  14. The development strategy of financial and innovative technologies

    Directory of Open Access Journals (Sweden)

    R.V. Lavrov

    2013-09-01

    should be conducted on a competition model of M. Porter, which intends to provide price leading strategy, differentiation strategy and concentration strategy. At the same time, the general strategy can be represented as a set of strategic and tactical development plans of financial innovative technologies.To implement the development strategy of financial innovative technologies into practice it is necessary to create special group of innovation introduction. Its main aim is to provide the plan of innovations and its main functions consist of the following:development and formation mechanism of implementation the financial innovative technologies, taking into account general aspects of financial planning;organization of operational implementation groups of separate financial innovative solutions and coordination of their work;encouragement liaison with independent experts and consultants to assess the implementation of innovative financial solutions;collecting and providing of objective information on the implementation of financial and innovative technologies to specialists and management.Conclusions and directions of further researches. An innovative type of financial development is formed in Ukraine today. The financial system is under constant change and evolution. Financial innovative technologies significantly effect on fluctuations of these processes. Application development strategy of financial innovative technologies will promote the improvement of general financial management for all economic subjects and broaden financial space of the country as a whole, as well as accelerate the introduction of new financial, informational and telecommunication technologies. However, based on the fact that economic subjects have not identical conditions of development, it is advisable to clarify the introduction sequence of new financial technologies, in other words identification of separate functional strategies of their promotion.

  15. Price Discrimination

    OpenAIRE

    Armstrong, Mark

    2008-01-01

    This paper surveys recent economic research on price discrimination, both in monopoly and oligopoly markets. Topics include static and dynamic forms of price discrimination, and both final and input markets are considered. Potential antitrust aspects of price discrimination are highlighted throughout the paper. The paper argues that the informational requirements to make accurate policy are very great, and with most forms of price discrimination a laissez-faire policy may be the best availabl...

  16. 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...

  17. 居民消费价格波动评价及稳定物价对策--基于因子分析的实证研究%Appraisal of Fluctuation of Residents' Consumption Price and Corresponding strategy An Empirical Study Based on Factor Analysis

    Institute of Scientific and Technical Information of China (English)

    张志权; 郭阳

    2014-01-01

    There are many influential factors involved in the fluctuation of residents′ consumption price. They are divided into eight sorts and analyzed by factor analysis method according to 20 years′ data from 1994 to 2013. It is obtained how security demand factor,communication demand factor and leisure de-mand factor lead to the fluctuation of residents′consumption price and what their size of influence is. At last the paper puts forward corresponding strategy to solve the price fluctuation.%居民消费价格波动的影响因素有很多,文章将其影响因素分为8类,收集1994-2013年20年的数据对其进行因子分析,得出保障性需求因子、沟通需求因子和休闲需求因子对其的阶梯影响程度,并就带来的物价波动提供相应的对策。

  18. Adaptive financial networks with static and dynamic thresholds

    CERN Document Server

    Qiu, Tian; Chen, Guang

    2010-01-01

    Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large fluctuation induced by the cross-correlation of individual stock prices, and leads to a stable topological structure in the dynamic evolution. Long-range time-correlations are revealed for the average clustering coefficient, average degree and cross-correlation of degrees. The dynamic network shows a two-peak behavior in the degree distribution.

  19. Forecasting of the Egg Price Based on EEMD

    Institute of Scientific and Technical Information of China (English)

    Dan; WANG; Yucheng; HE

    2015-01-01

    In the transitional period of " new normal",the target price is put forward to deepen the reform system of agricultural product price. Egg is the main agricultural product and its price has fluctuated violently in recent years. Setting up a target price for egg will reduce the price fluctuations. This article brings up a three-step agricultural price forecasting model based on EEMD and applies it to the analysis of egg price. It shows that the upward trend can be divided into three stages,and the fluctuation is greater than that of food consumer price in the foreseeable future. The volatility of egg price is bad for the development of the fresh market and stable life of the residents. This article finally puts forward some recommendations.

  20. 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

  1. Impact of new healthcare legislation and price policy on healthcare services provider at the time of financial crisis. A 10 years study

    Directory of Open Access Journals (Sweden)

    Ivona Malovecka

    2015-03-01

    Full Text Available Monitoring, calculation and assessment of healthcare services prosperity in the community pharmacy with the help of financial analysis indicators for the years 2003-2012, using financial statements was conducted, with respect to profitability, debt, liquidity, working capital, and efficiency parameters. These ratios reflect various changes that hold between years 2003 and 2012. Under the time of financial crisis, recession and serious socio-economic changes the profitability parameter Gross Profit ranged from 2003-2011 = 16.12-22.79% (average = 19.20%; mean = 19.78%; σ = 2.41, but in 2012 decreased on 14.35%. Net Profit ranged 2003-2011 = 10.96-18.3% (average = 14.62%; mean = 16.62%; σ = 4.92, while in 2012 reached only 2.29%. Debt ratio ranged from 2003-2012= 2.33-4.81 (average = 3.44; mean = 3.07; σ = 0.82. Liquidity parameters Current Ratio spread between 2003-2012 = 1.13-1.71 (average = 1.43; mean = 1.46; σ = 0.15 and Quick Ratio spread between 2003-2012 = 0.72-1.27 (average = 1.07; mean = 1.09; σ = 0.15. Working Capital Ratio ranged from 2003-2012 = 2.66-12.94 (average = 9.58; mean = 10.06; σ = 3.1 and efficiency ratios were measured either. All changes that have taken place in the society had an impact on community pharmacy finance by worsening its profitability, liquidity, working capital and some of efficiency parameters. Therefore the stability of community pharmacy may be threatened and may affect its future performance.http://dx.doi.org/10.7175/fe.v16i1.1040

  2. Pricing hospital care: Global budgets and marginal pricing strategies.

    Science.gov (United States)

    Sutherland, Jason M

    2015-08-01

    The Canadian province of British Columbia (BC) is adding financial incentives to increase the volume of surgeries provided by hospitals using a marginal pricing approach. The objective of this study is to calculate marginal costs of surgeries based on assumptions regarding hospitals' availability of labor and equipment. This study is based on observational clinical, administrative and financial data generated by hospitals. Hospital inpatient and outpatient discharge summaries from the province are linked with detailed activity-based costing information, stratified by assigned case mix categorizations. To reflect a range of operating constraints governing hospitals' ability to increase their volume of surgeries, a number of scenarios are proposed. Under these scenarios, estimated marginal costs are calculated and compared to prices being offered as incentives to hospitals. Existing data can be used to support alternative strategies for pricing hospital care. Prices for inpatient surgeries do not generate positive margins under a range of operating scenarios. Hip and knee surgeries generate surpluses for hospitals even under the most costly labor conditions and are expected to generate additional volume. In health systems that wish to fine-tune financial incentives, setting prices that create incentives for additional volume should reflect knowledge of hospitals' underlying cost structures. Possible implications of mis-pricing include no response to the incentives or uneven increases in supply. Copyright © 2015 The Authors. Published by Elsevier Ireland Ltd.. All rights reserved.

  3. 透析2004年中国液晶电视价格及原因%The Analysis of Price Fluctuation of China LCD TV and the Reasons in 2004

    Institute of Scientific and Technical Information of China (English)

    陈新成

    2005-01-01

    In domestic LCD television market of 2004, the sales of LCD TV ascended to a great extent when compared with the same period of last year. The ever-decreasing price had attracted the sight of the consumers.And in the paper, the author will analyze the issue from four aspects, and discuss the reason why the falling price of LCD TV in China so as to throw light upon the former price of LCD and illustrate the price trend of LCD in the future for domestic consumers.

  4. Sources of Economic Fluctuations in Central America

    Directory of Open Access Journals (Sweden)

    Wilfredo Toledo

    2014-06-01

    Full Text Available Using panel data from Central America, this paper studies the determining factors of inflation and aggregate output fluctuations by estimating two Structural Vector Autoregressive (SVAR models. Price and output variables are included in one of the models, whereas M2 and the price of oil are additional variables in the other one. Findings of this study suggest that price is determined by the demand, while output seems to be influenced mainly by the supply shocks in that area. It was also evidenced that the price of oil does not have a significant impact on the general price level in that region.

  5. Three Essays on Financial Economics

    DEFF Research Database (Denmark)

    Park, Kay Sun

    the asset price movements. Moreover, a regime-switching between good versus bad state abruptly occurs over the business cycle (or the financial cycle). Hence, two key theoretical devices used to model risk in finance are first, to acknowledge that we see the movements of asset price micmic a random walk......Practitioners in finance have been trying to either maximize their fortunes or minimize any unlucky outcomes;say, Beat the market. The uncertainty is always something to fear or to overcome in financial market in order to beat the market. The price of assets seems unpredictable in a short......-time interval, though academics consider market price would stay at equilibrium in the long-run, as reflecting fundamentals in the end. As “Efficiency of Financial Market” says; price of assets reveals all relevant information. The continuous-time random walk is successfully taken as close as tracking down...

  6. Three Essays on Financial Economics

    DEFF Research Database (Denmark)

    Park, Kay Sun

    the asset price movements. Moreover, a regime-switching between good versus bad state abruptly occurs over the business cycle (or the financial cycle). Hence, two key theoretical devices used to model risk in finance are first, to acknowledge that we see the movements of asset price micmic a random walk......Practitioners in finance have been trying to either maximize their fortunes or minimize any unlucky outcomes;say, Beat the market. The uncertainty is always something to fear or to overcome in financial market in order to beat the market. The price of assets seems unpredictable in a short......-time interval, though academics consider market price would stay at equilibrium in the long-run, as reflecting fundamentals in the end. As “Efficiency of Financial Market” says; price of assets reveals all relevant information. The continuous-time random walk is successfully taken as close as tracking down...

  7. Understanding Financial Market States Using an Artificial Double Auction Market.

    Directory of Open Access Journals (Sweden)

    Kyubin Yim

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

  8. توظيف عقود الخيارات المالية المتقدمة لبناء محفظة التحوط - دراسة تطبيقية في القطاع المصرفي العراقي Employ the contracts of advanced financial options to build hedge portfolio - An Empirical Study in the Iraqi banking sector

    Directory of Open Access Journals (Sweden)

    Ali Aboudy Nimah Al-Jubouri م.م. علي عبودي نعمه الجبوري

    2015-06-01

    Full Text Available Become the use of financial engineering tools and options contracts more contemporary topic in the field of financial management, there has been handled explosive growth during the last quarter of the twentieth century as a result of economic developments across the world, opening world markets and increased competition. This development coincided with the uncertainty of what will be the price of the present in the future and that leads to incur losses and exposure to risk any risk of market prices if prices moved other than what is desirable or expected. On the basis of that came this study provides a framework of knowledge and application of the nature and how to employ options contracts to hedge against price fluctuations present and future, and then get rid of the resulting losses and reduce the risk of price fluctuations, respectively, as well as its importance in the areas of speculation by investing little money for trading in financial market for the purpose of making profits due to price fluctuations. Based on the foregoing the importance of the study through the adoption of mathematical models and applied advanced, have wide uses in the field of options in the global financial markets efficient, and to try out in the Iraqi capital market, in an environment of Iraqi private banks.

  9. 物价波动影响因素敏感性比较:货币流通速度与货币量——基于1979—2008年中国物价波动的历史%A Comparison of the Sensitivity of Money Factors Influencing Fluctuations in Commodity Prices: Circulation Speed and Supply --Based on the History of Fluctuations in Commodity Prices in China from 1979 to 2008

    Institute of Scientific and Technical Information of China (English)

    刘巍

    2012-01-01

    This paper studies the history of fluctuations in commodity prices in China from 1979 to 2008. Then based on exchange equation, it is working on the assumption that money circulation speed will change and employs statistical description and econometric analysis to analyze the effects of money circulation speed and money supply on commodity prices. It concludes that, in terms of the effect of money flow on commodity prices in China, whether from the perspective of sensitivity or importance, the effect of money circulation speed was greater than the effect of money supply during the sample period.%文章考察了1979--2008年中国物价波动的历史,以交易方程式为逻辑基础,放松了货币流通速度不变的假设,以货币流通速度、货币量、GDP环比指数为依据,运用统计描述和数量方法分析了货币流通速度和货币量对物价的影响。文章的研究结论是,在这30年里,就货币流量对中国物价的影响而言,无论是敏感性还是重要性,货币流通速度都大于货币量。

  10. Modeling financial markets by self-organized criticality

    Science.gov (United States)

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

    2015-10-01

    We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders, composed by chartists and fundamentalists, and focus on the role of informative pressure on market participants, showing how the spreading of information, based on a realistic imitative behavior, drives contagion and causes market fragility. In this model imitation is not intended as a change in the agent's group of origin, but is referred only to the price formation process. We introduce in the community also a variable number of random traders in order to study their possible beneficial role in stabilizing the market, as found in other studies. Finally, we also suggest some counterintuitive policy strategies able to dampen fluctuations by means of a partial reduction of information.

  11. Modeling financial markets by self-organized criticality.

    Science.gov (United States)

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

    2015-10-01

    We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders, composed by chartists and fundamentalists, and focus on the role of informative pressure on market participants, showing how the spreading of information, based on a realistic imitative behavior, drives contagion and causes market fragility. In this model imitation is not intended as a change in the agent's group of origin, but is referred only to the price formation process. We introduce in the community also a variable number of random traders in order to study their possible beneficial role in stabilizing the market, as found in other studies. Finally, we also suggest some counterintuitive policy strategies able to dampen fluctuations by means of a partial reduction of information.

  12. Modelling Financial Markets by Self-Organized Criticality

    CERN Document Server

    Biondo, A E; Rapisarda, A

    2015-01-01

    We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders, composed by chartists and fundamentalists, and focus on the role of informative pressure on market participants, showing how the spreading of information, based on a realistic imitative behavior, drives contagion and causes market fragility. In this model imitation is not intended as a change in the agent's group of origin, but is referred only to the price formation process. We introduce in the community also a variable number of random traders in order to study their possible beneficial role in stabilizing the market, as found in other studies. Finally we also suggest some counterintuitive policy strategies able to dampen fluctuations by means of a partial reduction of information.

  13. Financial information processing and development of emerging financial markets

    Institute of Scientific and Technical Information of China (English)

    Shuo BAI; Shouyang WANG; Lean YU; Aoying ZHOU

    2010-01-01

    @@ With the rapid development and globalization of financial markets (especially emerging financial markets), financial information processing has become a hot research area due to its immense practical applications. Such applications include stock market analysis, foreign exchange rate forecasting, option pricing, bank failure prediction, financial risk management, credit rating and scoring, bank loan management, customer relationship management, and antimoney laundering. Accordingly, there has been an increasing demand in using financial information processing techniques for many core financial tasks. Nevertheless, as a new cross-disciplinary field, the existing financial information processing methods are far from practical for scenarios in the global financial market; it is currently not clear how the information processing techniques, which are rapidly emerging, can be used to improve the quality of financial information processing.

  14. Financialization and financial profit

    Directory of Open Access Journals (Sweden)

    Arturo Guillén

    2014-09-01

    Full Text Available This article starts from the critical review of the concept of financial capital. I consider it is necessary not to confuse this category with of financialization, which has acquired a certificate of naturalization from the rise of neoliberalism. Although financial monopoly-financial capital is the hegemonic segment of the bourgeoisie in the major capitalist countries, their dominance does not imply, a fortiori, financialization of economic activity, since it depends of the conditions of the process reproduction of capital. The emergence of joint stock companies modified the formation of the average rate of profit. The "promoter profit" becomes one of the main forms of income of monopoly-financial capital. It is postulated that financial profit is a kind of "extraordinary surplus-value" which is appropriated by monopoly-financial capital by means of the monopolistic control it exerts on the issue and circulation of fictitious capital.

  15. 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...

  16. Pricing Options.

    Science.gov (United States)

    Tenopir, Carol

    1998-01-01

    Presents results of a recent survey of over 100 public and academic libraries about pricing options from online companies. Most options fall into three categories: pay-as-you-go, fixed-rate, and user-based. Results are discussed separately for public and academic libraries and for consortial discounts. Trends in pricing options preferred by…

  17. House Price, House Quality and Economic Growth

    NARCIS (Netherlands)

    De Vries, P.; Boelhouwer, P.J.

    2010-01-01

    The literature on housing markets suggest that periods of economic growth are characterised by a demand for better housing quality and increasing prices. The basic principles of the theory are that the short-run price fluctuations occur due to market imperfection, while over the long term, causality

  18. Nonlinear Analysis on Cross-Correlation of Financial Time Series by Continuum Percolation System

    Science.gov (United States)

    Niu, Hongli; Wang, Jun

    We establish a financial price process by continuum percolation system, in which we attribute price fluctuations to the investors’ attitudes towards the financial market, and consider the clusters in continuum percolation as the investors share the same investment opinion. We investigate the cross-correlations in two return time series, and analyze the multifractal behaviors in this relationship. Further, we study the corresponding behaviors for the real stock indexes of SSE and HSI as well as the liquid stocks pair of SPD and PAB by comparison. To quantify the multifractality in cross-correlation relationship, we employ multifractal detrended cross-correlation analysis method to perform an empirical research for the simulation data and the real markets data.

  19. Price pass-through and minimum wages

    OpenAIRE

    Daniel Aaronson

    1997-01-01

    A textbook consequence of competitive markets is that an industry-wide increase in the price of inputs will be passed on to consumers through an increase in prices. This fundamental implication has been explored by researchers interested in who bears the burden of taxation and exchange rate fluctuations. However, little attention has focused on the price implications of minimum wage hikes. From a policy perspective, this is an oversight. Welfare analysis of minimum wage laws should not ignore...

  20. On Stabilizing or Deregulating Food Prices

    OpenAIRE

    Flåm, Sjur Didrik; Gaasland, Ivar; Vårdal, Erling

    2006-01-01

    This paper studies measurement of welfare e¤ects, transient and permanent, of stabilizing or deregulating prices in Cobweb-like settings. As in Cobweb-models, producers must commit inputs in face of uncertainty. Here, however, we consider producers who are concerned with adaptations of inputs rather than price predictions. This shift of emphasis reflects two things. First, since persistent randomness causes on-going price fluctuations, point predictions are of modest concern. Second, producer...

  1. Fluctuations in the futures market for agricultural products

    Directory of Open Access Journals (Sweden)

    Anna Szczepańska-Przekota

    2017-07-01

    Full Text Available Futures contracts are an important element in the market economy. The range of their use is quite wide, they may be an element of price risk management of agricultural production, so called hedging, but also the object of investment of free cash flows and financial speculation. Identifying the process of contract pricing is in this context a key factor for the success of investment activities. The paper attempts to describe fluctuations of ten futures contracts on agricultural products from the US market. Data series come from the years 1975–2016. Series of trading contracts are decomposed in terms of trends and cyclical components. The aim of the study is to assess the possibility of forecasting cyclical components. Harmonic analysis is used for the description and prediction of cyclical components. The effectiveness of predictions has been studied using fractions tests and Pearson correlation coefficient. The results show that the observation of past fluctuations may help to improve investments. Due to the irregular component, it is important to compare the results of predictions obtained from technical models with estimates obtained from the models that take account of fundamental variables.

  2. House Prices, Bubbles and City Size

    NARCIS (Netherlands)

    M.J.P.M. Thissen (Mark); M.J. Burger (Martijn); F.G. van Oort (Frank)

    2010-01-01

    textabstractWe build a theoretical model that relates house price, city size and the expected future growth of demand for housing. Our model combines the Alonso-Mills model on urban economics with insights from financial economics on house prices. Estimating the model for cities in the US, we empiri

  3. Universality of Tail Exponents of Price Changes?

    Science.gov (United States)

    Huang, Luwen; Farmer, Doyne

    2007-03-01

    We study the tail exponents of the distribution of logarithmic price changes in financial markets, and investigate the conjecture that they are universal with an exponent near three. Using data from the London Stock Exchange, we construct the empirical distributions of price returns on several different time scales and study their variation as a function of parameters such as trading volume and tick size (the minimal unit of price variation).

  4. Coupled effects of market impact and asymmetric sensitivity in financial markets

    Science.gov (United States)

    Zhong, Li-Xin; Xu, Wen-Juan; Ren, Fei; Shi, Yong-Dong

    2013-05-01

    By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors’ global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors’ asymmetric response to gains and losses leads to the occurrence of herd behavior, when all the investors are prone to behave similarly in an extreme way and large price fluctuations occur. A linear relation between the standard deviation of stock price changes and the mean value of strategies is found. With full market impact, the investors tend to self-segregate into opposing groups and the introduction of asymmetric sensitivity leads to the disappearance of dominant strategies. Compared with the situations in the stock market with little market impact, the stock price fluctuations are suppressed and an efficient market occurs. Theoretical analyses indicate that the mechanism of phase transition from clustering to self-segregation in the present model is similar to that in the majority-minority game and the occurrence and disappearance of efficient markets are related to the competition between the trend-following and the trend-aversion forces. The clustering of the strategies in the present model results from the majority-wins effect and the wealth-driven mechanism makes the market become predictable.

  5. Single factor financial asset pricing models: an empirical test of the Capital Asset Pricing Model CAPM and the Downside Capital Asset Pricing Model D-CAPM Modelos de precificação de ativos financeiros de fator único: um teste empírico dos modelos CAPM e D-CAPM

    Directory of Open Access Journals (Sweden)

    Felipe Dias Paiva

    2005-06-01

    Full Text Available This study analyzed the Capital Asset Pricing Model CAPM as well as the Downside Capital Asset Pricing Model D-CAPM and evaluated the latter as an efficient alternative asset pricing model. The returns of 40 companies on the São Paulo Stock Exchange BOVESPA were studied between December 1996 and August 2002. To test the models the study used as variables the Interbank Deposit Certificate CDI as a risk free asset and the Index of São Paulo Stock Exchange IBOVESPA as a proxy of the market portfolio. The D-CAPM was shown to be more useful in explaining the return of the stock market than the CAPM.O objetivo deste estudo é analisar o capital asset pricing model (CAPM e o downside capital asset pricing model (D-CAPM, bem como avaliar se este último modelo é uma eficiente alternativa de modelo de precificação de ativos. Os dados da pesquisa referem-se a 40 retornos de companhias listadas na Bolsa de Valores de São Paulo, de dezembro de 1996 a agosto de 2002. O artigo utilizou, para testar os modelos, as variáveis Certificado de Depósito Interbancário (CDI, como um ativo livre de risco, e o índice da Bolsa de Valores de Sao Paulo (Ibovespa, como proxy do portfólio de mercado. Conclui-se, então, que o D-CAPM possui uma maior capacidade explicativa dos retornos dos ativos se comparado ao CAPM.

  6. Price increase

    CERN Multimedia

    2006-01-01

    Please take note that after five years of stable prices at Restaurant No 1 a price increase will come into force on 1st January 2006. This increase has been agreed after discussions between the CSR (Comité de Surveillance des Restaurants) and the catering company Novae and will reflect the inflation rate of the last few years. In addition, a new children's menu will be introduced, as well as 'Max Havelaar' fair-trade coffee at a price of 1.70 CHF.

  7. Price increase

    CERN Multimedia

    2005-01-01

    Please take note that after five years of stable prices at Restaurant No 1 a price increase will come into force on 1st January 2006. This increase has been agreed after discussions between the CSR (Comité de Surveillance des Restaurants) and the catering company Novae and will reflect the inflation rate of the last few years. In addition, a new children's menu will be introduced as well as 'Max Havelaar' fair-trade coffee at a price of 1.70 CHF.

  8. Research on the Adjustment in Contract Sum Caused by the Price Fluctuation during the Project Delay:Based on the Code of Valuation with Bill of Quantity of Construction Works (2013)%工期延误期间物价波动引起的合同价款调整研究--基于13清单规范

    Institute of Scientific and Technical Information of China (English)

    孙娜; 杜亚灵; 李淑湘

    2015-01-01

    Dispute about adjustment in contract sum caused by price fluctuation during the project delay is gradually increasing. Firstly, the division of responsibility on delay is determined under single event delay and common delay. Secondly, it is proposed that the divide of responsibility on price fluctuation during delay is determined based on the principle of "default not to benefit", and it is pointed out that determine of price indices under delay is different from normal construction progress when applying the formula of adjustment in contract sum. Thirdly, analysis of the determination of price indices under single event delay and common delay respectively based on above principle.%工期延误期间因物价波动引起的价款调整容易引起纠纷。首先,对单事件延误和共同延误这两种情况进行责任划分;其次,提出基于违约者不受益原则对工期延误期间物价波动进行责任划,并指出调价公式中价格指数在工期延误情况下的确定方法与施工进度正常情况下的确定方法有所不同;最后,基于上述原则分别在单事件延误和共同延误两种情况下对价格指数的确定进行详细分析。

  9. Characteristics of the volatility in the Korea composite stock price index

    Science.gov (United States)

    Lee, Chang-Yong

    2009-09-01

    We empirically analyze the time series of the Korea Composite Stock Price Index (KOSPI) from March of 1992 to February of 2007 using methods from the hydrodynamic turbulence. To this end, we focus on characteristics of the return and volatility, which are respectively the price change and a measure of the financial market fluctuation over a time interval. With these, we show that the non-Gaussian probability distribution of the return can be modeled by the convolution of the conditional probability distribution of the return given the volatility and the distribution of the volatility per se. From this model, we suggest that the non-Gaussian characteristic of the return results from the fluctuation of the volatility. That is, a large return is partly, if not entirely, due to the market fluctuation in a long time scale influencing the fluctuation in a short time scale via net information flow. We further show that the volatility has a multi-fractal property, which resembles the multifractality of the energy dissipation in the turbulence.

  10. 中国能源价格变动与居民消费水平的动态效应——基于VAR模型和SVAR模型的检验%Dynamic Effect of China's Energy Price Fluctuations and Resident Consumption Levels:Verification Based on the VAR Model and SVAR Model

    Institute of Scientific and Technical Information of China (English)

    张欢; 成金华

    2011-01-01

    Consuming a large quantity of oil, gas and electricity is a characteristic of modem urban life. The rise of energy price would inevitably lead to the rise of living cost, and then affect consumption structure and habits, which has a far-reaching influence on social commodities demand and social economy development. In China, energy commodity prices are mainly regulated by the nation; therefore, the strategy of energy price regulation should be mutually adapted to the resident consumption level. In this context, to investigate the dynamic relationship between energy prices and consumption levels is able to provide reference for formulating policy among national energy prices and resident consumption levels. The authors examined the dynamic fluctuation effects of China's energy price fluctuation and resident consumption levels from 1989 to 2009 using the impulse response function of VAR and SVAR models as well as variance decomposition technique. Results indicate that (1) the resident consumption level has positive shocks on the energy price level in the short term, but it has negative shocks on energy price in the long term. In the short term, improvement in resident consumption levels has a promotion effect on energy price rise, while the energy price level has an obvious positive shock on resident consumption levels both in the short term and in the long tenn. Energy price increase promotes the improvement of consumption levels. (2) The energy price level is mainly affected by its own level in the early stage.In the middle and long terms, the resident consumption level also makes a greater contribution to the energy price level. In the short term, the resident consumption level is mainly affected by the resident consumption level at the early stage, whereas it is jointly affected by the resident consumption level and energy price level in the long term. In terms of these findings, a rapid increase in energy price should be avoided as it would lead to dramatic

  11. Reserve growth during financial volatility in a technologically challenging world

    Science.gov (United States)

    Klett, Timothy R.; Gautier, Donald L.

    2010-01-01

    Reserve growth (growth-to-known) is the addition of oil and gas quantities to reported proved or proved-plus-probable reserves in discovered fields. The amount of reserve growth fluctuates through time with prevailing economic and technological conditions. Most reserve additions are the result of investment in field operations and in development technology. These investments can be justified by higher prices of oil and gas, the desire to maintain cash flow, and by greater recovery efficiency in well established fields. The price/cost ratio affects decisions for field abandonment and (or) implementation of improved recovery methods. Although small- to medium-size fields might show higher percentages of reserve growth, a relatively few giant fields contribute most volumetric reserve growth, indicating that companies may prefer to invest in existing fields with low geologic and production risk and an established infrastructure in order to increase their price/cost relationship. Whereas many previous estimates of reserve growth were based on past trends of reported reserves, future reserve growth is expected to be greatly affected by financial volatility and fluctuating economic and technological conditions.

  12. The endogenous dynamics of financial markets: Interaction and information dissemination

    Science.gov (United States)

    Yang, ChunXia; Hu, Sen; Xia, BingYing

    2012-06-01

    We investigate the process that different interactions between investors will prompt information to propagate along a differentiated path and construct a financial market model. As information spreads, increasingly investors are attracted to participate in trading, then the “herding effect” is magnified gradually, which will induce the topology of market network to change and the price to fluctuate. Especially, under different initial conditions or parameters, the peak and fat-tail property is produced and the obtained statistic values coincide with empirical results: the power-law exponents between the peak value of return probability distribution and the time scales range from 0.579 to 0.747, and the exponents between the accumulation distribution and the return on the tail are close to 3. Besides, the extent of volatility clustering in our produced price series is close to that of S&P 500 and locates between NASDAQ and HSI. All the results obtained here indicate that the continuous variation of the “herding effect” resulting from information propagation among interacting investors may be the origin of stylized facts of price fluctuations.

  13. Financial analysis as a financial management instrument

    Directory of Open Access Journals (Sweden)

    Stehlíková Beáta

    2001-12-01

    Full Text Available The financial market is one of the elements of the market-oriented economy. The financial analysis is a fundamental element of the financial controlling business. The purpose of this article is to inform briefly about horizontal and vertical financial statements analysis as the source of competitive advantage of the firm. The article is divided into two parts. First describes financial analysis and financial statements generally. Second, it presents a practical contribution of the horizontal and vertical financial statements analysis at the controlled businesses as financial management tools, which identify the financial position, market behaviour, correlations between the net profit and the prohibitively cost and operating profit, the financial activities profit, the income tax etc.Business, which the analysed firm operates in asks a provable claim on the high value of fixed assets. The capital composition of the firm is call to typify for the state-owned enterprise that was transformed to private joint-stock companies. Analysis is specially pleading for the needs considering the price of the borrowed capital in the capital structure rating. Fault factor ø value talks about needs for the cost regulation. Stair-step conception used for counting of the net profit in the accountant period indicates the financial profit, alternatively loss, as the distinguished pre-tax profit element. Picture about firm’s financial results can be completed with the information about the income tax value. Form of financial analyses presented in the article entablature the accents on the necessity to compare several accounting period and on the necessity of complex understanding of statements accounting slide “en bloc”.Financial analyse makes the decision makers possible to screen potential partners before the cooperation starts. On the other side, it makes a possibility to influence the production process, sales and financial management during the accounting

  14. Financial Wealth Distribution in Revised Financial Accounts

    Directory of Open Access Journals (Sweden)

    Václav Rybáček

    2012-09-01

    Full Text Available Financial statistics undergo dynamic evolution as apparent consequence of their rising importance. Structureof assets, source of fi nancing, price changes or net fi nancial position, all these indicators can detect oncomingfi nancial instability. Financial statistics as a logical extension of the national accounts provide such information.Th e aim of the following text is to present fi nancial statistics, relation between particular accounts, the impact of extraordinary revision carried out in 2011, and also to analyse current wealth distribution as described by fi nancial statistics.

  15. Bubbles and crashes in house prices under heterogeneous expectations

    NARCIS (Netherlands)

    W. Bolt; M. Demertzis; C. Diks; C. Hommes; M. van der Leij

    2013-01-01

    We introduce heterogeneous expectations in a standard housing market model linking housing rental levels to buying prices via imputed rents. The resulting model displays nonlinear aggregate price fluctuations around the fundamental value. For many parameter values the fundamental price is unstable,

  16. Simple Patterns in Fluctuations of Time Series of Economic Interest

    Science.gov (United States)

    Fanchiotti, H.; García Canal, C. A.; García Zúñiga, H.

    Time series corresponding to nominal exchange rates between the US dollar and Argentina, Brazil and European Economic Community currencies; different financial indexes as the Industrial Dow Jones, the British Footsie, the German DAX Composite, the Australian Share Price and the Nikkei Cash and also different Argentine local tax revenues, are analyzed looking for the appearance of simple patterns and the possible definition of forecast evaluators. In every case, the statistical fractal dimensions are obtained from the behavior of the corresponding variance of increments at a given lag. The detrended fluctuation analysis of the data in terms of the corresponding exponent in the resulting power law is carried out. Finally, the frequency power spectra of all the time series considered are computed and compared

  17. Benchmark Function Analysis of Shibor to the Main Financial Products Pricing of Banks%Shibor对我国银行主要金融产品定价的基准性分析

    Institute of Scientific and Technical Information of China (English)

    孙晶

    2014-01-01

    构建和培育市场基准利率是完善市场化利率体系的重要基础条件。自2007年人民银行构建和培育市场基准利率Shibor(上海银行间同业拆放利率)以来,Shibor的基准地位不断提高。加强对Shibor的基准性研究,分析判断Shibor在银行主要金融产品定价中的基准地位,成为当前我国利率市场化改革的重点课题。本文运用协整检验考察了Shibor对同业存款利率、贴现利率和贷款利率定价的基准性,通过误差修正模型(ECM)描述了各主要金融产品利率同Shibor走势的长期均衡关系和短期动态调整过程,分析了各主要利率的形成机制,并针对实证结果,结合目前的商业银行利率定价机制,提出了相关建议。%The construction and cultivation of the benchmark interest rate in the market is the utmost important based conditions to perfect the market-based interest rate system. Since the People’s Bank of China started to construct and cultivate the market benchmark interest rate Shibor (Shanghai Interbank Offered Rate ) in 2007, the benchmark position of Shibor has improved gradually. Researching and analyzing the benchmark function of Shibor and judging benchmark status of Shibor in main financial products pricing of banks have become the key research topic of China ’s market-oriented interest rate reform. This paper used the co-integration test and error correction model to investigate the benchmark function of Shibor for inter-bank deposit rates , the discount rate and loan interest rate, and analyzed the formation mechanism of main interest rates. In the end, the paper put forward related suggestions according to the empirical results and the present commercial bank interest rate pricing mechanism.

  18. Essays on Derivatives Pricing

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    The field of quantitative finance has been criticized in the mainstream media lately and been accused of being one of the causes of the financial crisis. Convenient as this explanation may be, my belief is that a part of the solution to the crisis is to use more (and not less) sophisticated....... With the existence of a liquid market for derivatives with variance as underlying, such as VIX options, VIX futures and a well-developed over-the-counter market for options on variance swaps, it is important to consider models that are able to fit these markets while consistently pricing vanilla options...

  19. A Toolbox for Teaching Price Comparison to Students with Disabilities

    Science.gov (United States)

    Weng, Pei-Lin; Bouck, Emily C.

    2017-01-01

    Price comparison is a functional mathematics skill involving purchasing, use of money, and budgeting, with the goal of selecting the best deal based on a person's financial resources (Browder, Spooner, & Trela, 2011). The operational definition of "price comparison" is to compare the magnitudes of the price numbers and then select…

  20. Price volatility in wind dominant electricity markets

    DEFF Research Database (Denmark)

    Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe

    2013-01-01

    High penetration of intermittent renewable energy sources causes price volatility in future electricity markets. This is specially the case in European countries that plan high penetration levels. This highlights the necessity for revising market regulations and mechanisms in accordance to genera......High penetration of intermittent renewable energy sources causes price volatility in future electricity markets. This is specially the case in European countries that plan high penetration levels. This highlights the necessity for revising market regulations and mechanisms in accordance...... electricity markets. High price volatility is unappreciated because it imposes high financial risk levels to both electricity consumers and producers. Additionally high price variations impede tracking price signals by consumers in future smart grid and jeopardize implementation of demand response concepts....... The main contribution of this paper is to quantify volatility patterns of electricity price, as penetration level of wind power increases. Results explain a direct relationship between wind penetration and electricity price volatility in a quantitative manner....

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

    Science.gov (United States)

    Xiao, Di; Wang, Jun

    2012-10-01

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

  2. The Effect of Monetary Policy on Commodity Prices: Disentangling the Evidence for Individual Prices

    Directory of Open Access Journals (Sweden)

    Carolina Arteaga Cabrales

    2014-01-01

    Full Text Available We study the effect of monetary policy shocks on commodity prices. While most of the literature has found that expansionary shocks have a positive effect on aggregate price indices, we study the effect on individual prices of a sample of four commodities. This set of commodity prices is essential to understand the dynamics of the balance of payments in Colombia. The analysis is based on structural VAR models; we identify monetary policy shocks following Kim (1999, 2003 upon quarterly data for commodity prices and their fundamentals for the period from 1980q1 to 2010q3. Our results show that commodity prices overshoot their long run equilibrium in response to a contractionary shock in the US monetary policy and, in contrast with literature, the response of the individual prices considered is stronger than what has been found in aggregate indices. Additionally, it is found that the monetary policy explains a substantial share of the fluctuations in prices.

  3. Quantifying economic fluctuations

    Science.gov (United States)

    Stanley, H. Eugene; Nunes Amaral, Luis A.; Gabaix, Xavier; Gopikrishnan, Parameswaran; Plerou, Vasiliki

    2001-12-01

    This manuscript is a brief summary of a talk designed to address the question of whether two of the pillars of the field of phase transitions and critical phenomena-scale invariance and universality-can be useful in guiding research on interpreting empirical data on economic fluctuations. Using this conceptual framework as a guide, we empirically quantify the relation between trading activity-measured by the number of transactions N-and the price change G( t) for a given stock, over a time interval [ t, t+Δ t]. We relate the time-dependent standard deviation of price changes-volatility-to two microscopic quantities: the number of transactions N( t) in Δ t and the variance W2( t) of the price changes for all transactions in Δ t. We find that the long-ranged volatility correlations are largely due to those of N. We then argue that the tail-exponent of the distribution of N is insufficient to account for the tail-exponent of P{ G> x}. Since N and W display only weak inter-dependency, our results show that the fat tails of the distribution P{ G> x} arises from W. Finally, we review recent work on quantifying collective behavior among stocks by applying the conceptual framework of random matrix theory (RMT). RMT makes predictions for “universal” properties that do not depend on the interactions between the elements comprising the system, and deviations from RMT provide clues regarding system-specific properties. We compare the statistics of the cross-correlation matrix C-whose elements Cij are the correlation coefficients of price fluctuations of stock i and j-against a random matrix having the same symmetry properties. It is found that RMT methods can distinguish random and non-random parts of C. The non-random part of C which deviates from RMT results, provides information regarding genuine collective behavior among stocks. We also discuss results that are reminiscent of phase transitions in spin systems, where the divergent behavior of the response function at

  4. What's Happened to the Price of College? Quality-Adjusted Net Price Indexes for Four Year Colleges

    Science.gov (United States)

    Schwartz, Amy Ellen; Scafidi, Benjamin

    2004-01-01

    Hedonic models of the price of college to construct quality-adjusted net price indexes for U.S. four-year colleges were estimated. A 22 percent decline in the estimated price index is reported by adjusting for financial aid, while quality adjusting results lead to a smaller decline, for academic years 1990-91 to 1994-95.

  5. Fair pricing, and pricing paradoxes

    Directory of Open Access Journals (Sweden)

    Barbara Swart

    2016-05-01

    Full Text Available The St Petersburg Paradox revolves round the determination of a fair price for playing the St Petersburg Game. According to the original formulation, the price for the game is infinite, and, therefore, paradoxical. Although the St Petersburg Paradox can be seen as concerning merely a game, Paul Samuelson (1977 calls it a “fascinating chapter in the history of ideas”, a chapter that gave rise to a considerable number of papers over more than 200 years involving fields such as probability theory and economics. In a paper in this journal, Vivian (2013 undertook a numerical investigation of the St Petersburg Game. In this paper, the central issue of the paradox is identified as that of fair (risk-neutral pricing, which is fundamental in economics and finance and involves important concepts such as no arbitrage, discounting, and risk-neutral measures. The model for the St Petersburg Game as set out in this paper is new and analytical and resolves the so-called pricing paradox by applying a discounting procedure. In this framework, it is shown that there is in fact no infinite price paradox, and simple formulas for obtaining a finite price for the game are also provided.

  6. Do spot prices move towards futures prices? A study on crude oil market

    Directory of Open Access Journals (Sweden)

    Mihaela Nicolau

    2012-10-01

    Full Text Available The importance of studying the futures markets and the relationship between spot and futures prices is given by the possibility that futures contracts offer in order to reduce particular risks. The financial theory presents the relationships between spot and futures prices in the framework of both the non-arbitrage theory and the asset pricing theory, but none of them offer information about the direction of causality between spot and futures prices. This paper attempts to analyse the dynamic relationship between spot and futures prices of the crude oil, a very important commodity. The empirical analysis is focused to examine the causal dynamics between spot and futures prices in crude oil market; the results confirm that the prices of one and two maturity futures predict spot prices. Conversely, this is not true for longer maturity futures contracts.

  7. The Stress Testing of Integrated Risk Based on Financial Asset Price Shocks%基于金融资产价格冲击的综合风险压力测试

    Institute of Scientific and Technical Information of China (English)

    袁芳英

    2014-01-01

    设计了一个整合流动性风险、信用风险和市场风险的宏观压力测试框架,分析金融资产价格冲击对银行体系的影响。应用蒙特卡罗方法模拟出各种金融资产价格冲击生成的市场风险路径,采用莫顿模型来分析银行的违约风险和市场风险的联系,同时也估计了违约风险和存款外流的关系,通过分析银行在银行间市场和资本市场的联系整合了传染性风险。在以上的理论分析框架下,用工行、建行、中国银行、农行和交行2008年的数据对我国银行体系进行了实证分析,其测试结果显示:银行体系的系统流动性风险很低,没有银行违约的概率是99.15%,说明整个银行体系是稳定的。实证分析的结果与2008年的实际情况相符,说明文章构建的压力测试理论框架是有效的。%In order to analyze the impact of financial asset price shocks on the banking system,this paper develops a macro stress-testing framework integrating liquidity risk, credit risk and market risk.Firstly,the Monte Carlo method is used to simulate market risk path generated by various types of financial asset price shocks.Secondly,the Morton model is used to analyze the relationship between market risks and default risks of banks, the relationship between default risks and deposit outflows is estimated as well, and contagion risk is also incorporated through analyzing banks' linkage in the interbank and capital markets.Finally,the above theoretical framework is applied to the Industrial and Commercial Bank of China,China Construction Bank,Bank of China,Agricultural Bank of China,and the Bank of Communications for empirical analysis on China's banking system,based on available data of 2008.The empirical result shows that the liquidity risk of the banking system is quite low,the probability of no bank defaulting is 99.15%,and the banking system is stable as a whole.The empirical finding is consistent with

  8. Coping with Financial Distress

    Science.gov (United States)

    Chabotar, Kent John

    2007-01-01

    Colleges and universities, like corporations and other nonprofit organizations, are subject to periodic fluctuations in the economy and public support. Thus, the question is not whether they will confront financial problems but rather when and how. This article describes how institutions and boards can detect budgets in crisis, provides principles…

  9. Solitary wave solutions of nonlinear financial markets :data-modeling-concept-practicing

    Institute of Scientific and Technical Information of China (English)

    MA Jin-long; MA Fei-te

    2007-01-01

    This paper seeks to solve the difficult nonlinear problem in financial markets on the complex system theory and the nonlinear dynamics principle,with the data-modelconcept-practice issue-oriented reconstruction of the phase space by the high frequency trade data.In theory,we have achieved the differentiable manifold geometry configuration,discovered the Yang-Mills functional in financial markets,obtained a meaningful conserved quantity through corresponding space-time non-Abel localization gauge symmetry transformation,and derived the financial solitons,which shows that there is a strict symmetry between manifold fiber bundle and gauge field in financial markets.In practical applications of financial markets,we have repeatedly carded out experimental tests in a fluctuant evolvement,directly simulating and validating the existence of solitons by researching the price fluctuations(society phenomena)using the same methods and criterion as in natural science and in actual trade to test the stock Guangzhou Proprietary and the futures Fuel Oil in China.The results demonstrate that the financial solitons discovered indicates that there is a kind of new substance and form of energy existing in financial trade markets,which likely indicates a new science paradigm in the economy and society domains beyond physics.

  10. Financial history and financial economics

    OpenAIRE

    Turner, John D.

    2014-01-01

    This essay looks at the bidirectional relationship between financial history and financial economics. It begins by giving a brief history of financial economics by outlining the main topics of interest to financial economists. It then documents and explains the increasing influence of financial economics upon financial history, and warns of the dangers of applying financial economics unthinkingly to the study of financial history. The essay proceeds to highlight the many insights that financi...

  11. Financial history and financial economics

    OpenAIRE

    Turner, John D.

    2014-01-01

    This essay looks at the bidirectional relationship between financial history and financial economics. It begins by giving a brief history of financial economics by outlining the main topics of interest to financial economists. It then documents and explains the increasing influence of financial economics upon financial history, and warns of the dangers of applying financial economics unthinkingly to the study of financial history. The essay proceeds to highlight the many insights that financi...

  12. The Diversification Benefits of Including Carbon Assets in Financial Portfolios

    National Research Council Canada - National Science Library

    Yinpeng Zhang; Zhixin Liu; Xueying Yu

    2017-01-01

    ... as a candidate product in building financial portfolios. In this study, we examine the time-varying correlations between carbon allowance prices with other financial indices, during the third phase of EU-ETS...

  13. Fire Sales and House Prices

    DEFF Research Database (Denmark)

    Andersen, Steffen; Meisner Nielsen, Kasper

    We exploit a natural experiment in Denmark to investigate when forced sales lead to fire sale discounts. Forced sales result from sudden deaths of house owners in an institutional environment in which beneficiaries are forced to settle the estate, and hence sell the house, within 12 months. We...... and the urgency of the sale also affect the average discount: Discounts are larger when house prices contract, in thin markets where demand is lower, and when the sale is more likely to be a fire sale because of financial or liquidity constraints. Late fire sales are more likely when the house price...... forced sales lead to fire sale discounts....

  14. 基于时差相关多变量模型的金融危机前后国际原油价格影响因素分析%Multivariable model based on cross-correlogram for analyzing the change of relationship between factors and crude oil price during financial crisis

    Institute of Scientific and Technical Information of China (English)

    张文; 王珏; 部慧; 汪寿阳

    2012-01-01

    为研究各因素与国际原油价格之间相互影响的程度和时差关系,提出了基于时差相关多变量模型的分析框架.根据该框架,在确定影响因素和模型变量后,对各因素与油价间的时差相关关系进行了分析,以此作为确定和调整模型中变量滞后阶数的依据,结合变量系数是否显著和模型调整R2是否提高的判断准则,对金融危机前后共七组样本构建了多元回归模型.研究结果发现:各因素与油价的相互作用并不都是在当期完成的;金融危机爆发后,各因素与油价的关系均发生了不同程度的变化,且油价有向基本面回归的趋势.%A multivariable model based on cross-correlogram is proposed to study the effect of influencing factors on crude oil price. Following the selection of factors and variables, the lead-lag relationship between factors and oil price is firstly analyzed to decide and adjust the lag order of independent variables. Then multivariable regression models are set up to analyze the effect of influencing factors on crude oil price during financial crisis. It proves that not all factors change the oil price in the current period. The relationship between factors and oil price does change after financial crisis to various extent.

  15. What Role Have Banks in Financial Crises?

    Directory of Open Access Journals (Sweden)

    Alin Marius ANDRIES

    2009-05-01

    Full Text Available Financial crises mainly manifest themselves at the level of financial institutions. Although financial crises can also be generated within non-financial institutions, the role of banking institutions in the occurrence, transmitting and solving of financial crises is a deciding one. Banks play a deciding role in the development of financial crises as financial intermediaries who contribute to the efficient transfer of funds from the abundant agent towards the deficit agents. Banks can facilitate the financial crises through the activities performed on the financial markets that can influence the interest rates, the uncertainty on the market and the price of assets, but moreover bank crises can occur that transform financial crises. This paper aims to analyze the role of banks in the emergence, the propagation, the prevention or solving financial crises.

  16. Levy Matrices and Financial Covariances

    Science.gov (United States)

    Burda, Zdzislaw; Jurkiewicz, Jerzy; Nowak, Maciej A.; Papp, Gabor; Zahed, Ismail

    2003-10-01

    In a given market, financial covariances capture the intra-stock correlations and can be used to address statistically the bulk nature of the market as a complex system. We provide a statistical analysis of three SP500 covariances with evidence for raw tail distributions. We study the stability of these tails against reshuffling for the SP500 data and show that the covariance with the strongest tails is robust, with a spectral density in remarkable agreement with random Lévy matrix theory. We study the inverse participation ratio for the three covariances. The strong localization observed at both ends of the spectral density is analogous to the localization exhibited in the random Lévy matrix ensemble. We discuss two competitive mechanisms responsible for the occurrence of an extensive and delocalized eigenvalue at the edge of the spectrum: (a) the Lévy character of the entries of the correlation matrix and (b) a sort of off-diagonal order induced by underlying inter-stock correlations. (b) can be destroyed by reshuffling, while (a) cannot. We show that the stocks with the largest scattering are the least susceptible to correlations, and likely candidates for the localized states. We introduce a simple model for price fluctuations which captures behavior of the SP500 covariances. It may be of importance for assets diversification.

  17. Implications of Israeli Agricultural Water Price Sharing System to China

    Institute of Scientific and Technical Information of China (English)

    Yifan LI; Fusheng LIU

    2016-01-01

    This paper introduces Israeli agricultural water price sharing system. According to Israeli agricultural water cost composition,water price sharing by farmers as well as government subsidy and its forms,the financial subsidy-based agricultural water price system has been established on the basis of the farmers’ income in our country and reasonable water price sharing,thus to promote the development of water-saving agriculture in China.

  18. Price volatility and banking in green certificate markets

    DEFF Research Database (Denmark)

    Amundsen, Eirik Schrøder; Baldursson, Fridrik M.; Mortensen, Jørgen Birk

    2006-01-01

    There is concern that prices in a market for Green Certificates (GCs) primarily based on volatile wind power will fluctuate excessively, leading to corresponding volatility of electricity prices. Applying a ratinal expectations simulation model of competitive storage and specualtion of GCs...... the paper shows that the introduction of banking of GCs may reduce price volatility considerably and lead to increased social surplus. Banking lowers average prices and is therefore not necessarily to the benefit of 'green producers'. Prooposed price bounds on GC-prices will reduce the importance of banking...

  19. Modeling the global market for crude oil and forecasting the price: a comprehensive study

    OpenAIRE

    Behmiri, Niaz Badhiri

    2013-01-01

    Crude oil prices before 1970 were under control by multinational monopolist oil companies; from 1970 to 1986 OPEC administered pricing system determined crude oil prices; and from 1986 to the present, crude oil prices are determined by a market-linked pricing mechanism or demand-to-supply ratio, taking in account a set of many other factors, such as economic, political, financial, technological, meteorological and oil reserves. As in a market-linked pricing mechanism, the main determinant fac...

  20. Essays on Asset Pricing with Financial Frictions

    DEFF Research Database (Denmark)

    Klingler, Sven

    The first essay focuses on Credit default swap (CDS) premiums of safe sovereigns, that is, the insurance against the default of countries with a low credit risk, like Germany, Japan, or the United States. We motivate the essay by establishing the following two stylized facts. First, we document...... between bond yield and risk-free rate, for safe sovereigns. This finding is in opposition to the no-arbitrage theory that CDS premiums and yield spreads should move in lockstep. Motivated by these stylized facts, we investigate the following two questions: First, what are the motives behind purchasing...... insurance against the default of safe sovereigns? Second, what drives safe-haven CDS premiums if not credit risk?...

  1. PRICE ON THE ORGANIC FOOD MARKET

    Directory of Open Access Journals (Sweden)

    GEORGE ATANASOAIE

    2012-12-01

    Full Text Available The main objective of this paper is to present prices on PAE market (PAE- organic foods market. Prices are analyzed in terms of importance and the main factors that contribute to their establishment (quality of products, distribution channels, certification and eco-labeling system, customer segments and market development stage. This paper is based on the investigation of secondary sources, of specialized literature related to PAE consumers. The paper shows that are used three strategic options of prices: prices with high rigidity located in a low or high level and fluctuating prices, characterized by variations on short periods of time. Price is a very important barrier to market development but this importance can be mitigated through appropriate communication policies with the market, which are essential especially for markets in early stages of development.

  2. THE PRICE ON THE ORGANIC PRODUCT MARKET

    Directory of Open Access Journals (Sweden)

    ATĂNĂSOAIE GEORGE SEBASTIAN

    2013-08-01

    Full Text Available The main objective of this paper is to present prices on PAE market (PAE- organic foods market. Prices areanalyzed in terms of importance and the main factors that contribute to their establishment (quality of products,distribution channels, certification and eco-labeling system, customer segments and market development stage.The paper shows that are used three strategic options of prices: prices with high rigidity located in a low or highlevel and fluctuating prices, characterized by variations on short periods of time. Price is a very importantbarrier to market development but this importance can be mitigated through appropriate communicationpolicies with the market, which are essential especially for markets in early stages of development

  3. First Significant Digits and the Credit Derivative Market During the Financial Crisis

    Directory of Open Access Journals (Sweden)

    Paul Hofmarcher

    2013-06-01

    Full Text Available The Credit Default Swap (CDS market has both been lauded for its ability to stabilize the financial system through credit risk transfers and been the source of regulatory concern due to its size and lack of transparency. As a decentralized over-the-counter market, detailed information about pricing mechanisms is rather scarce. To investigate reported CDS prices (spreads more closely, we make use of empirical First Significant Digit (FSD distributions and analyze daily CDS prices for European and US entities during the financial crisis starting in 2007. We find that on a time-aggregated level, the European and US markets obey empirical FSD distributions similar to the theoretical ones. Surprising differences are observed in the development of the FSD distributions between the US and European markets. Whereas the FSD distribution of the US derivative market behaves nearly constantly during the last financial crisis, we find huge fluctuations in the FSD distribution of the European market. One reason for these differences might be the possibility of strategic default for US companies due to Chapter 11 and avoided contagion effects.

  4. Variety and volatility in financial markets

    Science.gov (United States)

    Lillo, Fabrizio; Mantegna, Rosario N.

    2000-11-01

    We study the price dynamics of stocks traded in a financial market by considering the statistical properties of both a single time series and an ensemble of stocks traded simultaneously. We use the n stocks traded on the New York Stock Exchange to form a statistical ensemble of daily stock returns. For each trading day of our database, we study the ensemble return distribution. We find that a typical ensemble return distribution exists in most of the trading days with the exception of crash and rally days and of the days following these extreme events. We analyze each ensemble return distribution by extracting its first two central moments. We observe that these moments fluctuate in time and are stochastic processes, themselves. We characterize the statistical properties of ensemble return distribution central moments by investigating their probability density functions and temporal correlation properties. In general, time-averaged and portfolio-averaged price returns have different statistical properties. We infer from these differences information about the relative strength of correlation between stocks and between different trading days. Last, we compare our empirical results with those predicted by the single-index model and we conclude that this simple model cannot explain the statistical properties of the second moment of the ensemble return distribution.

  5. Labor Unions and Asset Prices

    DEFF Research Database (Denmark)

    Busato, Francesco; Addessi, William

    The paper investigates the nexus between labor and financial markets, focusing on the interaction between labor union behavior in setting wages, firms' investment strategy and asset prices. The way unions set wage claims after observing firm's financial performance increases the volatility of firms......' returns and the riskiness of corporate ownership. To remunerate this higher volatility and stronger risk, firms' equities have to grant high return. This mechanism is able to offer an explanation of for the "equity puzzle", that is it can explain the difference between equity returns and the risk free...

  6. In the Right Ballpark? Assessing the Accuracy of Net Price Calculators

    Science.gov (United States)

    Anthony, Aaron M.; Page, Lindsay C.; Seldin, Abigail

    2016-01-01

    Large differences often exist between a college's sticker price and net price after accounting for financial aid. Net price calculators (NPCs) were designed to help students more accurately estimate their actual costs to attend a given college. This study assesses the accuracy of information provided by net price calculators. Specifically, we…

  7. Financial Stability and Financial Inclusion

    OpenAIRE

    Morgan, Peter J; Pontines, Victor

    2014-01-01

    Developing economies are seeking to promote financial inclusion, i.e., greater access to financial services for low-income households and firms, as part of their overall strategies for economic and financial development. This raises the question of whether financial stability and financial inclusion are, broadly speaking, substitutes or complements. In other words, does the move toward greater financial inclusion tend to increase or decrease financial stability? A number of studies have sugge...

  8. 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.

  9. Quantifying meta-correlations in financial markets

    Science.gov (United States)

    Kenett, Dror Y.; Preis, Tobias; Gur-Gershgoren, Gitit; Ben-Jacob, Eshel

    2012-08-01

    Financial markets are modular multi-level systems, in which the relationships between the individual components are not constant in time. Sudden changes in these relationships significantly affect the stability of the entire system, and vice versa. Our analysis is based on historical daily closing prices of the 30 components of the Dow Jones Industrial Average (DJIA) from March 15th, 1939 until December 31st, 2010. We quantify the correlation among these components by determining Pearson correlation coefficients, to investigate whether mean correlation of the entire portfolio can be used as a precursor for changes in the index return. To this end, we quantify the meta-correlation - the correlation of mean correlation and index return. We find that changes in index returns are significantly correlated with changes in mean correlation. Furthermore, we study the relationship between the index return and correlation volatility - the standard deviation of correlations for a given time interval. This parameter provides further evidence of the effect of the index on market correlations and their fluctuations. Our empirical findings provide new information and quantification of the index leverage effect, and have implications to risk management, portfolio optimization, and to the increased stability of financial markets.

  10. 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.

  11. 金融支持过度、房地产价格泡沫和货币政策有效性——以京、津、沪、渝为例%Excessive Financial Support, Real Estate Price Bubbles and Monetary Policy Availability——The Case Study of Beijing, Tianjin, Shanghai and Chongqing

    Institute of Scientific and Technical Information of China (English)

    王柏杰; 冯宗宪

    2012-01-01

    From the perspective of financial support with 2006-2011 data of China on the national and provincial levels,such as Beijing,Tianjin Shanghai and Chongqing,the result shows that the housing prices on the national level become more reasonable,but the housing bubble is serious in Beijing,Tianjin,and Shanghai,which is closely related to excessive financial support in China.The role of monetary policy has obvious effect on the housing price on the national level,but not significant in Beijing,Tianjin and Shanghai.It indicates that control of the housing bubble means not only control of excessive financial support but also control over the irrational bubble,as well as preventing excessive price squeeze caused by contraction monetary policy to avoid the damage to the real economy caused by the piercing of the bubble.%从金融支持的视角出发,利用我国2006~2011年的数据从全国层面和京津沪渝等省际层面研究发现,全国房价趋于合理,但京津沪的房价泡沫严重,这与我国的金融支持过度密切相关;货币政策工具对房价作用的有效性在全国层面上表现明显,但对京津沪的作用不显著,说明对于房价泡沫除了要控制金融支持过度外还要控制非理性泡沫,更要防止紧缩货币政策对房价的过度挤压,避免刺穿泡沫给实体经济带来的破坏。

  12. 蔬菜肉类产品价格波动对宏观经济的影响及对策%The Impact of Fluctuation of Vegetable and Meat Product Price to the Micro Economy and the Solution

    Institute of Scientific and Technical Information of China (English)

    韩科峰

    2013-01-01

    物价上涨、尤其是与人民生活息息相关的蔬菜、肉类产品价格的上涨,给宏观经济及人民生活带来了极大挑战。从枣庄市有代表性的农贸市场和大型超市选取的相关样本中获得的数据来看,大部分蔬菜肉类产品的价格都在上涨。其原因在于:商品供不应求、节日因素、供应商和经销商的经营成本对价格的影响。我国有效解决相关商品价格涨幅差异大、市场监管不足、就业压力等问题,必须重视农业生产,走农业集约化道路,保证市场供应,稳定商品价格,加大监管力度,促进就业增加,从而保证宏观经济的平稳运行。%Rising prices, especially those of vegetables and meat products that directly affect people's livelihood has posed a great chal-lenge to the people's livelihood and the macro economy. Selected data from samples of typical farm produce markets and large supermar-kets in Zaozhuang shows prices of most vegetable and meat product are going up, causing by short supply of commodities, holiday factors, and the operation cost of suppliers and resellers. To cope with the issues including the huge price rise of certain commodities, poor market supervision and employment pressure, China must focus on agricultural production, developing intensive agriculture, to secure market supply;stabilize commodity prices;reinforce supervision;and promote employment, so as to safeguard the steady running of the macro e-conomy.

  13. Coupling detrended fluctuation analysis of Asian stock markets

    Science.gov (United States)

    Wang, Qizhen; Zhu, Yingming; Yang, Liansheng; Mul, Remco A. H.

    2017-04-01

    This paper uses the coupling detrended fluctuation analysis (CDFA) method to investigate the multifractal characteristics of four Asian stock markets using three stock indices: stock price returns, trading volumes and the composite index. The results show that coupled correlations exist among the four stock markets and the coupled correlations have multifractal characteristics. We then use the chi square (χ2) test to identify the sources of multifractality. For the different stock indices, the contributions of a single series to multifractality are different. In other words, the contributions of each country to coupled correlations are different. The comparative analysis shows that the research on the combine effect of stock price returns and trading volumes may be more comprehensive than on an individual index. By comparing the strength of multifractality for original data with the residual errors of the vector autoregression (VAR) model, we find that the VAR model could not be used to describe the dynamics of the coupled correlations among four financial time series.

  14. NONLINEAR ANALYSIS OF FINANCIAL SYSTEMS:EXPLORING THE NONLINEAR IMPACT OF THE TRADING VOLUME ON THE PRICE VOLATILITY%金融系统的非线性分析:交易量对股价波动的非线性影响

    Institute of Scientific and Technical Information of China (English)

    彭海伟; 卢祖帝

    2009-01-01

    Exploring the relationship between price volatility and trading volume in financial market has been a hot topic in the study of financial systems. Lamoureux and Lastrapes advance that the daily trading volume is a proper measure of the information arrivals at the market, but they assume that this impact of the trading volume on the price volatility is linear. In this paper, we propose a partially nonlinear GARCH model, together with local linear maximum likelihood estimation method, to examine the nonlinear relationship between the trading volume and the price volatility. Using the data sets of 20 stocks from the Chinese stock market, we empirically demonstrate that the impact of the trading volume on the stock price volatility is significantly nonlinear. An empirical parametric power function is also suggested for this nonlinear impact, which is more significantly reasonable than the linear impact hypothesis.%如何研究股价波动和成交量之间的关系一直是金融系统研究中感兴趣的话题.Lamoureux和Lastrapes认为选择日交易量度量每天流入市场的信息量是合理的,但他们假定交易量对波动率的影响是线性的.提出部分非线性GARCH模型分析交易量对股票市场波动率的影响,基于GARCH模型局部线性化非参数似然估计方法,对中国证券市场股票价格和交易量数据进行实证研究.结果表明,交易量对股价波动的影响具有显著的非线性性.

  15. Business Cycles, Financial Crises, and Stock Volatility

    OpenAIRE

    G. William Schwert

    1989-01-01

    This paper shows that stock volatility increases during recessions and financial crises from 1834-1987. The evidence reinforces the notion that stock prices are an important business cycle indicator. Using two different statistical models for stock volatility, I show that volatility increases after major financial crises. Moreover. stock volatility decreases and stock prices rise before the Fed increases margin requirements. Thus, there is little reason to believe that public policies can con...

  16. Tipping points and crises in financial markets

    OpenAIRE

    Shemyakina, Polina

    2015-01-01

    Electricity spot markets and other financial markets are complex systems, and it is difficult to forecast their behaviour, especially uncontrolled and unmanageable situations, such as power crises and deflation of financial bubbles. An energy crisis is any price rise in the supply of energy resources to an economy. It has undesirable consequences, occasionally irreversible. The most known of these crises is the California Electricity Crisis, when wholesale prices have risen by over 800%. ...

  17. Downside Risk And Empirical Asset Pricing

    OpenAIRE

    Vliet, Pim

    2004-01-01

    textabstractCurrently, the Nobel prize winning Capital Asset Pricing Model (CAPM) celebrates its 40th birthday. Although widely applied in financial management, this model does not fully capture the empirical riskreturn relation of stocks; witness the beta, size, value and momentum effects. These problems may be caused by the use of variance as the relevant risk measure. This study analyzes if asset pricing models that use alternative risk measures better describe the empirical riskreturn tra...

  18. Financial issues for hospital auxiliaries.

    Science.gov (United States)

    Fogel, L A

    1986-01-01

    Auxiliaries can serve a more important financial role in today's environment than ever before. Hospitals are searching for positive avenues to promote themselves to the community and to generate more financial support to help offset the losses created by decreasing inpatient utilization and payments from third-party payers. Auxiliaries should recognize that their financial role has never been more important to the financial viability of their hospitals. Auxiliaries should communicate closely with hospital administration so that both organizations work to achieve compatible goals. Auxiliaries should be operated more like businesses, which means establishing goals and objectives, preparing effective budgets and interim financial statements, thinking and planning innovatively, and establishing adequate inventory controls, investment policies, and pricing structures. If auxiliaries follow these steps, they will not only succeed in providing more financial support to hospitals than ever before but will also receive the recognition and support they deserve for their effort.

  19. Accounting Issues On Financial Instruments

    OpenAIRE

    Shiba, Kenji

    1995-01-01

    Financial Instruments should be measured at the present value by using the current effective yield as the discount rate by reference to the current market interest rate and the risk premium. The fair value or the current market price are surrogates of the present value. The present value determined by using the historical effective yield as the discount rate is allowed under limited circumstances. However, the historical cost is not allowed as a measurement basis of financial instruments. Thi...

  20. FEWS NET Price Volatility Data 2002-2012

    Data.gov (United States)

    US Agency for International Development — This dataset from the Famine Early Warning System Network (FEWS NET) documents ten years, from 2002 to 2012, of cereal price fluctuations across twenty-five African...

  1. Fractional Langevin model of memory in financial markets.

    Science.gov (United States)

    Picozzi, Sergio; West, Bruce J

    2002-10-01

    The separation of the microscopic and macroscopic time scales is necessary for the validity of ordinary statistical physics and the dynamical description embodied in the Langevin equation. When the microscopic time scale diverges, the differential equations on the macroscopic level are no longer valid and must be replaced with fractional differential equations of motion; in particular, we obtain a fractional-differential stochastic equation of motion. After decades of statistical analysis of financial time series certain "stylized facts" have emerged, including the statistics of stock price fluctuations having "fat tails" and their linear correlations in time being exceedingly short lived. On the other hand, the magnitude of these fluctuations and other such measures of market volatility possess temporal correlations that decay as an inverse power law. One explanation of this long-term memory is that it is a consequence of the time-scale separation between "microscopic" and "macroscopic" economic variables. We propose a fractional Langevin equation as a dynamical model of the observed memory in financial time series.

  2. Transfer Pricing in the European Union

    Directory of Open Access Journals (Sweden)

    Gheorghe MATEI

    2011-04-01

    Full Text Available The transfer pricing mechanism is a tool commonly used to transfer the tax base from countries with high taxation in countries with low taxation. In the European Union, this financial operations generate significant tax revenue losses. In an attempt to limit the handling of corporate tax systems, many public authorities have introduced regulations on transfer pricing, but the effectiveness of these rules has proved limited, and they contributed to the increasing complexity of tax laws and to the appearance of additional costs for companies. A solution to the solving of the transfer pricing problem in the European Union is represented by the introduction of the common consolidated corporate tax base.

  3. Carbon Pricing: Design, Experiences and Issues

    DEFF Research Database (Denmark)

    Carbon Pricing reflects upon and further develops the ongoing and worthwhile global debate into how to design carbon pricing, and how to utilize the financial proceeds in the best possible way for society. The world has recently witnessed a significant downward adjustment in fossil fuel prices...... the consequential outcomes of different taxation compositions as regulatory instruments. Expert contributors assess a variety of national experiences to provide an empirical insight into the use of carbon taxes, emissions trading, energy taxes and excise taxes. The overarching discussion concludes that successful...

  4. Financialization of commodities

    Directory of Open Access Journals (Sweden)

    Michał Falkowski

    2011-12-01

    Full Text Available The basic theory of price formation tells us how the price of a particular asset will change based on the adjustment to its supply and demand. However, values of assets are also determined by other business fundamentals, company’s and world events, human psychology, and investors’ belief about the possible future profit. In recent history that lead to an increase of individual and institutional investors’ interest in allocating their resources in commodity markets. With a large inflow of capital commodities’ prices started to rise making them attractive components to effective investment portfolios. The presented paper addresses the issue of so called commodities ‘financialization’ process. It looks at the main factors standing behind commodities’ price movements and to what extent financial market participants contributed to commodities price volatility in recent years. Based on the data examined it distinguishes the involvement of both commercial and non-commercial traders in short and long term periods of time. As well as explaining the impact of growing investors’ interest in commodity markets it defines other market forces - like currency appreciations and emerging markets - as being part of increased volatility in raw and soft commodity markets. Along with market examination the paper focuses on possible future outcomes in attempts to regulate commodities derivatives markets and potential effects of those efforts.

  5. TOURISM MARKET: PRICING ISSUES

    Directory of Open Access Journals (Sweden)

    Irina A. Kiseleva

    2016-01-01

    Full Text Available The article is devoted to the actual topic of our time - the development of tourism services. The development of tourism is the leading technology trend dynamics maroon economic caused social restructuring of modern society. Macroeconomic Financial Statistics conrms the minimum amplitude of cyclical uctuations in the service sector, which turns it into countercyclical tool. In the Russian Federation the economic problem of a state policy in the sphere of tourist services is defined - to having turned tourism in competitive, innovative, countercyclical, and highly protable sector of national business. In article pricing factors are dened and are dened key of them, responsible for the cost of a tourist product. This work answers such questions of travel company as: denition of optimum group, formation of a transport tariff, structure of a tourist product on the main and accompanying services and their range, ways of sale. A practical advice by calculation of expenses is given. Correlation and regression and cluster analyses acted as research tools when performing work. In article the conclusion is drawn that the main methods of marketing management of pricing in the market of tourist services are: transition to the unified technology of granting a service on the basis of ISO; intensication and integration of the sphere of production and services

  6. Compound Option Pricing under Fuzzy Environment

    Directory of Open Access Journals (Sweden)

    Xiandong Wang

    2014-01-01

    Full Text Available Considering the uncertainty of a financial market includes two aspects: risk and vagueness; in this paper, fuzzy sets theory is applied to model the imprecise input parameters (interest rate and volatility. We present the fuzzy price of compound option by fuzzing the interest and volatility in Geske’s compound option pricing formula. For each α, the α-level set of fuzzy prices is obtained according to the fuzzy arithmetics and the definition of fuzzy-valued function. We apply a defuzzification method based on crisp possibilistic mean values of the fuzzy interest rate and fuzzy volatility to obtain the crisp possibilistic mean value of compound option price. Finally, we present a numerical analysis to illustrate the compound option pricing under fuzzy environment.

  7. Financial Benchmarking

    OpenAIRE

    2012-01-01

    This bachelor's thesis is focused on financial benchmarking of TULIPA PRAHA s.r.o. The aim of this work is to evaluate financial situation of the company, identify its strengths and weaknesses and to find out how efficient is the performance of this company in comparison with top companies within the same field by using INFA benchmarking diagnostic system of financial indicators. The theoretical part includes the characteristic of financial analysis, which financial benchmarking is based on a...

  8. Stock Walk with Consumable Deliverables: Association of Price and ...

    African Journals Online (AJOL)

    ... Association of Price and Dividend in the Nigerian Capital Market. ... The baseline assumption is that investors rely on key financial indicators (KFIs) in making ... guard against scenic transaction pitfalls particularly in fragile trading settings.

  9. Application of Markov Model in Crude Oil Price Forecasting

    Directory of Open Access Journals (Sweden)

    Nuhu Isah

    2017-08-01

    Full Text Available Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile. The fluctuation of crude oil prices has affected many related sectors and stock market indices. Hence, forecasting the crude oil prices is essential to avoid the future prices of the non-renewable natural resources to rise. In this study, daily crude oil prices data was obtained from WTI dated 2 January to 29 May 2015. We used Markov Model (MM approach in forecasting the crude oil prices. In this study, the analyses were done using EViews and Maple software where the potential of this software in forecasting daily crude oil prices time series data was explored. Based on the study, we concluded that MM model is able to produce accurate forecast based on a description of history patterns in crude oil prices.

  10. Price Conduction Mechanism of China’s Wheat Industry Chain Based on VECM

    Institute of Scientific and Technical Information of China (English)

    Haiyan; ZHU

    2015-01-01

    With the aid of the VECM( vector error correction model),this paper studied dynamic effect of wheat price and flour price conduction mechanism in the wheat industry chain. Study results indicate that in a long term,wheat price and flour price have equilibrium relationship. Through threshold co-integration test,it found that there is no threshold co-integration relationship between wheat price and flour price.This can be adjusted using the linear error correction mode. In a short term,the wheat price and flour price have Granger causality relationship. When the price deviates from equilibrium state,the flour price can be adjusted and regressed to equilibrium state,but the speed of wheat price regressing to equilibrium state is slow. Finally,the impulse response function analysis indicates that fluctuation of the wheat price can bring huge and sustained impact to wheat and flour market.

  11. Simulation of the impacts on the market price fluctuation due to natural disaster based on a partial equilibrium modeling framework: A case study on the Wenchuan Earthquake%自然灾害对农产品市场价格影响研究——以汶川地震为例

    Institute of Scientific and Technical Information of China (English)

    战金艳; 林英志; 葛全胜; 徐志刚

    2011-01-01

    According to the partial equilibrium theory,this paper built an agricultural equilibrium model which was used to simulate the impacts on the market price of agricultural products due to the occurrence of natural disasters.This model was used in the case study area,the quake-hit region Wenchuan,to simulate and evaluate the influences on market price fluctuation of agricultural products nationwide on the basis of data from Sichuan provincial statistical yearbook,survey data in the quake-hit region and data supplied by relevant agencies for the local government and departments concerned.The simulation results indicate the Wenchuan Earthquake has had only marginal impacts on the fluctuations of market price of agricultural products such as rice,wheat,corn and pork and have had no strong disturbance on the stability of the prices of agricultural products at national level.Wenchuan Earthquake,however,undoubtedly,resulted in some effects on the local agricultural production.It brought significantly negative impacts on both planting industry and breeding industry in the severe disaster areas.The research results of this paper provides information of decision-making for the disaster areas in scientifically evaluating earthquake influences on the changes of market prices of agricultural products,laying down planning of earthquake preparedness and disaster reduction and the recovery of agricultural production for the quake-hit region.%本文构建了一个用于分析自然灾害对区域农畜产品市场价格影响的自然灾害影响农业生产的分析模型,并基于多种统计与调查资料模拟了汶川特大地震对全国农畜产品市场价格的影响。模拟表明,汶川地震对全国水稻、小麦、玉米和猪肉主要农畜产品的市场价格的变化影响甚微,没有影响全国农业生产的基准面。不过,汶川地震毋容置疑地对当地农业生产造成了一定程度的影响,尤其是对重灾区种植业和养殖业造成了显

  12. CONTAGION EFFECTS OF US FINANCIAL CRISIS ON INDONESIA

    Directory of Open Access Journals (Sweden)

    Anika Sedyaning Wikanti

    2011-09-01

    Full Text Available This research analyzes the contagion effects of the US financial markets on Indonesian fi-nancial markets during the 2008 global financial crisis. It specifically investigates whether the slump in the US stock prices directly produced a slump in Indonesian stock prices, or indirectly through the slump in regional stock prices. It also examines whether the slump spilled over into rupiah exchange rate. Using Vector Autoregression and Vector Error Correction Model, the paper finds direct contagion effect of the US financial crisis into Indonesian stock markets. It also finds both direct and indirect contagion effect of the US financial crisis into foreign exchange market.Keywords: Contagion, stock price, exchange rate, financial crisisJEL classification numbers: G12, G15

  13. Price System for Water Supply and its Economic Impact Analysis

    Directory of Open Access Journals (Sweden)

    Jing Zhao

    2015-04-01

    Full Text Available In light of the actual economic circumstances and water price level, the CGE model to simulate the price policy for multiple water sources is modified and expanded. A water price reform plan is proposed to meet water-saving requirements and water resources allocation. The affected scale and scope for implementing the water price policy is evaluated on a quantitative basis. Research results indicate that a reasonable water price system in Tianjin in 2020 should be set up as follows: the comprehensive tap water price stands at 4$/m3, the tap water price for industrial, administrative and business service sectors is 2.4$/m3, and the tap water price for special industry and domestic use are 8.8$/m3 and 1.4$/m3 respectively. The adjusted water price will bring about tangible results to water resources allocation optimization and water conservation. Although most sectors are negatively affected to varying degrees after raising the water price, particularly the lodging and catering sectors, a 100% water price rising will produce only little impact on price index, and sectoral output and employment will not cause economic fluctuations or social instability. Water price adjustments, as long as it is reasonable, will be more positive than negative on the whole. Research outcomes will provide a scientific decision-making basis for formulating the local water price policy.

  14. Entropy and Recurrence Measures of a Financial Dynamic System by an Interacting Voter System

    Directory of Open Access Journals (Sweden)

    Hong-Li Niu

    2015-04-01

    Full Text Available A financial time series agent-based model is reproduced and investigated by the statistical physics system, the finite-range interacting voter system. The voter system originally describes the collective behavior of voters who constantly update their positions on a particular topic, which is a continuous-time Markov process. In the proposed model, the fluctuations of stock price changes are attributed to the market information interaction amongst the traders and certain similarities of investors’ behaviors. Further, the complexity of return series of the financial model is studied in comparison with two real stock indexes, the Shanghai Stock Exchange Composite Index and the Hang Seng Index, by composite multiscale entropy analysis and recurrence analysis. The empirical research shows that the simulation data for the proposed model could grasp some natural features of actual markets to some extent.

  15. Modelling and forecasting electricity price variability

    Energy Technology Data Exchange (ETDEWEB)

    Haugom, Erik

    2012-07-01

    The liberalization of electricity sectors around the world has induced a need for financial electricity markets. This thesis is mainly focused on calculating, modelling, and predicting volatility for financial electricity prices. The four first essays examine the liberalized Nordic electricity market. The purposes in these papers are to describe some stylized properties of high-frequency financial electricity data and to apply models that can explain and predict variation in volatility. The fifth essay examines how information from high-frequency electricity forward contracts can be used in order to improve electricity spot-price volatility predictions. This essay uses data from the Pennsylvania-New Jersey-Maryland wholesale electricity market in the U.S.A. Essay 1 describes some stylized properties of financial high-frequency electricity prices, their returns and volatilities at the Nordic electricity exchange, Nord Pool. The analyses focus on distribution properties, serial correlation, volatility clustering, the influence of extreme events and seasonality in the various measures. The objective of Essay 2 is to calculate, model, and predict realized volatility of financial electricity prices for quarterly and yearly contracts. The total variation is also separated into continuous and jump variation. Various market measures are also included in the models in order potentially to improve volatility predictions. Essay 3 compares day-ahead predictions of Nord Pool financial electricity price volatility obtained from a GARCH approach with those obtained using standard time-series techniques on realized volatility. The performances of a total of eight models (two representing the GARCH family and six representing standard autoregressive models) are compared and evaluated. Essay 4 examines whether predictions of day-ahead and week-ahead volatility can be improved by additionally including volatility and covariance effects from related financial electricity contracts

  16. Regional Inflation and Financial Dollarization

    NARCIS (Netherlands)

    Brown, M.; de Haas, R.; Sokolov, V.

    2013-01-01

    Abstract: We exploit variation in consumer price inflation across 71 Russian regions to examine the relationship between the perceived stability of the local currency and financial dollarization. Our results show that regions with higher inflation experience an increase in the dollarization of house

  17. Optimal Auctions with Financial Externalities

    NARCIS (Netherlands)

    Maasland, E.; Onderstal, A.M.

    2002-01-01

    We construct optimal auctions when bidders face financial externalities.In a Coasean World, in which the seller cannot prevent a perfect resale market, nor withhold the object, the lowest-price all-pay auction is optimal.In a Myersonean World, in which the seller can both prevent resale after the au

  18. Regional Inflation and Financial Dollarization

    NARCIS (Netherlands)

    Brown, M.; de Haas, R.; Sokolov, V.

    2013-01-01

    Abstract: We exploit variation in consumer price inflation across 71 Russian regions to examine the relationship between the perceived stability of the local currency and financial dollarization. Our results show that regions with higher inflation experience an increase in the dollarization of

  19. Market-Based Price-Risk Management for Coffee Producers

    OpenAIRE

    Sushil Mohan

    2007-01-01

    Coffee is characterised by high levels of price fluctuation, which exposes coffee producers to price risk. Coffee is widely traded in international commodity futures markets. This offers scope for producers to mange their price risk by hedging on these markets. The hedging mechanism proposed is based on the use of put options. The paper uses historical data of actual coffee put options contracts to estimate the costs of the mechanism; the benefits are inferred from field evidence. It emerges ...

  20. Comparative Performance of Volatility Models for Oil Price

    Directory of Open Access Journals (Sweden)

    Afees A. Salisu

    2012-07-01

    Full Text Available In this paper, we compare the performance of volatility models for oil price using daily returns of WTI. The innovations of this paper are in two folds: (i we analyse the oil price across three sub samples namely period before, during and after the global financial crisis, (ii we also analyse the comparative performance of both symmetric and asymmetric volatility models for the oil price. We find that oil price was most volatile during the global financial crises compared to other sub samples. Based on the appropriate model selection criteria, the asymmetric GARCH models appear superior to the symmetric ones in dealing with oil price volatility. This finding indicates evidence of leverage effects in the oil market and ignoring these effects in oil price modelling will lead to serious biases and misleading results.

  1. 人民币国际化的金融稳定效应研究——基于资产价格传导路径%Study of Effects on RMB Internationalization on Financial Stability——Based on Conduction Path of Asset Prices

    Institute of Scientific and Technical Information of China (English)

    徐天艳

    2012-01-01

    Under the accelerating trend of global financial integration, and with the strength of Chinese economy and politics, RMB tents to be internationalized step by step. By using Multivariate GARCH - BEKK model, this paper tries to examine the effect of financial stability through the path of asset prices under the background of RMB internationalization. Empirical results show that: the speeding up of RMB internationalization process significantly causes the rise of asset, real - estate and stock prices, and their combination has a strong GARCH effect. Factors affecting the banking stability in this study reflect the volatility of asset, real - estate, stock prices and their combination; In return, feedback mechanism of banks causes the instability of asset prices, which makes banks unstable. The accelerating process of RMB internationalization doesn' t affect banking stability significantly through the conduction path of asset prices, which is in accord with the limited influence of RMB internationalization in its initial stage.%在金融全球一体化的趋势下,随着中国经济政治实力的增强,人民币国际化趋势日益显现.本文运用多元GARCH-BEKK模型,试图从资产价格路径考察人民币国际化背景下的金融稳定效应.实证结果显示:人民币国际化进程的加快显著促进资产价格上升;我国地产价格和股价上涨是双向相互驱动的结果,地价、股价的联合波动具有很强的GARCH效应.引起我国银行不稳定的因素在本研究中表现为资产价格的波动,具体体现为地价和股价相互驱动下的联合波动;银行反馈机制反过来又影响资产价格的稳定从而影响银行自身稳定;而人民币国际化进程的加快通过资产价格的传导路径并没有很显著的影响金融稳定,这与人民币国际化尚处于初级阶段的有限影响力相符合.

  2. Parameter Estimation for Dynamic Model of the Financial System

    Directory of Open Access Journals (Sweden)

    Veronika Novotná

    2015-01-01

    Full Text Available Economy can be considered a large, open system which is influenced by fluctuations, both internal and external. Based on non-linear dynamics theory, the dynamic models of a financial system try to provide a new perspective by explaining the complicated behaviour of the system not as a result of external influences or random behaviour, but as a result of the behaviour and trends of the system’s internal structures. The present article analyses a chaotic financial system from the point of view of determining the time delay of the model variables – the interest rate, investment demand, and price index. The theory is briefly explained in the first chapters of the paper and serves as a basis for formulating the relations. This article aims to determine the appropriate length of time delay variables in a dynamic model of the financial system in order to express the real economic situation and respect the effect of the history of factors under consideration. The determination of the delay length is carried out for the time series representing Euro area. The methodology for the determination of the time delay is illustrated by a concrete example.

  3. 金融业总产出与不变价增加值核算探析%Accounting Gross Output and Value Added in Constant Prices of Financial Industry

    Institute of Scientific and Technical Information of China (English)

    陈维义; 李凯; 张东光

    2005-01-01

    This paper discusses the problem of the financial total output and real value added accounting method in theory, and connect it with the current accounting system. Then provide some views on improving the financial total output accounting method, especially provide concrete train of thought about improving the real total output and real value added accounting method in finance through comprehensive deposit rate index and loan rate index.

  4. The Price of Commodity Risk in Stock and Futures Markets

    NARCIS (Netherlands)

    M. Boons (Martijn); F.A. de Roon (Frans); M. Szymanowska (Marta)

    2014-01-01

    textabstractWe find that commodity risk is priced in the cross-section of US stock returns. Following the financialization of commodities, investors hedge commodity price risk directly in the futures market, primarily via commodity index investments, whereas before they gained commodity exposure

  5. FINANCIAL RENT, DEBT AND CRISIS

    Directory of Open Access Journals (Sweden)

    Atilla Ahmet UĞUR

    2011-12-01

    Full Text Available Financial crises have some common features even if they come into being in different areas and countries with different income level. Especially due to the financial liberalization and entegration of world economies, they affect many countries with a domino effect. Internationalization of capital stregthens particularly financial markets in developed countries and leads to speculative opportunities and possibilities of very high profit rates. Ambition for higher profit, from time to time, gives rise to fictitious structures, eliminating rational market behaviors. Problems of higher indebtedness and current account deficit in large economies such as the US lead to speculative bubles supported by financial derivatives, making nonproductive short term portfolio investments profitable. Before crisis, it is observed that this type of financial structures become common and real estate prices rise. And following crisis it is observed that public finance discipline deteriorate.

  6. On the importance of commodity and energy price shocks for the macroeconomy

    Science.gov (United States)

    Edelstein, Paul S.

    Although higher commodity prices are commonly thought to presage higher rates of inflation, the existing literature suggests that the predictive power of commodity prices for inflation has waned since the 1980s. In the first chapter, I show that this result can be overturned using state-of-the-art forecast combination methods. Moreover, commodity prices are shown to contain predictive information not contained in the leading principal components of a broad set of macroeconomic and financial variables. These improved inflation forecasts are of little value, however, for predicting actual Fed policy decisions. The remaining two chapters study the effect of energy price shocks on U.S. consumer and business expenditures. In the second chapter, I show that there is no statistical support for the presence of asymmetries in the response of real consumption to energy price increases and decreases. This finding has important implications for empirical and theoretical models of the transmission of energy price shocks. I then quantify the direct effect on real consumption of (1) unanticipated changes in discretionary income, (2) shifts in precautionary savings, and (3) changes in the operating cost of energy-using durables. Finally, I trace the declining importance of energy price shocks relative to the 1970s to changes in the composition of U.S. automobile production and the declining overall importance of the U.S. automobile sector. An alternative source of asymmetry is the response of nonresidential fixed investment to energy price shocks. In the third chapter, I show that the apparent asymmetry in the estimated responses of business fixed investment in equipment and structures is largely an artifact (1) of the aggregation of mining-related expenditures by the oil, natural gas, and coal mining industry and all other expenditures, and (2) of ignoring an exogenous shift in investment caused by the 1986 Tax Reform Act. Once symmetry is imposed and miningrelated expenditures

  7. 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...

  8. Stock prices, exchange rates and causality in Malaysia: a note

    OpenAIRE

    2006-01-01

    This article contributes to the debate on stock prices and exchange rates in Malaysia. It examines causal relations using a new Granger non-causality test proposed by Toda and Yamamoto (Journal of Econometrics, 66, 225-50, 1995). Among the findings of interest, there is a feedback interaction between exchange rates and stock prices for the pre-crisis period. The results also reveal that exchange rates lead stock prices for the crisis period. In a financially liberalized environment, exchange ...

  9. Nonlinear Pricing in Energy and Environmental Markets

    Science.gov (United States)

    Ito, Koichiro

    This dissertation consists of three empirical studies on nonlinear pricing in energy and environmental markets. The first investigates how consumers respond to multi-tier nonlinear price schedules for residential electricity. Chapter 2 asks a similar research question for residential water pricing. Finally, I examine the effect of nonlinear financial rewards for energy conservation by applying a regression discontinuity design to a large-scale electricity rebate program that was implemented in California. Economic theory generally assumes that consumers respond to marginal prices when making economic decisions, but this assumption may not hold for complex price schedules. The chapter "Do Consumers Respond to Marginal or Average Price? Evidence from Nonlinear Electricity Pricing" provides empirical evidence that consumers respond to average price rather than marginal price when faced with nonlinear electricity price schedules. Nonlinear price schedules, such as progressive income tax rates and multi-tier electricity prices, complicate economic decisions by creating multiple marginal prices for the same good. Evidence from laboratory experiments suggests that consumers facing such price schedules may respond to average price as a heuristic. I empirically test this prediction using field data by exploiting price variation across a spatial discontinuity in electric utility service areas. The territory border of two electric utilities lies within several city boundaries in southern California. As a result, nearly identical households experience substantially different nonlinear electricity price schedules. Using monthly household-level panel data from 1999 to 2008, I find strong evidence that consumers respond to average price rather than marginal or expected marginal price. I show that even though this sub-optimizing behavior has a minimal impact on individual welfare, it can critically alter the policy implications of nonlinear pricing. The second chapter " How Do

  10. Downside Risk And Empirical Asset Pricing

    NARCIS (Netherlands)

    P. van Vliet (Pim)

    2004-01-01

    textabstractCurrently, the Nobel prize winning Capital Asset Pricing Model (CAPM) celebrates its 40th birthday. Although widely applied in financial management, this model does not fully capture the empirical riskreturn relation of stocks; witness the beta, size, value and momentum effects. These pr

  11. Downside Risk And Empirical Asset Pricing

    NARCIS (Netherlands)

    P. van Vliet (Pim)

    2004-01-01

    textabstractCurrently, the Nobel prize winning Capital Asset Pricing Model (CAPM) celebrates its 40th birthday. Although widely applied in financial management, this model does not fully capture the empirical riskreturn relation of stocks; witness the beta, size, value and momentum effects. These

  12. The Impact Discounts and the Price-Quality Effect Have on the Choice of an Institution of Higher Education.

    Science.gov (United States)

    Quigley, Charles J., Jr.; Bingham, Frank G., Jr.; Notarantonio, Elaine M.; Murray, Keith

    1999-01-01

    A survey of 303 potential college students and their parents found that high price and low price institutions are evaluated higher on quality attributes than are moderately priced institutions. Further, discounts (such as financial aid) were found to have little effect on the attendance decision. Implications for the pricing strategies used by…

  13. 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...

  14. Pricing and Trust

    DEFF Research Database (Denmark)

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

    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-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...

  15. 中外白糖期现货价格波动及共生关系研究%Study of White Sugar Future and Spot Price's Fluctuations and Symbiotic Relationships at Home and Abroad

    Institute of Scientific and Technical Information of China (English)

    袁庆禄

    2012-01-01

    构建GARCH模型,揭示糖11期指、郑糖期指和柳糖现指的波动规律及共生关系。估计结果表明:三种指数均具有尖峰厚尾特征;糖11期指和郑糖期指均存在杠杆效应;国内郑糖期指和柳糖现指表现出明显的共生关系,中外白糖指数之间的共牛关系不明显。%This paper established GARCH model, and comparatively analysed the fluctuation characteristics and symbiotic relationships of ICE sugar No.l 1 tuture index, Zhengzhou white sugar future index and Liuzhou white sugar spot index. The results showed that three indices had the characteristics of higher peak and fat tail. Both ICE sugar No. 11 future index and Zhengzhou white sugar future index had asymmetry effect. There was a symbiotic relationship between Zhengzhou white sugar future index and Liuzhou white sugar spot index obviously, and wasn't a symbiotic relationship between domestie index and foreign index.

  16. Price promotions and marketing within points of sale around high schools in Greece during the 2012 economic crisis

    Directory of Open Access Journals (Sweden)

    Charis Girvalaki

    2015-12-01

    Price promotions were noted within the majority of POS close to schools. Aggressive promotional activities may hinder efforts to de-normalize tobacco use, especially during financial crisis when price promotions may pose as more attractive to potential consumers.

  17. Price jumps on European stock markets

    Directory of Open Access Journals (Sweden)

    Jan Hanousek

    2014-03-01

    Full Text Available We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the probability of false jump detection (the Type-II Error-Optimal price jump indicator and Method 2 maximizes the probability of successful jump detection (the Type-I Error-Optimal price jump indicator. We show that individual stock markets exhibited differences in price jump intensity before and during the crisis. We also show that in general the variance of price jump intensity could not be distinguished as different in the pre-crisis period from that during the crisis. Our results indicate that, contrary to common belief, the intensity of price jumps does not uniformly increase during a period of financial distress. However, there do exist differences in price jump dynamics across stock markets and investors have to model emerging and mature markets differently to properly reflect their individual dynamics.

  18. An analysis of macroeconomic fluctuations for a small open oil-based economy: The case of Saudi Arabia

    Science.gov (United States)

    Al-Abdulkarim, Bander B.

    Model. The empirical models then are applied to sets of data from 1980 to 2002 for Saudi Arabia, Kuwait, Venezuela and Norway. The rationale of including other oil-exporting countries is to distinguish whether the shocks are country-specific, regional-specific, or global. Two sets of shocks are considered: international shocks and domestic shocks. Three types of international shocks are chosen: commodity-price (oil price) shock, international financial (interest rate) shock, and international real (output) shock. In addition, five domestic shocks which are non-oil output shock, oil production shock, price level shock, monetary shock, and exchange rate shock. The findings reached in the study demonstrate that the international shocks are responsible for a high proportion of fluctuations in the economic activity in Saudi Arabia. Most importantly, the international financial shocks represented by the US interest rate and oil price shocks are the major sources of fluctuations in the Saudi Arabian economy. Domestically, the economy is mostly affected by the oil production and the non-oil output shocks for Saudi Arabia. These results emphasize that the Saudi Arabia's role in the international oil market and its fixed exchange rate regime have significant implications on the domestic economy. Thus, special considerations should be placed on designing the appropriate policies to lessen the dependency on the oil sector and strengthen the role of private sector to diversify the economic base, and provide an independent sound monetary policy to steer the economy from the fluctuations in the global economy. (Abstract shortened by UMI.)

  19. A brief essay on the financialization of agricultural commodity markets

    OpenAIRE

    Girardi, Daniele

    2012-01-01

    During the 2000s agricultural commodity derivatives markets were flooded by a “wall of money” coming from financial investors. In this essay I outline the main facts about the increasing presence and impact of financial investors in agricultural commodity markets and I discuss the main empirical works that tried to assess whether financial investors have affected agricultural prices in recent years.

  20. EFFECTS OF THE GLOBAL FINANCIAL CRISIS IN THE BANKING SYSTEM OF KOSOVO

    Directory of Open Access Journals (Sweden)

    Myrvete Badivuku-Pantina

    2012-09-01

    Full Text Available Financial crises are phenomena that happened before and continue to happen even nowadays. There were many financial crises in the last century, starting with the Great Depression of 1929 and continuing with other financial crisis, and it was believed that people would learn from their previous experiences and would not allow the crisis to happen again. But the financial crisis of 2007, created the impression that no one wanted to learn for the real causes of their occurrence and consequences, often disastrous for countries and the globe, and as such allowed the crisis to be repeated. Effects of the 2007 financial crisis, which originally started in the USA’s mortgage market and which was quickly spread all over the world, even to this date it still continues to have effect on real economies of many states, e.g. Greece. The spread of the crisis was primarily due to globalization and commercial trades among countries. Because of the dependence of economies on one another it was created the domino effect and all the countries were affected from the crisis. As a result, the crisis seems to have revealed the disadvantages of globalization. Finances of the world were shocked and rapid fluctuations were reflected in the stock prices. Kosovo, as a new and small country in the Western Balkans is not much globalized and open which was beneficial in preventing it from being affected from the global financial crisis. Its economy has slightly felt the effect of the crisis because the banking system in Kosovo is not much open to the international financial markets as they operate mostly with their clients’ deposits. The purpose of this research is to assess the implications of the global financial crisis in the banking system of Kosovo, and also to identify the measures that the Central Bank and the Government should undertake in order to protect the economy from external implications.

  1. NewsMarket 2.0: Analysis of News for Stock Price Forecasting

    Science.gov (United States)

    Barazzetti, Alessandro; Mastronardi, Rosangela

    Most of the existing financial research tools use a stock's historical price and technical indicators to predict future price trends without taking into account the impact of web news. The recent explosion of demand for information on financial investment management is driving the search for alternative methods of quantitative data analysis.

  2. Swap transactions as a financial tool, their recognition as international accounting standard 39 and display in financial statements

    Directory of Open Access Journals (Sweden)

    Ali Kablan

    2013-04-01

    Full Text Available Developments in international financial markets concern both developed countries and developing countries closely. The transactions of institutions arising from of commercial activities display a more complex and more risky state in line with international economic developments. The globalization trend in the world economy, the extreme fluctuations in currencies, interests and product prices have rendered closely following up the developments in financial tools mandatory. Taking advantage of derivative financial tools which increase the revenue of assets by taking future risks into consideration, impact a decrease in debt costs and has the purpose of transferring risks are of vital importance with respect to the successful management of companies. At the present time in which international commerce, free market economy and globalization has gained in importance, one of the derivative products used in risk management and have a wide implementation area is swap transactions. Swap transactions can be expressed as a financial transaction including the exchange of interest, foreign currency or both between two or more parties. Swap transactions in particular are used for purposes such as protection against risks due to interest rates and exchange rates, ensuring low cost financing, changing the debt structure and entering different markets. In this study, the generally defined characteristics of swap transactions, which have an important standing within financial risk management and have been rapidly developing in the world in recent years and their recognition according to the International Accounting Standard 39 concerning the recognition of swap transactions, which has in particular termed the study have been focused on. In the framework of the standard, interest swap and foreign currency swap implementation study were included with respect to the matter.

  3. 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.

  4. FAS 33: accurately recording effects of changing prices.

    Science.gov (United States)

    Sage, L G

    1987-02-01

    FAS 33 addresses the problem of distortion in conventional historical cost financial statements because of changing prices. It requires 1300 business enterprises to report selected changing price data on a supplementary basis. It has been demonstrated that it is also feasible and beneficial for hospitals to present price disclosures as supplementary information to their financial statements. The possible application of FAS 33 is supported on the basis that the accounting and reporting methods of healthcare institutions are similar to the accounting and reporting practices of profit-seeking entities.

  5. Financial Education

    OpenAIRE

    Udo Reifner; Anne Schelhowe

    2010-01-01

    New, more or better financial education and financial literacy programmes should lead to improved financial capability, knowledge and outcomes. Yet we do not even know which terminology is most suitable for those projects who all intend to give an answer to a question which is less than clear. What is meant by the term “financial education”? Why did the “demand” for financial education suddenly increase? Have the numerous tasks which consumers in a modern society have to fulfill created this ...

  6. The Influence of Signed Order Volume on Stock Prices

    Science.gov (United States)

    Gerig, Austin; Farmer, Doyne; Lillo, Fabrizio; Mike, Szabolcs

    2007-03-01

    Using data from the London Stock Exchange we investigate the influence of signed transaction order volume on current and future price changes. (Buy orders are given a positive sign, sell orders a negative sign). Empirical studies have shown that transaction order signs display long memory. Because buying tends to move the price up and selling tends to move the price down, this creates a puzzle regarding efficiency -- if transaction order signs are highly predictable, why aren't prices predictable? We show that efficiency is maintained by correlated fluctuations in the response of prices to orders. We also study whether or not this is an important effect causing clustered volatility in price changes, i.e. the tendency of the magnitude of price changes to be temporally correlated.

  7. Analyst Coverage, Financial Reporting Quality and Stock Price Synchronicity-- Evidence from Chinese Listed Companies%分析师关注、财务报告质量与股价波动同步性--来自中国上市公司的经验证据

    Institute of Scientific and Technical Information of China (English)

    赵健宇; 孙光国

    2016-01-01

    关于股价波动同步性的提高是因为公司特质信息较少融入股价,还是因为噪音对股价干扰的减少,现有的文献并未达成统一认识。本文基于中国股票市场强噪音交易的制度背景,采用2008~2012年沪深两市A股上市公司作为样本,将财务报告质量划分为财务报告信息本身质量和财务报告披露质量两部分,发现总体而言,高质量的财务报告通过减少噪音交易对股价的干扰,提高股价波动同步性;对于信息披露质量高的公司,财务报告信息本身质量对股价中噪音成分的抑制作用更强。进一步研究发现,在控制了可能存在的分析师自选择问题后,较高的分析师关注度会抑制财务报告质量与股价波动同步性的相关关系。本文的研究结论丰富了股价波动同步性反映信息效率以及财务报告质量与股价波动同步性关系的相关文献。%Does the increasing of stock price synchronicity reflect less firm-specific information or less noise? There is no agreement on this issue. Based on the institutional background that noise affects stock price greatly in Chinese stock market,this paper investigates the relationship between financial reporting quality and synchronicity. Using the data of Chinese listed companies spanning 2008-2012, we provide evidence that financial report with high quality can decrease the influence of noise on stock price, and hence increase synchronicity. Further, we find that in the group with more analyst coverage, the relationship between financial reporting quality and synchronicity is weaker than the relationship in the group with less analyst coverage.

  8. Financial fragility and global dynamics

    Energy Technology Data Exchange (ETDEWEB)

    Dieci, Roberto [Dipartimento di Matematica per le Scienze Economiche e Sociali, University of Bologna, Viale Filopanti 5, I-40126 Bologna (Italy); Sordi, Serena [Dipartimento di Economia Politica, University of Siena, Piazza San Francesco 7, I-53100 Siena (Italy)]. E-mail: sordi@unisi.it; Vercelli, Alessandro [Dipartimento di Economia Politica, University of Siena, Piazza San Francesco 7, I-53100 Siena (Italy)

    2006-08-15

    This paper deals with a simple model of financial fluctuations, where a crucial role is played by the dynamic interaction between aggregate current and intertemporal financial ratios. The model results in a 4D discrete-time dynamical system-capable of generating complex dynamics-which is analyzed by means of both analytical tools, such as local stability analysis and bifurcation theory, and numerical simulations. The behavior of the model is studied for different parameter regimes. We show that its dynamic behavior is very sensitive to the parameters that represent (1) the speed of adjustment of the desired current financial ratio towards a safe level of the intertemporal one and (2) the intensity with which aggregate current financial decisions affect future financial constraints. In particular, different parameter regimes are identified, giving rise to two different 'routes' to complexity, one leading to chaotic dynamics, the other to a coexistence of attractors and path-dependence.

  9. The research on financialization of commodity market to price undulatory property—A case study on the New York Mercantile Exchange (NYMEX) WTI crude oil%商品市场的金融化对价格波动性的影响研究——以纽约商品交易所(NYMEX)WTI原油为例

    Institute of Scientific and Technical Information of China (English)

    张华

    2012-01-01

    This paper is committed to the financialization of commodity markets affect the price volatility, especially with respect to hedging transactions, speculative trading will affect the price volatility. In terms of the empirical application, we considered that the variable is a crude oil futures prices, we used the New York Mercantile Exchange (NYMEX) WTI crude oil-related data, the net position of non-commercial participants in the net spread, non-commercial participants, non-the total commercial positions of the participants, non-commercial participants" positions and positions the ratio of the total, and the ratio of the positions and non-commercial participants in the futures market trading volume. The empirical studies have shown that non-commercial participants, speculation will increase the volatility of oil prices. Or put it in a broader concept, the financialization of oil makes the oil more like an investment tool rather than a commodity, and increased its price volatility. Secondly, the market price trend will be some common views, the price will enter a more stable channel after a period of frequent trading. Of course, this may be due to data issues need to be further argument.%本文致力于研究商品市场的金融化如何影响价格的波动性,特别是相对于对冲交易,投机交易将如何影响价格的波动性。在本文的实证应用方面,我们考虑的变量是原油期货价格,在这里我们使用纽约商品交易所(NYMEX)WTI原油相关的数据,非商业参与者的净价差,非商业参与者的净头寸,非商业参与者的头寸总额,非商业参与者的头寸和头寸总额的比率,和非商业参与者的头寸和期货市场交易量的比率。实证研究表明,非商业参与者的投机活动将会增加石油价格的波动性。或者把它放人一个更广泛的概念,石油的金融化使得石油更像是一种投资工具而不是一种商品,并增加了其价格的波动性

  10. Resisting Corporate Corruption: Cases in Practical Ethics From Enron Through The Financial Crisis, 2nd Edition. By Stephen V. Arbogast, Wiley-Scrivener, 2013; 552 Pages. Price US $75.00, ISBN 978-1-118-20855-7

    Directory of Open Access Journals (Sweden)

    Shu-Kun Lin

    2013-05-01

    Full Text Available The following paragraphs are reproduced from the website of the publisher [1]. Taking a unique approach to business ethics unlike the typical focus on conceptual/legal frameworks, this book features 25 case studies that cover a full range of business practices, controls, and ethics issues. The new edition is fully updated with new case studies from the recent financial crisis, comparing it with Enron's crossing of various ethical lines. Interpretive essays explore financial control systems and lessons learned from specific case studies and circumstances. Readers will find a practical toolkit they can use to identify ethics issues and tackle problems effectively within corporations.

  11. Exporter Price Premia?

    DEFF Research Database (Denmark)

    Jäkel, Ina Charlotte; Sørensen, Allan

    -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...

  12. Pricing and Trust

    DEFF Research Database (Denmark)

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

    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...

  13. A Statement of the Reaching Inflation Target upon Price Stability in Romania

    Directory of Open Access Journals (Sweden)

    Larisa Preda

    2015-09-01

    Full Text Available Price stability contributes to financial stability because it eliminates the market distortions and uncertainties which may occur at the markets’ level as a result of the price instability. Price stability can reduce the level of risk premiums in interest rates because it lowers the degree of uncertainty that is associated with future inflation.

  14. Option pricing during post-crash relaxation times

    Science.gov (United States)

    Dibeh, Ghassan; Harmanani, Haidar M.

    2007-07-01

    This paper presents a model for option pricing in markets that experience financial crashes. The stochastic differential equation (SDE) of stock price dynamics is coupled to a post-crash market index. The resultant SDE is shown to have stock price and time dependent volatility. The partial differential equation (PDE) for call prices is derived using risk-neutral pricing. European call prices are then estimated using Monte Carlo and finite difference methods. Results of the model show that call option prices after the crash are systematically less than those predicted by the Black-Scholes model. This is a result of the effect of non-constant volatility of the model that causes a volatility skew.

  15. Macroeconomic factors and oil futures prices. A data-rich model

    Energy Technology Data Exchange (ETDEWEB)

    Zagaglia, Paolo [Modelling Division, Sveriges Riksbank (Sweden)

    2010-03-15

    I study the dynamics of oil futures prices in the NYMEX using a large panel dataset that includes global macroeconomic indicators, financial market indices, quantities and prices of energy products. I extract common factors from the panel data series and estimate a Factor-Augmented Vector Autoregression for the maturity structure of oil futures prices. I find that latent factors generate information that, once combined with that of the yields, improves the forecasting performance for oil prices. Furthermore, I show that a factor correlated to purely financial developments contributes to the model performance, in addition to factors related to energy quantities and prices. (author)

  16. Information-time based futures pricing

    Science.gov (United States)

    Yen, Simon; Wang, Jai Jen

    2009-09-01

    This study follows Clark [P.K. Clark, A subordinated stochastic process model with finite variance for speculative prices, Econometrica 41 (1973) 135-155] and Chang, Chang and Lim [C.W. Chang, S.K. Chang, K.G. Lim, Information-time option pricing: Theory and empirical evidence, Journal of Financial Economics 48 (1998) 211-242] to subordinate an information-time based directing process into calendar-time based parent processes. A closed-form futures pricing formula is derived after taking into account the information-time setting and the stochasticity of the spot price, interest rate, and convenience yield. According to the empirical results on the TAIEX and TFETX data from 1998/7/21 to 2003/12/31, the information-time based model performs better than its calendar-time based counterpart and the cost of carry model, especially when the information arrival intensity estimates become larger.

  17. Universal Banking and the Pricing of Securities Risk: Historical Evidence from Germany

    OpenAIRE

    Peter Bossaerts; Caroline Fohlin

    2000-01-01

    This paper investigates the importance of financial institutions, particularly universal banks, in the pricing of risk in securities markets. Recent research on modern economies, finds that three factors explain the cross-section of average stock returns: (i) a stock's sensitivity to market-wide price movements (``beta''), (ii) market capitalization, and (iii) book value of equity relative to its market price (the value effect). The German financial system of the pre-World War I period is a p...

  18. Strategic Transfer Pricing

    OpenAIRE

    Michael Alles; Srikant Datar

    1998-01-01

    Most research into cost systems has focused on their motivational implications. This paper takes a different approach, by developing a model where two oligopolistic firms strategically select their cost-based transfer prices. Duopoly models frequently assume that firms game on their choice of prices. Product prices, however, are ultimately based on the firms' transfer prices that communicate manufacturing costs to marketing departments. It is for this reason that transfer prices will have a s...

  19. The Pricing of Payments

    OpenAIRE

    Krueger, Malte

    2009-01-01

    The pricing of payments has received increasing attention of regulators. In many cases, regulators are concerned that consumers do not face cost based prices. They argue that without cost based prices consumers will make inefficient choices. In this paper, it is argued that both, economics of scale and the particular laws governing pricing in two-sided markets provide a case against cost based pricing.

  20. Price-elastic demand in deregulated electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Siddiqui, Afzal S.

    2003-05-01

    The degree to which any deregulated market functions efficiently often depends on the ability of market agents to respond quickly to fluctuating conditions. Many restructured electricity markets, however, experience high prices caused by supply shortages and little demand-side response. We examine the implications for market operations when a risk-averse retailer's end-use consumers are allowed to perceive real-time variations in the electricity spot price. Using a market-equilibrium model, we find that price elasticity both increases the retailers revenue risk exposure and decreases the spot price. Since the latter induces the retailer to reduce forward electricity purchases, while the former has the opposite effect, the overall impact of price responsive demand on the relative magnitudes of its risk exposure and end-user price elasticity. Nevertheless, price elasticity decreases cumulative electricity consumption. By extending the analysis to allow for early settlement of demand, we find that forward stage end-user price responsiveness decreases the electricity forward price relative to the case with price-elastic demand only in real time. Moreover, we find that only if forward stage end-user demand is price elastic will the equilibrium electricity forward price be reduced.

  1. Financial Crisis, openness of the economy and the financial performance of Jordanian listed banks: analytical study

    Directory of Open Access Journals (Sweden)

    Ali Mustafa Abdullah Al Qudah, Dr.

    2014-06-01

    Full Text Available This study examined the impact of the world financial crisis and openness of the economy on the financial performance of Jordanian listed banks through the period 2005-2008. Panel data analysis is employed to examine study hypotheses. The results showed that the world financial crisis has a negative and significant impact on the financial performance measured by return on assets, return on equity, earning per share, market share prices, and market value while it has a positive but not significant impact on dividend yields. The study also found that openness of the economy has a positive and significant impact on the financial performance of Jordanian listed banks.

  2. FINANCIAL MECHANISMS OF FINANCIAL CRISES

    Directory of Open Access Journals (Sweden)

    Ivan LUCHIAN

    2016-07-01

    Full Text Available The actuality of this article is determined by the need to demonstrate that financial crisis is not just an issue of economic disaster caused by contagion effect of financial cataclysm, expressed in national currency depreciation, depletion of foreign exchange reserves, mass bankruptcy of financial institutions, non-market entities insolvency and impossibility of sovereign debt servicing, but a special investment opportunity with associated characteristics of profitability. Central aims of article is research of financial crisis essence, investment mechanisms linked to existing fundamental laws of its conduct and determination of investment opportunities manifested in various segments of financial market and related sectors. Main research methods were: systemic analysis, statistical analysis, monographic and logic synthesis, etc. Main scientific results obtained in the article, due to research are to identify, analyze and demonstrate investment opportunities of international financial crisis and financial crises in Moldova.

  3. A Price Hedging Model in Dynamic Market

    Directory of Open Access Journals (Sweden)

    Kuo-Wei Lin

    2012-01-01

    Full Text Available Problem statement: Pricing is a problem when a firm has to set a price for the first time. This happens when the firm develops or acquires a new product, introduces its regular product into a new distribution or geographical area, or enters bids on the new contract work. Many companies try to set the price to maximize current profits. They estimate the demand and costs associated with alternative prices and choose the price that maximizes current profit, cash flow, or rate of return on investment. There are, however, some problems associated with the current profit maximizing approach as it assumes that the firm knows its demand and cost functions; in reality, demand is difficult to estimate and is unpredictable. Approach: Due to demand’s unpredictability, we assume that it follows a lognormal random walk. Based on this, we develop a mathematical pricing processes model by stochastic calculus, which is similar to the financial process mathematical model. From Ito’s lemma, a product’s profit correlates with demand, is also unpredictable and follows a random walk. Such random behavior is the marketing risk. Results: By choosing a price strategy to eliminate randomness, called price hedging, we obtain risk-free profit determined by the Black-Scholes equation. This riskless profit, which is predictable, is the same we would get by putting the equivalent amount of cash in a risk-free interest-bearing account. Conclusion: From price hedging and the Black-Scholes equation, we determine the basic product price, which changes with time and demand.

  4. Applications of the Likelihood Theory in Finance: Modelling and Pricing

    CERN Document Server

    Janssen, Arnold

    2012-01-01

    This paper discusses the connection between mathematical finance and statistical modelling which turns out to be more than a formal mathematical correspondence. We like to figure out how common results and notions in statistics and their meaning can be translated to the world of mathematical finance and vice versa. A lot of similarities can be expressed in terms of LeCam's theory for statistical experiments which is the theory of the behaviour of likelihood processes. For positive prices the arbitrage free financial assets fit into filtered experiments. It is shown that they are given by filtered likelihood ratio processes. From the statistical point of view, martingale measures, completeness and pricing formulas are revisited. The pricing formulas for various options are connected with the power functions of tests. For instance the Black-Scholes price of a European option has an interpretation as Bayes risk of a Neyman Pearson test. Under contiguity the convergence of financial experiments and option prices ...

  5. Research on the Relationship Between the Price Bubble of Material Wealth Identiifcation and the Financial Risk of Bank--Taking Real Estate as an Example%物质性财富标志价格泡沫与银行金融风险关系研究--以房地产为例

    Institute of Scientific and Technical Information of China (English)

    郑海涛; 沈珊珊; 王腾飞; 杨海峰

    2014-01-01

    Real estate is one of the most important wealth identiifcation, and its price volatility or even price bubble will harm dramatically the interests of household, enterprise and financial sector. By analyzing the relationship between the price bubble of real estate and the ifnancial risk of bank, the paper ifnds that house-prices exert a great effect on the ifnancial risk of bank in the short term, at the same time ifnancial policies of bank promote the growth of real estate prices. Finally, the paper makes some suggestions such as constitut-ing the different policies to the demand based real estate and the investment based one, bank’s developing the non-material wealth identification. These suggestions reduce housing overhangs in bubble states and safeguard ifnancial stability.%房地产作为一种最重要的物质性财富标志,其价格波动乃至泡沫的产生会极大地损害居民、企业、金融机构的财富,对我国经济产生巨大影响。通过分析房地产价格泡沫与银行金融风险之间的相互关系,得出房地产市场价格短期内对银行金融风险产生较大影响,同时银行金融政策对房地产价格有明显推动作用。本文建议政府和银行应分别对需求型房地产和投资型房地产制定不同的政策,银行应大力发展非物质性财富标志,降低物质性财富标志价格泡沫,维护金融稳定。

  6. Allan deviation analysis of financial return series

    Science.gov (United States)

    Hernández-Pérez, R.

    2012-05-01

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

  7. 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...

  8. 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...

  9. 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.

  10. Research on the Relationship between the Bank Credit and Stock Price---Based on the Reinspection of the Post Financial Crisis Era Data%银行信贷与股票价格关系研究--基于后金融危机时代数据的再检验

    Institute of Scientific and Technical Information of China (English)

    张颖; 袁绘杰

    2016-01-01

    本文以08年次贷危机以后的变量月度数据为基础,综合运用向量自回归模型以及误差修正模型来研究后金融危机时代我国银行信贷与股票价格之间的关系,实证结果表明,在金融危机后的中国,银行信贷与股票价格的关系在短期内存在一定的正向关系,但在长期内存在负向关系。通过格兰杰因果检验发现,股票市场的变化是信贷市场波动的格兰杰原因,而反之不成立。%Based on the variable monthly data after the subprime mortgage crisis in 2008, this paper comprehensively uses the vector autoregression model (VAR) and the vector error correction model (VEC) to research the relationship between the bank credit and the stock price in the post-financial crisis era in China. The empirical results show that, after the financial crisis in China, the bank credit and the stock price affect each other positively in short term, but affect each other negatively in long term. Through Granger Causality Test, this paper finds out that the change of the stock market is the granger reason of the credit market volatility, but not vice versa.

  11. Scale invariance and universality of economic fluctuations

    Science.gov (United States)

    Stanley, H. E.; Amaral, L. A. N.; Gopikrishnan, P.; Plerou, V.

    2000-08-01

    In recent years, physicists have begun to apply concepts and methods of statistical physics to study economic problems, and the neologism “econophysics” is increasingly used to refer to this work. Much recent work is focused on understanding the statistical properties of time series. One reason for this interest is that economic systems are examples of complex interacting systems for which a huge amount of data exist, and it is possible that economic time series viewed from a different perspective might yield new results. This manuscript is a brief summary of a talk that was designed to address the question of whether two of the pillars of the field of phase transitions and critical phenomena - scale invariance and universality - can be useful in guiding research on economics. We shall see that while scale invariance has been tested for many years, universality is relatively less frequently discussed. This article reviews the results of two recent studies - (i) The probability distribution of stock price fluctuations: Stock price fluctuations occur in all magnitudes, in analogy to earthquakes - from tiny fluctuations to drastic events, such as market crashes. The distribution of price fluctuations decays with a power-law tail well outside the Lévy stable regime and describes fluctuations that differ in size by as much as eight orders of magnitude. (ii) Quantifying business firm fluctuations: We analyze the Computstat database comprising all publicly traded United States manufacturing companies within the years 1974-1993. We find that the distributions of growth rates is different for different bins of firm size, with a width that varies inversely with a power of firm size. Similar variation is found for other complex organizations, including country size, university research budget size, and size of species of bird populations.

  12. Black-Scholes option pricing within Ito and Stratonovich conventions

    CERN Document Server

    Perello, J; Montero, M I; Masoliver, J

    2000-01-01

    Options financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Ito interpretation. Herein, we derive the Black-Scholes equation for the option price using the Stratonovich calculus along with a comprehensive review, aimed to physicists, of the classical option pricing method based on the Ito calculus. We show, as can be expected, that the Black-Scholes equation is independent of the interpretation chosen. We nonetheless point out the many subtleties underlying Black-Scholes option pricing method.

  13. Does Monetary Policy Respond to Commodity Price Shocks?

    OpenAIRE

    Ano Sujithan, Kuhanathan; Koliai, Lyes; Avouyi-Dovi, Sanvi

    2013-01-01

    Commodity prices, especially oil prices, peaked in the aftermath of the financial crisis of 2007 and they have remained highly volatile. All things being equal, the increase in commodity prices may induce a similar tendency of inflation and hence become a monetary policy issue. However, the impact of the changes of commodity prices on inflation is not clear. In this paper, by using Markov-switching models we show that there is an implicit impact of commodity markets on short-term interest rat...

  14. Do Exchange Rates Really Help Forecasting Commodity Prices?

    DEFF Research Database (Denmark)

    Bork, Lasse; Kaltwasser, Pablo Rovira; Sercu, Piet

    Chen et al. (2010) report that for ‘commodity currencies’, the exchange rate predicts the country’s commodity index but not vice versa. The commodity currency hypothesis is consistent with the Engle and West (2005) exchange rate model if the fundamental is chosen to be the country’s key export...... prices and if the latter are exogenous to the exchange rate dynamics. In our view, however, commodity prices are essentially financial asset prices that are set in a forward-looking way, exactly like exchange rates. If both the exchange rate and the commodity prices are based on discounted future...

  15. The Nordic financial electricity market

    Energy Technology Data Exchange (ETDEWEB)

    2010-11-15

    NordREG is a cooperation of the Nordic energy regulators. The mission is to actively promote legal and institutional framework and conditions necessary for developing the Nordic and European electricity markets. The financial market is an important market for market participants to mitigate their risks. By providing tools for risk management, the financial market contributes to the efficient functioning of both wholesale and end-user markets. NordREG decided during 2009 to undertake a study on the Nordic financial electricity market. The aim of the report is to consider whether any improvements can be made to further increase the efficiency of the Nordic financial electricity market in order to secure an optimal price setting in the wholesale and the end-user markets

  16. A remark on the set of arbitrage-free prices in a multi-period model

    DEFF Research Database (Denmark)

    Ranjan, Abhishek

    2013-01-01

    We study the convexity property of the set QF of arbitrage ‐ free prices of a multi ‐period financial structure F. The set of arbitrage‐free prices is shown to be a convex cone under conditions on the financial structure F that hold in particular for short ‐ lived assets. Furthermore, we provide...... examples of equivalent financial structures F and F1 such that QF  is a convex cone, but QF is neither convex nor a cone....

  17. Financial Structure and Economic Development in Nigieria

    Directory of Open Access Journals (Sweden)

    Ph. D. Olusegun Olowe

    2012-05-01

    Full Text Available In this study , the measurement of the Nigerian financial interrelation ratio was considered in line with the structure and development of financial system between 1999 and 2008 with a view to examining the incidences of the financial liberalization . The financial intermediation role for Nigeria on current basic prices was computed to determining the extent of stability and /or positive cum negative changes. This is to ensure the involvement of government as well as thedegree of financial institutions’ involvement in the economic growth and development of the country. In essence, the results of this study will be of relevance to formulate and execute policy formulation in its entirety. The result of the study revealed a pure neglect in the country with emphasis on financial intermediation. The earlier we put an enhanced financial structure in place, , the better for the economy.

  18. Consentaneous agent-based and stochastic model of the financial markets.

    Directory of Open Access Journals (Sweden)

    Vygintas Gontis

    Full Text Available We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling framework, which may provide qualitative and quantitative understanding of the financial markets, is very ambiguous emphasizes the exceptional value of well defined analytically tractable agent systems. Herding as one of the behavior peculiarities considered in the behavioral finance is the main property of the agent interactions we deal with in this contribution. Looking for the consentaneous agent-based and macroscopic approach we combine two origins of the noise: exogenous one, related to the information flow, and endogenous one, arising form the complex stochastic dynamics of agents. As a result we propose a three state agent-based herding model of the financial markets. From this agent-based model we derive a set of stochastic differential equations, which describes underlying macroscopic dynamics of agent population and log price in the financial markets. The obtained solution is then subjected to the exogenous noise, which shapes instantaneous return fluctuations. We test both Gaussian and q-Gaussian noise as a source of the short term fluctuations. The resulting model of the return in the financial markets with the same set of parameters reproduces empirical probability and spectral densities of absolute return observed in New York, Warsaw and NASDAQ OMX Vilnius Stock Exchanges. Our result confirms the prevalent idea in behavioral finance that herding interactions may be dominant over agent rationality and contribute towards bubble formation.

  19. Consentaneous agent-based and stochastic model of the financial markets.

    Science.gov (United States)

    Gontis, Vygintas; Kononovicius, Aleksejus

    2014-01-01

    We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling framework, which may provide qualitative and quantitative understanding of the financial markets, is very ambiguous emphasizes the exceptional value of well defined analytically tractable agent systems. Herding as one of the behavior peculiarities considered in the behavioral finance is the main property of the agent interactions we deal with in this contribution. Looking for the consentaneous agent-based and macroscopic approach we combine two origins of the noise: exogenous one, related to the information flow, and endogenous one, arising form the complex stochastic dynamics of agents. As a result we propose a three state agent-based herding model of the financial markets. From this agent-based model we derive a set of stochastic differential equations, which describes underlying macroscopic dynamics of agent population and log price in the financial markets. The obtained solution is then subjected to the exogenous noise, which shapes instantaneous return fluctuations. We test both Gaussian and q-Gaussian noise as a source of the short term fluctuations. The resulting model of the return in the financial markets with the same set of parameters reproduces empirical probability and spectral densities of absolute return observed in New York, Warsaw and NASDAQ OMX Vilnius Stock Exchanges. Our result confirms the prevalent idea in behavioral finance that herding interactions may be dominant over agent rationality and contribute towards bubble formation.

  20. Mixture Distribution Approach In Financial Risk Analysis

    OpenAIRE

    Kocak, Keziban; Calis, Nazif; Unal, Deniz

    2014-01-01

    In recent years, major changes occurred in the prices of stock exchange appeared the necessity of measuring the financial risk. Nowadays, Value-atRisk (VaR) is often used to calculate the financial risk. Parametric methods which need normality are mostly used in the calculation of VaR.If the financial data does not fit the normal distribution, mixture of normal distribution models can be fitted to this data. In this study, the financial risk is calculated by using normal mixture distribution ...

  1. Financial mathematics

    CERN Document Server

    Jothi, A Lenin

    2009-01-01

    Financial services, particularly banking and insurance services is the prominent sector for the development of a nation. After the liberalisation of financial sector in India, the scope of getting career opportunities has been widened. It is heartening to note that various universities in India have introduced professional courses on banking and insurance. A new field of applied mathematics has come into prominence under the name of Financial Mathematics. Financial mathematics has attained much importance in the recent years because of the role played by mathematical concepts in decision - m

  2. INFLATION AND FINANCIAL DEVELOPMENT: EVIDENCE

    Directory of Open Access Journals (Sweden)

    Emmanuel Nii Abbey

    2012-01-01

    Full Text Available The study examined the impact of inflation on financial development in Ghana using quarterly time series data (1990-2008. It was in line with the empirical works that provided support for the proposition that inflation affects financial development negatively. While price stability has been emphasized in the literature to be the best antidote in addressing the problem, recent evidence of disagreements on its definition and the ways to achieving it, coupled with, threshold effects between the two variables have questioned the precise link between the two variables and their acclaimed antidote. The study therefore made use of the Cointegration Approach the Granger Causality testing procedure suggested and the Conditional Least Squares technique to address these issues for the case of Ghana. The study established several statistically significant and economically meaningful relationships between the two variables. Pair-wise correlation analysis established a negative association between the two variables. In contrast, conflicting results were produced with regression analysis: the relationship between the two variables in the short run was established to be positive, while no relationship at all was established in the long run. Furthermore, a unidirectional causal link was established to be running from inflation to financial development; when the ratio of private sector credit to GDP and the market capitalization ratio were used as indicators for financial development. Lastly, threshold effects were observed in the inflation-financial development relation for inflation rates between 11-16% per annum. The study thus recommended the definition of price stability for inflation rates between 11-16% in support of financial development in Ghana. Additionally, it was recommended that the country should promote financial sector policies in a more holistic approach, as financial development does not granger cause inflation or inflationary pressures.

  3. Asian Option Pricing Based on Genetic Algorithms

    Institute of Scientific and Technical Information of China (English)

    YunzhongLiu; HuiyuXuan

    2004-01-01

    The cross-fertilization between artificial intelligence and computational finance has resulted in some of the most active research areas in financial engineering. One direction is the application of machine learning techniques to pricing financial products, which is certainly one of the most complex issues in finance. In the literature, when the interest rate,the mean rate of return and the volatility of the underlying asset follow general stochastic processes, the exact solution is usually not available. In this paper, we shall illustrate how genetic algorithms (GAs), as a numerical approach, can be potentially helpful in dealing with pricing. In particular, we test the performance of basic genetic algorithms by using it to the determination of prices of Asian options, whose exact solutions is known from Black-Scholesoption pricing theory. The solutions found by basic genetic algorithms are compared with the exact solution, and the performance of GAs is ewluated accordingly. Based on these ewluations, some limitations of GAs in option pricing are examined and possible extensions to future works are also proposed.

  4. Empirical research on spatial and time series properties of agricultural commodity prices

    OpenAIRE

    Liu, Xing,

    2012-01-01

    The integration of European agriculture into the world economy has also accelerated price interaction between member states and the rest of the world during last decades. Consequently, the fluctuation in world market prices was more quickly transmitted to European member states, including Finland. Increasing price uncertainty and price volatility in agricultural products became more evident. The openness of regional agriculture such as EU and Finnish to the world is irreversible, and the int...

  5. Comparative Analysis of the Purchase Price of Raw Milk in the World

    OpenAIRE

    DONG, XIAOXIA

    2014-01-01

    This paper selects 20 countries from the major dairy producing continents such as Oceania, the Americas, Europe and Asia, for the comparative analysis of the purchase price of raw milk in the world. Based on the summarization of general features of the world raw milk prices, this paper elaborates the fluctuations in the purchase price of raw milk in Oceania, the Americas, Europe and Asia, respectively, and carries out the comparative study of the gap between the domestic purchase price of raw...

  6. Predicting Fluctuations in Cryptocurrency Transactions Based on User Comments and Replies.

    Science.gov (United States)

    Kim, Young Bin; Kim, Jun Gi; Kim, Wook; Im, Jae Ho; Kim, Tae Hyeong; Kang, Shin Jin; Kim, Chang Hun

    2016-01-01

    This paper proposes a method to predict fluctuations in the prices of cryptocurrencies, which are increasingly used for online transactions worldwide. Little research has been conducted on predicting fluctuations in the price and number of transactions of a variety of cryptocurrencies. Moreover, the few methods proposed to predict fluctuation in currency prices are inefficient because they fail to take into account the differences in attributes between real currencies and cryptocurrencies. This paper analyzes user comments in online cryptocurrency communities to predict fluctuations in the prices of cryptocurrencies and the number of transactions. By focusing on three cryptocurrencies, each with a large market size and user base, this paper attempts to predict such fluctuations by using a simple and efficient method.

  7. Financial methods in competitive electricity markets

    Science.gov (United States)

    Deng, Shijie

    The restructuring of electric power industry has become a global trend. As reforms to the electricity supply industry spread rapidly across countries and states, many political and economical issues arise as a result of people debating over which approach to adopt in restructuring the vertically integrated electricity industry. This dissertation addresses issues of transmission pricing, electricity spot price modeling, as well as risk management and asset valuation in a competitive electricity industry. A major concern in the restructuring of the electricity industries is the design of a transmission pricing scheme that will ensure open-access to the transmission networks. I propose a priority-pricing scheme for zonal access to the electric power grid that is uniform across all buses in each zone. The Independent System Operator (ISO) charges bulk power traders a per unit ex ante transmission access fee based on the expected option value of the generated power with respect to the random zonal spot prices. The zonal access fee depends on the injection zone and a self-selected strike price determining the scheduling priority of the transaction. Inter zonal transactions are charged (or credited) with an additional ex post congestion fee that equals the zonal spot price difference. The unit access fee entitles a bulk power trader to either physical injection of one unit of energy or a compensation payment that equals to the difference between the realized zonal spot price and the selected strike price. The ISO manages congestion so as to minimize net compensation payments and thus, curtailment probabilities corresponding to a particular strike price may vary by bus. The rest of the dissertation deals with the issues of modeling electricity spot prices, pricing electricity financial instruments and the corresponding risk management applications. Modeling the spot prices of electricity is important for the market participants who need to understand the risk factors in

  8. Finansal Risklerin Yönetilmesinde Türev Ürünlerin Kullanımı: Borsa İstanbul (Bist 100 Endeksi’ndeki Şirketler Üzerine Bir Araştırma (Usage Derivatives In Management Financial Risks: A Study On Firms In Borsa Istanbul (Bist 100 Stock Index

    Directory of Open Access Journals (Sweden)

    Erdal YILMAZ

    2016-03-01

    Full Text Available Firms that experience risks as a result of their activities, use various tools to manage these risks and be protected against them. One of the most significant tools used for protection against financial risks is derivatives. Derivatives used by firms to eliminate the financial risks caused by uncertainty, future price changes and other factors, contribute to diminish fluctuations on future prices and market mechanism to operate in a reliable environment. In this study, after informing about primary derivative products, research is focused on the level of usage of derivatives against risks caused by financial tools by firms registered on BIST 100 stock index operating in other than financial sector and which derivative products are being used by mentioned firms. In the result, it is founded that in 2013, 36 % of the firms and in 2014, 45 % of the firms in the context of the study use derivative products against financial risks. It is also founded that firms use swap contracts against interest risks, and futures contracts are preferred by firms against exchange risk. In addition to this, option contracts are mostly used against other price risks.

  9. Financial markets theory equilibrium, efficiency and information

    CERN Document Server

    Barucci, Emilio

    2017-01-01

    This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a self-contained critical discussion based on empirical results. It is the only textbook on the subject to include more than two hundred exercises, with detailed solutions to selected exercises. Financial Markets Theory covers classical asset pricing theory in great detail, including utility theory, equilibrium theory, portfolio selection, mean-variance portfolio theory, CAPM, CCAPM, APT, and the Modigliani-Miller theorem. Starting from an analysis of the empirical evidence on the theory, the authors provide a discussion of the relevant literature, pointing out the main advances in classical asset pricing theory and the new approaches designed to address asset pricing puzzles and open problems (e.g., behavioral finance). Later chapters in the book contain more advanced material, including on the role of information in financial markets, non-c...

  10. Growth and Fluctuation of Cross-straits' Financial Cooperation---Evidences from Life Insurance Industry%两岸金融合作的成长与波动--来自寿险市场的证据

    Institute of Scientific and Technical Information of China (English)

    吴祥佑

    2014-01-01

    Based on HP filter, the time series of premium income of the three Taiwan-funded insurers in the mainland can be divided into long-term growth trends and short-term fluctuations. The empirical analysis shows that Shin Kong-hna Life has the strongest growth capacity, King Dragon Life follows it, Cathay Life is the weakest one in the three. It finds that Shin Kong-hna Life and Cathay Life are more like foreign insurers, but King Dragon Life acts alike a mainland-funded insurer. With respect to fluctuation, three insurers are closed correlated with the state of the life insurance marker in the mainland, Cathay Life and King Dragon Life are positively related with the mainland-funded players, but Shin Kong-hna Life is negatively related with the market atmosphere. Cathay Life is more mature than the other two in fluctuation owing to its long-term presence in the mainland. King Dragon Life and Shin Kong-hna Life are highly correlated with and inter-depended on each other in fluctuation.%基于HP滤波分析方法,台资寿险公司保费收入的时间序列可以分解为长期趋势项和短期波动项,便于进行成长与波动分析。三家台资寿险公司的成长性分析表明,新光海航人寿的成长能力最强,君龙人寿次之,国泰人寿最弱;国泰人寿、新光海航人寿与外资公司的整体表现相近,而君龙人寿则与内资公司的整体表现趋同;三家公司保费收入的波动都与大陆寿险市场的整体波动密切相关,但新光海航人寿的波动方向却与整体内资市场相反;君龙人寿和新光海航人寿的波动高度相依,反映了两者的同质性;国泰人寿与内资及外资保费收入的波动同步,反映了其老牌公司的成熟性。

  11. MIXED HEDGING UNDER ADDITIVE MARKET PRICE INFORMATION

    Institute of Scientific and Technical Information of China (English)

    Haifeng YAN; Jianqi YANG; Limin LIU

    2008-01-01

    Assume that there is additional market information in the financial market, which is represented by n given T-contingent claims. The special claims with observed prices at time 0 can only be traded at time 0. Hence, investment opportunities increase. By means of the techniques developed by Gourierout et al. (1998), the mixed hedging problem is considered, especially, the price of contingent claim and the optimal hedging strategy are obtained. An explicit description of the mean-variance efficient solution is given after arguing mean-variance efficient frontier problem.

  12. Herding interactions as an opportunity to prevent extreme events in financial markets

    Science.gov (United States)

    Kononovicius, Aleksejus; Gontis, Vygintas

    2015-07-01

    A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social cooperation) and undesirable (e.g. mass panic, financial "bubbles" or "crashes"). Abundance of the empirical data as well as general insights into the trading behavior enables the creation of simple agent-based models reproducing sophisticated statistical features of the financial markets. In this contribution we consider a possibility to prevent self-organized extreme events in financial market modeling its behavior using agent-based herding model, which reproduces main stylized facts of the financial markets. We show that introduction of agents with predefined fundamentalist trading behavior helps to significantly reduce the probability of the extreme price fluctuations events. We also investigate random trading, which was previously found to be promising extreme event prevention strategy, and find that its impact on the market has to be considered among other opportunities to stabilize the markets.

  13. Random matrix theory and cross-correlations in global financial indices and local stock market indices

    Science.gov (United States)

    Nobi, Ashadun; Maeng, Seong Eun; Ha, Gyeong Gyun; Lee, Jae Woo

    2013-02-01

    We analyzed cross-correlations between price fluctuations of global financial indices (20 daily stock indices over the world) and local indices (daily indices of 200 companies in the Korean stock market) by using random matrix theory (RMT). We compared eigenvalues and components of the largest and the second largest eigenvectors of the cross-correlation matrix before, during, and after the global financial the crisis in the year 2008. We find that the majority of its eigenvalues fall within the RMT bounds [ λ -, λ +], where λ - and λ + are the lower and the upper bounds of the eigenvalues of random correlation matrices. The components of the eigenvectors for the largest positive eigenvalues indicate the identical financial market mode dominating the global and local indices. On the other hand, the components of the eigenvector corresponding to the second largest eigenvalue are positive and negative values alternatively. The components before the crisis change sign during the crisis, and those during the crisis change sign after the crisis. The largest inverse participation ratio (IPR) corresponding to the smallest eigenvector is higher after the crisis than during any other periods in the global and local indices. During the global financial the crisis, the correlations among the global indices and among the local stock indices are perturbed significantly. However, the correlations between indices quickly recover the trends before the crisis.

  14. Complexity and multifractal behaviors of multiscale-continuum percolation financial system for Chinese stock markets

    Science.gov (United States)

    Zeng, Yayun; Wang, Jun; Xu, Kaixuan

    2017-04-01

    A new financial agent-based time series model is developed and investigated by multiscale-continuum percolation system, which can be viewed as an extended version of continuum percolation system. In this financial model, for different parameters of proportion and density, two Poisson point processes (where the radii of points represent the ability of receiving or transmitting information among investors) are applied to model a random stock price process, in an attempt to investigate the fluctuation dynamics of the financial market. To validate its effectiveness and rationality, we compare the statistical behaviors and the multifractal behaviors of the simulated data derived from the proposed model with those of the real stock markets. Further, the multiscale sample entropy analysis is employed to study the complexity of the returns, and the cross-sample entropy analysis is applied to measure the degree of asynchrony of return autocorrelation time series. The empirical results indicate that the proposed financial model can simulate and reproduce some significant characteristics of the real stock markets to a certain extent.

  15. New approach of financial volatility duration dynamics by stochastic finite-range interacting voter system

    Science.gov (United States)

    Wang, Guochao; Wang, Jun

    2017-01-01

    We make an approach on investigating the fluctuation behaviors of financial volatility duration dynamics. A new concept of volatility two-component range intensity (VTRI) is developed, which constitutes the maximal variation range of volatility intensity and shortest passage time of duration, and can quantify the investment risk in financial markets. In an attempt to study and describe the nonlinear complex properties of VTRI, a random agent-based financial price model is developed by the finite-range interacting biased voter system. The autocorrelation behaviors and the power-law scaling behaviors of return time series and VTRI series are investigated. Then, the complexity of VTRI series of the real markets and the proposed model is analyzed by Fuzzy entropy (FuzzyEn) and Lempel-Ziv complexity. In this process, we apply the cross-Fuzzy entropy (C-FuzzyEn) to study the asynchrony of pairs of VTRI series. The empirical results reveal that the proposed model has the similar complex behaviors with the actual markets and indicate that the proposed stock VTRI series analysis and the financial model are meaningful and feasible to some extent.

  16. Financial assessment of oil palm cultivation on peatland in Selangor, Malaysia

    Directory of Open Access Journals (Sweden)

    M.N. Noormahayu

    2009-02-01

    Full Text Available Oil palm plantations on peat soils are generally believed to have greater environmental impacts than those on other soil types. Nonetheless, Malaysia operates substantial incentives to maximise palm oil production, which in practice encourage the establishment of plantations on peatland. This paper explores the social and economic basis of oil palm cultivation on one peatland estate at Sungai Panjang in the state of Selangor, peninsular Malaysia. Data were obtained by conducting a questionnaire survey of 200 farmers who cultivate oil palm on peat soil. Some of the data were cross-tabulated against farmers’ ages in order to identify any age-related trends in education level, the area of land farmed, annual income and knowledge about oil palm cultivation. The Cobb-Douglas production function was used to model the financial output from oil palm in terms of the costs of chemical inputs and labour. The results indicated that cultivation of this crop gives decreasing returns to scale on peatland in Sungai Panjang, and that chemical inputs are more important than labour cost in determining the level of financial output. Finally, the financial viability of oil palm cultivation for farmers was assessed by calculating three financial indicators (NPV, BCR and IRR. This can be a profitable investment so long as growth conditions, costs, selling price and interest rate do not fluctuate substantially. Greater annual returns can be achieved over 20–25 years than over shorter periods, especially of less than 10 years.

  17. Financial Literacy, Financial Education, and Economic Outcomes

    Science.gov (United States)

    Hastings, Justine S.; Madrian, Brigitte C.; Skimmyhorn, William L.

    2013-01-01

    In this article, we review the literature on financial literacy, financial education, and consumer financial outcomes. We consider how financial literacy is measured in the current literature and examine how well the existing literature addresses whether financial education improves financial literacy or personal financial outcomes. We discuss the…

  18. Financial Literacy, Financial Education, and Economic Outcomes

    Science.gov (United States)

    Hastings, Justine S.; Madrian, Brigitte C.; Skimmyhorn, William L.

    2013-01-01

    In this article, we review the literature on financial literacy, financial education, and consumer financial outcomes. We consider how financial literacy is measured in the current literature and examine how well the existing literature addresses whether financial education improves financial literacy or personal financial outcomes. We discuss the…

  19. Conditional dynamics driving financial markets

    Science.gov (United States)

    Boguñá, M.; Masoliver, J.

    2004-08-01

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

  20. The financial accelerator effect: concept and challenges

    Directory of Open Access Journals (Sweden)

    Bruno Ćorić

    2011-06-01

    Full Text Available This review concentrates on the role of information asymmetry in financial markets in the amplification and propagation of short-run output fluctuations. We find that the financial accelerator effect, as it is known, provides a consistent, first principle based, theoretical framework for the analysis of the relationship between financial markets and short-run output fluctuations. It also provides a plausible explanation of the proximate causes of the recent crisis, and first principle-based theoretical background for the credit policy measures taken during this crisis by many central banks and fiscal authorities. Despite the theoretical plausibility, the empirical evidence about the economic importance of the financial accelerator effect is still relatively weak. We also suggest two new aspects to expand existing concept of the financial accelerator effect, which call for further research.

  1. FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS

    OpenAIRE

    AXEL GRORUD; MONIQUE PONTIER

    2005-01-01

    We develop a financial model with an "influential informed" investor who has an additional information and influences asset prices by means of his strategy. The prices dynamics are supposed to be driven by a Brownian motion, the informed investor's strategies affect the risky asset trends and the interest rate. Our paper could be seen as an extension of Cuoco and Cvitanic's work [4] since, as these authors, we solve the informed influential investor's optimization problem. But our main result...

  2. Determination of Factors Affecting the Price of Gold: A Study of MGARCH Model

    Directory of Open Access Journals (Sweden)

    Mehmet Fatih Bayramoglu

    Full Text Available Recently, increase of the gold prices attracts interest again together with the affects of the latest financial crisis. Main objective of this study is to determine factors affecting the gold prices. The study includes montly data between June, 1992 and March, 2010. Oil prices, USA exchange rate, USA inflation rate, USA real interest rate data are included in the model as variables. According to emprical findings, highest correlation is found between gold prices and USA exchange rate negatively. Secondly, a positive correlation is found between gold prices and oil prices.

  3. 论发展中国家金融危机与美元汇率波动%Financial Crisis in Developing Country and the Fluctuations of USD Exchange Rate

    Institute of Scientific and Technical Information of China (English)

    吴颂; 梅德平

    2011-01-01

    In the decades since the Bretton Woods system had collapsed,the financial crisis broke out in developing countries has became more frequent and serious.With series analyses of the regional financial crisis erupted,this paper point out the crisis and the U%自布雷顿森林体系解体后至今的几十年中,以发展中国家爆发金融危机为主要形式的世界经济波动在频率和规模上都有不断扩大的趋势。近几十年发展中国家金融危机与美元币值的波动有一定的联系,即当美元贬值时世界上某些国家将进入经济繁荣时期,当美元升值时某些国家将出现经济衰退甚至爆发金融危机。

  4. Airline Price Discrimination

    OpenAIRE

    Stacey, Brian

    2015-01-01

    Price discrimination enjoys a long history in the airline industry. Borenstein (1989) discusses price discrimination through frequent flyer programs from 1985 as related to the Piedmont-US Air merger, price discrimination strategies have grown in size and scope since then. From Saturday stay over requirements to varying costs based on time of purchase, the airline industry is uniquely situated to enjoy the fruits of price discrimination.

  5. Regional Inflation and Financial Dollarization

    OpenAIRE

    Brown, Martin; de Haas, Ralph; Sokolov, Vladimir

    2013-01-01

    We exploit variation in consumer price inflation across 71 Russian regions to examine the relationship between the perceived stability of the domestic currency and financial dollarization. Our results show that regions with higher inflation experience an increase in deposit dollarization and a decrease in the dollarization of loans to households and firms in non-tradable sectors. The negative impact of inflation on credit dollarization is weaker in regions with less integrated banking markets...

  6. The Variation Law of the Market Price of Pork in Beijing City

    Institute of Scientific and Technical Information of China (English)

    GE Xue-song; HUANG Ti-ran; WANG Xiao-dong; ZHAO You-sen

    2012-01-01

    In order to research the fluctuation law of price of pork in Beijing City and determine its fluctuation cycle,we use level indicator analysis,speed indicator analysis,the coefficient of variation,the seasonal adjustment model and the HP filter method,to analyze the data on the market price of pork in 8 wholesale markets in Beijing City during the period 2002-2011.The results show that the annual price of pork in wholesale markets in Beijing City shows a gradual upward trend;during the period 2002-2011,the price of pork in Beijing City experienced three full fluctuation cycle,and each fluctuation cycle was roughly 38 months;the price of pork within the year shows a trend of " one trough,one crest",and the interval of high prices is mainly concentrated in June-december;the amount of pork for sale within the year is basically inversely correlated with the price.Therefore,we should strengthen the monitoring of pig production information and market information,to ensure the sufficient supply of pork,and stabilize the market price of pork.In addition,according to the variation law of the market price of pork,improving the purchasing,storage and allocation work mechanism of the reserve meat is also necessary to stabilizing the market price of pork.

  7. Transfer Prices Implication Upon Tax System. The Romanian Experience

    Directory of Open Access Journals (Sweden)

    Dumiter Florin

    2017-06-01

    Full Text Available Transfer prices are a top field in financial and legal scientific research and practical activity. Although this research field is still in the beginning, due to its complexity, as well as it’s inter-, multi- and transdisciplinarity, it can be noted that empirical studies, as well as practical researches in economic and legal matters, have intensified. Moreover, this field of transfer prices is in close connection with the area of international double taxation, which shows its international character. In this article we sought a holistic approach to the transfer price phenomenon, dealing with economic and legal technical aspects that we believed are important to emphasise. Without addressing the issue of transfer prices in an exhaustive manner, in this article we presented both the legal and the economic framework of transfer prices in Romania. The added value of this article lies in the approach to transfer prices, both legally and economically.

  8. Stochastic arbitrage return and its implication for option pricing

    Science.gov (United States)

    Fedotov, Sergei; Panayides, Stephanos

    2005-01-01

    The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random processes. We restrict ourselves to finding pricing bands for options rather than exact prices. The resulting pricing bands are shown to be independent of the detailed statistical characteristics of the arbitrage return. We find that the volatility “smile” can also be explained in terms of random arbitrage opportunities.

  9. Price control and macromarketing

    Directory of Open Access Journals (Sweden)

    Kancir Rade

    2003-01-01

    Full Text Available Price control at macro level is part of integral macro marketing strategic control system, or more precisely, part of social marketing mix control. Price impact is direct, if it is regarded in the context of needs satisfaction, and indirect, within the context of resource allocation. These two patterns of price impact define control mechanism structuring. Price control in sense of its direct impact at process of need satisfaction should comprise qualitative and quantitative level of needs satisfaction at a given price level and its structure, informational dimension of price and different disputable forms of corporate pricing policies. Control of price allocation function is based at objectives of macro marketing system management in the area of resource allocation and the role of price as allocator in contemporary market economies. Control process is founded, on one hand, at theoretical models of correlation between price and demand in different market structures, and on the other hand, at complex limits that price as allocator has, and which make whole control process even more complex because of reduction of the degree of determinism in functioning of contemporary economic systems. Control of price allocation function must be continuous and dynamic process if it is to provide for convergence with environmental changes and if it is to provide for placing control systems at micro marketing levels in the function of socially valid objectives.

  10. Regulation of Pharmaceutical Prices

    DEFF Research Database (Denmark)

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

    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...

  11. Valuation Struggles over Pricing

    DEFF Research Database (Denmark)

    Pallesen, Trine

    2016-01-01

    public goods into play, all the while prompting a translation of these values into a single price. Following the struggles over the pricing of wind power in the early 2000s, the study illustrates that rather than a pollution of the market sphere by that of politics, a politics of pricing can be observed...

  12. Dutch house price fundamentals

    NARCIS (Netherlands)

    Haffner, M.E.A.; de Vries, P.

    2009-01-01

    This paper discusses house price developments in the Netherlands, specifically focussing on the question whether current house prices in the Dutch owner-occupied market are likely to decrease. We analyse three aspects of the question based on a literature review: (1) whether there is a house price b

  13. Dutch house price fundamentals

    NARCIS (Netherlands)

    Haffner, M.E.A.; de Vries, P.

    2009-01-01

    This paper discusses house price developments in the Netherlands, specifically focussing on the question whether current house prices in the Dutch owner-occupied market are likely to decrease. We analyse three aspects of the question based on a literature review: (1) whether there is a house price

  14. Deal with price raise

    Institute of Scientific and Technical Information of China (English)

    2004-01-01

    The price raise in natural resources is inevitable. At present, building ceramic industry is facing the pressure brought by price raise in raw material. Marketing directors still hesitate whether the price of ceramic tiles should be raised. The crisis brought by social environment made the employees care-laden.

  15. An Assessment of the Determinants of Share Price in Nigeria: A Study of Selected Listed Firms

    Directory of Open Access Journals (Sweden)

    Uwalomwa Uwuigbe

    2012-12-01

    Full Text Available This study examined the determinants of share prices in the Nigerian stock exchange market. To achieve the objective of this study, a total of 30 listed firms in the Nigerian stock exchange market were selected and analyzed for the study using the judgmental sampling technique. Also, the Nigerian stock exchange fact book and the corporate annual reports for the period 2006-2010 were used for the study. The paper basically modelled the effects of financial performance, dividend payout and financial leverage on the share price of listed firms operating in the Nigerian stock exchange market using the regression analysis method. The study as part of its findings observed that there is a significant positive relationship between firms’ financial performance and the market value of share prices of the listed firms in Nigeria. Consequently, the paper concludes that firms’ financial performance, dividend payouts and financial leverage are strong determinants of the market value of share prices in Nigeria.

  16. FINANCIAL STABILITY REVIEW OF THE MICROFINANCE SECTOR IN MOLDOVA

    Directory of Open Access Journals (Sweden)

    Petru CATAN

    2013-06-01

    Full Text Available The objective of this article is to analyze the microfinance sector in Moldova, in terms of financial stability indicators. Thus, it highlights the main trends of development of microfinance institution in the last five years, as being reflected by the improvement of all indicators. Therefore in the paper the authors aim to present the most important methods of analyzing and assessing financial stability. Thus, ensuring financial stability constitutes lately a priority concern for the National Bank of Moldova (NBM, which is at the forefront of the national financial systems as well as the National Commission of Financial Market (NCFM. Indeed, with the responsibility of ensuring price stability, the central bank contributes to financial stability. A stable financial environment facilitates the achievement of price stability.

  17. Disclosure-Derived Financial Statement Adjustments in Equity Valuation

    OpenAIRE

    George Batta; Ananda Ganguly; Joshua George Rosett

    2014-01-01

    In this paper, we assess the equity value relevance of disclosure-derived financial statement adjustments. In price levels and returns tests, we find that reported financial numbers have relatively superior explanatory power over adjusted numbers. Only when adjustments are included along with reported numbers in pricing regressions do adjustments retain significant explanatory power. Our results suggest that for summary valuation inputs like operating profitability, assets, and liabilities, a...

  18. Framework for Preserving Financial Stability in Montenegro

    Directory of Open Access Journals (Sweden)

    Žugić Radoje

    2014-01-01

    Full Text Available The global financial crisis has challenged the traditional monetary policy framework of one instrument (short-term interest rates - one objective (price stability. More and more central banks nowadays consider financial stability as a monetary policy objective, whereas the Central Bank of Montenegro is the only one that has identified financial stability as its primary objective. As this is a relatively new objective, all central banks endeavouring to attain this objective have been facing numerous difficulties. Therefore, the article analyzes some of these difficulties such as defining financial (instability, the selection of indicators, macroeconomic environment for preserving financial stability, and the like. The main objective of the paper is to analyse the framework for preserving financial stability in Montenegro and the challenges that the Central Bank of Montenegro has been facing in accomplishing this objective

  19. Internet resource pricing models

    CERN Document Server

    Xu, Ke; He, Huan

    2013-01-01

    This brief guides the reader through three basic Internet resource pricing models using an Internet cost analysis. Addressing the evolution of service types, it presents several corresponding mechanisms which can ensure pricing implementation and resource allocation. The authors discuss utility optimization of network pricing methods in economics and underline two classes of pricing methods including system optimization and entities' strategic optimization. The brief closes with two examples of the newly proposed pricing strategy helping to solve the profit distribution problem brought by P2P

  20. 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. .

  1. Dutch house price fundamentals

    OpenAIRE

    Haffner, M.E.A.; De Vries, P.

    2009-01-01

    This paper discusses house price developments in the Netherlands, specifically focussing on the question whether current house prices in the Dutch owner-occupied market are likely to decrease. We analyse three aspects of the question based on a literature review: (1) whether there is a house price bubble ready to burst; (2) whether house prices will decline in response to the credit crisis that started in 2007; and (3) whether it is likely that house prices will decrease as a result of reform...

  2. Solvable stochastic dealer models for financial markets.

    Science.gov (United States)

    Yamada, Kenta; Takayasu, Hideki; Ito, Takatoshi; Takayasu, Misako

    2009-05-01

    We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise generator, the model becomes fairly realistic by adding only two effects: the self-modulation of transaction intervals and a forecasting tendency, which uses a moving average of the latest market price changes. Based on the present microscopic model of markets, we find a quantitative relation with market potential forces, which have recently been discovered in the study of market price modeling based on random walks.

  3. Forecasting Monthly Prices of Japanese Logs

    Directory of Open Access Journals (Sweden)

    Tetsuya Michinaka

    2016-04-01

    Full Text Available Forecasts of prices can help industries in their risk management. This is especially true for Japanese logs, which experience sharp fluctuations in price. In this research, the authors used an exponential smoothing method (ETS and autoregressive integrated moving average (ARIMA models to forecast the monthly prices of domestic logs of three of the most important species in Japan: sugi (Japanese cedar, Cryptomeria japonica D. Don, hinoki (Japanese cypress, Chamaecyparis obtusa (Sieb. et Zucc. Endl., and karamatsu (Japanese larch, Larix kaempferi (Lamb. Carr.. For the 12-month forecasting periods, forecasting intervals of 80% and 95% were given. By measuring the accuracy of forecasts of 12- and 6-month forecasting periods, it was found that ARIMA gave better results than did the ETS in the majority of cases. However, the combined method of averaging ETS and ARIMA forecasts gave the best results for hinoki in several cases.

  4. What can account for fluctuations in the terms of trade?

    OpenAIRE

    Marianne Baxter; Michael A. Kouparitsas

    2000-01-01

    Fluctuations in the terms of trade the price of a country’s exports relative to the price of its imports are a source of perennial concern to policymakers in developing countries and industrialized nations alike. Terms of trade growth is extremely volatile and can lead to sudden changes in a country’s economic health. This paper seeks to understand the sources of fluctuations in the terms of trade. We decompose a country’s terms of trade volatility into a component stemming from differences i...

  5. THE VOLATILITY OF THE FINANCIAL MARKET – A QUANTITATIVE APPROACH

    Directory of Open Access Journals (Sweden)

    Mester Ioana Teodora

    2008-05-01

    Full Text Available During the last years, the financial markets have been subject to significant fluctuations of their financial actives. These spectacular movements have revived the interest, in the academic circles and policy makers and regulation and control authorities as well, for the financial market volatility. The analysis of these phenomena is justified by the fact that the stock exchange chocks have significant effects on the financial stability and they can lead to serious consequences in the real economy.

  6. Variable diffusion in stock market fluctuations

    Science.gov (United States)

    Hua, Jia-Chen; Chen, Lijian; Falcon, Liberty; McCauley, Joseph L.; Gunaratne, Gemunu H.

    2015-02-01

    We analyze intraday fluctuations in several stock indices to investigate the underlying stochastic processes using techniques appropriate for processes with nonstationary increments. The five most actively traded stocks each contains two time intervals during the day where the variance of increments can be fit by power law scaling in time. The fluctuations in return within these intervals follow asymptotic bi-exponential distributions. The autocorrelation function for increments vanishes rapidly, but decays slowly for absolute and squared increments. Based on these results, we propose an intraday stochastic model with linear variable diffusion coefficient as a lowest order approximation to the real dynamics of financial markets, and to test the effects of time averaging techniques typically used for financial time series analysis. We find that our model replicates major stylized facts associated with empirical financial time series. We also find that ensemble averaging techniques can be used to identify the underlying dynamics correctly, whereas time averages fail in this task. Our work indicates that ensemble average approaches will yield new insight into the study of financial markets' dynamics. Our proposed model also provides new insight into the modeling of financial markets dynamics in microscopic time scales.

  7. 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.

  8. Calculating proper transfer prices

    Energy Technology Data Exchange (ETDEWEB)

    Dorkey, F.C. (Meliora Research Associates, Rochester, NY (United States)); Jarrell, G.A. (Univ. of Rochester, NY (United States))

    1991-01-01

    This article deals with developing a proper transfer pricing method. Decentralization is as American as baseball. While managers laud the widespread benefits of both decentralization and baseball, they often greet the term transfer price policy with a yawn. Since transfer prices are as critical to the success of decentralized firms as good pitchers are to baseball teams, this is quite a mistake on the part of our managers. A transfer price is the price charged to one division for a product or service that another division produced or provided. In many, perhaps most, decentralized organizations, the transfer pricing policies actually used are grossly inefficient and sacrifice the potential advantages of decentralization. Experience shows that far too many companies have transfer pricing policies that cost them significantly in foregone growth and profits.

  9. Price learning during grocery shopping

    DEFF Research Database (Denmark)

    Jensen, Birger Boutrup

    of what consumers learn about prices during grocery shopping. Three measures of price knowledge corresponding to different levels of price information processing were applied. Results indicate that price learning does take place and that episodic price knowledge after store exit is far more widespread...... than expected. Consequently, a new view of how consumer price knowledge evolves during grocery shopping is presented....

  10. Financial Crisis

    Institute of Scientific and Technical Information of China (English)

    黄骅

    2012-01-01

      Financial crisis started from America and soon spread all over the world. How did this happen? What government has done to rescue the economy and what should we do to help? Is financial crisis inevitable? These questions have bothered me for a long time. However, if we use a macroeconomist eye to view the world, all the questions seemed clear and crystal.

  11. The price level and monetary policy

    Directory of Open Access Journals (Sweden)

    Charles P. Kindleberger

    2002-03-01

    Full Text Available Most central banks are required to or choose to stabilize a price index, largely by manipulating short term interest rates. A serious problem is which index to choose among the national income deflator, wholesale prices, the cost of living, with or eliminating highly volatile commodities such as food and energy, to produce a core index, plus others such as housing, including or without imputed rent of owner-occupied houses, or assets, whether equities or houses. No obvious and widely agreed index exists. Even if there were a clear choice, there remains a question whether a central bank should carefully consider action in order to achieve other goals: full employment, adjustment of the balance of payments, of the exchange rate, prevention of bubbles in asset prices, or recovery from financial crises. If so, the question of central bank weapons remains: monetary expansion or contraction, credit controls, for overall or for particular purposes, and moral suasion.

  12. Dividends Sharing Convertible Bonds Pricing and Numerical Evaluation

    Directory of Open Access Journals (Sweden)

    Xu Guo

    2013-01-01

    Full Text Available The convertible bond is becoming one of the most important financial instruments for the company to raise capital fund since it was first issued by American New York Erie Company in 1843. In this paper, it is the first time to study the pricing problem for convertible bond whose underlying stocks pay dividends via the reflected backward stochastic differential equations. Associating the solutions of reflected BSDEs with the obstacle problems for nonlinear parabolic PDEs, we establish the pricing formulas for convertible bonds with continuous and discrete dividends by means of the viscosity solutions for some PDEs. Besides, we also derive the price of convertible bonds with higher borrowing rate which is realistic in the financial market. Then the numerical evaluations are provided by the radial basis functions method. Moreover, we discuss the influence of dividends paying as well as higher borrowing rate on the convertible bond price at last.

  13. Transition from monopoly pricing to competitive pricing

    Energy Technology Data Exchange (ETDEWEB)

    Perera, L. [Eastern Energy Ltd., Melbourne, VIC (Australia)

    1995-12-31

    The Victorian Government has embarked on a program to restructure the State electricity supply industry, that will be the precursor to reform throughout the whole of Australia. The Government is depending on competition to drive efficiency improvements to both generation and distribution businesses. Retail pricing will be the key determinant to a future assessment of the success or failure of these reforms. The paper examines electricity pricing before and after the restructuring from the viewpoint of a practitioner at the cutting edge of the reform process. Economic rationale is put forward why the Value Proposition will replace the Cost Recovery basis previously used in electricity pricing. It is concluded that limitations of interstate links will temper intestate competition unless innovative solution can be found. The current method of setting market prices based on a `Pool System` is only efficient if the generators bid their marginal price on a regular basis. In essence the pool replaces the `merit order` previously used to load generators and is basically a scheduling mechanism. Serious consideration needs to be given to the question whether this mechanism should be also setting the price of electricity. (author). 5 tabs.

  14. An Investigation into the Fundamental Drivers of Pricing of Residential Mortgage Products – A Risk Pricing Viewpoint

    Directory of Open Access Journals (Sweden)

    Harry M Karamujic

    2010-12-01

    Full Text Available Residential mortgage products (also known as home loans pricing has been long understood to be something of a ‘dark art’, requiring judgment and experience, rather than being an exact science. In the last decade, a lot has changed in this field and more and more lenders, primarily the larger lenders, are increasingly looking to make their pricing as exact as possible. Even so, inadequate pricing of residential mortgage products (in particular its substandard risk pricing has been seen as one of major causes of the global financial crisis (GFC and subsequent spectacular banking collapses. The underlying theme of the paper is to exhibit how contemporary lenders, in practice, price their residential mortgage products. While discussing elements of the pricing calculation particular attention was given to the exposition of how contemporary lenders price risks involved in providing home loans. Because of the importance of Basel capital accords to how financial institutions assess and quantify their risks, the paper provides an overview of Basel capital accords. The author envisages that the paper will (i help enhance comprehension of the underlying elements of the pricing calculation and the ways in which these elements relate to each other, (ii scrutinize how contemporary lenders identify and quantify risks and (iii improve consciousness of future changes in interest rates

  15. An Investigation into the Fundamental Drivers of Pricing of Residential Mortgage Products – A Risk Pricing Viewpoint

    Directory of Open Access Journals (Sweden)

    Harry M Karamujic

    2010-12-01

    Full Text Available Residential mortgage products (also known as home loans pricing has been long understood to be something of a ‘dark art’, requiring judgment and experience, rather than being an exact science. In the last decade, a lot has changed in this field and more and more lenders, primarily the larger lenders, are increasingly looking to make their pricing as exact as possible. Even so, inadequate pricing of residential mortgage products (in particular its substandard risk pricing has been seen as one of major causes of the global financial crisis (GFC and subsequent spectacular banking collapses. The underlying theme of the paper is to exhibit how contemporary lenders, in practice, price their residential mortgage products. While discussing elements of the pricing calculation particular attention was given to the exposition of how contemporary lenders price risks involved in providing home loans. Because of the importance of Basel capital accords to how financial institutions assess and quantify their risks, the paper provides an overview of Basel capital accords. The author envisages that the paper will (i help enhance comprehension of the underlying elements of the pricing calculation and the ways in which these elements relate to each other, (ii scrutinize how contemporary lenders identify and quantify risks and (iii improve consciousness of future changes in interest rates

  16. Modeling spot markets for electricity and pricing electricity derivatives

    Science.gov (United States)

    Ning, Yumei

    in prices and volatility to be correlated. The results show that the value of a power plant is much higher using the financial option model than using traditional discounted cash flow.

  17. 大宗商品金融化与中小企业参与机制的研究%Research on Commodity Financialization and the Participation Mechanism of SMEs(Small and Medium-sized Enterprises)

    Institute of Scientific and Technical Information of China (English)

    孙露霞; 李书彦

    2015-01-01

    After U.S. subprime mortgage crisis in 2008,commodity presents a significant trend of financialization. With the increase of the participation of investment financial institutions and individual speculators in commodity market , commodity price constantly shows a drastic fluctuation. Against this background, this paper probes into some effective strategies for SMEs' crisis management to deal with the fluctuation of the commodity price, and in the light of the participation mechanism in the commodity market, puts forward the relevant countermeasures and suggestions for SMEs and government to deal with the commodity financialization.%在2008年美国次贷危机后,大宗商品呈现出明显的金融化趋势. 随着投资金融机构和个体投机者参与大宗商品市场的增加,大宗商品价格不断出现剧烈波动. 在此背景下,探讨了中小企业应对大宗商品价格波动的风险管理的有效策略,针对大宗商品市场参与机制,提出中小企业及政府应对大宗商品金融化的相关对策建议.

  18. Crude Oil Price Differentials : An empirical analysis on the factors behind the price divergence between WTI and Brent

    OpenAIRE

    Heier, Martin; Skoglund, Sindre

    2014-01-01

    The main purpose of our thesis is to examine the long - run relationship be tween WTI and Bren t . Historically, the prices fluctuated around a constant differential, where WTI traded above Brent due to its slightly higher quality. Recently, the differential has been reversed as B rent has traded at a premium to WTI since 2010. We analyze the unusual behavior in the price relationship with the use of an Engle - Granger two -...

  19. Financial Frictions

    DEFF Research Database (Denmark)

    Vestergaard Jensen, Mads

    at a pre-specified price, no later than a pre-specified date. For example, an option can grant the right to buy 100 General Electric shares for USD 31 each no later than October 21, 2016. An interesting issue is determining when an option is optimally exercised. Merton (1973) shows that in a world without...

  20. 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.