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Sample records for hedonic pricing model

  1. Valuing water resources in Switzerland using a hedonic price model

    Science.gov (United States)

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

    2016-05-01

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

  2. Determination of the Factors That Affect House Prices in Turkey by Using Hedonic Pricing Model

    OpenAIRE

    Kaya, Aslı; Atan, Murat

    2014-01-01

    The primary purpose of this paper is to analyze the marginal effects of various features of the houses on the prices to observe the price changes in the Turkish housing market which follows a heterogeneous pattern. As the second concern, it is aimed to declare the results and additionally to define Turkish housing market and its submarkets which affect the market itself and to calculate the pure price changes of the houses with constant features. Hedonic pricing model is applied on the data o...

  3. Estimating Hedonic Prices for Stellenbosch wine

    OpenAIRE

    Sanja Lutzeyer

    2008-01-01

    This paper estimates a hedonic price function for Stellenbosch wines to determine the association between market value and different characteristics of these wines. In such a hedonic price function, the price of a bottle of wine is ascribed to the implicit value of its attributes. Besides contributing to both South African and international wine pricing literature, the benefits of developing a hedonic wine pricing model extend to numerous players in the wine industry. Consumers are provided w...

  4. A GIS-based hedonic price model for agricultural land

    Science.gov (United States)

    Demetriou, Demetris

    2015-06-01

    Land consolidation is a very effective land management planning approach that aims towards rural/agricultural sustainable development. Land reallocation which involves land tenure restructuring is the most important, complex and time consuming component of land consolidation. Land reallocation relies on land valuation since its fundamental principle provides that after consolidation, each landowner shall be granted a property of an aggregate value that is approximately the same as the value of the property owned prior to consolidation. Therefore, land value is the crucial factor for the land reallocation process and hence for the success and acceptance of the final land consolidation plan. Land valuation is a process of assigning values to all parcels (and its contents) and it is usually carried out by an ad-hoc committee. However, the process faces some problems such as it is time consuming hence costly, outcomes may present inconsistency since it is carried out manually and empirically without employing systematic analytical tools and in particular spatial analysis tools and techniques such as statistical/mathematical. A solution to these problems can be the employment of mass appraisal land valuation methods using automated valuation models (AVM) based on international standards. In this context, this paper presents a spatial based linear hedonic price model which has been developed and tested in a case study land consolidation area in Cyprus. Results showed that the AVM is capable to produce acceptable in terms of accuracy and reliability land values and to reduce time hence cost required by around 80%.

  5. An alternative to the standard spatial econometric approaches in hedonic house price models

    DEFF Research Database (Denmark)

    von Graevenitz, Kathrine; Panduro, Toke Emil

    2015-01-01

    Omitted, misspecified, or mismeasured spatially varying characteristics are a cause for concern in hedonic house price models. Spatial econometrics or spatial fixed effects have become popular ways of addressing these concerns. We discuss the limitations of standard spatial approaches to hedonic...

  6. Estimation of a hedonic pricing model for Medigap insurance.

    Science.gov (United States)

    Robst, John

    2006-12-01

    This paper uses a unique database to examine premiums paid by beneficiaries for Medigap supplemental coverage. Average premiums charged by insurers are reported, as well as premiums by enrollee age and gender, and additional policy characteristics. Marginal prices for Medigap benefits are estimated using hedonic price regressions. In addition, the paper considers how additional policy characteristics and geographic differences in the use and cost of medical care affect premiums. A comprehensive database on premiums paid by beneficiaries for newly issued Medigap policies in the year 2000 along with state-level characteristics. Hedonic pricing equations are used to estimate implicit prices for Medigap benefits. The Centers for Medicare & Medicaid Services contracted for the creation of a detailed database on Medigap premiums. Data were collected in three stages. First, letters were sent directly to insurers requesting premium data. Second, letters were directly to state insurance commissioner's offices requesting premium data. Last, each state insurance commissioner's office was visited to collect missing data. With the exceptions of the part B deductible and drug benefit, Medigap supplemental insurance is priced consistent with the actuarial value of benefits offered under the standardized plans. Premiums vary substantially based on rating method, whether the policy is guaranteed issue, Medigap Select, or explicitly for smokers. Premiums increase with enrollee age, but do not vary between men and women. The relationship between premiums and enrollee age varies across rating methods. Attained-age policies show the strongest relationship between age and premiums, while community-rated premiums, by definition, do not vary with age. Medigap supplemental insurance premiums are higher in states with poorer health, greater utilization, and greater managed care penetration. Despite the high cost, Medigap plans are generally priced in accordance with the actuarial value of

  7. Estimation of a Hedonic Pricing Model for Medigap Insurance

    Science.gov (United States)

    Robst, John

    2006-01-01

    Objective This paper uses a unique database to examine premiums paid by beneficiaries for Medigap supplemental coverage. Average premiums charged by insurers are reported, as well as premiums by enrollee age and gender, and additional policy characteristics. Marginal prices for Medigap benefits are estimated using hedonic price regressions. In addition, the paper considers how additional policy characteristics and geographic differences in the use and cost of medical care affect premiums. Data Sources/Study Setting A comprehensive database on premiums paid by beneficiaries for newly issued Medigap policies in the year 2000 along with state-level characteristics. Study Design Hedonic pricing equations are used to estimate implicit prices for Medigap benefits. Data Collection/Extraction Methods The Centers for Medicare & Medicaid Services contracted for the creation of a detailed database on Medigap premiums. Data were collected in three stages. First, letters were sent directly to insurers requesting premium data. Second, letters were directly to state insurance commissioner's offices requesting premium data. Last, each state insurance commissioner's office was visited to collect missing data. Principal Findings With the exceptions of the part B deductible and drug benefit, Medigap supplemental insurance is priced consistent with the actuarial value of benefits offered under the standardized plans. Premiums vary substantially based on rating method, whether the policy is guaranteed issue, Medigap Select, or explicitly for smokers. Premiums increase with enrollee age, but do not vary between men and women. The relationship between premiums and enrollee age varies across rating methods. Attained-age policies show the strongest relationship between age and premiums, while community-rated premiums, by definition, do not vary with age. Medigap supplemental insurance premiums are higher in states with poorer health, greater utilization, and greater managed care

  8. A model to Estimate the Implicit Values of Housing Attributes by Applying the Hedonic Pricing Method

    Directory of Open Access Journals (Sweden)

    TD Randeniya

    2017-05-01

    Full Text Available Many scholars focused on the location based attributes rather than the non-location factors in decision making on land prices. Further, new research studies have identified the importance of the non-location attributes with the location factors. Many studies suggest that, many attributes exist which affects the housing price. Since the attributes involved and dominant for a particular case differs from one situation to the other, there cannot be an exact list of attributes. Yet, identification of factors that determine housing price and their relationships and the level of influence have poorly understood in planning and property development in the context of Sri Lanka. This study attempts to address what make householders to decide on housing price and application of hedonic pricing approach to estimate the implicit price of housing attributes in context of Sri Lanka. A sample study of selected fifty (50 single house transactions in Maharagama urban neighborhood area has been utilized to illustrate the applicability of the hedonic pricing model. As a methodology, correlation analysis has been carried out to study the degree of relationship between the housing price and the independent variables. The attributes which correlate with housing prices, the study identified the most significant attributes. A model was developed to estimate the future house price by applying the pricing model which is incorporated with these attributes. A hedonic house price model derived from multiple liner regression analysis was developed for the purpose. The findings reveal that six attributes as design type of the house, distance to the local road, quality of Infrastructure, garden size, number of the bed rooms and property age are contributed to estimate the implicit value of Housing property. The model developed would be used to identify implicit values of houses located in urban neighborhood area of Sri Lanka.

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

    Science.gov (United States)

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

    2018-01-01

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

  10. Spatial Hedonic Pricing Models for Testing the Adequacy of Acoustic Areas in Madrid, Spain

    Directory of Open Access Journals (Sweden)

    José-María Montero

    2011-01-01

    Full Text Available Road traffic noise is one of the main concerns of large cities. Most of them have classified their territory in acoustic areas and have constructed strategic noise maps. From both sources we have elaborated seven types of acoustic neighbourhoods according to both their noise gap in regard to the legal standard and the percentage of population exposed to noise. A spatial Durbin model has been selected as the strategy that best models the impact of noise on housing prices. However, results for Madrid do not confirm the hedonic theory and indicate, as one of the possibilities, that the official acoustic areas in Madrid could be incorrectly designed.

  11. Use of Hedonic Prices to Estimate Capitalization Rate

    OpenAIRE

    Gaetano Lisi

    2015-01-01

    In this paper, a model of income capitalization is developed where hedonic prices play a key role in estimating the going-in capitalization rate. Precisely, the hedonic functions for rental and selling prices are introduced into a basic model of income capitalization. From the modified model, it is possible to derive a direct relationship between hedonic prices and capitalization rate. An advantage of the proposed approach is that estimation of the capitalization rate can be made without cons...

  12. Early Prostate Cancer: Hedonic Prices Model of Provider-Patient Interactions and Decisions

    International Nuclear Information System (INIS)

    Jani, Ashesh B.; Hellman, Samuel

    2008-01-01

    Purpose: To determine the relative influence of treatment features and treatment availabilities on final treatment decisions in early prostate cancer. Methods and Materials: We describe and apply a model, based on hedonic prices, to understand provider-patient interactions in prostate cancer. This model included four treatments (observation, external beam radiotherapy, brachytherapy, and prostatectomy) and five treatment features (one efficacy and four treatment complication features). We performed a literature search to estimate (1) the intersections of the 'bid' functions and 'offer' functions with the price function along different treatment feature axes, and (2) the treatments actually rendered in different patient subgroups based on age. We performed regressions to determine the relative weight of each feature in the overall interaction and the relative availability of each treatment modality to explain differences between observed vs. predicted use of different modalities in different patient subpopulations. Results: Treatment efficacy and potency preservation are the major factors influencing decisions for young patients, whereas preservation of urinary and rectal function is much more important for very elderly patients. Referral patterns seem to be responsible for most of the deviations of observed use of different treatments from those predicted by idealized provider-patient interactions. Specifically, prostatectomy is used far more commonly in young patients and radiotherapy and observation used far more commonly in elderly patients than predicted by a uniform referral pattern. Conclusions: The hedonic prices approach facilitated identifying the relative importance of treatment features and quantification of the impact of the prevailing referral pattern on prostate cancer treatment decisions

  13. Constructing Quality Adjusted Price Indexes: a Comparison of Hedonic and Discrete Choice Models

    OpenAIRE

    N. Jonker

    2001-01-01

    The Boskin report (1996) concluded that the US consumer price index (CPI) overestimated the inflation by 1.1 percentage points. This was due to several measurement errors in the CPI. One of them is called quality change bias. In this paper two methods are compared which can be used to eliminate quality change bias, namely the hedonic method and a method based on the use of discrete choice models. The underlying micro-economic fundations of the two methods are compared as well as their empiric...

  14. Cruise tourism: a hedonic pricing approach

    Directory of Open Access Journals (Sweden)

    Josep Maria Espinet-Rius

    2018-03-01

    Full Text Available Purpose - The purpose of this paper is to examine the effect on price of different cruise industry characteristics from the point of view of actual prices. The analysis is carried out from the supply side but taking into account the real prices paid by customers. Design/methodology/approach - This paper uses the hedonic price methodology. To develop this research, a database of more than 36,000 prices paid by cruise passengers and different characteristics of ships in 2013 was built. To obtain the results, ten models have been developed with significant adjusted R2 of between 0.85 and 0.93 making the models and results robust. Findings - The results show that the main attributes affecting prices are the number of nights of the itinerary, the departure date, the number of days before departure the booking is made, the accommodation type and some facilities, such as casinos, cinemas and swimming pools. The results also yield a ranking of ship companies based on price and quality dimensions. Finally, the authors suggest some implications for management and new research. Originality/value - This paper offers a new approach in the academic literature of the cruise industry in two respects. First, in its use of a broad database of actual prices paid by passengers – more than 36,000 observations. Second, in the application of the hedonic pricing methodology, widely used in the tourism sector (see the Methodology and Database section but until now not in the cruising segment.

  15. The value of urban tree cover: A hedonic property price model in Ramsey and Dakota Counties, Minnesota, USA

    Science.gov (United States)

    Heather Sander; Stephen Polasky; Robert. Haight

    2010-01-01

    Urban tree cover benefits communities. These benefits' economic values, however, are poorly recognized and often ignored by landowners and planners. We use hedonic property price modeling to estimate urban tree cover's value in Dakota and Ramsey Counties, MN, USA, predicting housing value as a function of structural, neighborhood, and environmental variables...

  16. Hedonic Retail Beef and Pork Product Prices

    OpenAIRE

    Parcell, Joseph L.; Schroeder, Ted C.

    2007-01-01

    Consumer-level hedonic models are estimated to determine factors affecting retail pork and beef meat cuts. Results indicate that brand premium and discount varies across private, national, and store brands and that brand premium varies across meat cuts carrying the same brand name. Product size discounts are linear for beef and nonlinear for pork, meat items on sale are significantly discounted to non-sale items, specialty stores typically will not garner higher prices than supermarket/grocer...

  17. HEDONIC PRICE FUNCTION ESTIMATION FOR MOBILE PHONE IN IRAN

    Directory of Open Access Journals (Sweden)

    Sayed Mahdi Mostafavi

    2013-01-01

    Full Text Available The aim of this paper is the survey of mobile price determinants by hedonic model. We have applied the hedonic price model for mobile phone market in Iran in the year of 2008. The brands conclude NOKIA, QTEK, HTC, MOTOROLA, SONY ERICSSON and SAMSUNG that comprise 193 types of handset mobile phone. The results show that in the hedonic function, the maximum amount of parameters of hedonic price function related to the following variables respectively: touch screen, hands free and connectivity tools, and the minimum amount of them are belonged to clarification of monitor images, phone volume and phone memory. Moreover, except Motorola brand the type of brand has not a significant parameter in the hedonic price function.

  18. Hedonic price theory: Concept and applications

    International Nuclear Information System (INIS)

    Metz, W.C.; Lowry, J.; Morey, M.

    1990-01-01

    Direct and indirect techniques are being used to estimate economic consequences of proximity to existing or proposed public facilities. The hedonic price theory, an indirect technique, is the most logically suited, especially for capturing the shadow or implicit price of a characteristic such as proximity in the real estate market. While the theory is increasingly being used, there is also a growing tendency to draw inferences from the study of one or more hazards and situations and transfer the conclusions to a very different hazard and situation. The use of the hedonic price theory and the issue of transferability to radioactive waste facilities are addressed in this paper. 12 refs

  19. An alternative to the standard spatial econometric approaches in hedonic house price models

    DEFF Research Database (Denmark)

    Veie, Kathrine Lausted; Panduro, Toke Emil

    Hedonic models are subject to spatially correlated errors which are a symptom of omitted spatial variables, mis-specification or mismeasurement. Methods have been developed to address this problem through the use of spatial econometrics or spatial fixed effects. However, often spatial correlation is...... varying characteristics markedly. This suggests that omitted variable bias may remain an important problem. We advocate for an increased use of sensitivity analysis to determine robustness of estimates to different models of the (omitted) spatial processes....

  20. Estimating Hedonic Price Indices for Ground Vehicles

    Science.gov (United States)

    2015-06-01

    I N S T I T U T E F O R D E F E N S E A N A L Y S E S Estimating Hedonic Price Indices for Ground Vehicles (Presentation) David M. Tate Stanley...gathering and maintaining the data needed , and completing and reviewing the collection of information. Send comments regarding this burden estimate or any...currently valid OMB control number. 1. REPORT DATE JUN 2015 2. REPORT TYPE 3. DATES COVERED 4. TITLE AND SUBTITLE Estimating Hedonic Price

  1. Impacts of Street-Visible Greenery on Housing Prices: Evidence from a Hedonic Price Model and a Massive Street View Image Dataset in Beijing

    Directory of Open Access Journals (Sweden)

    Yonglin Zhang

    2018-03-01

    Full Text Available Street greenery is a component of urban green infrastructure. By forming foundational green corridors in urban ecological systems, street greenery provides vital ecological, social, and cultural functions, and benefits the wellbeing of citizens. However, because of the difficulty of quantifying people’s visual perceptions, the impact of street-visible greenery on housing prices has not been fully studied. Using Beijing, which has a mature real estate market, as an example, this study evaluated 22,331 transactions in 2014 in 2370 private housing estates. We selected 25 variables that were classified into three categories—location, housing, and neighbourhood characteristics—and introduced an index called the horizontal green view index (HGVI into a hedonic pricing model to measure the value of the visual perception of street greenery in neighbouring residential developments. The results show that (1 Beijing’s homebuyers would like to reside in residential units with a higher HGVI; (2 Beijing’s homebuyers favour larger lakes; and (3 Beijing’s housing prices were impacted by the spatial development patterns of the city centre and multiple business centres. We used computer vision to quantify the street-visible greenery and estimated the economic benefits that the neighbouring visible greenery would have on residential developments in Beijing. This study provides a scientific basis and reference for policy makers and city planners in road greening, and a tool for formulating street greening policy, studying housing price characteristics, and evaluating real estate values.

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

    Science.gov (United States)

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

    2008-01-01

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

  3. The European used-car market at a glance: Hedonic resale price valuation in automotive leasing industry

    OpenAIRE

    Sylvain M. Prado

    2009-01-01

    In the leasing industry, the risk of loss on sales at the end of the contract term, as well as pricing are critically impacted by the forecasted resale price of the asset (residual value). We apply the Hedonic methodology to European auto lease portfolios, in order to estimate the resale price distribution. The Hedonic approach estimates the price of a good through the valuation of its attributes. Following a discussion on Hedonic prices, we propose an operational model for the automobile res...

  4. HEDONIC ESTIMATION OF HOUSING MARKET PRICES IN TURKEY

    OpenAIRE

    YAYAR, Rüştü; DEMİR, Derya

    2015-01-01

    In this study, there has been aimed to determine the factors that affect the price of flats in the housing sector in Turkey with a hedonic pricing model. According to the model results, the house’s having residential swimming pool, a jacuzzi and a water tank, its being a duplex, its central heating system, its being closer to the center, the size of the house, the bathroom floor’s being vinyl or PVC, being closer to banking services and compulsory education services,  its having  cable TV, te...

  5. Advances in nonmarket valuation econometrics: Spatial heterogeneity in hedonic pricing models and preference heterogeneity in stated preference models

    Science.gov (United States)

    Yoo, Jin Woo

    Counties. The spatial-lag (SLM), the spatial error (SEM) and the spatial error component (SEC) models were compared. A geographically weighted regression (GWR) model is estimated to study the spatial heterogeneity of the marginal implicit prices of ACE impact within each county. New hybrid spatial hedonic models, the GWR-SEC and a modified GWR-SEM, are estimated such that both spatial autocorrelation and heterogeneity are accounted. The results show that the coefficient of land under easement contract varies spatially within one county, but not within the other county studied. Also, ACE's are found to have both positive and negative impacts on the values of nearby residential properties. Among global spatial models, the SEM fit better than the SLM and the SEC. Statistical goodness of fit measures showed that the GWR-SEC model fit better than the GWR or the GWR-SEC model. Finally, the GWR-SEC showed spatial autocorrelation is stronger in one county than in the other county.

  6. Using Hedonic price model to estimate effects of flood on real ...

    African Journals Online (AJOL)

    Distances were measured in metres from the centroid of the building to the edge of the river and roads using Global Positioning System. The result of the estimation shows that property located within the floodplain are lowers in value by an average of N 493, 408 which represents 6.8 percent reduction in sales price for an ...

  7. Valuing labelling attributes with hedonic price analysis:

    DEFF Research Database (Denmark)

    Steiner, Bodo

    2004-01-01

    The market share of New World wines sold in many European countries has increased dramatically over the past decade. More aggressive marketing, together with a more distinct and recognizable labeling scheme, are often regarded as the keys to the marketing success of these new wines. This article...... employs hedonic price analysis to identify the values that marketers and consumers place on the information carried by the label of Australian wines in the British wine retail market. Although many grape varieties are given a highly distinct valuation by market participants, our results also suggest...... that consumers consider regions jointly with grape varieties as proxies for brands. This contrasts with the general observation that grape varietal labeling is the distinctive feature of New World wines. Marketing implications are examined by considering the revenue impact of changes in labeling at the retail...

  8. The impact of hazardous industrial facilities on housing prices: A comparison of parametric and semiparametric hedonic price models

    DEFF Research Database (Denmark)

    Grislain-Letrémy, Céline; Katossky, Arthur

    2014-01-01

    The willingness of households to pay for prevention against industrial risks can be revealed by real estate markets. By using very rich microdata, we study housing prices in the vicinity of hazardous industries near three important French cities. We show that the impact of hazardous plants...... to important biases in the estimated value of the impact of hazardous plants on housing values....

  9. Assessing the Impact of Urban Improvement on Housing Values: A Hedonic Pricing and Multi-Attribute Analysis Model for the Historic Centre of Venice

    Directory of Open Access Journals (Sweden)

    Paolo Rosato

    2017-11-01

    Full Text Available The Hedonic Pricing Method is one of the principal assessment methods for evaluating services and resources not normally exchanged on the market. However, the method is often unable to account for the great variety of qualities in an urban context and faces scarce and heterogeneous market data. This paper presents a model for the valuation of benefits generated by environmental and urban improvement investments adopting a mixed hedonic-multi-attribute procedure for modeling a value function of urban real estate values. The peculiarity of the model is that the independent variables are aggregated indicators, which synthetize more detailed characteristics. Using the expertise of real estate agents, all relevant variables influencing real estate values were weighted and synthetized in a set of cardinal indicators. Next, market prices were used to calibrate a hedonic function that transforms the cardinal indicators into real estate values. The valuation model was integrated into a GIS for mapping the housing value, and its variation induced by urban investment. The proposed model pointed out plausible and robust results, in particular, the possibility to use any available information, such as location, position, technical and economic characteristics of buildings, and organize it in a flexible and transparent way, and to keep evident the role of each characteristic through the hierarchical structure of the model. The model was applied to the real estate market of Venice to test the effects of the MOSE project (Electromechanical Experimental Module for the protection of Venice from high tides. The results of the application showed a relevant increase in real estate values in the center of Venice, especially related to property in ground floor units, of about 1.4 billion €.

  10. The value of building safety: A hedonic price approach

    Directory of Open Access Journals (Sweden)

    Yung Yau

    2015-06-01

    Full Text Available Theoretical and empirical studies on how building performance is valued by the property market abound in the literature. Some of them investigate changes in property prices after building renovation, but little has been done on pricing the safety performance of buildings. This article presents a study that explores whether residential properties in safer buildings command higher market values in Hong Kong. Hong Kong is a good laboratory for this study because building failures can pose a serious threat in such a densely populated high-rise environment. The study measures the safety performance of a building by the weighted number of unauthorised building works (UBWs on the external walls of the buildings. By their nature, UBWs are building works that are constructed without prior approval and consent from the government. A hedonic price model is developed to assess the market value of building safety. For the model estimation, apart from the property transaction data, the number of unauthorised appendages (i.e., UBWs attached to the building facades in each building studied is obtained through a building survey. Based on the analysis results, several hypotheses built upon the theories of self-protection and self-insurance are tested.

  11. Extra-virgin olive oil: are consumers provided with the sensory quality they want? A hedonic price model with sensory attributes.

    Science.gov (United States)

    Cavallo, Carla; Caracciolo, Francesco; Cicia, Gianni; Del Giudice, Teresa

    2018-03-01

    Over the years, niche-differentiation strategies and food policies have pushed quality standards of European extra-virgin olive oil towards a product that has a sensory profile consisting of fruity, bitter and pungent notes, with such oils having excellent healthy features. However, it is unclear whether typical consumers are ready for a richer and more complex sensory profile than the neutral one historically found on the market. This potential discrepancy is investigated in the present study aiiming to determine whether current demand is able to appreciate this path of quality enhancement. Implicit prices for each and every attribute of extra-virgin olive oil with a focus on sensory characteristics were investigated using a hedonic price model. Although confirming the importance of origin and terroir for extra-virgin olive oil, the results of the present study strongly confirm the discrepancy between what is currently valued on the market and what novel supply trends are trying to achieve in terms of the sensory properties of such products. Increasing consumer awareness about the direct link between the health quality of oils and their sensory profile appears to be necessary to make quality enhancement programs more successful on the market and hence more effective for companies. © 2017 Society of Chemical Industry. © 2017 Society of Chemical Industry.

  12. Accounting for heterogeneity of public lands in hedonic property models

    Science.gov (United States)

    Charlotte Ham; Patricia A. Champ; John B. Loomis; Robin M. Reich

    2012-01-01

    Open space lands, national forests in particular, are usually treated as homogeneous entities in hedonic price studies. Failure to account for the heterogeneous nature of public open spaces may result in inappropriate inferences about the benefits of proximate location to such lands. In this study the hedonic price method is used to estimate the marginal values for...

  13. Estimation of Hedonic Single-Family House Price Function Considering Neighborhood Effect Variables

    Directory of Open Access Journals (Sweden)

    Chihiro Shimizu

    2014-05-01

    Full Text Available In the formulation of hedonic models, in addition to locational factors and building structures which affect the house prices, the generation of the omitted variable bias is thought to occur in cases when local environmental variables and the individual characteristics of house buyers are not taken into consideration. However, since it is difficult to obtain local environmental information in a small neighborhood unit and to observe individual characteristics of house buyers, these variables have not been sufficiently considered in previous studies. We demonstrated that non-negligible levels of omitted variable bias are generated if these variables are not considered.

  14. A Five-Year Hedonic Price Breakdown for Desktop Personal Computer Attributes in Brazil

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    Nuno Manoel Martins Dias Fouto

    2009-07-01

    Full Text Available The purpose of this article is to identify the attributes that discriminate the prices of personal desktop computers. We employ the hedonic price method in evaluating such characteristics. This approach allows market prices to be expressed as a function, a set of attributes present in the products and services offered. Prices and characteristics of up to 3,779 desktop personal computers offered in the IT pages of one of the main Brazilian newspapers were collected from January 2003 to December 2007. Several specifications for the hedonic (multivariate linear regression were tested. In this particular study, the main attributes were found to be hard drive capacity, screen technology, main board brand, random memory size, microprocessor brand, video board memory, digital video and compact disk recording devices, screen size and microprocessor speed. These results highlight the novel contribution of this study: the manner and means in which hedonic price indexes may be estimated in Brazil.

  15. Un modelo hedónico de precios en línea de automóviles usados en Argentina || A Hedonic Model of Online Prices of Used Cars in Argentina

    Directory of Open Access Journals (Sweden)

    Ramírez Muñoz de Toro, Gonzalo R.

    2017-12-01

    Full Text Available Los modelos de precios hedónicos permiten detectar relaciones latentes entre el precio de un bien y diversas características del mismo. Utilizamos datos de sitios en línea de Argentina sobre autos usados para ajustar un modelo amplio. Encontramos como significativas diversas características de prestaciones y propias del tipo de vehículo y su equipamiento. Se observan diferencias regionales de precios así como una persistente asociación de los vehículos de producción nacional con precios bajos. || Hedonic pricing models detect latent relationships between the price of a good and its different features. We have used data from online sites from Argentina on used cars to fit a broad model. Various features are significant such as performance, characteristics and equipment according to each vehicle type. Both regional differences in prices and a persistent association of domestically produced vehicles with low prices are observed.

  16. Estimating the economic value of cultural ecosystem services in an urbanizing area using hedonic pricing

    Science.gov (United States)

    Heather A. Sander; Robert G. Haight

    2012-01-01

    A need exists to increase both knowledge and recognition of the values associated with ecosystem services and amenities. This article explores the use of hedonic pricing as a tool for eliciting these values. We take a case study approach, valuing several services provided by ecosystems, namely aesthetic quality (views), access to outdoor recreation, and the benefits...

  17. A hedonic price analysis of the outfitter market for trout fishing in the Rocky Mountain West

    Science.gov (United States)

    Heidi M. Pitts; Jennifer A. Thacher; Patricia A. Champ; Robert P. Berrens

    2012-01-01

    Trout is the most popular sport fish in Montana, Wyoming, Colorado, and New Mexico where fishing outfitters bring revenues to many rural economies. This article uses the hedonic pricing method on a monopolistically competitive outfitter market in those four states to examine angler values for trout fishing characteristics. A total of 1,685 fishing trip observations...

  18. Estimation of Gasoline Price Elasticities of Demand for Automobile Fuel Efficiency in Korea: A Hedonic Approach

    Energy Technology Data Exchange (ETDEWEB)

    Lee, Sung Tae [Sungkyunkwan University, Seoul (Korea); Lee, Myunghun [Keimyung University, Taegu (Korea)

    2001-03-01

    This paper estimates the gasoline price elasticities of demand for automobile fuel efficiency in Korea to examine indirectly whether the government policy of raising fuel prices is effective in inducing less consumption of fuel, relying on a hedonic technique developed by Atkinson and Halvorsen (1984). One of the advantages of this technique is that the data for a single year, without involving variation in the price of gasoline, is sufficient in implementing this study. Moreover, this technique enables us to circumvent the multicollinearity problem, which had reduced reliability of the results in previous hedonic studies. The estimated elasticities of demand for fuel efficiency with respect to the price of gasoline, on average, is 0.42. (author). 30 refs., 3 tabs.

  19. An economic evaluation of nuclear power plant externalities, using the hedonic price approach

    OpenAIRE

    Kato, Hirotaka; Ueta, Kazuhiro

    2012-01-01

    This study evaluates the external costs of nuclear power plants in Japan. Using the hedonic price approach, we analyze changes in land price in Fukui Prefecture before and after the Fukushima nuclear accident. The land in question is located far from the Fukushima accident area and was not directly impacted by the accident itself. The results of this study reveal that the area affected by the nuclear power plant's negative externalities expanded following the accident, and that the intensity ...

  20. Willingness to pay and price elasticities of demand for energy-efficient appliances: Combining the hedonic approach and demand systems

    Energy Technology Data Exchange (ETDEWEB)

    Galarraga, Ibon, E-mail: ibon.galarraga@bc3research.org; Gonzalez-Eguino, Mikel, E-mail: mikel.gonzalez@bc3research.org; Markandya, Anil, E-mail: anil.markandya@bc3research.org

    2011-12-15

    This article proposes a combined approach for estimating willingness to pay for the attributes represented by energy efficiency labels and providing reliable price elasticities of demand (own and cross) for close substitutes (e.g. those with low energy efficiency and those with higher energy efficiency). This is done by using the results of the hedonic approach together with the Quantity Based Demand System (QBDS) model. The elasticity results obtained with the latter are then compared with those simulated using the Linear Almost Ideal Demand System (LA/AIDS). The methodology is applied to the dishwasher market in Spain: it is found that 15.6% of the final price is actually paid for the energy efficiency attribute. This accounts for about Euro 80 of the average market price. The elasticity results confirm that energy efficient appliances are more price elastic than regular ones. - Highlights: > The article shows a combined approach for estimating willingness to pay for energy efficiency labels and price elasticities. > The results of the hedonic approach is used together with the Quantity Based Demand System (QBDS) model. > The elasticity results are compared with those simulated using the Linear Almost Ideal Demand System (LA/AIDS). > The methodology is applied to the dishwasher market in Spain.

  1. The market value of cultural heritage in urban areas: an application of spatial hedonic pricing

    Science.gov (United States)

    Lazrak, Faroek; Nijkamp, Peter; Rietveld, Piet; Rouwendal, Jan

    2014-01-01

    The current literature often values intangible goods like cultural heritage by applying stated preference methods. In recent years, however, the increasing availability of large databases on real estate transactions and listed prices has opened up new research possibilities and has reduced various existing barriers to applications of conventional (spatial) hedonic analysis to the real estate market. The present paper provides one of the first applications using a spatial autoregressive model to investigate the impact of cultural heritage—in particular, listed buildings and historic-cultural sites (or historic landmarks)—on the value of real estate in cities. In addition, this paper suggests a novel way of specifying the spatial weight matrix—only prices of sold houses influence current price—in identifying the spatial dependency effects between sold properties. The empirical application in the present study concerns the Dutch urban area of Zaanstad, a historic area for which over a long period of more than 20 years detailed information on individual dwellings, and their market prices are available in a GIS context. In this paper, the effect of cultural heritage is analysed in three complementary ways. First, we measure the effect of a listed building on its market price in the relevant area concerned. Secondly, we investigate the value that listed heritage has on nearby property. And finally, we estimate the effect of historic-cultural sites on real estate prices. We find that, to purchase a listed building, buyers are willing to pay an additional 26.9 %, while surrounding houses are worth an extra 0.28 % for each additional listed building within a 50-m radius. Houses sold within a conservation area appear to gain a premium of 26.4 % which confirms the existence of a `historic ensemble' effect.

  2. An Introduction to the Hybrid Approach of Neural Networks and the Linear Regression Model : An Illustration in the Hedonic Pricing Model of Building Costs

    OpenAIRE

    浅野, 美代子; マーコ, ユー K.W.

    2007-01-01

    This paper introduces the hybrid approach of neural networks and linear regression model proposed by Asano and Tsubaki (2003). Neural networks are often credited with its superiority in data consistency whereas the linear regression model provides simple interpretation of the data enabling researchers to verify their hypotheses. The hybrid approach aims at combing the strengths of these two well-established statistical methods. A step-by-step procedure for performing the hybrid approach is pr...

  3. Determination of Japanese buyer valuation of metallurgical coal characteristics by hedonic modeling

    Energy Technology Data Exchange (ETDEWEB)

    Koerner, R.J. [Griffith University, Brisbane, Qld. (Australia). Graduate School of Management

    2001-09-01

    Considerable efforts have been devoted by econometric researchers to understanding Japanese steel mill (JSM) metallurgical coal valuation policies, and whether such policies disadvantage coal exporters. Much of this research has employed the hedonic regression modeling technique of Rosen and examines the significance of coal quality in establishing market price. This article discusses shortcomings in some such modeling studies, and presents results of additional hedonic modeling to buttress findings of previous work suggesting that cross-cultural bargaining factors rather than coal quality explain lower prices for Australian coals in Japanese market settlements. Policy changes that might be effective in ameliorating bilateral market distortions arising from oligopsony characteristics exhibited in JSM contract settlements are then explored. 29 refs., 2 figs., 2 tabs.

  4. DETERMINANT OF HOUSING RENTS IN URBAN ALBANIA: AN EMPIRICAL HEDONIC PRICE APPLICATION WITH NSA SURVEY DATA

    Directory of Open Access Journals (Sweden)

    Mustafa Kahveci

    2017-06-01

    Full Text Available As an immobile, durable and heterogonous good, each housing unit has a bundle of different characteristics. Hedonic price method, which depends on the consumer theory of the classical economics, implies that each characteristic of heterogeneous goods provides a different level of satisfaction or utility to the consumer, being widely accepted as a toolkit for estimating effects of these characteristics on prices and rents. HPM expresses housing prices as the function of structural characteristics, location characteristics, and neighborhood characteristics. Theory and empirical applications of the HPM, which have been used for more than 40 years in developed countries, due to the lack of suitable data related literature is limited in Albania. The aim of this paper is to analyze the relationship between housing rents and housing characteristics in urban Albania with micro database of Living Conditions and Income Survey 2012.

  5. Monetising the impacts of waste incinerators sited on brownfield land using the hedonic pricing method.

    Science.gov (United States)

    Rivas Casado, Monica; Serafini, Jan; Glen, John; Angus, Andrew

    2017-03-01

    In England and Wales planning regulations require local governments to treat waste near its source. This policy principle alongside regional self-sufficiency and the logistical advantages of minimising distances for waste treatment mean that energy from waste incinerators have been built close to, or even within urban conurbations. There is a clear policy and research need to balance the benefits of energy production from waste incinerators against the negative externalities experienced by local residents. However, the monetary costs of nuisance emissions from incinerators are not immediately apparent. This study uses the Hedonic Pricing Method to estimate the monetary value of impacts associated with three incinerators in England. Once operational, the impact of the incinerators on local house prices ranged from approximately 0.4% to 1.3% of the mean house price for the respective areas. Each of the incinerators studied had been sited on previously industrialised land to minimise overall impact. To an extent this was achieved and results support the effectiveness of spatial planning strategies to reduce the impact on residents. However, negative impacts occurred in areas further afield from the incinerator, suggesting that more can be done to minimise the impacts of incinerators. The results also suggest that in some case the incinerator increased the value of houses within a specified distance of incinerators under specific circumstances, which requires further investigation. Copyright © 2016 Elsevier Ltd. All rights reserved.

  6. Measuring the contribution of water and green space amenities to housing values: an application and comparison of spatially weighted hedonic models

    Science.gov (United States)

    Seong-Hoon Cho; J. Michael Bowker; William M. Park

    2006-01-01

    This study estimates the influence of proximity to water bodies and park amenities on residential housing values in Knox County, Tennessee, using the hedonic price approach. Values for proximity to water bodies and parks are first estimated globally with a standard ordinary least squares (OLS) model. A locally weighted regression model is then employed to investigate...

  7. Rural Tourism Accommodation Prices by Land Use-Based Hedonic Approach: First Results from the Case Study of the Self-Catering Cottages in Asturias

    Directory of Open Access Journals (Sweden)

    Celia Bilbao-Terol

    2017-09-01

    Full Text Available This study analyses the impacts of environmental amenities associated with agricultural and silvicultural land use on the price of rural tourism accommodation in Asturias (Spain. A hedonic price model that relates the price of rural accommodation to environmental amenities as well as equipment, services offered, and the locational characteristics of the accommodation is estimated. The rural accommodations in the study are the self-catering cottages, the intrinsic features of which promote the development of rural tourism sustainability. Geographic information systems (GIS data are used to measure the location and the proximity to amenities of these self-catering cottages. The main results indicate that agricultural land use has an important impact on the price of accommodation in self-catering cottages. Specifically, a high percentage of grassland in the municipality where the self-catering cottage is sited has a positive effect on rental prices, while a high percentage of arable crops has the opposite effect. The analysis is interesting for decision-making in the context of environmental policies, land use conflict resolution, and rural tourism sustainability.

  8. Hedonic travel cost and random utility models of recreation

    Energy Technology Data Exchange (ETDEWEB)

    Pendleton, L. [Univ. of Southern California, Los Angeles, CA (United States); Mendelsohn, R.; Davis, E.W. [Yale Univ., New Haven, CT (United States). School of Forestry and Environmental Studies

    1998-07-09

    Micro-economic theory began as an attempt to describe, predict and value the demand and supply of consumption goods. Quality was largely ignored at first, but economists have started to address quality within the theory of demand and specifically the question of site quality, which is an important component of land management. This paper demonstrates that hedonic and random utility models emanate from the same utility theoretical foundation, although they make different estimation assumptions. Using a theoretically consistent comparison, both approaches are applied to examine the quality of wilderness areas in the Southeastern US. Data were collected on 4778 visits to 46 trails in 20 different forest areas near the Smoky Mountains. Visitor data came from permits and an independent survey. The authors limited the data set to visitors from within 300 miles of the North Carolina and Tennessee border in order to focus the analysis on single purpose trips. When consistently applied, both models lead to results with similar signs but different magnitudes. Because the two models are equally valid, recreation studies should continue to use both models to value site quality. Further, practitioners should be careful not to make simplifying a priori assumptions which limit the effectiveness of both techniques.

  9. Repeat Assessed Values Model for Housing Price Index

    Directory of Open Access Journals (Sweden)

    Carini Manuela

    2017-12-01

    Full Text Available This study proposes an innovative methodology, named Repeat Appraised Price Model (RAV, useful for determining the price index numbers for real estate markets and the corresponding index numbers of hedonic prices of main real estate characteristics in the case of a lack of data. The methodological approach proposed in this paper aims to appraise the time series of price index numbers. It integrates the principles of the method of repeat sales with the peculiarities of the Hedonic Price Method, overcoming the problem of an almost total absence of repeat sales for the same property in a given time range; on the other hand, the technique aims to overcome the limitation of the repeat sales technique concerning the inability to take into account the characteristics of individual properties.

  10. Retail Price Model

    Science.gov (United States)

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

  11. Evaluating two model reduction approaches for large scale hedonic models sensitive to omitted variables and multicollinearity

    DEFF Research Database (Denmark)

    Panduro, Toke Emil; Thorsen, Bo Jellesmark

    2014-01-01

    Hedonic models in environmental valuation studies have grown in terms of number of transactions and number of explanatory variables. We focus on the practical challenge of model reduction, when aiming for reliable parsimonious models, sensitive to omitted variable bias and multicollinearity. We...

  12. The Economic Impact of Government Policy on Market Prices of Low-Fat Pork in South Korea: A Quasi-Experimental Hedonic Price Approach

    Directory of Open Access Journals (Sweden)

    Hyun No Kim

    2018-03-01

    Full Text Available The implementation of government policy can have an influence on market environment and market prices of pork in consequence. In South Korea, consumers prefer high-fat pork cuts due to the prevalence of roosting pork over a hot grill. This paper examines the impact of the government policy which aims to increase the consumption of low-fat pork cuts because of the concerns regarding asymmetric consumption between high-fat and low-fat pork cuts. Using hedonic price methods combined with quasi-experimental approaches we estimate the subsequent impact of food policy on the price of low-fat pork cuts using a time series of sales data. This study utilized an effective approach which has been widely employed for policy evaluation to produce plausible estimates of the economic values generated by the government policy. We find the existence of market segmentation and different impacts of the policy between markets. While the market price for high-fat pork cuts has remained stable, the price for low-fat pork cuts has slightly increased since the policy has been implemented. This paper illustrates that government’s policy can be a good strategy to maintain sustainability of the food industry by improving the balance in pork consumption and the management of stocks.

  13. Do expert ratings or economic models explain champagne prices?

    DEFF Research Database (Denmark)

    Bentzen, Jan Børsen; Smith, Valdemar

    2008-01-01

    Champagne is bought with low frequency and many consumers most likely do not have or seek full information on the quality of champagne. Some consumers may rely on the reputation of particular brands, e.g. "Les Grandes Marques", some consumers choose to gain information from sensory ratings...... of champagne. The aim of this paper is to analyse the champagne prices on the Scandinavian markets by applying a hedonic price function in a comparative framework with minimal models using sensory ratings....

  14. Capturing the value of green space in urban parks in a sustainable urban planning and design context: pros and cons of hedonic pricing

    Directory of Open Access Journals (Sweden)

    Gustav Engström

    2017-06-01

    Full Text Available Sixty percent of the land that will be urban in 2030 has yet to be built. Contemporary urban development is unsustainable and focus is on building dense, often at the expense of urban green space (UGS, at the same time as our understanding of links between green spaces and human well-being, especially health, is increasing. There is a need to better understand and analyze human well-being qualities of UGS in a planning context. Our aim is to increase this understanding by analyzing the pros and cons of hedonic pricing in this context. Hedonic pricing is commonly used for analyzing benefits associated with UGS to make them more visible and to provide support for urban planning. However, the validity of this approach has been questioned. To increase the accuracy of a hedonic pricing method we incorporate state-of-the-art methods to assess the value of public parks in a case study. Although our results suggest that urban parks indeed have a positive effect on property value and that this effect tends to increase with reduced distance to the parks, the hedonic pricing information is not enough to make well-advised decisions in a sustainable planning context. We thus suggest (1 including and quantifying additional health benefit dimensions and (2 replacing straight-line measures with an axial line step distance measure, to better capture accessibility. To better capture the range of benefits generated by urban parks, irrespective of whether these benefits are enjoyed in direct relation to the park or not, we suggest complementing hedonic pricing via (3 applying an ecosystem service lens, thus also improving the accuracy of trade-off and synergy analysis Also, a sustainable planning approach will benefit from (4 taking the surrounding land use configuration into account for optimizing the different values of urban parks.

  15. 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

  16. Hedonic analysis of ultra-high-temperature-treated milk prices in Italy

    NARCIS (Netherlands)

    Bimbo, Francesco; Bonanno, Alessandro; Liu, Xuan; Viscecchia, Rosaria

    2016-01-01

    The Italian market for UHT milk has been growing thanks to both consumers' interest in products with an extended shelf life and to the lower prices of these products compared with refrigerated, pasteurized milk. However, because the lower prices of UHT milk can hinder producers' margins,

  17. The Demand for Child Care Quality. An Hedonic Price Theory Approach.

    Science.gov (United States)

    Hagy, Alison P.

    1998-01-01

    An implicit price for child care staff-to-child ratio was used to study demand for child care quality. Direct purchase-of-service contracts or vouchers, which subsidize only providers meeting state regulations, effectively lower implicit price and have little influence on the demand for quality. (Author/SK)

  18. Measuring the impacts of natural amenities and the US-Mexico Border, on housing values in the Santa Cruz Watershed, using spatially-weighted hedonic modeling

    Science.gov (United States)

    Amaya, Gladys; Norman, Laura M.; Frisvold, George

    2011-01-01

    Assessing the sustainability of International policy or urban development requires consideration of the impacts of these decisions on Ecosystem Services, or the values that humans receive from the ecosystem, including market-land price, environmental, and human well-being values. Hedonic modeling helps to identify the market land price, considering the price is determined by multiple factors affecting it. In U.S. portions of the bi-national Santa Cruz Watershed (SCW), situated at the Arizona-Sonora International border, natural amenities like the riparian corridor and green space have been documented as positive amenities that boost local real estate.

  19. Evaluation of the influences of nuclear accident by hedonic approach

    International Nuclear Information System (INIS)

    Takai, Toru

    2005-01-01

    The purpose of this sturdy is to examine the influences on residential land prices of criticality accident in Tokai-mura. To clarify the influences, three types of hedonic model are used to estimate land prices around JCO before and after the accident. The result of estimation indicates that land prices decreased according to proximity to JCO after the accident. (author)

  20. Determining the negative effect on house values of proximity to a landfill site by means of an application of the hedonic pricing method

    OpenAIRE

    Mario Du Preez; T Lottering

    2011-01-01

    This study applied the hedonic pricing method to determine whether a disused, solid waste landfill site has an adverse effect on the prices of low-cost houses in New Brighton, a neighbourhood of the Nelson Mandela Metropole, Eastern Cape, South Africa. The results of the study show that the landfill site has a negative effect on New Brighton house prices. The average increase in house value is R36.00 per one hundred metres from the landfill site. This increase amounts to 0.44 percent of the v...

  1. Demand Estimation with Heterogeneous Consumers and Unobserved Product Characteristics: A Hedonic Approach

    Science.gov (United States)

    Bajari, Patrick; Benkard, C. Lanier

    2005-01-01

    We reconsider the identification and estimation of Gorman-Lancaster-style hedonic models of demand for differentiated products in the spirit of Sherwin Rosen. We generalize Rosen's first stage to account for product characteristics that are not observed and to allow the hedonic pricing function to have a general nonseparable form. We take an…

  2. Determining the negative effect on house values of proximity to a landfill site by means of an application of the hedonic pricing method

    Directory of Open Access Journals (Sweden)

    Mario Du Preez

    2011-08-01

    Full Text Available This study applied the hedonic pricing method to determine whether a disused, solid waste landfill site has an adverse effect on the prices of low-cost houses in New Brighton, a neighbourhood of the Nelson Mandela Metropole, Eastern Cape, South Africa. The results of the study show that the landfill site has a negative effect on New Brighton house prices. The average increase in house value is R36.00 per one hundred metres from the landfill site. This increase amounts to 0.44 percent of the value of a house per 100 metres from the landfill. When the change in value is summed for all the properties in the sample area (allowing for variation in value change due to differing distances from the landfill site the total disamenity effect of the landfill site is approximately R1.4 million.

  3. A Multiperiod Equilibrium Pricing Model

    Directory of Open Access Journals (Sweden)

    Minsuk Kwak

    2014-01-01

    Full Text Available We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity, one nontradable underlying (temperature, and also a contingent claim (weather derivative written on the tradable risky asset and the nontradable underlying in the market. The price of the contingent claim is priced in equilibrium by optimal strategies of representative agent and market clearing condition. The risk preferences are of exponential type with a stochastic coefficient of risk aversion. Both subgame perfect strategy and naive strategy are considered and the corresponding equilibrium prices are derived. From the numerical result we examine how the equilibrium prices vary in response to changes in model parameters and highlight the importance of our equilibrium pricing principle.

  4. The challenge of staying happier: testing the Hedonic Adaptation Prevention model.

    Science.gov (United States)

    Sheldon, Kennon M; Lyubomirsky, Sonja

    2012-05-01

    The happiness that comes from a particular success or change in fortune abates with time. The Hedonic Adaptation Prevention (HAP) model specifies two routes by which the well-being gains derived from a positive life change are eroded--the first involving bottom-up processes (i.e., declining positive emotions generated by the positive change) and the second involving top-down processes (i.e., increased aspirations for even more positivity). The model also specifies two moderators that can forestall these processes--continued appreciation of the original life change and continued variety in change-related experiences. The authors formally tested the predictions of the HAP model in a 3-month three-wave longitudinal study of 481 students. Temporal path analyses and moderated regression analyses provided good support for the model. Implications for the stability of well-being, the feasibility of "the pursuit of happiness," and the appeal of overconsumption are discussed.

  5. Pricing Mining Concessions Based on Combined Multinomial Pricing Model

    Directory of Open Access Journals (Sweden)

    Chang Xiao

    2017-01-01

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

  6. Measuring the value of air quality: application of the spatial hedonic model.

    Science.gov (United States)

    Kim, Seung Gyu; Cho, Seong-Hoon; Lambert, Dayton M; Roberts, Roland K

    2010-03-01

    This study applies a hedonic model to assess the economic benefits of air quality improvement following the 1990 Clean Air Act Amendment at the county level in the lower 48 United States. An instrumental variable approach that combines geographically weighted regression and spatial autoregression methods (GWR-SEM) is adopted to simultaneously account for spatial heterogeneity and spatial autocorrelation. SEM mitigates spatial dependency while GWR addresses spatial heterogeneity by allowing response coefficients to vary across observations. Positive amenity values of improved air quality are found in four major clusters: (1) in East Kentucky and most of Georgia around the Southern Appalachian area; (2) in a few counties in Illinois; (3) on the border of Oklahoma and Kansas, on the border of Kansas and Nebraska, and in east Texas; and (4) in a few counties in Montana. Clusters of significant positive amenity values may exist because of a combination of intense air pollution and consumer awareness of diminishing air quality.

  7. The integrated model of smartphone adoption: hedonic and utilitarian value perceptions of smartphones among Korean college students.

    Science.gov (United States)

    Chun, Heasun; Lee, Hyunjoo; Kim, Daejoong

    2012-09-01

    This study aims to propose an integrated model of smartphone adoption that incorporates social influences (SIs), perceived technicality, as well as hedonic and utilitarian attitudes into the technology acceptance model. The proposed model was empirically evaluated by using survey data collected from 239 Korean college students to investigate their perception and attitudes toward smartphone adoption intention. Our results show that users' attitudes and their adoption intention are highly influenced by SI and positive self-image. This implies that a smartphone is a symbolic product that can signal affiliation and enhance the users' status in a group. The results also indicate that hedonic enjoyment is equally important as utilitarian usefulness in predicting the adoption intention, and the two variables mediate the relationships between SI, positive self-image, perceived technicality, and the intention to use. Consequently, the results reveal that smartphones are convergent media that can be viewed as both task-oriented and entertainment-oriented devices.

  8. Modeling the Effect of Oil Price on Global Fertilizer Prices

    NARCIS (Netherlands)

    P-Y. Chen (Ping-Yu); C-L. Chang (Chia-Lin); C-C. Chen (Chi-Chung); M.J. McAleer (Michael)

    2010-01-01

    textabstractThe main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model, and alternative volatility models, including the

  9. Dissociation of hedonic reaction to reward and incentive motivation in an animal model of the negative symptoms of schizophrenia.

    Science.gov (United States)

    Ward, Ryan D; Simpson, Eleanor H; Richards, Vanessa L; Deo, Gita; Taylor, Kathleen; Glendinning, John I; Kandel, Eric R; Balsam, Peter D

    2012-06-01

    We previously showed that mice that selectively and reversibly overexpress striatal D2 receptors (D2R-OE) model the negative symptoms of schizophrenia. Specifically, D2R-OE mice display a deficit in incentive motivation. The present studies investigated the basis for this deficit. First, we assessed whether hedonic reaction to reward is intact in D2R-OE mice. We assessed licking behavior and video-scored positive hedonic facial reactions to increasing concentrations of sucrose in control and D2R-OE mice. We found no difference between D2R-OE mice and controls in hedonic reactions. To further understand the basis of the motivational deficit, mice were given a choice between pressing a lever for access to a preferred reward (evaporated milk) or consuming a freely available less preferred reward (home-cage chow). D2R-OE mice pressed less for the preferred milk and consumed more of the freely available less preferred chow, indicating that striatal overexpression of postsynaptic D2Rs can alter cost/benefit computations, leading to a motivational deficit. This motivational impairment was ameliorated when the transgene was turned off and D2R levels were normalized. Such a deficit may arise from impaired ability to represent the value of future rewards. To test this, we used operant concurrent schedules and found reduced sensitivity to the value of future outcomes in D2R-OE mice. These results demonstrate for the first time in a transgenic animal model of schizophrenia a dissociation between hedonic reaction to reward and incentive motivation, and show a striking parallel to the proposed neurobiological and psychological mechanisms of impaired incentive motivation in schizophrenia.

  10. Model Calibration in Option Pricing

    Directory of Open Access Journals (Sweden)

    Andre Loerx

    2012-04-01

    Full Text Available We consider calibration problems for models of pricing derivatives which occur in mathematical finance. We discuss various approaches such as using stochastic differential equations or partial differential equations for the modeling process. We discuss the development in the past literature and give an outlook into modern approaches of modelling. Furthermore, we address important numerical issues in the valuation of options and likewise the calibration of these models. This leads to interesting problems in optimization, where, e.g., the use of adjoint equations or the choice of the parametrization for the model parameters play an important role.

  11. HEDONIC DEMAND ANALYSIS FOR BEEF IN BENIN METROPOLIS

    African Journals Online (AJOL)

    BIUAGRIC2

    2013-02-11

    Feb 11, 2013 ... implicit demand for beef within the framework of a hedonic analysis, and the implicit or shadow price of beef were examined. Primary data ... results of the Hedonic analysis showed that, with an average unit price of N836.57 for beef, a consumer is strongly willing to pay ... method and strategies. Lancaster ...

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

    International Nuclear Information System (INIS)

    Narayan, Paresh Kumar; Narayan, Seema

    2010-01-01

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

  13. Multi-factor energy price models and exotic derivatives pricing

    Science.gov (United States)

    Hikspoors, Samuel

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

  14. Oil transformation sector modelling: price interactions

    International Nuclear Information System (INIS)

    Maurer, A.

    1992-01-01

    A global oil and oil product prices evolution model is proposed that covers the transformation sector incidence and the final user price establishment together with price interactions between gaseous and liquid hydrocarbons. High disparities among oil product prices in the various consumer zones (North America, Western Europe, Japan) are well described and compared with the low differences between oil supply prices in these zones. Final user price fluctuations are shown to be induced by transformation differences and competition; natural gas market is also modelled

  15. Hedonism and Happiness

    NARCIS (Netherlands)

    R. Veenhoven (Ruut)

    2003-01-01

    textabstractHedonism is a way of life, characterised by openness to pleasurable experience. There are many qualms about hedonism. It is rejected on moral grounds and said to be detrimental to long-term happiness. Several mechanisms for this 'paradox of hedonism' have been suggested and telling

  16. Electricity price modeling with stochastic time change

    International Nuclear Information System (INIS)

    Borovkova, Svetlana; Schmeck, Maren Diane

    2017-01-01

    In this paper, we develop a novel approach to electricity price modeling, based on the powerful technique of stochastic time change. This technique allows us to incorporate the characteristic features of electricity prices (such as seasonal volatility, time varying mean reversion and seasonally occurring price spikes) into the model in an elegant and economically justifiable way. The stochastic time change introduces stochastic as well as deterministic (e.g., seasonal) features in the price process' volatility and in the jump component. We specify the base process as a mean reverting jump diffusion and the time change as an absolutely continuous stochastic process with seasonal component. The activity rate of the stochastic time change can be related to the factors that influence supply and demand. Here we use the temperature as a proxy for the demand and hence, as the driving factor of the stochastic time change, and show that this choice leads to realistic price paths. We derive properties of the resulting price process and develop the model calibration procedure. We calibrate the model to the historical EEX power prices and apply it to generating realistic price paths by Monte Carlo simulations. We show that the simulated price process matches the distributional characteristics of the observed electricity prices in periods of both high and low demand. - Highlights: • We develop a novel approach to electricity price modeling, based on the powerful technique of stochastic time change. • We incorporate the characteristic features of electricity prices, such as seasonal volatility and spikes into the model. • We use the temperature as a proxy for the demand and hence, as the driving factor of the stochastic time change • We derive properties of the resulting price process and develop the model calibration procedure. • We calibrate the model to the historical EEX power prices and apply it to generating realistic price paths.

  17. Space-time modeling of timber prices

    Science.gov (United States)

    Mo Zhou; Joseph Buongriorno

    2006-01-01

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

  18. SaaS architecture and pricing models

    OpenAIRE

    Laatikainen, Gabriella; Ojala, Arto

    2014-01-01

    In the new era of computing, SaaS software with different architectural characteristics might be priced in different ways. Even though both pricing and architectural characteristics are responsible for the success of the offering; the relationship between architectural and pricing characteristics has not been studied before. The present study fills this gap by employing a multi-case research. The findings accentuate that flexible and well-designed architecture enables different pricing models...

  19. Spatial Hedonic Models for Measuring the Impact of Sea-Level Rise on Coastal Real Estate

    OpenAIRE

    Okmyung Bin; Ben Poulter; Christopher F. Dumas; John C. Whitehead

    2009-01-01

    This study uses a unique integration of geospatial and hedonic property data to estimate the impact of sea-level rise on coastal real estate in North Carolina. North Carolina’s coastal plain is one of several large terrestrial systems around the world threatened by rising sea-levels. High-resolution topographic LIDAR (Light Detection and Ranging) data are used to provide accurate inundation maps for all properties that will be at risk under six different sea-level rise scenarios. A simulation...

  20. The Shuttle Cost and Price model

    Science.gov (United States)

    Leary, Katherine; Stone, Barbara

    1983-01-01

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

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

    Science.gov (United States)

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

    2003-01-01

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

  2. Electricity spot price dynamics: Beyond financial models

    International Nuclear Information System (INIS)

    Guthrie, Graeme; Videbeck, Steen

    2007-01-01

    We reveal properties of electricity spot prices that cannot be captured by the statistical models, commonly used to model financial asset prices, that are increasingly used to model electricity prices. Using more than eight years of half-hourly spot price data from the New Zealand Electricity Market, we find that the half-hourly trading periods fall naturally into five groups corresponding to the overnight off-peak, the morning peak, daytime off-peak, evening peak, and evening off-peak. The prices in different trading periods within each group are highly correlated with each other, yet the correlations between prices in different groups are lower. Models, adopted from the modeling of security prices, that are currently applied to electricity spot prices are incapable of capturing this behavior. We use a periodic autoregression to model prices instead, showing that shocks in the peak periods are larger and less persistent than those in off-peak periods, and that they often reappear in the following peak period. In contrast, shocks in the off-peak periods are smaller, more persistent, and die out (perhaps temporarily) during the peak periods. Current approaches to modeling spot prices cannot capture this behavior either. (author)

  3. Customer perspectives on district heating price models

    Directory of Open Access Journals (Sweden)

    Kerstin Sernhed

    2017-01-01

    Full Text Available In Sweden there has been a move towards more cost reflective price models for district heating in order to reduce economic risks that comes with variable heat demand and high shares of fixed assets. The keywords in the new price models are higher shares of fixed cost, seasonal energy prices and charging for capacity. Also components that are meant to serve as incentives to affect behaviour are introduced, for example peak load components and flow components. In this study customer responses to these more complex price models have been investigated through focus group interviews and through interviews with companies that have changed their price models. The results show that several important customer requirements are suffering with the new price models. The most important ones are when energy savings do not provide financial savings, when costs are hard to predict and are perceived to be out of control.

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

    Science.gov (United States)

    Verlinda, Jeremy Alan

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

  5. A hybrid model for electricity spot prices

    International Nuclear Information System (INIS)

    Anderson, C.L.D.

    2004-01-01

    Electricity prices were highly regulated prior to the deregulation of the electric power industry. Prices were predictable, allowing generators and wholesalers to calculate their production costs and revenues. With deregulation, electricity has become the most volatile of all commodities. Electricity must be consumed as soon as it is generated due to the inability to store it in any sufficient quantity. Economic uncertainty exists because the supply of electricity cannot shift as quickly as the demand, which is highly variable. When demand increases quickly, the price must respond. Therefore, price spikes occur that are orders of magnitude higher than the base electricity price. This paper presents a robust and realistic model for spot market electricity prices used to manage risk in volatile markets. The model is a hybrid of a top down data driven method commonly used for financial applications, and a bottom up system driven method commonly used in regulated electricity markets. The advantage of the model is that it incorporates primary system drivers and demonstrates their effects on final prices. The 4 primary modules of the model are: (1) a model for forced outages, (2) a model for maintenance outages, (3) an electrical load model, and (4) a price model which combines the results of the previous 3 models. The performance of each model was tested. The forced outage model is the first of its kind to simulate the system on an aggregate basis using Weibull distributions. The overall spot price model was calibrated to, and tested with, data from the electricity market in Pennsylvania, New Jersey and Maryland. The model performed well in simulated market prices and adapted readily to changing system conditions and new electricity markets. This study examined the pricing of derivative contracts on electrical power. It also compared a range of portfolio scenarios using a Cash Flow at Risk approach

  6. A hybrid model for electricity spot prices

    Energy Technology Data Exchange (ETDEWEB)

    Anderson, C.L.D.

    2004-07-01

    Electricity prices were highly regulated prior to the deregulation of the electric power industry. Prices were predictable, allowing generators and wholesalers to calculate their production costs and revenues. With deregulation, electricity has become the most volatile of all commodities. Electricity must be consumed as soon as it is generated due to the inability to store it in any sufficient quantity. Economic uncertainty exists because the supply of electricity cannot shift as quickly as the demand, which is highly variable. When demand increases quickly, the price must respond. Therefore, price spikes occur that are orders of magnitude higher than the base electricity price. This paper presents a robust and realistic model for spot market electricity prices used to manage risk in volatile markets. The model is a hybrid of a top down data driven method commonly used for financial applications, and a bottom up system driven method commonly used in regulated electricity markets. The advantage of the model is that it incorporates primary system drivers and demonstrates their effects on final prices. The 4 primary modules of the model are: (1) a model for forced outages, (2) a model for maintenance outages, (3) an electrical load model, and (4) a price model which combines the results of the previous 3 models. The performance of each model was tested. The forced outage model is the first of its kind to simulate the system on an aggregate basis using Weibull distributions. The overall spot price model was calibrated to, and tested with, data from the electricity market in Pennsylvania, New Jersey and Maryland. The model performed well in simulated market prices and adapted readily to changing system conditions and new electricity markets. This study examined the pricing of derivative contracts on electrical power. It also compared a range of portfolio scenarios using a Cash Flow at Risk approach.

  7. Implicit price of mussel characteristics in the auction market

    DEFF Research Database (Denmark)

    Nguyen, Thong Tien

    2012-01-01

    This study explores desired and undesired characteristics of mussels in wholesale market by applying hedonic price analysis. Transaction data in auction market in Yerseke, the Netherlands, was used to estimate linear and semi-log price models. Meat content and size count, which are measured...... of raw mussels are significant discounting factors on the price. The study also investigates the impact of farming locations and seasons on the price and the price trend during the period of 2002–2009....

  8. Estimating demand schedules in hedonic analysis

    DEFF Research Database (Denmark)

    Panduro, Toke Emil; Jensen, Cathrine Ulla; Lundhede, Thomas

    The hedonic pricing method has been used extensively to obtain implicit prices for availability of urban green space, but few hedonic studies have obtained households’ preference parameters. We estimate willingness to pay functions for park availability in Copenhagen using an approach that places...... identifying restrictions on the utility function. We do this for two different measures of park availability. We apply our results to a policy scenario and show how estimates of aggregate welfare changes are highly sensitive to the measure of park availability applied. Thus, the approach in this study applies...... an alternative path for estimation of demand schedules for public goods using hedonic data. The findings also stress the importance of paying attention to how public goods are defined when undertaking welfare economic policy analyses....

  9. Documentation of the Retail Price Model

    Science.gov (United States)

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

  10. Research on nonlinear stochastic dynamical price model

    International Nuclear Information System (INIS)

    Li Jiaorui; Xu Wei; Xie Wenxian; Ren Zhengzheng

    2008-01-01

    In consideration of many uncertain factors existing in economic system, nonlinear stochastic dynamical price model which is subjected to Gaussian white noise excitation is proposed based on deterministic model. One-dimensional averaged Ito stochastic differential equation for the model is derived by using the stochastic averaging method, and applied to investigate the stability of the trivial solution and the first-passage failure of the stochastic price model. The stochastic price model and the methods presented in this paper are verified by numerical studies

  11. Valuing Groundwater Services and Water Portfolio in Irrigated Agriculture with a Hedonic Pricing Model

    OpenAIRE

    Mukherjee, Monobina

    2013-01-01

    Water plays a vital role in the processes and functioning of the Earth's ecosystems. Only one percent of the earth's fresh water resources are available for human activity. The gap between water supply and demand is increasing due to population growth, development pressure and climate change. Poor water quality aggravates this imbalance even more. A serious concern that naturally arises is how will agriculture, which consumes 70% of world's freshwater withdrawals, respond to these issues. Thi...

  12. Media enjoyment as need satisfaction: The contribution of hedonic and non-hedonic needs

    NARCIS (Netherlands)

    Tamborini, R.; Grizzard, M.; Bowman, N.D.; Reinecke, L.; Lewis, R.; Eden, A.L.

    2011-01-01

    Most early research on entertainment defines media enjoyment in functional terms as the satisfaction of hedonic needs. Two studies demonstrate the value of including nonhedonic and hedonic need satisfaction in defining enjoyment. Both studies find support for a need-satisfaction model showing that

  13. CAM Stochastic Volatility Model for Option Pricing

    Directory of Open Access Journals (Sweden)

    Wanwan Huang

    2016-01-01

    Full Text Available The coupled additive and multiplicative (CAM noises model is a stochastic volatility model for derivative pricing. Unlike the other stochastic volatility models in the literature, the CAM model uses two Brownian motions, one multiplicative and one additive, to model the volatility process. We provide empirical evidence that suggests a nontrivial relationship between the kurtosis and skewness of asset prices and that the CAM model is able to capture this relationship, whereas the traditional stochastic volatility models cannot. We introduce a control variate method and Monte Carlo estimators for some of the sensitivities (Greeks of the model. We also derive an approximation for the characteristic function of the model.

  14. A model for the effects of psychological pricing in Gabor-Granger price studies

    NARCIS (Netherlands)

    Wedel, M; Leeflang, PSH

    We present a model of consumers' price sensitivity that explicitly deals with the existence of so-called psychological price levels or odd prices, i.e. prices ending in an odd number. The model is formulated in a latent class framework, in which splines are used to model utility as a function of

  15. Price models for oil derivates in Slovenia

    International Nuclear Information System (INIS)

    Nemac, F.; Saver, A.

    1995-01-01

    In Slovenia, a law is currently applied according to which any change in the price of oil derivatives is subject to the Governmental approval. Following the target of getting closer to the European Union, the necessity has arisen of finding ways for the introduction of liberalization or automated approach to price modifications depending on oscillations of oil derivative prices on the world market and the rate of exchange of the American dollar. It is for this reason that at the Agency for Energy Restructuring we made a study for the Ministry of Economic Affairs and Development regarding this issue. We analysed the possible models for the formation of oil derivative prices for Slovenia. Based on the assessment of experiences of primarily the west European countries, we proposed three models for the price formation for Slovenia. In future, it is expected that the Government of the Republic of Slovenia will make a selection of one of the proposed models to be followed by enforcement of price liberalization. The paper presents two representative models for price formation as used in Austria and Portugal. In the continuation the authors analyse the application of three models that they find suitable for the use in Slovenia. (author)

  16. Modelling oil price volatility with structural breaks

    International Nuclear Information System (INIS)

    Salisu, Afees A.; Fasanya, Ismail O.

    2013-01-01

    In this paper, we provide two main innovations: (i) we analyze oil prices of two prominent markets namely West Texas Intermediate (WTI) and Brent using the two recently developed tests by Narayan and Popp (2010) and Liu and Narayan, 2010 both of which allow for two structural breaks in the data series; and (ii) the latter method is modified to include both symmetric and asymmetric volatility models. We identify two structural breaks that occur in 1990 and 2008 which coincidentally correspond to the Iraqi/Kuwait conflict and the global financial crisis, respectively. We find evidence of persistence and leverage effects in the oil price volatility. While further extensions can be pursued, the consideration of asymmetric effects as well as structural breaks should not be jettisoned when modelling oil price volatility. - Highlights: ► We analyze oil price volatility using NP (2010) and LN (2010) tests. ► We modify the LN (2010) to account for leverage effects in oil price. ► We find two structural breaks that reflect major global crisis in the oil market. ► We find evidence of persistence and leverage effects in oil price volatility. ► Leverage effects and structural breaks are fundamental in oil price modelling.

  17. The Hedonic Haptic Player

    DEFF Research Database (Denmark)

    Vallgårda, Anna; Boer, Laurens; Cahill, Ben

    2017-01-01

    In this design case we present the Hedonic Haptic Player—a wearable device that plays different patterns of vibrations on the body as a form of music for the skin. With this we begin to explore the enjoyability of vibrations in a wearable set-up. Instead of implementing vibrations as a haptic...... output for some form of communication we want to explore their hedonistic value. The process leading up to the Hedonic Haptic player served as a first step in getting a grasp of the design space of vibrotactile stimuli in a broader sense. This is reported as seven episodes of explorations. The Hedonic...

  18. Assessing Asset Pricing Models Using Revealed Preference

    OpenAIRE

    Jonathan B. Berk; Jules H. van Binsbergen

    2014-01-01

    We propose a new method of testing asset pricing models that relies on using quantities rather than prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infer, from a set of candidate models, the model that is closest to the model that investors use in making their capital allocation decisions. Using this methodology, we find that of the models most commonly used in the literature,...

  19. Fractional-moment Capital Asset Pricing model

    International Nuclear Information System (INIS)

    Li Hui; Wu Min; Wang Xiaotian

    2009-01-01

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

  20. Price premium of organic salmon in Danish retail sale

    DEFF Research Database (Denmark)

    Ankamah Yeboah, Isaac; Nielsen, Max; Nielsen, Rasmus

    2016-01-01

    for organic salmon in Danish retail sale using consumer panel scanner data from households by applying a random effect hedonic price model that permits unobserved household heterogeneity. A price premium of 20% was identified for organic salmon. The magnitude of this premium is comparable to organic labeled...

  1. Electricity price forecasting through transfer function models

    International Nuclear Information System (INIS)

    Nogales, F.J.; Conejo, A.J.

    2006-01-01

    Forecasting electricity prices in present day competitive electricity markets is a must for both producers and consumers because both need price estimates to develop their respective market bidding strategies. This paper proposes a transfer function model to predict electricity prices based on both past electricity prices and demands, and discuss the rationale to build it. The importance of electricity demand information is assessed. Appropriate metrics to appraise prediction quality are identified and used. Realistic and extensive simulations based on data from the PJM Interconnection for year 2003 are conducted. The proposed model is compared with naive and other techniques. Journal of the Operational Research Society (2006) 57, 350-356.doi:10.1057/palgrave.jors.2601995; published online 18 May 2005. (author)

  2. On the Use of Hedonic Price Indices to Understand Ecosystem Service Provision from Urban Green Space in Five Latin American Megacities

    Directory of Open Access Journals (Sweden)

    Ursula Loret de Mola

    2017-12-01

    Full Text Available Latin American (LA megacities are facing enormous challenges to provide welfare to millions of people who live in them. High rates of urbanization and limited administrative capacity of LA cities to plan and control urban growth have led to a critical deficit of urban green space, and therefore, to sub-optimal outcomes in terms of urban sustainability. This study seeks to assess the possibility of using real estate prices to provide an estimate of the monetary value of the ecosystem services provided by urban green space across five Latin American megacities: Bogota, Buenos Aires, Lima, Mexico City and Santiago de Chile. Using Google Earth images to quantify urban green space and multiple regression analysis, we evaluated the impact of urban green space, crime rates, business density and population density on real estate prices across the five mentioned megacities. In addition, for a subset of the data (Lima and Buenos Aires we analyzed the effects of landscape ecology variables (green space patch size, connectivity, etc. on real estate prices to provide a first insight into how the ecological attributes of urban green space can determine the level of ecosystem service provision in different urban contexts in Latin America. The results show a strong positive relationship between the presence of urban green space and real estate prices. Green space explains 52% of the variability in real estate prices across the five studied megacities. Population density, business density and crime had only minor impacts on real estate prices. Our analysis of the landscape ecology variables in Lima and Buenos Aires also show that the relationship between green space and price is context-specific, which indicates that further research is needed to better understand when and where ecological attributes of green space affect real estate prices so that managers of urban green space in LA cities can optimize ecological configuration to maximize ecosystem service

  3. Expected commodity returns and pricing models

    International Nuclear Information System (INIS)

    Cortazar, Gonzalo; Kovacevic, Ivo; Schwartz, Eduardo S.

    2015-01-01

    Stochastic models of commodity prices have evolved considerably in terms of their structure and the number and interpretation of the state variables that model the underlying risk. Using multiple factors, different specifications and modern estimation techniques, these models have gained wide acceptance because of their success in accurately fitting the observed commodity futures' term structures and their dynamics. It is not well emphasized however that these models, in addition to providing the risk neutral distribution of future spot prices, also provide their true distribution. While the parameters of the risk neutral distribution are estimated more precisely and are usually statistically significant, some of the parameters of the true distribution are typically measured with large errors and are statistically insignificant. In this paper we argue that to increase the reliability of commodity pricing models, and therefore their use by practitioners, some of their parameters — in particular the risk premium parameters — should be obtained from other sources and we show that this can be done without losing any precision in the pricing of futures contracts. We show how the risk premium parameters can be obtained from estimations of expected futures returns and provide alternative procedures for estimating these expected futures returns. - Highlights: • Simple methodology to improve the performance of commodity pricing models • New information about commodity futures expected return is added to the estimation. • No significant effect in pricing futures contracts is observed. • More reliable commodity pricing model's expected returns are obtained. • Methodology is open to any expected futures return model preferred by practitioner

  4. An Extrapolative Model of House Price Dynamics

    OpenAIRE

    Edward L. Glaeser; Charles G. Nathanson

    2015-01-01

    A modest approximation by homebuyers leads house prices to display three features that are present in the data but usually missing from perfectly rational models: momentum at one-year horizons, mean reversion at five-year horizons, and excess longer-term volatility relative to fundamentals. Valuing a house involves forecasting the current and future demand to live in the surrounding area. Buyers forecast using past transaction prices. Approximating buyers do not adjust for the expectations of...

  5. Dynamical Models For Prices With Distributed Delays

    Directory of Open Access Journals (Sweden)

    Mircea Gabriela

    2015-06-01

    Full Text Available In the present paper we study some models for the price dynamics of a single commodity market. The quantities of supplied and demanded are regarded as a function of time. Nonlinearities in both supply and demand functions are considered. The inventory and the level of inventory are taken into consideration. Due to the fact that the consumer behavior affects commodity demand, and the behavior is influenced not only by the instantaneous price, but also by the weighted past prices, the distributed time delay is introduced. The following kernels are taken into consideration: demand price weak kernel and demand price Dirac kernel. Only one positive equilibrium point is found and its stability analysis is presented. When the demand price kernel is weak, under some conditions of the parameters, the equilibrium point is locally asymptotically stable. When the demand price kernel is Dirac, the existence of the local oscillations is investigated. A change in local stability of the equilibrium point, from stable to unstable, implies a Hopf bifurcation. A family of periodic orbits bifurcates from the positive equilibrium point when the time delay passes through a critical value. The last part contains some numerical simulations to illustrate the effectiveness of our results and conclusions.

  6. A hybrid modeling approach for option pricing

    Science.gov (United States)

    Hajizadeh, Ehsan; Seifi, Abbas

    2011-11-01

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

  7. VALUE OF BEEF STEAK BRANDING: HEDONIC ANALYSIS OF RETAIL SCANNER DATA

    OpenAIRE

    Schulz, Lee L.; Schroeder, Ted C.; White, Katharine L.

    2010-01-01

    Consumers rely on experience and credence attributes when purchasing beef from retailers. It is essential for all beef industry sectors to recognize the complexity of consumer buying behavior. A hedonic model is estimated to determine if there are incentives to brand beef steaks, the types of brands that entertain price premiums, and the level of existing premiums. Most branded steaks garnered premiums along with organic claims, religious processing claims, and premium cuts. Factors influenci...

  8. Quasi-Experiments and Hedonic Property Value Methods

    OpenAIRE

    Christopher F. Parmeter; Jaren C. Pope

    2012-01-01

    There has recently been a dramatic increase in the number of papers that have combined quasi-experimental methods with hedonic property models. This is largely due to the concern that cross-sectional hedonic methods may be severely biased by omitted variables. While the empirical literature has developed extensively, there has not been a consistent treatment of the theory and methods of combining hedonic property models with quasi-experiments. The purpose of this chapter is to fill this void....

  9. Modelling prices in competitive electricity markets

    International Nuclear Information System (INIS)

    Bunn, D.W.

    2004-04-01

    Electricity markets are structurally different to other commodities, and the real-time dynamic balancing of the electricity network involves many external factors. Because of this, it is not a simple matter to transfer conventional models of financial time series analysis to wholesale electricity prices. The rationale for this compilation of chapters from international authors is, therefore, to provide econometric analysis of wholesale power markets around the world, to give greater understanding of their particular characteristics, and to assess the applicability of various methods of price modelling. Researchers and professionals in this sector will find the book an invaluable guide to the most important state-of-the-art modelling techniques which are converging to define the special approaches necessary for unravelling and forecasting the behaviour of electricity prices. It is a high-quality synthesis of the work of financial engineering, industrial economics and power systems analysis, as they relate to the behaviour of competitive electricity markets. (author)

  10. Nonlinear price impact from linear models

    Science.gov (United States)

    Patzelt, Felix; Bouchaud, Jean-Philippe

    2017-12-01

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

  11. Multivariate Option Pricing Using Dynamic Copula Models

    NARCIS (Netherlands)

    van den Goorbergh, R.W.J.; Genest, C.; Werker, B.J.M.

    2003-01-01

    This paper examines the behavior of multivariate option prices in the presence of association between the underlying assets.Parametric families of copulas offering various alternatives to the normal dependence structure are used to model this association, which is explicitly assumed to vary over

  12. Some Divergence Properties of Asset Price Models

    Directory of Open Access Journals (Sweden)

    Wolfgang Stummer

    2001-12-01

    Full Text Available Abstract: We consider asset price processes Xt which are weak solutions of one-dimensional stochastic differential equations of the form (equation (2 Such price models can be interpreted as non-lognormally-distributed generalizations of the geometric Brownian motion. We study properties of the Iα-divergence between the law of the solution Xt and the corresponding drift-less measure (the special case α=1 is the relative entropy. This will be applied to some context in statistical information theory as well as to arbitrage theory and contingent claim valuation. For instance, the seminal option pricing theorems of Black-Scholes and Merton appear as a special case.

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

    Science.gov (United States)

    Santhi, G.; Karthikeyan, K.

    2017-11-01

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

  14. Improving the asset pricing ability of the Consumption-Capital Asset Pricing Model?

    DEFF Research Database (Denmark)

    Rasmussen, Anne-Sofie Reng

    This paper compares the asset pricing ability of the traditional consumption-based capital asset pricing model to models from two strands of literature attempting to improve on the poor empirical results of the C-CAPM. One strand is based on the intertemporal asset pricing model of Campbell (1993...... able to price assets conditionally as suggested by Cochrane (1996) and Lettau and Ludvigson (2001b). The unconditional C-CAPM is rewritten as a scaled factor model using the approximate log consumptionwealth ratio cay, developed by Lettau and Ludvigson (2001a), as scaling variable. The models...... and composite. Thus, there is no unambiguous solution to the pricing ability problems of the C-CAPM. Models from both the alternative literature strands are found to outperform the traditional C-CAPM on average pricing errors. However, when weighting pricing errors by the full variance-covariance matrix...

  15. A goods characteristics model of the hedonic ageing equation: evidence from a French marriage bureau

    OpenAIRE

    Sam Cameron; Nicolas Vaillant

    2005-01-01

    The present paper adopts a modelling perspective derived from goods characteristics analysis [Lancaster (1971)] and the general ideas of transactions costs. This is implemented in estimated equations, which feature the age of partner sought as the dependent variable and own age and various other personal characteristics, and characteristics desired in a partner, as the right-hand side variables. The results show a very strong relationship between age and desired partner age. More interestingl...

  16. Port pricing : principles, structure and models

    OpenAIRE

    Meersman, Hilde; Strandenes, Siri Pettersen; Van de Voorde, Eddy

    2014-01-01

    Price level and price transparency are input to shippers’ choice of supply chain and transport mode. In this paper, we analyse current port pricing structures in the light of the pricing literature and consider opportunities for improvement. We present a detailed overview of pricing criteria, who sets prices and who ultimately foots the bill for port-of-call charges, cargo-handling fees and congestion charges. Current port pricing practice is based on a rather linear structure and fails to in...

  17. Deregulated model and locational marginal pricing

    International Nuclear Information System (INIS)

    Sood, Yog Raj; Padhy, N.P.; Gupta, H.O.

    2007-01-01

    This paper presents a generalized optimal model that dispatches the pool in combination with privately negotiated bilateral and multilateral contracts while maximizing social benefit has been proposed. This model determines the locational marginal pricing (LMP) based on marginal cost theory. It also determines the size of non-firm transactions as well as pool demand and generations. Both firms as well as non-firm transactions are considered in this model. The proposed model has been applied to IEEE-30 bus test system. In this test system different types of transactions are added for analysis of the proposed model. (author)

  18. Modelling Affective Pain in Mice: Effects of Inflammatory Hypersensitivity on Place Escape/Avoidance Behaviour, Anxiety and Hedonic State

    DEFF Research Database (Denmark)

    Refsgaard, Louise Konradsen; Hoffmann-Petersen, Julie; Sahlholt, Maj

    2016-01-01

    and the dark area of a box while being stimulated with a suprathreshold filament on the untreated or treated paw, respectively. This was followed by a 30-min test with unrestricted movement. Anxiety-like behaviour, locomotor activity, and hedonic state were assessed with the elevated zero maze (EZM), an open...... PEAP and other behavioural responses, namely anxiety-like behaviour, locomotor activity, and hedonic state. New Method A novel paradigm assessing the affective component of pain in mice was developed by modifying the setup known from rat studies: Animals were forced to stay 2x5 min in the light...... field setup, and a saccharin preference test, respectively, and correlated with the PEAP behaviour to examine potentially confounding parameters of the novel paradigm. Results In the PEAP, CFA-treated animals spent more time in the light area. CFA also increased anxiety-like behaviour significantly...

  19. Electricity market pricing, risk hedging and modeling

    Science.gov (United States)

    Cheng, Xu

    In this dissertation, we investigate the pricing, price risk hedging/arbitrage, and simplified system modeling for a centralized LMP-based electricity market. In an LMP-based market model, the full AC power flow model and the DC power flow model are most widely used to represent the transmission system. We investigate the differences of dispatching results, congestion pattern, and LMPs for the two power flow models. An appropriate LMP decomposition scheme to quantify the marginal costs of the congestion and real power losses is critical for the implementation of financial risk hedging markets. However, the traditional LMP decomposition heavily depends on the slack bus selection. In this dissertation we propose a slack-independent scheme to break LMP down into energy, congestion, and marginal loss components by analyzing the actual marginal cost of each bus at the optimal solution point. The physical and economic meanings of the marginal effect at each bus provide accurate price information for both congestion and losses, and thus the slack-dependency of the traditional scheme is eliminated. With electricity priced at the margin instead of the average value, the market operator typically collects more revenue from power sellers than that paid to power buyers. According to the LMP decomposition results, the revenue surplus is then divided into two parts: congestion charge surplus and marginal loss revenue surplus. We apply the LMP decomposition results to the financial tools, such as financial transmission right (FTR) and loss hedging right (LHR), which have been introduced to hedge against price risks associated to congestion and losses, to construct a full price risk hedging portfolio. The two-settlement market structure and the introduction of financial tools inevitably create market manipulation opportunities. We investigate several possible market manipulation behaviors by virtual bidding and propose a market monitor approach to identify and quantify such

  20. Economic analysis of coal price-electricity price adjustment in China based on the CGE model

    International Nuclear Information System (INIS)

    He, Y.X.; Zhang, S.L.; Yang, L.Y.; Wang, Y.J.; Wang, J.

    2010-01-01

    In recent years, coal price has risen rapidly, which has also brought a sharp increase in the expenditures of thermal power plants in China. Meantime, the power production price and power retail price have not been adjusted accordingly and a large number of thermal power plants have incurred losses. The power industry is a key industry in the national economy. As such, a thorough analysis and evaluation of the economic influence of the electricity price should be conducted before electricity price adjustment is carried out. This paper analyses the influence of coal price adjustment on the electric power industry, and the influence of electricity price adjustment on the macroeconomy in China based on computable general equilibrium models. The conclusions are as follows: (1) a coal price increase causes a rise in the cost of the electric power industry, but the influence gradually descends with increase in coal price; and (2) an electricity price increase has an adverse influence on the total output, Gross Domestic Product (GDP), and the Consumer Price Index (CPI). Electricity price increases have a contractionary effect on economic development and, consequently, electricity price policy making must consequently consider all factors to minimize their adverse influence.

  1. How intrinsic values influence wines prices

    Directory of Open Access Journals (Sweden)

    Gál Péter

    2017-01-01

    Full Text Available The use of hedonic price indices is quite common in the wine economics literature, yet they mainly include scores of organoleptic tests and some dummy variables representing varieties and quality signs as geographical indications. This study focuses on the relation between the composition and the price of wines on the example of Hungarian wines. In Hungary, the wine law renders chemical analysis compulsory for all wines released to the market. The study includes five main compounds: actual alcoholic strength, total sugars, total acidity, sugar free extract and pH value and is based on hedonic price indices calculated on a sample of 2,453 wines. Results of several regressions – using different model specifications – consistently show that actual alcoholic strength, sugar content, sugar free extract and pH value are related with the price. Some characteristics have an optimal level, while in other cases the relation is linear.

  2. Parameter estimation of electricity spot models from futures prices

    NARCIS (Netherlands)

    Aihara, ShinIchi; Bagchi, Arunabha; Imreizeeq, E.S.N.; Walter, E.

    We consider a slight perturbation of the Schwartz-Smith model for the electricity futures prices and the resulting modified spot model. Using the martingale property of the modified price under the risk neutral measure, we derive the arbitrage free model for the spot and futures prices. We estimate

  3. Space-time modeling of electricity spot prices

    DEFF Research Database (Denmark)

    Abate, Girum Dagnachew; Haldrup, Niels

    In this paper we derive a space-time model for electricity spot prices. A general spatial Durbin model that incorporates the temporal as well as spatial lags of spot prices is presented. Joint modeling of space-time effects is necessarily important when prices and loads are determined in a network...... in the spot price dynamics. Estimation of the spatial Durbin model show that the spatial lag variable is as important as the temporal lag variable in describing the spot price dynamics. We use the partial derivatives impact approach to decompose the price impacts into direct and indirect effects and we show...... that price effects transmit to neighboring markets and decline with distance. In order to examine the evolution of the spatial correlation over time, a time varying parameters spot price spatial Durbin model is estimated using recursive estimation. It is found that the spatial correlation within the Nord...

  4. HEDONIC ANALYSIS OF CELL PHONES SOLD WITH POST-PAID SERVICE PLANS IN BRAZIL

    Directory of Open Access Journals (Sweden)

    Cláudio R. Lucinda

    2012-07-01

    Full Text Available The aim of this paper is to analyze the determining factors for the pricing of handsets sold with service plans, using the hedonic price method. This was undertaken by building a database comprising 48 handset models, under nine different service plans, over a period of 53 weeks in 2008, and resulted in 27 different attributes and a total number of nearly 300,000 data registers. The results suggest that the value of monthly subscriptions and calling minutes are important to explain the prices of handsets. Furthermore, both the physical volume and number of megapixels of a camera had an effect on the prices. The bigger the handset, the cheaper it becomes, and the more megapixels a camera phone has, the more expensive it becomes. Additionally, it was found that in 2008 Brazilian phone companies were subsidizing enabled data connection handsets.

  5. Orphan Drug Pricing: An Original Exponential Model Relating Price to the Number of Patients

    Directory of Open Access Journals (Sweden)

    Andrea Messori

    2016-10-01

    Full Text Available In managing drug prices at the national level, orphan drugs represent a special case because the price of these agents is higher than that determined according to value-based principles. A common practice is to set the orphan drug price in an inverse relationship with the number of patients, so that the price increases as the number of patients decreases. Determination of prices in this context generally has a purely empirical nature, but a theoretical basis would be needed. The present paper describes an original exponential model that manages the relationship between price and number of patients for orphan drugs. Three real examples are analysed in detail (eculizumab, bosentan, and a data set of 17 orphan drugs published in 2010. These analyses have been aimed at identifying some objective criteria to rationally inform this relationship between prices and patients and at converting these criteria into explicit quantitative rules.

  6. A Simple Model of Pharmaceutical Price Dynamics

    OpenAIRE

    Bhattacharya, Jayanta; Vogt, William B

    2003-01-01

    Branded pharmaceutical firms use price and promotional strategy to manage public knowledge about their drugs. We propose a dynamic theory of pharmaceutical pricing and conduct an exploratory empirical analysis inspired by the theory. Our theory predicts a pattern of increasing prices and decreasing promotional activities over a drug's life cycle. Prices are kept low and advertising levels high early in the life cycle in order to build public knowledge about the drug. As knowledge grows, price...

  7. Pricing the Services in Dynamic Environment: Agent Pricing Model

    Science.gov (United States)

    Žagar, Drago; Rupčić, Slavko; Rimac-Drlje, Snježana

    New Internet applications and services as well as new user demands open many new issues concerning dynamic management of quality of service and price for received service, respectively. The main goals of Internet service providers are to maximize profit and maintain a negotiated quality of service. From the users' perspective the main goal is to maximize ratio of received QoS and costs of service. However, achieving these objectives could become very complex if we know that Internet service users might during the session become highly dynamic and proactive. This connotes changes in user profile or network provider/s profile caused by high level of user mobility or variable level of user demands. This paper proposes a new agent based pricing architecture for serving the highly dynamic customers in context of dynamic user/network environment. The proposed architecture comprises main aspects and basic parameters that will enable objective and transparent assessment of the costs for the service those Internet users receive while dynamically change QoS demands and cost profile.

  8. The Earnings/Price Risk Factor in Capital Asset Pricing Models

    Directory of Open Access Journals (Sweden)

    Rafael Falcão Noda

    2015-01-01

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

  9. Hedonic Motivations for Online Shopping

    OpenAIRE

    Pui-Lai To; E-Ping Sung

    2014-01-01

    The purpose of this study is to investigate hedonic online shopping motivations. A qualitative analysis was conducted to explore the factors influencing online hedonic shopping motivations. The results of the study indicate that traditional hedonic values, consisting of social, role, self-gratification, learning trends, pleasure of bargaining, stimulation, diversion, status, and adventure, and dimensions of flow theory, consisting of control, curiosity, enjoyment, and telepresence, exist in t...

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

    Science.gov (United States)

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

    2015-12-01

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

  11. 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.

  12. Equilibrium Price Dispersion in a Matching Model with Divisible Money

    NARCIS (Netherlands)

    Kamiya, K.; Sato, T.

    2002-01-01

    The main purpose of this paper is to show that, for any given parameter values, an equilibrium with dispersed prices (two-price equilibrium) exists in a simple matching model with divisible money presented by Green and Zhou (1998).We also show that our two-price equilibrium is unique in certain

  13. Minimum Price Guarantees In a Consumer Search Model

    NARCIS (Netherlands)

    M.C.W. Janssen (Maarten); A. Parakhonyak (Alexei)

    2009-01-01

    textabstractThis paper is the first to examine the effect of minimum price guarantees in a sequential search model. Minimum price guarantees are not advertised and only known to consumers when they come to the shop. We show that in such an environment, minimum price guarantees increase the value of

  14. Modeling spot markets for electricity and pricing electricity derivatives

    Science.gov (United States)

    Ning, Yumei

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

  15. Exploring the Intrinsic Motivation of Hedonic Information Systems Acceptance: Integrating Hedonic Theory and Flow with TAM

    Science.gov (United States)

    Wang, Zhihuan

    Research on Information Systems (IS) acceptance is substantially focused on extrinsic motivation in workplaces, little is known about the underlying intrinsic motivations of Hedonic IS (HIS) acceptance. This paper proposes a hybrid HIS acceptance model which takes the unique characteristics of HIS and multiple identities of a HIS user into consideration by interacting Hedonic theory, Flow theory with Technology Acceptance Model (TAM). The model was empirically tested by a field survey. The result indicates that emotional responses, imaginal responses, and flow experience are three main contributions of HIS acceptance.

  16. Spatial Data Web Services Pricing Model Infrastructure

    Science.gov (United States)

    Ozmus, L.; Erkek, B.; Colak, S.; Cankurt, I.; Bakıcı, S.

    2013-08-01

    most important law with related NSDI is the establishment of General Directorate of Geographic Information System under the Ministry of Environment and Urbanism. due to; to do or to have do works and activities with related to the establishment of National Geographic Information Systems (NGIS), usage of NGIS and improvements of NGIS. Outputs of these projects are served to not only public administration but also to Turkish society. Today for example, TAKBIS data (cadastre services) are shared more than 50 institutions by Web services, Tusaga-Aktif system has more than 3800 users who are having real-time GPS data correction, Orthophoto WMS services has been started for two years as a charge of free. Today there is great discussion about data pricing among the institutions. Some of them think that the pricing is storage of the data. Some of them think that the pricing is value of data itself. There is no certain rule about pricing. On this paper firstly, pricing of data storage and later on spatial data pricing models in different countries are investigated to improve institutional understanding in Turkey.

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

    Science.gov (United States)

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

    2018-01-01

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

  18. Heterogeneous beliefs and routes to complex dynamics in asset pricing models with price contingent contracts

    NARCIS (Netherlands)

    Brock, W.A.; Hommes, C.H.

    2001-01-01

    This paper discusses dynamic evolutionary multi-agent systems, as introduced by Brock and Hommes (1997). In particular the heterogeneous agent dynamic asset pricing model of Brock and Hommes (1998) is extended by introducing derivative securities by means of price contingent contracts. Numerical

  19. Electricity pricing model in thermal generating stations under deregulation

    International Nuclear Information System (INIS)

    Reji, P.; Ashok, S.; Moideenkutty, K.M.

    2007-01-01

    In regulated public utilities with competitive power markets, deregulation has replaced the monopoly. Under the deregulated power market, the electricity price primarily depends on market mechanism and power demand. In this market, generators generally follow marginal pricing. Each generator fixes the electricity price based on their pricing strategy and it leads to more price volatility. This paper proposed a model to determine the electricity price considering all operational constraints of the plant and economic variables that influenced the price, for a thermal generating station under deregulation. The purpose of the model was to assist existing stations, investors in the power sector, regulatory authorities, transmission utilities, and new power generators in decision-making. The model could accommodate price volatility in the market and was based on performance incentive/penalty considering plant load factor, availability of the plant and peak/ off peak demand. The model was applied as a case study to a typical thermal utility in India to determine the electricity price. It was concluded that the case study of a thermal generating station in a deregulated environment showed that the electricity price mainly depended on the gross calorific value (GCV) of fuel, mode of operation, price of the fuel, and operating charges. 11 refs., 2 tabs., 1 fig

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

    Energy Technology Data Exchange (ETDEWEB)

    Narayan, Paresh Kumar [School of Accounting, Economics and Finance, Deakin University, Victoria 3125 (Australia); Narayan, Seema [School of Economics, Finance and Marketing, Royal Melbourne Institute of Technology University, Melbourne (Australia)

    2010-01-15

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

  1. Stochastic Local Search for Core Membership Checking in Hedonic Games

    Science.gov (United States)

    Keinänen, Helena

    Hedonic games have emerged as an important tool in economics and show promise as a useful formalism to model multi-agent coalition formation in AI as well as group formation in social networks. We consider a coNP-complete problem of core membership checking in hedonic coalition formation games. No previous algorithms to tackle the problem have been presented. In this work, we overcome this by developing two stochastic local search algorithms for core membership checking in hedonic games. We demonstrate the usefulness of the algorithms by showing experimentally that they find solutions efficiently, particularly for large agent societies.

  2. Pricing Vulnerable Options with Market Prices of Common Jump Risks under Regime-Switching Models

    Directory of Open Access Journals (Sweden)

    Miao Han

    2018-01-01

    Full Text Available This paper investigates the valuation of vulnerable European options considering the market prices of common systematic jump risks under regime-switching jump-diffusion models. The way of regime-switching Esscher transform is adopted to identify an equivalent martingale measure for pricing vulnerable European options. Explicit analytical pricing formulae for vulnerable European options are derived by risk-neutral pricing theory. For comparison, the other two cases are also considered separately. The first case considers all jump risks as unsystematic risks while the second one assumes all jumps risks to be systematic risks. Numerical examples for the valuation of vulnerable European options are provided to illustrate our results and indicate the influence of the market prices of jump risks on the valuation of vulnerable European options.

  3. Prices, production, and inventories over the automotive model year

    OpenAIRE

    Adam Copeland; Wendy E. Dunn; George J. Hall

    2005-01-01

    This paper studies the within-model-year pricing and production of new automobiles. Using new monthly data on U.S. transaction prices, we document that for the typical new vehicle, prices typically fall over the model year at a 9.2 percent annual rate. Concurrently, both sales and inventories are hump shaped. To explain these time series, we formulate a market equilibrium model for new automobiles in which inventory and pricing decisions are made simultaneously. On the demand side, we use mic...

  4. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

  5. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    2013-01-01

    to be priced consistently, while allowing for jumps in volatility and returns. An affine specification using Lévy processes as building blocks leads to analytically tractable pricing formulas for volatility derivatives, such as VIX options, as well as efficient numerical methods for pricing of European options...... on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options on S&P 500 across...

  6. An Empirical Comparison of Default Swap Pricing Models

    NARCIS (Netherlands)

    P. Houweling (Patrick); A.C.F. Vorst (Ton)

    2002-01-01

    textabstractAbstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the

  7. Bayesian Option Pricing using Mixed Normal Heteroskedasticity Models

    DEFF Research Database (Denmark)

    Rombouts, Jeroen; Stentoft, Lars

    2014-01-01

    Option pricing using mixed normal heteroscedasticity models is considered. It is explained how to perform inference and price options in a Bayesian framework. The approach allows to easily compute risk neutral predictive price densities which take into account parameter uncertainty....... In an application to the S&P 500 index, classical and Bayesian inference is performed on the mixture model using the available return data. Comparing the ML estimates and posterior moments small differences are found. When pricing a rich sample of options on the index, both methods yield similar pricing errors...... measured in dollar and implied standard deviation losses, and it turns out that the impact of parameter uncertainty is minor. Therefore, when it comes to option pricing where large amounts of data are available, the choice of the inference method is unimportant. The results are robust to different...

  8. Creator of the capital asset pricing model

    Directory of Open Access Journals (Sweden)

    Pantelić Svetlana

    2014-01-01

    Full Text Available Harry M. Markowite, Merton H. Miller and William F. Sharpe were awarded the Nobel Prize in Economic Sciences in 1990, for their pioneering work in the theory of financial economics. Harry Markowite gave the most significant contribution in portfolio selection, William Sharpe in establishing the equilibrium theory of capital asset pricing (CAPM, and Merton Miller in corporate finance. Their work revolutionized finance through the introduction and implementation of quantitative methods in financial analysis. Sharpe was born in 1934 in Boston, Massachusetts. He received the Bachelor of Arts degree in 1955, the Master of Arts degree in 1956, and PhD degree in Economics in 1961 at the UCLA. In his doctoral dissertation he explored a series of aspects of portfolio analysis, based on a model proposed by Markowite. He spent his working career as a lecturer and professor, taking active part in numerous research projects. He authored many scientific papers and books, having won several awards and being a member of many institutions. He established his own financial consulting firm in 1989.

  9. Optimal Pricing and Advertising Policies for New Product Oligopoly Models

    OpenAIRE

    Gerald L. Thompson; Jinn-Tsair Teng

    1984-01-01

    In this paper our previous work on monopoly and oligopoly new product models is extended by the addition of pricing as well as advertising control variables. These models contain Bass's demand growth model, and the Vidale-Wolfe and Ozga advertising models, as well as the production learning curve model and an exponential demand function. The problem of characterizing an optimal pricing and advertising policy over time is an important question in the field of marketing as well as in the areas ...

  10. Modelling energy spot prices by Lévy semistationary processes

    DEFF Research Database (Denmark)

    Barndorff-Nielsen, Ole; Benth, Fred Espen; Veraart, Almut

    This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary processes. Lévy semistationary processes are special cases of the general class of ambit processes. We provide a detailed analysis of the probabilistic properties of such models and we show how...... they are able to capture many of the stylised facts observed in energy markets. Furthermore, we derive forward prices based on our spot price model. As it turns out, many of the classical spot models can be embedded into our novel modelling framework....

  11. Modelling electricity futures prices using seasonal path-dependent volatility

    International Nuclear Information System (INIS)

    Fanelli, Viviana; Maddalena, Lucia; Musti, Silvana

    2016-01-01

    Highlights: • A no-arbitrage term structure model is applied to the electricity market. • Volatility parameters of the HJM model are estimated by using German data. • The model captures the seasonal price behaviour. • Electricity futures prices are forecasted. • Call options are evaluated according to different strike prices. - Abstract: The liberalization of electricity markets gave rise to new patterns of futures prices and the need of models that could efficiently describe price dynamics grew exponentially, in order to improve decision making for all of the agents involved in energy issues. Although there are papers focused on modelling electricity as a flow commodity by using Heath et al. (1992) approach in order to price futures contracts, the literature is scarce on attempts to consider a seasonal volatility as input to models. In this paper, we propose a futures price model that allows looking into observed stylized facts in the electricity market, in particular stochastic price variability, and periodic behavior. We consider a seasonal path-dependent volatility for futures returns that are modelled in Heath et al. (1992) framework and we obtain the dynamics of futures prices. We use these series to price the underlying asset of a call option in a risk management perspective. We test the model on the German electricity market, and we find that it is accurate in futures and option value estimates. In addition, the obtained results and the proposed methodology can be useful as a starting point for risk management or portfolio optimization under uncertainty in the current context of energy markets.

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

    Science.gov (United States)

    Rosadi, D.; Muslim

    2017-12-01

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

  13. Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices

    International Nuclear Information System (INIS)

    Keles, Dogan; Genoese, Massimo; Möst, Dominik; Fichtner, Wolf

    2012-01-01

    This paper evaluates different financial price and time series models, such as mean reversion, autoregressive moving average (ARMA), integrated ARMA (ARIMA) and general autoregressive conditional heteroscedasticity (GARCH) process, usually applied for electricity price simulations. However, as these models are developed to describe the stochastic behaviour of electricity prices, they are extended by a separate data treatment for the deterministic components (trend, daily, weekly and annual cycles) of electricity spot prices. Furthermore price jumps are considered and implemented within a regime-switching model. Since 2008 market design allows for negative prices at the European Energy Exchange, which also occurred for several hours in the last years. Up to now, only a few financial and time series approaches exist, which are able to capture negative prices. This paper presents a new approach incorporating negative prices. The evaluation of the different approaches presented points out that the mean reversion and the ARMA models deliver the lowest mean root square error between simulated and historical electricity spot prices gained from the European Energy Exchange. These models posses also lower mean average errors than GARCH models. Hence, they are more suitable to simulate well-fitting price paths. Furthermore it is shown that the daily structure of historical price curves is better captured applying ARMA or ARIMA processes instead of mean-reversion or GARCH models. Another important outcome of the paper is that the regime-switching approach and the consideration of negative prices via the new proposed approach lead to a significant improvement of the electricity price simulation. - Highlights: ► Considering negative prices improves the results of time-series and financial models for electricity prices. ► Regime-switching approach captures the jumps and base prices quite well. ► Removing and separate modelling of deterministic annual, weekly and daily

  14. Water desalination price from recent performances: Modelling, simulation and analysis

    International Nuclear Information System (INIS)

    Metaiche, M.; Kettab, A.

    2005-01-01

    The subject of the present article is the technical simulation of seawater desalination, by a one stage reverse osmosis system, the objectives of which are the recent valuation of cost price through the use of new membrane and permeator performances, the use of new means of simulation and modelling of desalination parameters, and show the main parameters influencing the cost price. We have taken as the simulation example the Seawater Desalting centre of Djannet (Boumerdes, Algeria). The present performances allow water desalting at a price of 0.5 $/m 3 , which is an interesting and promising price, corresponding with the very acceptable water product quality, in the order of 269 ppm. It is important to run the desalting systems by reverse osmosis under high pressure, resulting in further decrease of the desalting cost and the production of good quality water. Aberration in choice of functioning conditions produces high prices and unacceptable quality. However there exists the possibility of decreasing the price by decreasing the requirement on the product quality. The seawater temperature has an effect on the cost price and quality. The installation of big desalting centres, contributes to the decrease in prices. A very important, long and tedious calculation is effected, which is impossible to conduct without programming and informatics tools. The use of the simulation model has been much efficient in the design of desalination centres that can perform at very improved prices. (author)

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

    Science.gov (United States)

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

    2014-12-01

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

  16. On a Boltzmann-type price formation model

    KAUST Repository

    Burger, Martin

    2013-06-26

    In this paper, we present a Boltzmann-type price formation model, which is motivated by a parabolic free boundary model for the evolution of price presented by Lasry and Lions in 2007. We discuss the mathematical analysis of the Boltzmann-type model and show that its solutions converge to solutions of the model by Lasry and Lions as the transaction rate tends to infinity. Furthermore, we analyse the behaviour of the initial layer on the fast time scale and illustrate the price dynamics with various numerical experiments. © 2013 The Author(s) Published by the Royal Society. All rights reserved.

  17. On a Boltzmann-type price formation model

    KAUST Repository

    Burger, Martin; Caffarelli, Luis A.; Markowich, Peter A.; Wolfram, Marie Therese

    2013-01-01

    In this paper, we present a Boltzmann-type price formation model, which is motivated by a parabolic free boundary model for the evolution of price presented by Lasry and Lions in 2007. We discuss the mathematical analysis of the Boltzmann-type model and show that its solutions converge to solutions of the model by Lasry and Lions as the transaction rate tends to infinity. Furthermore, we analyse the behaviour of the initial layer on the fast time scale and illustrate the price dynamics with various numerical experiments. © 2013 The Author(s) Published by the Royal Society. All rights reserved.

  18. Time series ARIMA models for daily price of palm oil

    Science.gov (United States)

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

    2015-02-01

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

  19. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

    DEFF Research Database (Denmark)

    Rombouts, Jeroen V. K; Stentoft, Lars

    2015-01-01

    We propose an asymmetric GARCH in mean mixture model and provide a feasible method for option pricing within this general framework by deriving the appropriate risk neutral dynamics. We forecast the out-of-sample prices of a large sample of options on the S&P 500 index from January 2006 to December...

  20. Pricing Models and Payment Schemes for Library Collections.

    Science.gov (United States)

    Stern, David

    2002-01-01

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

  1. Formation of an Integrated Stock Price Forecast Model in Lithuania

    Directory of Open Access Journals (Sweden)

    Audrius Dzikevičius

    2016-12-01

    Full Text Available Technical and fundamental analyses are widely used to forecast stock prices due to lack of knowledge of other modern models and methods such as Residual Income Model, ANN-APGARCH, Support Vector Machine, Probabilistic Neural Network and Genetic Fuzzy Systems. Although stock price forecast models integrating both technical and fundamental analyses are currently used widely, their integration is not justified comprehensively enough. This paper discusses theoretical one-factor and multi-factor stock price forecast models already applied by investors at a global level and determines possibility to create and apply practically a stock price forecast model which integrates fundamental and technical analysis with the reference to the Lithuanian stock market. The research is aimed to determine the relationship between stock prices of the 14 Lithuanian companies listed in the Main List by the Nasdaq OMX Baltic and various fundamental variables. Based on correlation and regression analysis results and application of c-Squared Test, ANOVA method, a general stock price forecast model is generated. This paper discusses practical implications how the developed model can be used to forecast stock prices by individual investors and suggests additional check measures.

  2. Fuzzy pricing for urban water resources: model construction and application.

    Science.gov (United States)

    Zhao, Ranhang; Chen, Shouyu

    2008-08-01

    A rational water price system plays a crucial role in the optimal allocation of water resources. In this paper, a fuzzy pricing model for urban water resources is presented, which consists of a multi-criteria fuzzy evaluation model and a water resources price (WRP) computation model. Various factors affecting WRP are comprehensively evaluated with multiple levels and objectives in the multi-criteria fuzzy evaluation model, while the price vectors of water resources are constructed in the WRP computation model according to the definition of the bearing water price index, and then WRP is calculated. With the incorporation of an operator's knowledge, it considers iterative weights and subjective preference of operators for weight-assessment. The weights determined are more rational and the evaluation results are more realistic. Particularly, dual water supply is considered in the study. Different prices being fixed for water resources with different qualities conforms to the law of water resources value (WRV) itself. A high-quality groundwater price computation model is also proposed to provide optimal water allocation and to meet higher living standards. The developed model is applied in Jinan for evaluating its validity. The method presented in this paper offers some new directions in the research of WRP.

  3. Probabilistic Electricity Price Forecasting Models by Aggregation of Competitive Predictors

    Directory of Open Access Journals (Sweden)

    Claudio Monteiro

    2018-04-01

    Full Text Available This article presents original probabilistic price forecasting meta-models (PPFMCP models, by aggregation of competitive predictors, for day-ahead hourly probabilistic price forecasting. The best twenty predictors of the EEM2016 EPF competition are used to create ensembles of hourly spot price forecasts. For each hour, the parameter values of the probability density function (PDF of a Beta distribution for the output variable (hourly price can be directly obtained from the expected and variance values associated to the ensemble for such hour, using three aggregation strategies of predictor forecasts corresponding to three PPFMCP models. A Reliability Indicator (RI and a Loss function Indicator (LI are also introduced to give a measure of uncertainty of probabilistic price forecasts. The three PPFMCP models were satisfactorily applied to the real-world case study of the Iberian Electricity Market (MIBEL. Results from PPFMCP models showed that PPFMCP model 2, which uses aggregation by weight values according to daily ranks of predictors, was the best probabilistic meta-model from a point of view of mean absolute errors, as well as of RI and LI. PPFMCP model 1, which uses the averaging of predictor forecasts, was the second best meta-model. PPFMCP models allow evaluations of risk decisions based on the price to be made.

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

    International Nuclear Information System (INIS)

    Akkemik, K. Ali

    2011-01-01

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

  5. A supply and demand based volatility model for energy prices

    International Nuclear Information System (INIS)

    Kanamura, Takashi

    2009-01-01

    This paper proposes a new volatility model for energy prices using the supply-demand relationship, which we call a supply and demand based volatility model. We show that the supply curve shape in the model determines the characteristics of the volatility in energy prices. It is found that the inverse Box-Cox transformation supply curve reflecting energy markets causes the inverse leverage effect, i.e., positive correlation between energy prices and volatility. The model is also used to show that an existing (G)ARCH-M model has the foundations on the supply-demand relationship. Additionally, we conduct the empirical studies analyzing the volatility in the U.S. natural gas prices. (author)

  6. Brownian motion model with stochastic parameters for asset prices

    Science.gov (United States)

    Ching, Soo Huei; Hin, Pooi Ah

    2013-09-01

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

  7. A supply and demand based volatility model for energy prices

    Energy Technology Data Exchange (ETDEWEB)

    Kanamura, Takashi [J-POWER, 15-1, Ginza 6-Chome, Chuo-ku, Tokyo 104-8165 (Japan)

    2009-09-15

    This paper proposes a new volatility model for energy prices using the supply-demand relationship, which we call a supply and demand based volatility model. We show that the supply curve shape in the model determines the characteristics of the volatility in energy prices. It is found that the inverse Box-Cox transformation supply curve reflecting energy markets causes the inverse leverage effect, i.e., positive correlation between energy prices and volatility. The model is also used to show that an existing (G)ARCH-M model has the foundations on the supply-demand relationship. Additionally, we conduct the empirical studies analyzing the volatility in the U.S. natural gas prices. (author)

  8. Can producer currency pricing models generate volatile real exchange rates?

    OpenAIRE

    Povoledo, L.

    2012-01-01

    If the elasticities of substitution between traded and nontraded and between Home and Foreign traded goods are sufficiently low, then the real exchange rate generated by a model with full producer currency pricing is as volatile as in the data.

  9. A Consistent Pricing Model for Index Options and Volatility Derivatives

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    observed properties of variance swap dynamics and allows for jumps in volatility and returns. An affine specification using L´evy processes as building blocks leads to analytically tractable pricing formulas for options on variance swaps as well as efficient numerical methods for pricing of European......We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently. Our model reproduces various empirically...... options on the underlying asset. The model has the convenient feature of decoupling the vanilla skews from spot/volatility correlations and allowing for different conditional correlations in large and small spot/volatility moves. We show that our model can simultaneously fit prices of European options...

  10. PEMILIHAN SAHAM YANG OPTIMAL MENGGUNAKAN CAPITAL ASSET PRICING MODEL (CAPM

    Directory of Open Access Journals (Sweden)

    Dioda Ardi Wibisono

    2017-08-01

    Full Text Available Optimal portfolio is the basis for investors to invest in stock. Capital Asset Pricing Model (CAPM is a method to determine the value of the risk and return of a company stock. This research uses a secondary data from the closing price of the monthly stock price (monthly closing price, Stock Price Index (SPI, and the monthly SBI rate. The samples of this research are 41 stocks in LQ45 February-July 2015 on the Indonesian Stock Exchange (ISE. The study period is during 5 year from October 2010 - October 2015. The result of analysis shows that the optimal portfolio consists of 18 companies. The average return of the optimal portfolio is higher than the average risk-free return (SBI rate and the average market return. This proves that investing in stocks is more profitable than a risk-free investment. � Keywords: Stock, CAPM, return, risk�

  11. Modelling price determination in South Africa

    Directory of Open Access Journals (Sweden)

    E Moolman

    2004-07-01

    Full Text Available South Africa has been faced with high inflation rates since the early 1970s. Despite continued monetary discipline the inflation target has not yet been met, highlighting South Africa’s price-vulnerability as a small open emerging economy and raising questions about the efficiency of monetary policy. The objectives of this paper are: (i to analyse the influence of monetary policy on inflation in the small open emerging economy of South Africa, (ii to highlight the channels other than monetary policy through which inflation can be influenced (iii to analyse the influence of international prices and the exchange rate on inflation, (iv to determine the role of the labour market on inflation, especially through wage-push dynamics and (v to determine the role of demand-pull factors on inflation.

  12. 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.

  13. EXPLANATORY MODEL OF SPOT PRICE OF IRON ORE

    Directory of Open Access Journals (Sweden)

    Juan Enrique Villalva A.

    2015-11-01

    Full Text Available The objective of this study was to construct an explanatory model of the spot price of iron ore in the international market. For this, the method of multiple linear regressions was used. As a dependent variable, the spot price of iron ore (62% Fe China Tianjin port was taken, between 2010 and 2013. As independents variables were taken seven variables of international iron ore market. The resulting model includes variables: Iron ore inventory in Chinese ports, Baltic Dry Index (BDI, Iron ore exports from Brazil & Australia and Chinese Rebar Steel Price, as explanatory variables of the behavior of the spot price of iron ore in the international market. The model has an adjusted coefficient of determination R2 of 0.90, and was validated by comparing its predictions vs. known values of 2014.

  14. Premium Pricing of Liability Insurance Using Random Sum Model

    Directory of Open Access Journals (Sweden)

    Mujiati Dwi Kartikasari

    2017-03-01

    Full Text Available Premium pricing is one of important activities in insurance. Nonlife insurance premium is calculated from expected value of historical data claims. The historical data claims are collected so that it forms a sum of independent random number which is called random sum. In premium pricing using random sum, claim frequency distribution and claim severity distribution are combined. The combination of these distributions is called compound distribution. By using liability claim insurance data, we analyze premium pricing using random sum model based on compound distribution

  15. The Hierarchical Trend Model for property valuation and local price indices

    NARCIS (Netherlands)

    Francke, M.K.; Vos, G.A.

    2002-01-01

    This paper presents a hierarchical trend model (HTM) for selling prices of houses, addressing three main problems: the spatial and temporal dependence of selling prices and the dependency of price index changes on housing quality. In this model the general price trend, cluster-level price trends,

  16. Price

    International Nuclear Information System (INIS)

    Anon.

    1991-01-01

    The price terms in wheeling contracts very substantially, reflecting the differing conditions affecting the parties contracting for the service. These terms differ in the manner in which rates are calculated, the formulas used, and the philosophy underlying the accord. For example, and EEI study found that firm wheeling rates ranged from 20 cents to $1.612 per kilowatt per month. Nonfirm rates ranged from .15 mills to 5.25 mills per kilowatt-hour. The focus in this chapter is on cost-based rates, reflecting the fact that the vast majority of existing contracts are based on rate designs reflecting embedded costs. This situation may change in the future, but, for now, this fact can't be ignored

  17. Modeling and Forecasting Average Temperature for Weather Derivative Pricing

    Directory of Open Access Journals (Sweden)

    Zhiliang Wang

    2015-01-01

    Full Text Available The main purpose of this paper is to present a feasible model for the daily average temperature on the area of Zhengzhou and apply it to weather derivatives pricing. We start by exploring the background of weather derivatives market and then use the 62 years of daily historical data to apply the mean-reverting Ornstein-Uhlenbeck process to describe the evolution of the temperature. Finally, Monte Carlo simulations are used to price heating degree day (HDD call option for this city, and the slow convergence of the price of the HDD call can be found through taking 100,000 simulations. The methods of the research will provide a frame work for modeling temperature and pricing weather derivatives in other similar places in China.

  18. Comparative analysis of used car price evaluation models

    Science.gov (United States)

    Chen, Chuancan; Hao, Lulu; Xu, Cong

    2017-05-01

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

  19. Environmental change and hedonic cost functions for automobiles.

    Science.gov (United States)

    Berry, S; Kortum, S; Pakes, A

    1996-11-12

    This paper focuses on how changes in the economic and regulatory environment have affected production costs and product characteristics in the automobile industry. We estimate "hedonic cost functions" that relate product-level costs to their characteristics. Then we examine how this cost surface has changed over time and how these changes relate to changes in gas prices and in emission standard regulations. We also briefly consider the related questions of how changes in automobile characteristics, and in the rate of patenting, are related to regulations and gas prices.

  20. Environmental change and hedonic cost functions for automobiles

    Science.gov (United States)

    Berry, Steven; Kortum, Samuel; Pakes, Ariel

    1996-01-01

    This paper focuses on how changes in the economic and regulatory environment have affected production costs and product characteristics in the automobile industry. We estimate “hedonic cost functions” that relate product-level costs to their characteristics. Then we examine how this cost surface has changed over time and how these changes relate to changes in gas prices and in emission standard regulations. We also briefly consider the related questions of how changes in automobile characteristics, and in the rate of patenting, are related to regulations and gas prices. PMID:8917486

  1. A rough multi-factor model of electricity spot prices

    International Nuclear Information System (INIS)

    Bennedsen, Mikkel

    2017-01-01

    We introduce a new continuous-time mathematical model of electricity spot prices which accounts for the most important stylized facts of these time series: seasonality, spikes, stochastic volatility, and mean reversion. Empirical studies have found a possible fifth stylized fact, roughness, and our approach explicitly incorporates this into the model of the prices. Our setup generalizes the popular Ornstein–Uhlenbeck-based multi-factor framework of and allows us to perform statistical tests to distinguish between an Ornstein–Uhlenbeck-based model and a rough model. Further, through the multi-factor approach we account for seasonality and spikes before estimating – and making inference on – the degree of roughness. This is novel in the literature and we present simulation evidence showing that these precautions are crucial for accurate estimation. Lastly, we estimate our model on recent data from six European energy exchanges and find statistical evidence of roughness in five out of six markets. As an application of our model, we show how, in these five markets, a rough component improves short term forecasting of the prices. - Highlights: • Statistical modeling of electricity spot prices • Multi-factor decomposition • Roughness • Electricity price forecasting

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

    Science.gov (United States)

    Ping, Pung Yean; Ahmad, Maizah Hura Binti

    2014-12-01

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

  3. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

    DEFF Research Database (Denmark)

    Rombouts, Jeroen V.K.; Stentoft, Lars Peter

    While stochastic volatility models improve on the option pricing error when compared to the Black-Scholes-Merton model, mispricings remain. This paper uses mixed normal heteroskedasticity models to price options. Our model allows for significant negative skewness and time varying higher order...... moments of the risk neutral distribution. Parameter inference using Gibbs sampling is explained and we detail how to compute risk neutral predictive densities taking into account parameter uncertainty. When forecasting out-of-sample options on the S&P 500 index, substantial improvements are found compared...

  4. Model documentation: Electricity market module, electricity finance and pricing submodule

    Energy Technology Data Exchange (ETDEWEB)

    1994-04-07

    The purpose of this report is to define the objectives of the model, describe its basic approach, and provide detail on how it works. The EFP is a regulatory accounting model that projects electricity prices. The model first solves for revenue requirements by building up a rate base, calculating a return on rate base, and adding the allowed expenses. Average revenues (prices) are calculated based on assumptions regarding regulator lag and customer cost allocation methods. The model then solves for the internal cash flow and analyzes the need for external financing to meet necessary capital expenditures. Finally, the EFP builds up the financial statements. The EFP is used in conjunction with the National Energy Modeling System (NEMS). Inputs to the EFP include the forecast generating capacity expansion plans, operating costs, regulator environment, and financial data. The outputs include forecasts of income statements, balance sheets, revenue requirements, and electricity prices.

  5. The capital-asset-pricing model and arbitrage pricing theory: A unification

    Science.gov (United States)

    Khan, M. Ali; Sun, Yeneng

    1997-01-01

    We present a model of a financial market in which naive diversification, based simply on portfolio size and obtained as a consequence of the law of large numbers, is distinguished from efficient diversification, based on mean-variance analysis. This distinction yields a valuation formula involving only the essential risk embodied in an asset’s return, where the overall risk can be decomposed into a systematic and an unsystematic part, as in the arbitrage pricing theory; and the systematic component further decomposed into an essential and an inessential part, as in the capital-asset-pricing model. The two theories are thus unified, and their individual asset-pricing formulas shown to be equivalent to the pervasive economic principle of no arbitrage. The factors in the model are endogenously chosen by a procedure analogous to the Karhunen–Loéve expansion of continuous time stochastic processes; it has an optimality property justifying the use of a relatively small number of them to describe the underlying correlational structures. Our idealized limit model is based on a continuum of assets indexed by a hyperfinite Loeb measure space, and it is asymptotically implementable in a setting with a large but finite number of assets. Because the difficulties in the formulation of the law of large numbers with a standard continuum of random variables are well known, the model uncovers some basic phenomena not amenable to classical methods, and whose approximate counterparts are not already, or even readily, apparent in the asymptotic setting. PMID:11038614

  6. The capital-asset-pricing model and arbitrage pricing theory: a unification.

    Science.gov (United States)

    Ali Khan, M; Sun, Y

    1997-04-15

    We present a model of a financial market in which naive diversification, based simply on portfolio size and obtained as a consequence of the law of large numbers, is distinguished from efficient diversification, based on mean-variance analysis. This distinction yields a valuation formula involving only the essential risk embodied in an asset's return, where the overall risk can be decomposed into a systematic and an unsystematic part, as in the arbitrage pricing theory; and the systematic component further decomposed into an essential and an inessential part, as in the capital-asset-pricing model. The two theories are thus unified, and their individual asset-pricing formulas shown to be equivalent to the pervasive economic principle of no arbitrage. The factors in the model are endogenously chosen by a procedure analogous to the Karhunen-Loéve expansion of continuous time stochastic processes; it has an optimality property justifying the use of a relatively small number of them to describe the underlying correlational structures. Our idealized limit model is based on a continuum of assets indexed by a hyperfinite Loeb measure space, and it is asymptotically implementable in a setting with a large but finite number of assets. Because the difficulties in the formulation of the law of large numbers with a standard continuum of random variables are well known, the model uncovers some basic phenomena not amenable to classical methods, and whose approximate counterparts are not already, or even readily, apparent in the asymptotic setting.

  7. Determinants of Livestock Prices in Ethiopian Pastoral Livestock Markets: Implications for Pastoral Marketing Strategies

    OpenAIRE

    Belayneh, Hailemariam Teklewold; Feye, Getachew Legese; Alemu, Dawit; Negassa, Asfaw

    2009-01-01

    The major objective of this paper is to identify determinants of market prices for cattle, sheep and goat in the export market value chain starting from pastoral markets to export abattoirs and live animal exporters. The study is based on the information generated through a formal survey conducted in the major pastoral livestock markets of Ethiopia with 128 collectors, small and big traders, feedlot operators, live animal and meat exporters. Hedonic price formation model was used to analyze t...

  8. Ensemble Prediction Model with Expert Selection for Electricity Price Forecasting

    Directory of Open Access Journals (Sweden)

    Bijay Neupane

    2017-01-01

    Full Text Available Forecasting of electricity prices is important in deregulated electricity markets for all of the stakeholders: energy wholesalers, traders, retailers and consumers. Electricity price forecasting is an inherently difficult problem due to its special characteristic of dynamicity and non-stationarity. In this paper, we present a robust price forecasting mechanism that shows resilience towards the aggregate demand response effect and provides highly accurate forecasted electricity prices to the stakeholders in a dynamic environment. We employ an ensemble prediction model in which a group of different algorithms participates in forecasting 1-h ahead the price for each hour of a day. We propose two different strategies, namely, the Fixed Weight Method (FWM and the Varying Weight Method (VWM, for selecting each hour’s expert algorithm from the set of participating algorithms. In addition, we utilize a carefully engineered set of features selected from a pool of features extracted from the past electricity price data, weather data and calendar data. The proposed ensemble model offers better results than the Autoregressive Integrated Moving Average (ARIMA method, the Pattern Sequence-based Forecasting (PSF method and our previous work using Artificial Neural Networks (ANN alone on the datasets for New York, Australian and Spanish electricity markets.

  9. Forecasting oil price trends using wavelets and hidden Markov models

    International Nuclear Information System (INIS)

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

    2010-01-01

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

  10. Optimal Retail Price Model for Partial Consignment to Multiple Retailers

    Directory of Open Access Journals (Sweden)

    Po-Yu Chen

    2017-01-01

    Full Text Available This paper investigates the product pricing decision-making problem under a consignment stock policy in a two-level supply chain composed of one supplier and multiple retailers. The effects of the supplier’s wholesale prices and its partial inventory cost absorption of the retail prices of retailers with different market shares are investigated. In the partial product consignment model this paper proposes, the seller and the retailers each absorb part of the inventory costs. This model also provides general solutions for the complete product consignment and the traditional policy that adopts no product consignment. In other words, both the complete consignment and nonconsignment models are extensions of the proposed model (i.e., special cases. Research results indicated that the optimal retail price must be between 1/2 (50% and 2/3 (66.67% times the upper limit of the gross profit. This study also explored the results and influence of parameter variations on optimal retail price in the model.

  11. Dynamics Model Applied to Pricing Options with Uncertain Volatility

    Directory of Open Access Journals (Sweden)

    Lorella Fatone

    2012-01-01

    model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known equispaced discrete time values. Statistical tests were used to estimate the statistical significance of the two parameters of the Black-Scholes model: the volatility and the drift. The effects of these estimates on the option pricing problem were investigated. In particular, the pricing of an option with uncertain volatility in the Black-Scholes framework was revisited, and a statistical significance was associated with the price intervals determined using the Black-Scholes-Barenblatt equations. Numerical experiments involving synthetic and real data were presented. The real data considered were the daily closing values of the S&P500 index and the associated European call and put option prices in the year 2005. The method proposed here for calibrating the Black-Scholes dynamics model could be extended to other science and engineering models that may be expressed in terms of stochastic dynamical systems.

  12. Beyond the Hedonic Treadmill: Revising the Adaptation Theory of Well-Being

    Science.gov (United States)

    Diener, Ed; Lucas, Richard E.; Napa, Christine

    2006-01-01

    According to the hedonic treadmill model, good and bad events temporarily affect happiness, but people quickly adapt back to hedonic neutrality. The theory, which has gained widespread acceptance in recent years, implies that individual and societal efforts to increase happiness are doomed to failure. The recent empirical work outlined here…

  13. Dynamic room pricing model for hotel revenue management systems

    Directory of Open Access Journals (Sweden)

    Heba Abdel Aziz

    2011-11-01

    Full Text Available This paper addresses the problem of room pricing in hotels. We propose a hotel revenue management model based on dynamic pricing to provide hotel managers with a flexible and efficient decision support tool for room revenue maximization. The two pillars of the proposed framework are a novel optimization model, and a multi-class scheme similar to the one implemented in airlines. Our hypothesis is that this framework can overcome the limitations associated with the research gaps in pricing literature; and can also contribute significantly in increasing the revenue of hotels. We test this hypothesis on three different approaches, and the results show an increase in revenue compared to the classical model used in literature.

  14. Estimating the Competitive Storage Model with Trending Commodity Prices

    OpenAIRE

    Gouel , Christophe; LEGRAND , Nicolas

    2017-01-01

    We present a method to estimate jointly the parameters of a standard commodity storage model and the parameters characterizing the trend in commodity prices. This procedure allows the influence of a possible trend to be removed without restricting the model specification, and allows model and trend selection based on statistical criteria. The trend is modeled deterministically using linear or cubic spline functions of time. The results show that storage models with trend are always preferred ...

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

    KAUST Repository

    Markowich, Peter A.; Teichmann, Josef; Wolfram, Marie Therese

    2016-01-01

    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

  16. Modeling energy price dynamics: GARCH versus stochastic volatility

    International Nuclear Information System (INIS)

    Chan, Joshua C.C.; Grant, Angelia L.

    2016-01-01

    We compare a number of GARCH and stochastic volatility (SV) models using nine series of oil, petroleum product and natural gas prices in a formal Bayesian model comparison exercise. The competing models include the standard models of GARCH(1,1) and SV with an AR(1) log-volatility process, as well as more flexible models with jumps, volatility in mean, leverage effects, and t distributed and moving average innovations. We find that: (1) SV models generally compare favorably to their GARCH counterparts; (2) the jump component and t distributed innovations substantially improve the performance of the standard GARCH, but are unimportant for the SV model; (3) the volatility feedback channel seems to be superfluous; (4) the moving average component markedly improves the fit of both GARCH and SV models; and (5) the leverage effect is important for modeling crude oil prices—West Texas Intermediate and Brent—but not for other energy prices. Overall, the SV model with moving average innovations is the best model for all nine series. - Highlights: • We compare a variety of GARCH and SV models for fitting nine series of energy prices. • We find that SV models generally compare favorably to their GARCH counterparts. • The SV model with moving average innovations is the best model for all nine series.

  17. Hedonic tone and activation level in the mood-creativity link : Toward a dual pathway to creativity model

    NARCIS (Netherlands)

    De Dreu, Carsten K. W.; Baas, Matthijs; Nijstad, Bernard A.

    To understand when and why mood states influence creativity, the authors developed and tested a dual pathway to creativity model; creative fluency (number of ideas or insights) and originality (novelty) are functions of cognitive flexibility, persistence, or some combination thereof. Invoking work

  18. Dynamic pricing models for electronic business

    Indian Academy of Sciences (India)

    R. Narasimhan (Krishtel eMaging) 1461 1996 Oct 15 13:05:22

    learning. We present a detailed example of an e-business market to show the ... to auction based models and §6 is devoted to game theoretic models. ..... Machine learning models: An e-business market provides a rich playground for online.

  19. Modelling and Forecasting Stock Price Movements with Serially Dependent Determinants

    Directory of Open Access Journals (Sweden)

    Rasika Yatigammana

    2018-05-01

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

  20. Consumption-based macroeconomic models of asset pricing theory

    Directory of Open Access Journals (Sweden)

    Đorđević Marija

    2016-01-01

    Full Text Available The family of consumptionbased asset pricing models yields a stochastic discount factor proportional to the marginal rate of intertemporal substitution of consumption. In examining the empirical performance of this class of models, several puzzles are discovered. In this literature review we present the canonical model, the corresponding empirical tests, and different extensions to this model that propose a resolution of these puzzles.

  1. Modeling of price and profit in coupled-ring networks

    Science.gov (United States)

    Tangmongkollert, Kittiwat; Suwanna, Sujin

    2016-06-01

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

  2. Charge Pricing Optimization Model for Private Charging Piles in Beijing

    Directory of Open Access Journals (Sweden)

    Xingping Zhang

    2017-11-01

    Full Text Available This paper develops a charge pricing model for private charging piles (PCPs by considering the environmental and economic effects of private electric vehicle (PEV charging energy sources and the impact of PCP charging load on the total load. This model simulates users’ responses to different combinations of peak-valley prices based on the charging power of PCPs and user charging transfer rate. According to the regional power structure, it calculates the real-time coal consumption, carbon dioxide emissions reduction, and power generation costs of PEVs on the power generation side. The empirical results demonstrate that the proposed peak-valley time-of-use charging price can not only minimize the peak-valley difference of the total load but also improve the environmental effects of PEVs and the economic income of the power system. The sensitivity analysis shows that the load-shifting effect of PCPs will be more obvious when magnifying the number of PEVs by using the proposed charging price. The case study indicates that the proposed peak, average, and valley price in Beijing should be 1.8, 1, and 0.4 yuan/kWh, which can promote the large-scale adoption of PEVs.

  3. ELMO model predicts the price of electric power

    International Nuclear Information System (INIS)

    Antila, H.

    2001-01-01

    Electrowatt-Ekono has developed a new model, by which it is possible to make long-term prognoses on the development of electricity prices in the Nordic Countries. The ELMO model can be used as an analysis service of the electricity markets and estimation of the profitability of long-term power distribution contracts with different scenarios. It can also be applied for calculation of technical and economical fundamentals for new power plants, and for estimation of the effects of different taxation models on the emissions of power generation. The model describes the whole power generation system, the power and heat consumption and transmission. The Finnish power generation system is based on the Electrowatt-Ekono's boiler database by combining different data elements. Calculation is based on the assumption that the Nordic power generation system is used optimally, and that the production costs are minimised. In practise the effectively operated electricity markets ensure the optimal use of the production system. The market area to be described consists of Finland and Sweden. The spot prices have long been the same. Norway has been treated as a separate market area. The most potential power generation system, the power consumption and the power transmission system are presumed for the target year during a normal rainfall situation. The basic scenario is calculated on the basis of the preconditional data. The calculation is carried out on hourly basis, which enables the estimation of the price variation of electric power between different times during the day and seasons. The system optimises the power generation on the basis of electricity and heat consumption curves and fuel prices. The result is an hourly limit price for electric power. Estimates are presented as standard form reports. Prices are presented as average annuals, in the seasonal base, and in hourly or daily basis for different seasons

  4. Artificial Intelligence (AI techniques to analyze the determinants attributes in housing prices

    Directory of Open Access Journals (Sweden)

    Julia M. Núñez Tabale

    2016-12-01

    Full Text Available The econometric approach to obtain the value of a property began with hedonic modelling, which were based on a set of property attributes, internal or external, associated to each particular dwelling. The final sale value can be estimated, and also the marginal prices of each exogenous explanatory variable. A good alternative to the hedonic approach is based on several Artificial Intelligence (AI techniques, such as artificial neural networks (ANN, these tend to be more precise. Both methodologies are compared, and a case study is developed using data from Seville, the larger town in the South of Spain.

  5. A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

    DEFF Research Database (Denmark)

    Haldrup, Niels; Nielsen, Frank; Nielsen, Morten Ørregaard

    2007-01-01

    A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states as well as the possibility of fractional cointegra- tion. The model is relevant in describing the price dynamics of electricity prices where the transmission of power is subject...... to occasional congestion periods. For a system of bilat- eral prices non-congestion means that electricity prices are identical whereas congestion makes prices depart. Hence, the joint price dynamics implies switching between essen- tially a univariate price process under non-congestion and a bivariate price...

  6. Estimating Structural Models of Corporate Bond Prices in Indonesian Corporations

    Directory of Open Access Journals (Sweden)

    Lenny Suardi

    2014-08-01

    Full Text Available This  paper  applies  the  maximum  likelihood  (ML  approaches  to  implementing  the structural  model  of  corporate  bond,  as  suggested  by  Li  and  Wong  (2008,  in  Indonesian corporations.  Two  structural  models,  extended  Merton  and  Longstaff  &  Schwartz  (LS models,  are  used  in  determining  these  prices,  yields,  yield  spreads  and  probabilities  of default. ML estimation is used to determine the volatility of irm value. Since irm value is unobserved variable, Duan (1994 suggested that the irst step of ML estimation is to derive the likelihood function for equity as the option on the irm value. The second step is to ind parameters such as the drift and volatility of irm value, that maximizing this function. The irm value itself is extracted by equating the pricing formula to the observed equity prices. Equity,  total  liabilities,  bond  prices  data  and  the  irm's  parameters  (irm  value,  volatility of irm value, and default barrier are substituted to extended Merton and LS bond pricing formula in order to valuate the corporate bond.These models are implemented to a sample of 24 bond prices in Indonesian corporation during  period  of  2001-2005,  based  on  criteria  of  Eom,  Helwege  and  Huang  (2004.  The equity  and  bond  prices  data  were  obtained  from  Indonesia  Stock  Exchange  for  irms  that issued equity and provided regular inancial statement within this period. The result shows that both models, in average, underestimate the bond prices and overestimate the yields and yield spread. ";} // -->activate javascript

  7. Modelling long-term oil price and extraction with a Hubbert approach: The LOPEX model

    International Nuclear Information System (INIS)

    Rehrl, Tobias; Friedrich, Rainer

    2006-01-01

    The LOPEX (Long-term Oil Price and EXtraction) model generates long-term scenarios about future world oil supply and corresponding price paths up to the year 2100. In order to determine oil production in non-OPEC countries, the model uses Hubbert curves. Hubbert curves reflect the logistic nature of the discovery process and the associated constraint on temporal availability of oil. Extraction paths and world oil price path are both derived endogenously from OPEC's intertemporally optimal cartel behaviour. Thereby OPEC is faced with both the price-dependent production of the non-OPEC competitive fringe and the price-dependent world oil demand. World oil demand is modelled with a constant price elasticity function and refers to a scenario from ACROPOLIS-POLES. LOPEX results indicate a significant higher oil price from around 2020 onwards compared to the reference scenario, and a stagnating market share of maximal 50% to be optimal for OPEC

  8. Infraestructura pública y precios de vivienda: una aplicación de regresión geográficamente ponderada en el contexto de precios hedónicos Public infrastructure and housing prices: An application of geographically weighted regression within the context of hedonic prices

    Directory of Open Access Journals (Sweden)

    Jorge Agudelo

    2011-10-01

    Full Text Available El análisis de las externalidades en el sector inmobiliario ha atraído desde hace varios años la atención de los investigadores suscitando una gran cantidad de estudios al respecto. En este artículo se utilizan modelos econométricos tradicionales, de la econometría espacial y de regresión ponderada geográficamente, para analizar y comparar a la luz de estos modelos la influencia que tiene en los precios de las viviendas la existencia de una estación del metro en San Javier ubicada en el centro occidente de la ciudad de Medellín. El principal hallazgo en este estudio es que la presencia de la estación del metro tiene una influencia positiva en los precios de las viviendas localizadas en un radio de 600 metros alrededor de la estación; sin embargo, las viviendas cercanas a las vías de acceso del metro a la estación presentan un importante decremento en sus precios. AbstractThe analysis of externalities in real state has been matter of study during the past few years. In this paper we use both conventional and spatial econometric model, as well as geographically weighted regression models, to measure the effect of the San Javier Metro Station (in Medellín, Colombia on the housing prices of the surrounding area. The main finding of this study is that the metro station has a positive impact on the prices of houses located within a radius of 600 meter from the station. However, the railroad track accessing the station has a negative impact on housing prices located nearby.The analysis of externalities in real state has been matter of study during the past few years. In this paper we use both conventional and spatial econometric model, as well as geographically weighted regression models, to measure the effect of the San Javier Metro Station (in Medellín, Colombia on the housing prices of the surrounding area.The main finding of this study is that the metro station has a positive impact on the prices of houses located within a radius

  9. Market Efficiency, Uncertainty And Risk Management in Real Estate Valuation – How Hedonics May Help

    Directory of Open Access Journals (Sweden)

    François Des Rosiers

    2013-08-01

    Full Text Available The 2007-2008 subprime mortgage crisis has profoundly modified the way investment and management risks are perceived by economic agents. In particular, both private and institutional players in the property sector are now being compelled to follow more stringent rules and to display greater transparency in their management of risk issues and of lending practices. In that context, analytical tools based on statistics and econometric modelling are increasingly resorted to as risk-containment devices. The purpose of the paper is to look at how real estate appraisal practitioners and related professionals may benefit from a greater recourse to statistics and, more precisely, to econometric modelling, in their search for market value. As brought out in the real estate literature, the very definition of market value lends itself to a statistical approach, the latter reaching its full meaning with the hedonic price (HP method which is shown to be an extension of the traditional sales comparison approach.

  10. Price Tails in the Smith and Farmer's Model

    Czech Academy of Sciences Publication Activity Database

    Šmíd, Martin

    2008-01-01

    Roč. 15, č. 25 (2008), s. 31-40 ISSN 1212-074X R&D Projects: GA ČR GA402/07/1113; GA ČR(CZ) GA402/06/1417 Institutional research plan: CEZ:AV0Z10750506 Keywords : limit order market * continuous double auction * price increments * fat tails * tail exponent Subject RIV: AH - Economics http://library.utia.cas.cz/separaty/2008/E/smid-price tails in the smith and farmer's model.pdf

  11. A stochastic model for the financial market with discontinuous prices

    Directory of Open Access Journals (Sweden)

    Leda D. Minkova

    1996-01-01

    Full Text Available This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.

  12. A mathematical model for stock price forecasting | Ogwuche | West ...

    African Journals Online (AJOL)

    ) and the covariance (the volatility) of the change were computed leading to the formulation of the system of linear stochastic differential equations. To fit data to the model, changes in the prices of the stocks were studied for an average of 30 ...

  13. A Model of Price Search Behavior in Electronic Marketplace.

    Science.gov (United States)

    Jiang, Pingjun

    2002-01-01

    Discussion of online consumer behavior focuses on the development of a conceptual model and a set of propositions to explain the main factors influencing online price search. Integrates the psychological search literature into the context of online searching by incorporating ability and cost to search for information into perceived search…

  14. On option pricing models in the presence of heavy tails

    NARCIS (Netherlands)

    Vellekoop, Michel; Nieuwenhuis, Hans

    2007-01-01

    We propose a modification of the option pricing framework derived by Borland which removes the possibilities for arbitrage within this framework. It turns out that such arbitrage possibilities arise due to an incorrect derivation of the martingale transformation in the non-Gaussian option models

  15. A model for energy pricing with stochastic emission costs

    International Nuclear Information System (INIS)

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

    2010-01-01

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

  16. Analysis of transmission elasticity of international prices for sugar prices in Brazil: an application of the Structural Model

    Directory of Open Access Journals (Sweden)

    Mario Antonio Margarido

    2018-01-01

    Full Text Available This study aims to determine and analyze the spatial elasticity (or horizontal of price transmission between international sugar prices and the average price received by the Brazilian exporter of sugar, using the Structural Model. The data used are from January/2004 to November/2015. As a result, variations of 1% in the international sugar price are transmitted to the average price received by Brazilian sugar exporters with a magnitude of 0.3% on average, setting inelastic relationship between the two variables and, consequently, the non-occurrence of the law of one price. So, there are mechanisms in this market that are hindering the full functioning of the arbitration. This situation is not unusual, because the sugar is one of the most commercially protected product and suffer much interference.

  17. Complex Price Dynamics in the Modified Kaldorian Model

    Czech Academy of Sciences Publication Activity Database

    Kodera, Jan; Van Tran, Q.; Vošvrda, Miloslav

    2013-01-01

    Roč. 22, č. 3 (2013), s. 358-384 ISSN 1210-0455 R&D Projects: GA ČR(CZ) GBP402/12/G097 Institutional support: RVO:67985556 Keywords : Priice dynamics, * numerical examples * two-equation model * four-equation model * nonlinear time series analysis Subject RIV: AH - Economics Impact factor: 0.208, year: 2013 http://library.utia.cas.cz/separaty/2013/E/kodera-model of price dynamics and chaos.pdf

  18. Application for Single Price Auction Model (SPA) in AC Network

    Science.gov (United States)

    Wachi, Tsunehisa; Fukutome, Suguru; Chen, Luonan; Makino, Yoshinori; Koshimizu, Gentarou

    This paper aims to develop a single price auction model with AC transmission network, based on the principle of maximizing social surplus of electricity market. Specifically, we first formulate the auction market as a nonlinear optimization problem, which has almost the same form as the conventional optimal power flow problem, and then propose an algorithm to derive both market clearing price and trade volume of each player even for the case of market-splitting. As indicated in the paper, the proposed approach can be used not only for the price evaluation of auction or bidding market but also for analysis of bidding strategy, congestion effect and other constraints or factors. Several numerical examples are used to demonstrate effectiveness of our method.

  19. Jump diffusion models and the evolution of financial prices

    International Nuclear Information System (INIS)

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

    2011-01-01

    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. -- 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.

  20. Internet usage purposes and gender differences in the effects of perceived utilitarian and hedonic value.

    Science.gov (United States)

    Wang, Edward Shih-Tse

    2010-04-01

    Previous research on both hedonic and utilitarian value has focused considerable effort on outcomes. Few studies compare the impact of Internet usage purposes and gender differences on perceived value effect. The current study explores whether differences in the relative influence of hedonic and utilitarian value affect consumer information search and shopping intentions on the Internet. This study also compares perceived value impact on behavioral intention among respondents in regard to gender. This research uses structural equation modeling of survey data (N = 341). Results show that perceived hedonic and utilitarian value have significantly different effect on information search and shopping intention through the Internet. Hedonic values have positively higher association with customer intention to buy than with intent to search information. Findings also show that hedonic values influence male user intentions to search information but do not influence females. This work presents a theoretical discussion and implications based on the results for the benefit of online practitioners.

  1. The asset pricing model of musharakah factors

    Science.gov (United States)

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

    2015-02-01

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

  2. Self-consistent asset pricing models

    Science.gov (United States)

    Malevergne, Y.; Sornette, D.

    2007-08-01

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

  3. Using an innovative price model to leverage the business model – The case of price model innovation in the largest Swedish taxi company

    Directory of Open Access Journals (Sweden)

    Carl-Johan Petri

    2014-08-01

    Full Text Available Purpose: The purpose of the paper is to describe how the biggest Swedish taxi company (Taxi Kurir developed an innovative price model to leverage the business model. Design/methodology/approach : The empirical data in the article describe Taxi Kurir’s development of a new price model. Data about the Swedish taxi market and about Taxi Kurir has been compiled though interviews and document studies. Detailed information about the background, development and implementation of Taxi Kurir’s new price model has been captured through interviews with representatives from Taxi Kurir. Findings : Based on both the empirical example, and other investigations, we have found that a company can create substantial changes in their price model, by just changing some of its basic characteristics. A well designed price model can contribute to leveraging the intentions of the business model. Practical implications : Most academic and practical texts about business models consider pricing to be an important component. However, they typically do not refer to the specifics of the price- or revenue models. According to the literature review in this paper, and the empirical findings, the configuration of a company’s price model should be aligned with its business model. This will contribute to leveraging the business model. Originality/value: The Swedish taxi market is one of the most deregulated in the world. Differently from most other countries, any individual or company can start and operate a taxi business. This case offers a unique description on how the biggest company in the market responded to the competition by introducing a fundamentally new price model, by making a small change in one of the dimensions in their existing price model.

  4. Modeling of materials supply, demand and prices

    Science.gov (United States)

    1982-01-01

    The societal, economic, and policy tradeoffs associated with materials processing and utilization, are discussed. The materials system provides the materials engineer with the system analysis required for formulate sound materials processing, utilization, and resource development policies and strategies. Materials system simulation and modeling research program including assessments of materials substitution dynamics, public policy implications, and materials process economics was expanded. This effort includes several collaborative programs with materials engineers, economists, and policy analysts. The technical and socioeconomic issues of materials recycling, input-output analysis, and technological change and productivity are examined. The major thrust areas in materials systems research are outlined.

  5. Bounds for perpetual American option prices in a jump diffusion model

    OpenAIRE

    Ekström, Erik

    2006-01-01

    We provide bounds for perpetual American option prices in a jump diffusion model in terms of American option prices in the standard Black-Scholes model. We also investigate the dependence of the bounds on different parameters of the model.

  6. Business Models, transparency and efficient stock price formation

    DEFF Research Database (Denmark)

    Nielsen, Christian; Vali, Edward; Hvidberg, Rene

    has an impact on a company's price formation. In this respect, we analysed whether those companies that publish a lot of information that may support a business model description tend to have a more efficient price formation. Next, we turned to our sample of companies, and via interview-based case...... studies, we managed to draw conclusions on how to construct a comprehensible business model description. The business model explains how the company intends to compete in its market, and thus it gives an account of the characteristics that make the company unique. The business model constitutes...... the platform from which the company prepares and unfolds its strategy. In order to explain this platform and its particular qualities to external interested parties, the description must provide a clear and explicit account of the main determinants of the company's value creation and explain how...

  7. Transfer prices assignment with integrated production and marketing optimization models

    Directory of Open Access Journals (Sweden)

    Enrique Parra

    2018-04-01

    Full Text Available Purpose: In decentralized organizations (today a great majority of the large multinational groups, much of the decision-making power is in its individual business units-BUs-. In these cases, the management control system (MCS uses transfer prices to coordinate actions of the BUs and to evaluate their performance with the goal of guaranteeing the whole corporation optimum. The purpose of the investigation is to design transfer prices that suit this goal. Design/methodology/approach: Considering the results of the whole company supply chain optimization models (in the presence of seasonality of demand the question is to design a mechanism that creates optimal incentives for the managers of each business unit to drive the corporation to the optimal performance. Mathematical programming models are used as a start point. Findings: Different transfer prices computation methods are introduced in this paper for decentralised organizations with two divisions (production and marketing. The methods take into account the results of the solution of the whole company supply chain optimization model, if exists, and can be adapted to the type of information available in the company. It is mainly focused on transport costs assignment. Practical implications: Using the methods proposed in this paper a decentralized corporation can implement more accurate transfer prices to drive the whole organization to the global optimum performance. Originality/value: The methods proposed are a new contribution to the literature on transfer prices with special emphasis on the practical and easy implementation in a modern corporation with several business units and with high seasonality of demand. Also, the methods proposed are very flexible and can be tuned depending on the type of information available in the company.

  8. Real estate appraisal of land lots using GAMLSS models

    OpenAIRE

    Florencio, Lutemberg; Cribari-Neto, Francisco; Ospina, Raydonal

    2011-01-01

    The valuation of real estates (e.g., house, land, among others) is of extreme importance for decision making. Their singular characteristics make valuation through hedonic pricing methods dificult since the theory does not specify the correct regression functional form nor which explanatory variables should be included in the hedonic equation. In this article we perform real estate appraisal using a class of regression models proposed by Rigby & Stasinopoulos (2005): generalized additive mode...

  9. Confidence limits for data mining models of options prices

    Science.gov (United States)

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

    2004-12-01

    Non-parametric methods such as artificial neural nets can successfully model prices of financial options, out-performing the Black-Scholes analytic model (Eur. Phys. J. B 27 (2002) 219). However, the accuracy of such approaches is usually expressed only by a global fitting/error measure. This paper describes a robust method for determining prediction intervals for models derived by non-linear regression. We have demonstrated it by application to a standard synthetic example (29th Annual Conference of the IEEE Industrial Electronics Society, Special Session on Intelligent Systems, pp. 1926-1931). The method is used here to obtain prediction intervals for option prices using market data for LIFFE “ESX” FTSE 100 index options ( http://www.liffe.com/liffedata/contracts/month_onmonth.xls). We avoid special neural net architectures and use standard regression procedures to determine local error bars. The method is appropriate for target data with non constant variance (or volatility).

  10. Property values, parks, and crime: a hedonic analysis in Baltimore, MD

    Science.gov (United States)

    Austin Troy; J. Morgan Grove

    2008-01-01

    While urban parks are generally considered to be a positive amenity, past research suggests that some parks are perceived as a neighborhood liability. Using hedonic analysis of property data in Baltimore, MD, we attempted to determine whether crime rate mediates how parks are valued by the housing market. Transacted price was regressed against park proximity, area-...

  11. Pricing Models of e-Books When Competing with p-Books

    Directory of Open Access Journals (Sweden)

    Yan Li

    2013-01-01

    Full Text Available With the rise in popularity of e-books, there is a growing need to reexamine the pricing strategy in the e-book supply chain. In this paper, we study two forms of pricing models widely used in the book industry: wholesale and agency pricing models. We first assume a stylized deterministic demand model in which the demand depends on the price, the degree of substitution, and the overall market potential. Subsequently, we employ the game theory to determine the price equilibriums and profit distribution under different pricing models. Finally, we explore the behavior of the publisher and the retailer under different preferences and degrees of substitution through a computational study. Our findings indicate that the e-book price will be lower under the agency pricing model than under the wholesale pricing model, which is counterintuitive. The publishers have higher incentives to adopt the agency pricing model than the wholesale pricing model. The agency pricing model benefits the whole system and can provide readers with books at lower prices. The degree of substitution between the two forms of books and the readers’ preference toward e-book will affect the books’ price and the profit distribution between the publisher and the retailers.

  12. A hedonic analysis of the complex hunting experience

    DEFF Research Database (Denmark)

    Lundhede, Thomas; Jacobsen, Jette Bredahl; Thorsen, Bo Jellesmark

    2015-01-01

    In Denmark, the right to hunt is vested with the land owner but can be transferred to others and is traded on a well-established market. The dominant form of hunting leases is time limited contract transferring the hunting rights on a piece of land to one or more persons. We analyze this market...... for hunting leases using the hedonic method on a rich set of data obtained from Danish hunters. We hypothesize and show that the price of a hunting lease reflects that hunting is a composite experience; and also reflects aspects relating to the landowners cost of leasing out hunting. Thus, the value...

  13. Risk Based Milk Pricing Model at Dairy Farmers Level

    Directory of Open Access Journals (Sweden)

    W. Septiani

    2017-12-01

    Full Text Available The milk price from a cooperative institution to farmer does not fully cover the production cost. Though, dairy farmers encounter various risks and uncertainties in conducting their business. The highest risk in milk supply lies in the activities at the farm. This study was designed to formulate a model for calculating milk price at farmer’s level based on risk. Risks that occur on farms include the risk of cow breeding, sanitation, health care, cattle feed management, milking and milk sales. This research used the location of the farm in West Java region. There were five main stages in the preparation of this model, (1 identification and analysis of influential factors, (2 development of a conceptual model, (3 structural analysis and the amount of production costs, (4 model calculation of production cost with risk factors, and (5 risk based milk pricing model. This research built a relationship between risks on smallholder dairy farms with the production costs to be incurred by the farmers. It was also obtained the formulation of risk adjustment factor calculation for the variable costs of production in dairy cattle farm. The difference in production costs with risk and the total production cost without risk was about 8% to 10%. It could be concluded that the basic price of milk proposed based on the research was around IDR 4,250-IDR 4,350/L for 3 to 4 cows ownership. Increasing farmer income was expected to be obtained by entering the value of this risk in the calculation of production costs. 

  14. Electricity prices forecasting by automatic dynamic harmonic regression models

    International Nuclear Information System (INIS)

    Pedregal, Diego J.; Trapero, Juan R.

    2007-01-01

    The changes experienced by electricity markets in recent years have created the necessity for more accurate forecast tools of electricity prices, both for producers and consumers. Many methodologies have been applied to this aim, but in the view of the authors, state space models are not yet fully exploited. The present paper proposes a univariate dynamic harmonic regression model set up in a state space framework for forecasting prices in these markets. The advantages of the approach are threefold. Firstly, a fast automatic identification and estimation procedure is proposed based on the frequency domain. Secondly, the recursive algorithms applied offer adaptive predictions that compare favourably with respect to other techniques. Finally, since the method is based on unobserved components models, explicit information about trend, seasonal and irregular behaviours of the series can be extracted. This information is of great value to the electricity companies' managers in order to improve their strategies, i.e. it provides management innovations. The good forecast performance and the rapid adaptability of the model to changes in the data are illustrated with actual prices taken from the PJM interconnection in the US and for the Spanish market for the year 2002. (author)

  15. An Empirical Investigation of the Impact of Online Product Presentation on Hedonic Web Shopping

    DEFF Research Database (Denmark)

    Lim, Eric T. K.; Tan, Chee-Wee; Seo, Dongback

    2013-01-01

    presentation formats influence consumers’ hedonic web shopping experience. Building on the Theory of Reasoned Action (TRA), we advance a theoretical model that posits enjoyment and flow as positive indicators of consumers’ hedonic web shopping experience, which in turn affects their behavioral intents...... to return and purchase from an e-commerce website. Our theoretical model is then subjected to empirical validation through an experiment that distinguishes between functional (product description) and visual (product display) dimensions of online product presentation. Findings suggest that hedonic web...

  16. A Jump-Diffusion Model for Option Pricing

    OpenAIRE

    S. G. Kou

    2002-01-01

    Brownian motion and normal distribution have been widely used in the Black--Scholes option-pricing framework to model the return of assets. However, two puzzles emerge from many empirical investigations: the leptokurtic feature that the return distribution of assets may have a higher peak and two (asymmetric) heavier tails than those of the normal distribution, and an empirical phenomenon called "volatility smile" in option markets. To incorporate both of them and to strike a balance between ...

  17. Considering extraction constraints in long-term oil price modelling

    Energy Technology Data Exchange (ETDEWEB)

    Rehrl, Tobias; Friedrich, Rainer; Voss, Alfred

    2005-12-15

    Apart from divergence about the remaining global oil resources, the peak oil discussion can be reduced to a dispute about the time rate at which these resources can be supplied. On the one hand it is problematic to project oil supply trends without taking both - prices as well as supply costs - explicitly into account. On the other hand are supply cost estimates however itself heavily dependent on the underlying extraction rates and are actually only valid within a certain business-as-usual extraction rate scenario (which itself is the task to determine). In fact, even after having applied enhanced recovery technologies, the rate at which an oil field can be exploited is quite restricted. Above a certain level an additional extraction rate increase can only be costly achieved at risks of losses in the overall recoverable amounts of the oil reservoir and causes much higher marginal cost. This inflexibility in extraction can be overcome in principle by the access to new oil fields. This indicates why the discovery trend may roughly form the long-term oil production curve, at least for price-taking suppliers. The long term oil discovery trend itself can be described as a logistic process with the two opposed effects of learning and depletion. This leads to the well-known Hubbert curve. Several attempts have been made to incorporate economic variables econometrically into the Hubbert model. With this work we follow a somewhat inverse approach and integrate Hubbert curves in our Long-term Oil Price and EXtraction model LOPEX. In LOPEX we assume that non-OPEC oil production - as long as the oil can be profitably discovered and extracted - is restricted to follow self-regulative discovery trends described by Hubbert curves. Non-OPEC production in LOPEX therefore consists of those Hubbert cycles that are profitable, depending on supply cost and price. Endogenous and exogenous technical progress is extra integrated in different ways. LOPEX determines extraction and price

  18. Considering extraction constraints in long-term oil price modelling

    International Nuclear Information System (INIS)

    Rehrl, Tobias; Friedrich, Rainer; Voss, Alfred

    2005-01-01

    Apart from divergence about the remaining global oil resources, the peak oil discussion can be reduced to a dispute about the time rate at which these resources can be supplied. On the one hand it is problematic to project oil supply trends without taking both - prices as well as supply costs - explicitly into account. On the other hand are supply cost estimates however itself heavily dependent on the underlying extraction rates and are actually only valid within a certain business-as-usual extraction rate scenario (which itself is the task to determine). In fact, even after having applied enhanced recovery technologies, the rate at which an oil field can be exploited is quite restricted. Above a certain level an additional extraction rate increase can only be costly achieved at risks of losses in the overall recoverable amounts of the oil reservoir and causes much higher marginal cost. This inflexibility in extraction can be overcome in principle by the access to new oil fields. This indicates why the discovery trend may roughly form the long-term oil production curve, at least for price-taking suppliers. The long term oil discovery trend itself can be described as a logistic process with the two opposed effects of learning and depletion. This leads to the well-known Hubbert curve. Several attempts have been made to incorporate economic variables econometrically into the Hubbert model. With this work we follow a somewhat inverse approach and integrate Hubbert curves in our Long-term Oil Price and EXtraction model LOPEX. In LOPEX we assume that non-OPEC oil production - as long as the oil can be profitably discovered and extracted - is restricted to follow self-regulative discovery trends described by Hubbert curves. Non-OPEC production in LOPEX therefore consists of those Hubbert cycles that are profitable, depending on supply cost and price. Endogenous and exogenous technical progress is extra integrated in different ways. LOPEX determines extraction and price

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

    DEFF Research Database (Denmark)

    Knapik, Oskar

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

  20. The independent and interacting effects of hedonic hunger and executive function on binge eating.

    Science.gov (United States)

    Manasse, Stephanie M; Espel, Hallie M; Forman, Evan M; Ruocco, Anthony C; Juarascio, Adrienne S; Butryn, Meghan L; Zhang, Fengqing; Lowe, Michael R

    2015-06-01

    Poor executive function (EF; pre-frontal cognitive control processes governing goal-directed behavior) and elevated hedonic hunger (i.e., preoccupation with palatable foods in the absence of physiological hunger) are theoretical risk and maintenance factors for binge eating (BE) distinct from general obesity. Recent theoretical models posit that dysregulated behavior such as BE may result from a combination of elevated appetitive drive (e.g., hedonic hunger) and decreased EF (e.g., inhibitory control and delayed discounting). The present study sought to test this model in distinguishing BE from general obesity by examining the independent and interactive associations of EF and hedonic hunger with BE group status (i.e., odds of categorization in BE group versus non-BE group). Treatment-seeking overweight and obese women with BE (n = 31) and without BE (OW group; n = 43) were assessed on measures of hedonic hunger and EF (inhibitory control and delay discounting). Elevated hedonic hunger increased the likelihood of categorization in the BE group, regardless of EF. When hedonic hunger was low, poor EF increased the likelihood of categorization in the BE group. Results indicate that the interplay of increased appetitive drives and decreased cognitive function may distinguish BE from overweight/obesity. Future longitudinal investigations of the combinatory effect of hedonic hunger and EF in increasing risk for developing BE are warranted, and may inform future treatment development to target these factors. Copyright © 2015 Elsevier Ltd. All rights reserved.

  1. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

    DEFF Research Database (Denmark)

    Rombouts, Jeroen V.K.; Stentoft, Lars

    This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models can be estimated straightforwardly by maximum likelihood, have high statistical fit when used on S&P 500 index return data, and allow for substantial negative skewness and time...... varying higher order moments of the risk neutral distribution. When forecasting out-of-sample a large set of index options between 1996 and 2009, substantial improvements are found compared to several benchmark models in terms of dollar losses and the ability to explain the smirk in implied volatilities...

  2. 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.

  3. Modeling the relationship between the oil price and global food prices

    International Nuclear Information System (INIS)

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

    2010-01-01

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

  4. Stochastic factor model for electricity spot price-the case of the Nordic market

    International Nuclear Information System (INIS)

    Vehvilaeinen, Iivo; Pyykkoenen, Tuomas

    2005-01-01

    This paper presents a stochastic factor based approach to mid-term modeling of spot prices in deregulated electricity markets. The fundamentals affecting the spot price are modeled independently and a market equilibrium model combines them to form spot price. Main advantage of the model is the transparency of the generated prices because each underlying factor and the dynamics between factors can be modeled and studied in detail. Paper shows realistic numerical examples on the forerunner Scandinavian electricity market. The model is used to price an exotic electricity derivative

  5. Stochastic factor model for electricity spot price - the case of the Nordic market

    International Nuclear Information System (INIS)

    Vehvilainen, I.; Pyykkoenen, T.

    2005-01-01

    This paper presents a stochastic factor based approach to mid-term modeling of spot prices in deregulated electricity markets. The fundamentals affecting the spot price are modeled independently and a market equilibrium model combines them to form spot price. Main advantage of the model is the transparency of the generated prices because each underlying factor and the dynamics between factors can be modeled and studied in detail. Paper shows realistic numerical examples on the forerunner Scandinavian electricity market. The model is used to price an exotic electricity derivative. (author)

  6. Measuring Product Prices under Conditions of Quality Change: The Case of Passenger Cars in Greece.

    OpenAIRE

    Bitros, George C; Panas, Epaminondas E

    1988-01-01

    The envelope curve of the bid functions for car characteristics in Greece is used to analyze the relationship between nominal and quality-adjusted car prices for 1965-85. It is estimated using the Box-Cox flexible functional form technique in a modification of S. Rosen's hedonic price model. The authors find that quality-adjusted prices of imports from West Germany, France, Italy, and Japan decline d from 1965 to 1970 and increased continuously thereafter; the quality of cars from France, Ita...

  7. Fuzzy Optimization of Option Pricing Model and Its Application in Land Expropriation

    Directory of Open Access Journals (Sweden)

    Aimin Heng

    2014-01-01

    Full Text Available Option pricing is irreversible, fuzzy, and flexible. The fuzzy measure which is used for real option pricing is a useful supplement to the traditional real option pricing method. Based on the review of the concepts of the mean and variance of trapezoidal fuzzy number and the combination with the Carlsson-Fuller model, the trapezoidal fuzzy variable can be used to represent the current price of land expropriation and the sale price of land on the option day. Fuzzy Black-Scholes option pricing model can be constructed under fuzzy environment and problems also can be solved and discussed through numerical examples.

  8. Wavelet regression model in forecasting crude oil price

    Science.gov (United States)

    Hamid, Mohd Helmie; Shabri, Ani

    2017-05-01

    This study presents the performance of wavelet multiple linear regression (WMLR) technique in daily crude oil forecasting. WMLR model was developed by integrating the discrete wavelet transform (DWT) and multiple linear regression (MLR) model. The original time series was decomposed to sub-time series with different scales by wavelet theory. Correlation analysis was conducted to assist in the selection of optimal decomposed components as inputs for the WMLR model. The daily WTI crude oil price series has been used in this study to test the prediction capability of the proposed model. The forecasting performance of WMLR model were also compared with regular multiple linear regression (MLR), Autoregressive Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) using root mean square errors (RMSE) and mean absolute errors (MAE). Based on the experimental results, it appears that the WMLR model performs better than the other forecasting technique tested in this study.

  9. Price fairness

    OpenAIRE

    Diller, Hermann

    2013-01-01

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

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

    OpenAIRE

    Lya Aklimawati; Teguh Wahyudi

    2013-01-01

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

  11. Modelling the Price of Unleaded Petrol in Australia’s Capital Cities

    Directory of Open Access Journals (Sweden)

    Abbas Valadkhani

    2010-06-01

    Full Text Available This paper examines the long-run and short-run determinants of unleaded petrol price in Australia’s capitalcities using monthly data to find out whether prices respond asymmetrically to external shocks. Based on thecointegration test results and the estimated asymmetric short-run dynamic models, it is found that: (1 in thelong-run petrol prices are mainly determined by Tapis crude oil and Singapore petrol prices; (2 there issome evidence of asymmetric price adjustments in the short-run since petrol price increases have been mostlypassed on to the consumer faster than price decreases in four capital cities. More specifically, this paperprovides convincing evidence in support of asymmetric price adjustments and the “rockets-and-feathershypothesis” in Adelaide, Brisbane, Melbourne and Sydney. One can thus argue that there are a significantdegree of market inefficiency and/or collusion, requiring a closer government price monitoring and scrutiny.

  12. Applicability of Investment and Profitability Effects in Asset Pricing Models

    Directory of Open Access Journals (Sweden)

    Márcio André Veras Machado

    2017-11-01

    Full Text Available This study aims to investigate whether investment and profitability are priced and if they partially explain the variations of stock returns in the Brazilian stock market, according to the Fama and French’s (2015 five-factor model. By using time series and cross-section regression, we found that book-to-market, momentum and liquidity are associated with stock returns whereas investment and profitability were not significant. We also found that there is no investment premium in Brazil. Therefore, motivated by the importance of B/M, momentum and liquidity to the Brazilian stock market, as well as by the poor performance of profitability and investment, we document that Keene and Peterson’s (2007 five-factor model is superior to all other models, especially the five-factor model by Fama and French (2015.

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

    Science.gov (United States)

    Hamid, Mohd Fahmi Abdul; Shabri, Ani

    2017-05-01

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

  14. Strategies for OPEC's pricing decisions. [Using model of world energy market

    Energy Technology Data Exchange (ETDEWEB)

    Gately, D; Kyle, J F; Fischer, D

    1977-11-01

    A model of the world energy market that incorporates price expectations and lagged adjustments of demand and supply is used to examine implications of various price-paths that could be selected by OPEC. After demonstrating the sensitivity of the results to changes in functional specifications and certain parameter values, the authors discuss a variety of rule-of-thumb pricing strategies under which OPEC sets prices in response to available market signals. A strategy that is relatively cautious about further major price increases serves OPEC relatively well in comparison with other stategies, but there exists a real possibility of major, abrupt price increases within the next ten years.

  15. Factors affecting forward pricing behaviour: implications of alternative regression model specifications

    Directory of Open Access Journals (Sweden)

    Henry Jordaan

    2010-12-01

    Full Text Available Price risk associated with maize production became a reason for concern in South Africa only after the deregulation of the agricultural commodities markets in the mid-1990s, when farmers became responsible for marketing their own crops. Although farmers can use, inter alia, the cash forward contracting and/or the derivatives market to manage price risk, few farmers actually participate in forward pricing. A similar reluctance to use forward pricing methods is also found internationally. A number of different model specifications have been used in previous research to model forward pricing behaviour which is based on the assumption that the same variables influence both the adoption and the quantity decision. This study compares the results from a model specification which models forward pricing behaviour in a single-decision framework with the results from modelling the quantity decision conditional to the adoption decision in a two-step approach. The results suggest that substantially more information is obtained by modelling forward pricing behaviour as two separate decisions rather than a single decision. Such information may be valuable in educational material compiled to educate farmers in the effective use of forward pricing methods in price risk management. Modelling forward pricing behaviour as two separate decisions  is thus a more effective means of modelling forward pricing behaviour than modelling it as a single decision.

  16. Forecasting house prices in the 50 states using Dynamic Model Averaging and Dynamic Model Selection

    DEFF Research Database (Denmark)

    Bork, Lasse; Møller, Stig Vinther

    2015-01-01

    We examine house price forecastability across the 50 states using Dynamic Model Averaging and Dynamic Model Selection, which allow for model change and parameter shifts. By allowing the entire forecasting model to change over time and across locations, the forecasting accuracy improves substantia......We examine house price forecastability across the 50 states using Dynamic Model Averaging and Dynamic Model Selection, which allow for model change and parameter shifts. By allowing the entire forecasting model to change over time and across locations, the forecasting accuracy improves...

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

    Science.gov (United States)

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

    2016-11-01

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

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

    Science.gov (United States)

    2016-01-01

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

  19. Theoretical Model of Pricing Behavior on the Polish Wholesale Fuel Market

    Directory of Open Access Journals (Sweden)

    Bejger Sylwester

    2016-12-01

    Full Text Available In this paper, we constructed a theoretical model of strategic pricing behavior of the players in a Polish wholesale fuel market. This model is consistent with the characteristics of the industry, the wholesale market, and the players. The model is based on the standard methodology of repeated games with a built-in adjustment to a focal price, which resembles the Import Parity Pricing (IPP mechanism. From the equilibrium of the game, we conclude that the focal price policy implies a parallel pricing strategic behavior on the market.

  20. Developing a new stochastic competitive model regarding inventory and price

    Science.gov (United States)

    Rashid, Reza; Bozorgi-Amiri, Ali; Seyedhoseini, S. M.

    2015-09-01

    Within the competition in today's business environment, the design of supply chains becomes more complex than before. This paper deals with the retailer's location problem when customers choose their vendors, and inventory costs have been considered for retailers. In a competitive location problem, price and location of facilities affect demands of customers; consequently, simultaneous optimization of the location and inventory system is needed. To prepare a realistic model, demand and lead time have been assumed as stochastic parameters, and queuing theory has been used to develop a comprehensive mathematical model. Due to complexity of the problem, a branch and bound algorithm has been developed, and its performance has been validated in several numerical examples, which indicated effectiveness of the algorithm. Also, a real case has been prepared to demonstrate performance of the model for real world.

  1. An equivalent marginal cost-pricing model for the district heating market

    International Nuclear Information System (INIS)

    Zhang, Junli; Ge, Bin; Xu, Hongsheng

    2013-01-01

    District heating pricing is a core element in reforming the heating market. Existing district heating pricing methods, such as the cost-plus pricing method and the conventional marginal-cost pricing method, cannot simultaneously provide both high efficiency and sufficient investment cost return. To solve this problem, the paper presents a new pricing model, namely Equivalent Marginal Cost Pricing (EMCP) model, which is based on the EVE pricing theory and the unique characteristics of heat products and district heating. The EMCP model uses exergy as the measurement of heating product value and places products from different district heating regions into the same competition platform. In the proposed model, the return on investment cost is closely related to the quoted cost, and within the limitations of the Heating Capacity Cost Reference and the maximum compensated shadow capacity cost, both lower and higher price speculations of heat producers are restricted. Simulation results show that the model can guide heat producers to bid according to their production costs and to provide reasonable returns on investment, which contributes to stimulate the role of price leverage and to promote the optimal allocation of heat resources. - Highlights: • Presents a new district heating pricing model. • Provides both high market efficiency and sufficient investment cost return. • Provides a competition mechanism for various products from different DH regions. • Both of lower and higher price speculations are restricted in the new model

  2. BUSINESS MODELS FOR TAX AND TRANSFER PRICING PURPOSES

    Directory of Open Access Journals (Sweden)

    Corlaciu Alexandra

    2013-07-01

    Full Text Available In order to remain competitive, the multinational enterprises (MNEs are forced by the globalization phenomenon (which manifestation has became more and more stringent to analyze continuously its effectiveness. In this respect, the structure of the business represents an element which might have an important impact for the enterprise’s overall results. This is why, in the last decades, the MNEs granted special attention to business structures and put significant efforts in business restructurings, where the case, with the scope to keep the efficiency and to remain on the market. Generally, the operational business restructuring process follows one of the business model globally developed, namely manufacturer or sales business models. Thus, according to the functions performed, assets used and risks assumed, the entities within the group are labeled into limited risk units (such as toll manufacturer or commission agent, medium risk (contract manufacturer, commissionaire, stripped distributor or high risk units (fully fledged manufacturer, fully fledged distributor. Notwithstanding the above, there should be emphasized that the operational business restructuring has to be undertaken with maximal care, as it might have important fiscal impact. Having this regard, the purpose of the present investigation is to provide, from a tax and transfer pricing point of view, a systematic and structured analysis of the generally characteristics of business models (manufacturer and sales business models used by multinational enterprises in the process of business reorganization, with the scope to increase their performance and the sustainable competitive advantages. Thus, by using the fundamental (theoretical and qualitative research type, this paper is aiming to present the most important characteristics of each business model (general overview of each model, the principal risk assumed, the usual transfer pricing method used for the remuneration of intra

  3. A vector autoregressive model for electricity prices subject to long memory and regime switching

    International Nuclear Information System (INIS)

    Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten Oerregaard

    2010-01-01

    A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the observed regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity prices where the transmission of power is subject to occasional congestion periods. For a system of bilateral prices non-congestion means that electricity prices are identical whereas congestion makes prices depart. Hence, the joint price dynamics implies switching between a univariate price process under non-congestion and a bivariate price process under congestion. At the same time, it is an empirical regularity that electricity prices tend to show a high degree of long memory, and thus that prices may be fractionally cointegrated. Analysis of Nord Pool data shows that even though the prices are identical under non-congestion, the prices are not, in general, fractionally cointegrated in the congestion state. Hence, in most cases price convergence is a property following from regime switching rather than a conventional error correction mechanism. Finally, the suggested model is shown to deliver forecasts that are more precise compared to competing models. (author)

  4. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

    NARCIS (Netherlands)

    Driessen, J.J.A.G.; Klaassen, P.; Melenberg, B.

    2000-01-01

    In this paper we empirically compare different term structure models when it comes to the pricing and hedging of caps and swaptions.We analyze the influence of the number of factors on the pricing and hedging results, and investigate which type of data -interest rate data or derivative price data-

  5. The plunge in German electricity futures prices – Analysis using a parsimonious fundamental model

    International Nuclear Information System (INIS)

    Kallabis, Thomas; Pape, Christian; Weber, Christoph

    2016-01-01

    The German market has seen a plunge in wholesale electricity prices from 2007 until 2014, with base futures prices dropping by more than 40%. This is frequently attributed to the unexpected high increase in renewable power generation. Using a parsimonious fundamental model, we determine the respective impact of supply and demand shocks on electricity futures prices. The used methodology is based on a piecewise linear approximation of the supply stack and time-varying price-inelastic demand. This parsimonious model is able to replicate electricity futures prices and discover non-linear dependencies in futures price formation. We show that emission prices have a higher impact on power prices than renewable penetration. Changes in renewables, demand and installed capacities turn out to be similarly important for explaining the decrease in operation margins of conventional power plants. We thus argue for the establishment of an independent authority to stabilize emission prices. - Highlights: •We build a parsimonious fundamental model based on a piecewise linear bid stack. •We use the model to investigate impact factors for the plunge in German futures prices. •Largest impact by CO_2 price developments followed by demand and renewable feed-in. •Power plant operating profits strongly affected by demand and renewables. •We argue that stabilizing CO_2 emission prices could provide better market signals.

  6. Modelling the Asymmetric Volatility in Hog Prices in Taiwan : The Impact of Joining the WTO

    NARCIS (Netherlands)

    C-L. Chang (Chia-Lin); B-W. Huang (Bing-Wen); M-G. Chen (Meng-Gu)

    2010-01-01

    textabstractPrices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23

  7. A reference-dependent model of the price-quality heuristic

    NARCIS (Netherlands)

    Gneezy, A.; Gneezy, U.; Lauga, D.O.

    2014-01-01

    People often use price as a proxy for quality, resulting in a positive correlation between prices and product liking, known as the "price- quality" (P-Q) heuristic. Using data from three experiments conducted at a winery, this article offers a more complex and complete reference-dependent model of

  8. Valuing Residential Energy Efficiency in Two Alaska Real Estate Markets: A Hedonic Approach

    Science.gov (United States)

    Pride, Dominique J.

    Alaska households have high home energy consumption and expenditures. Improving the energy efficiency of the housing stock can reduce home energy consumption, thereby reducing home energy expenditures and CO2 emissions. Improving the energy efficiency of a home may also increase its transaction price if the energy efficiency improvements are capitalized into the value of the home. The relationship between energy efficiency and transaction prices in the Fairbanks and Anchorage, Alaska residential real estate markets is examined. Using a hedonic pricing framework and difference-in-differences analysis, the impact of the Alaska Home Energy Rebate program on the transaction prices of single-family homes in the Fairbanks and Anchorage housing markets from 2008 through 2015 is examined. The results indicate that compared to homes that did not complete the program, homes that completed the program sell for a statistically significant price premium between 15.1% and 15.5% in the Fairbanks market and between 5% and 11% in the Anchorage market. A hedonic pricing framework is used to relate energy efficiency ratings and transaction prices of homes in the Fairbanks and Anchorage residential real estate markets from 2008 through 2015. The results indicate that homes with above-average energy efficiency ratings sell for a statistically significant price premium between 6.9% and 17.5% in the Fairbanks market and between 1.8% and 6.0% in the Anchorage market.

  9. Establishment of Grain Farmers' Supply Response Model and Empirical Analysis under Minimum Grain Purchase Price Policy

    OpenAIRE

    Zhang, Shuang

    2012-01-01

    Based on farmers' supply behavior theory and price expectations theory, this paper establishes grain farmers' supply response model of two major grain varieties (early indica rice and mixed wheat) in the major producing areas, to test whether the minimum grain purchase price policy can have price-oriented effect on grain production and supply in the major producing areas. Empirical analysis shows that the minimum purchase price published annually by the government has significant positive imp...

  10. Price versus Non-price Incentives for Participation in Quality Labeling: The Case of the German Fruit Juice Industry

    Directory of Open Access Journals (Sweden)

    Simon Bleich

    2013-03-01

    Full Text Available Quality assurance and labeling play an important and increasing role in firms’ marketing strategies. In almost all cases, a price incentive has been stressed as the major incentive for firms to participate in such schemes. We argue here that important non-price incentives for participation in quality labeling may exist, too. In German retailing, it can be observed that discount retailers are listing more and more foods with quality labels. Processors may then participate in voluntary quality labeling in order to enter the large and growing market of discount retailers. The price-premium versus the market-entry hypothesis are analyzed theo-retically. We investigate then in an empirical hedonic pricing model for the German fruit juice market and for participation in the quality label of the Deutsche Landwirtschafts-Gesellschaft (DLG which of the two hypotheses is consistent with the data. There is strong support for the market-entry hypothesis

  11. Modelling of capital asset pricing by considering the lagged effects

    Science.gov (United States)

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

    2017-01-01

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

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

    Science.gov (United States)

    Yang, Xiaoxiang; Zhao, Conan; Mazilu, Irina

    2015-03-01

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

  13. KOMPARASI CAPITAL ASSET PRICING MODEL VERSUS ARBITRAGE PRICING THEORY MODEL ATAS VOLATILITAS RETURN SAHAM

    Directory of Open Access Journals (Sweden)

    Mathius Tandiontong

    2017-03-01

    Full Text Available Investing in the stock market is one option for investors. Investment in ordinary shares was classified as longterminvestments to be able to provide added value and the risk for fixed income. This study focused on thedifference of APTM versus CAPM, and it also focused on the sensitivity of the APTM on the stock returns. Thisstudy was based on the assumption that: there were differences in sectoral stock return volatility, volatility ofmarket risk factors, and macroeconomic risks affecting sectoral differences in the sensitivity of stock returns;there were differences in the results of testing the validity, robustness unconditional CAPM and APTMmultifactorial; and time-varying volatility referring to the phenomena of structural breaks and asymmetriceffect. The method of analysis used nested models with panel data. Data were analyzed by using secondary datafrom 2005-2012. The results of this study concluded that: there was no different sensitivity of stock returnsacross sectors, but there was different insensitivity between systematic risk factors, CAPM and APTM multifactorthat showed the inconsistency of the sectoral shares, but the proven model of unconditional CAPM wasvalid; the difference of factor risk premiums was as a result of the structural break, the financial crisis period of2008 within the period 2005-2012.

  14. Daily Crude Oil Price Forecasting Using Hybridizing Wavelet and Artificial Neural Network Model

    Directory of Open Access Journals (Sweden)

    Ani Shabri

    2014-01-01

    Full Text Available A new method based on integrating discrete wavelet transform and artificial neural networks (WANN model for daily crude oil price forecasting is proposed. The discrete Mallat wavelet transform is used to decompose the crude price series into one approximation series and some details series (DS. The new series obtained by adding the effective one approximation series and DS component is then used as input into the ANN model to forecast crude oil price. The relative performance of WANN model was compared to regular ANN model for crude oil forecasting at lead times of 1 day for two main crude oil price series, West Texas Intermediate (WTI and Brent crude oil spot prices. In both cases, WANN model was found to provide more accurate crude oil prices forecasts than individual ANN model.

  15. A combined modeling approach for wind power feed-in and electricity spot prices

    International Nuclear Information System (INIS)

    Keles, Dogan; Genoese, Massimo; Möst, Dominik; Ortlieb, Sebastian; Fichtner, Wolf

    2013-01-01

    Wind power generation and its impacts on electricity prices has strongly increased in the EU. Therefore, appropriate mark-to-market evaluation of new investments in wind power and energy storage plants should consider the fluctuant generation of wind power and uncertain electricity prices, which are affected by wind power feed-in (WPF). To gain the input data for WPF and electricity prices, simulation models, such as econometric models, can serve as a data basis. This paper describes a combined modeling approach for the simulation of WPF series and electricity prices considering the impacts of WPF on prices based on an autoregressive approach. Thereby WPF series are firstly simulated for each hour of the year and integrated in the electricity price model to generate an hourly resolved price series for a year. The model results demonstrate that the WPF model delivers satisfying WPF series and that the extended electricity price model considering WPF leads to a significant improvement of the electricity price simulation compared to a model version without WPF effects. As the simulated series of WPF and electricity prices also contain the correlation between both series, market evaluation of wind power technologies can be accurately done based on these series. - Highlights: • Wind power feed-in can be directly simulated with stochastic processes. • Non-linear relationship between wind power feed-in and electricity prices. • Price reduction effect of wind power feed-in depends on the actual load. • Considering wind power feed-in effects improves the electricity price simulation. • Combined modeling of both parameters delivers a data basis for evaluation tools

  16. Effects of environmental amenities and locational disamenities on home values in the Santa Cruz watershed: a hedonic analysis using census data

    Science.gov (United States)

    Arora, Gaurav; Frisvold, George; Norman, Laura

    2014-01-01

    For this study, we used the hedonic pricing method to measure the effects of natural amenities on home prices in the U.S-side of the Santa Cruz Watershed. We employed multivariate spatial regression techniques to estimate how difference factors affect median home values in 613 census block groups of the 2000 Census, accounting for spatial autocorrelation, spatial lags, and/or spatial heterogeneity in the data. Diagnostic tests suggest that failure to account for the hedonic model can be classified as (1) physical features of the housing stock, (2) neighborhood characteristics, and (3) environmental attributes. Census data was combined with GIS data for vegetation and land cover, land administration, measures of species richness and open space, and proximity to amenities and disamenities. Census block groups close to the US-Mexico border of airports/air bases were negative. Results suggest that policies to maintain biodiversity and open space provide economic benefits to homeowners, reflected in higher home values. Future research will quantify the marginal effects of regression explanatory variables on home values to assess their economic and policy significant. These marginal effects will be used as input indicators to discern potential economic impacts of various scenarios in the Santa Cruz Watershed Ecosystem Portfolio Model (SCWEPM). Future research will also expand this effort into the Mexican-portion of the watershed.

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

    Directory of Open Access Journals (Sweden)

    Lya Aklimawati

    2013-12-01

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

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

    Science.gov (United States)

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

    2015-05-01

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

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

    International Nuclear Information System (INIS)

    Zagaglia, Paolo

    2010-01-01

    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)

  20. Pricing Model for Dual Sales Channel with Promotion Effect Consideration

    OpenAIRE

    Chuiri Zhou

    2016-01-01

    We focus on the pricing strategy of a dual sales channel member when his/her online retailer faces an upcoming overloaded express delivery service due to the sales peak of online shopping, especially referring to the occurring affairs in China. We characterize the pricing problem of the dual selling channel system as a two-period game. When the price discount is only provided by the online seller, we find that the prices of the traditional channel and the online channel in the two periods are...

  1. EVT in electricity price modeling : extreme value theory not only on the extreme events

    International Nuclear Information System (INIS)

    Marossy, Z.

    2007-01-01

    The extreme value theory (EVT) is commonly used in electricity and financial risk modeling. In this study, EVT was used to model the distribution of electricity prices. The model was built on the price formation in electricity auction markets. This paper reviewed the 3 main modeling approaches used to describe the distribution of electricity prices. The first approach is based on a stochastic model of the electricity price time series and uses this stochastic model to generate the given distribution. The second approach involves electricity supply and demand factors that determine the price distribution. The third approach involves agent-based models which use simulation techniques to write down the price distribution. A fourth modeling approach was then proposed to describe the distribution of electricity prices. The new approach determines the distribution of electricity prices directly without knowing anything about the data generating process or market driving forces. Empirical data confirmed that the distribution of electricity prices have a generalized extreme value (GEV) distribution. 8 refs., 2 tabs., 5 figs

  2. A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets

    DEFF Research Database (Denmark)

    Pircalabu, Anca; Benth, Fred Espen

    2017-01-01

    significant evidence of tail dependence in all pairs of interconnected areas we consider. As a first application of the proposed model, we consider the pricing of financial transmission rights, and highlight how the choice of marginal distributions and copula impacts prices. As a second application we......The recent price coupling of many European electricity markets has triggered a fundamental change in the interaction of day-ahead prices, challenging additionally the modeling of the joint behavior of prices in interconnected markets. In this paper we propose a regime-switching AR–GARCH copula...... to model pairs of day-ahead electricity prices in coupled European markets. While capturing key stylized facts empirically substantiated in the literature, this model easily allows us to 1) deviate from the assumption of normal margins and 2) include a more detailed description of the dependence between...

  3. Electricity market price spike analysis by a hybrid data model and feature selection technique

    International Nuclear Information System (INIS)

    Amjady, Nima; Keynia, Farshid

    2010-01-01

    In a competitive electricity market, energy price forecasting is an important activity for both suppliers and consumers. For this reason, many techniques have been proposed to predict electricity market prices in the recent years. However, electricity price is a complex volatile signal owning many spikes. Most of electricity price forecast techniques focus on the normal price prediction, while price spike forecast is a different and more complex prediction process. Price spike forecasting has two main aspects: prediction of price spike occurrence and value. In this paper, a novel technique for price spike occurrence prediction is presented composed of a new hybrid data model, a novel feature selection technique and an efficient forecast engine. The hybrid data model includes both wavelet and time domain variables as well as calendar indicators, comprising a large candidate input set. The set is refined by the proposed feature selection technique evaluating both relevancy and redundancy of the candidate inputs. The forecast engine is a probabilistic neural network, which are fed by the selected candidate inputs of the feature selection technique and predict price spike occurrence. The efficiency of the whole proposed method for price spike occurrence forecasting is evaluated by means of real data from the Queensland and PJM electricity markets. (author)

  4. An integrated Markov decision process and nested logit consumer response model of air ticket pricing

    NARCIS (Netherlands)

    Lu, J.; Feng, T.; Timmermans, H.P.J.; Yang, Z.

    2017-01-01

    The paper attempts to propose an optimal air ticket pricing model during the booking horizon by taking into account passengers' purchasing behavior of air tickets. A Markov decision process incorporating a nested logit consumer response model is established to modeling the dynamic pricing process.

  5. Econometric models of power prices. An approach to market monitoring in the Western US

    International Nuclear Information System (INIS)

    Barmack, Matthew; Kahn, Edward; Tierney, Susan; Goldman, Charles

    2008-01-01

    Given the limitations of data and resources available for market monitoring in electricity markets where regional transmission organizations (RTO) do not exist, we argue that econometric models of power prices could provide a useful screening tool for market monitoring. To explore its feasibility, we developed several econometric models of power prices at two major trading hubs in the West: Palo Verde and Mid-Columbia. We show that our models explain a large portion of the variation in power prices in Palo Verde and can establish a benchmark that can be used to identify outlier prices that are potentially the result of anti-competitive behavior. (author)

  6. A Price Index Model for Road Freight Transportation and Its Empirical analysis in China

    Directory of Open Access Journals (Sweden)

    Liu Zhishuo

    2017-01-01

    Full Text Available The aim of price index for road freight transportation (RFT is to reflect the changes of price in the road transport market. Firstly, a price index model for RFT based on the sample data from Alibaba logistics platform is built. This model is a three levels index system including total index, classification index and individual index and the Laspeyres method is applied to calculate these indices. Finally, an empirical analysis of the price index for RFT market in Zhejiang Province is performed. In order to demonstrate the correctness and validity of the exponential model, a comparative analysis with port throughput and PMI index is carried out.

  7. Pricing Model for Dual Sales Channel with Promotion Effect Consideration

    Directory of Open Access Journals (Sweden)

    Chuiri Zhou

    2016-01-01

    Full Text Available We focus on the pricing strategy of a dual sales channel member when his/her online retailer faces an upcoming overloaded express delivery service due to the sales peak of online shopping, especially referring to the occurring affairs in China. We characterize the pricing problem of the dual selling channel system as a two-period game. When the price discount is only provided by the online seller, we find that the prices of the traditional channel and the online channel in the two periods are higher while the overloaded degree of express delivery is lower and the overloaded delivery services can decrease the profits of both channels. When the price discounts are provided by both traditional and online sellers, we find that the derived Nash price equilibrium of both channels includes five possible combinations of prices. Both traditional and online sellers will choose their price strategies, respectively, according to their cost advantages which are affected by the overloaded degree of express delivery.

  8. A Dynamic Pricing Model for Coordinated Sales and Operations

    NARCIS (Netherlands)

    M. Fleischmann (Moritz); J.M. Hall (Joseph); D.F. Pyke (David)

    2005-01-01

    textabstractRecent years have seen advances in research and management practice in the area of pricing, and particularly in dynamic pricing and revenue management. At the same time, researchers and managers have made dramatic improvements in operations and supply chain management. The interactions

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

    Science.gov (United States)

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

    2016-08-01

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

  10. A COUNTY-LEVEL MODEL OF MANUFACTURING PLANT RECRUITMENT WITH IMPROVED INDUSTRIAL SITE QUALITY MEASUREMENT

    OpenAIRE

    Kriesel, Warren; McNamara, Kevin T.

    1991-01-01

    Empirical analysis of manufacturing plant location requires the use of a single industrial site quality measure. Under hedonic price theory, the price of industrial sites can be explained by their quality characteristics. The estimated site price is included with ten other location factors in an ordered, categorical logit model of plant attraction to Georgia counties. The results inform public decision-makers of the relative impact of site location factors and how changes in location factors ...

  11. The effects of residential real-time pricing contracts on transco loads, pricing, and profitability: Simulations using the N-ABLE trademark agent-based model

    International Nuclear Information System (INIS)

    Ehlen, Mark A.; Scholand, Andrew J.; Stamber, Kevin L.

    2007-01-01

    An agent-based model is constructed in which a demand aggregator sells both uniform-price and real-time price (RTP) contracts to households as means for adding price elasticity in residential power use sectors, particularly during peak-price hours of the day. Simulations suggest that RTP contracts help a demand aggregator (1) shift its long-term contracts toward off-peak hours, thereby reducing its cost of power and (2) increase its short-run profits if it is one of the first aggregators to have large numbers of RTP contracts; but (3) create susceptibilities to short-term market demand and price volatilities. (author)

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

    Science.gov (United States)

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

    2015-02-01

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

  13. A hardness result for core stability in additive hedonic games

    NARCIS (Netherlands)

    Woeginger, G.J.

    2013-01-01

    We investigate the computational complexity of a decision problem in hedonic coalition formation games. We prove that core stability in additive hedonic games is complete for the second level of the polynomial hierarchy.

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

    Science.gov (United States)

    Wang, Haiyin; Jin, Chunlin; Jiang, Qingwu

    2017-11-20

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

  15. ASYMMETRIC PRICE TRANSMISSION MODELING: THE IMPORTANCE OF MODEL COMPLEXITY AND THE PERFORMANCE OF THE SELECTION CRITERIA

    Directory of Open Access Journals (Sweden)

    Henry de-Graft Acquah

    2013-01-01

    Full Text Available Information Criteria provides an attractive basis for selecting the best model from a set of competing asymmetric price transmission models or theories. However, little is understood about the sensitivity of the model selection methods to model complexity. This study therefore fits competing asymmetric price transmission models that differ in complexity to simulated data and evaluates the ability of the model selection methods to recover the true model. The results of Monte Carlo experimentation suggest that in general BIC, CAIC and DIC were superior to AIC when the true data generating process was the standard error correction model, whereas AIC was more successful when the true model was the complex error correction model. It is also shown that the model selection methods performed better in large samples for a complex asymmetric data generating process than with a standard asymmetric data generating process. Except for complex models, AIC's performance did not make substantial gains in recovery rates as sample size increased. The research findings demonstrate the influence of model complexity in asymmetric price transmission model comparison and selection.

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

    International Nuclear Information System (INIS)

    Tang, Linghui; Hammoudeh, Shawkat

    2002-01-01

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

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

    International Nuclear Information System (INIS)

    Linghui Tang; Shawkat Hammoudeh

    2002-01-01

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

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

    Science.gov (United States)

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

    2003-03-01

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

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

    Science.gov (United States)

    Al-Hadrusi, Musab; Sarhan, Nabil J.

    2008-01-01

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

  20. Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis

    NARCIS (Netherlands)

    de Jong, F.C.J.M.; Driessen, J.J.A.G.; Pelsser, A.

    2000-01-01

    In this paper we empirically analyze and compare the Libor and Swap Market Models, developed by Brace, Gatarek, and Musiela (1997) and Jamshidian (1997), using paneldata on prices of US caplets and swaptions.A Libor Market Model can directly be calibrated to observed prices of caplets, whereas a

  1. A Hierarchical Bayes Error Correction Model to Explain Dynamic Effects of Price Changes

    NARCIS (Netherlands)

    D. Fok (Dennis); R. Paap (Richard); C. Horváth (Csilla); Ph.H.B.F. Franses (Philip Hans)

    2005-01-01

    textabstractThe authors put forward a sales response model to explain the differences in immediate and dynamic effects of promotional prices and regular prices on sales. The model consists of a vector autoregression rewritten in error-correction format which allows to disentangle the immediate

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

    Science.gov (United States)

    Duvvuri, Sri Devi; Gruca, Thomas S.

    2010-01-01

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

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

    International Nuclear Information System (INIS)

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

    2004-01-01

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

  4. The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options

    DEFF Research Database (Denmark)

    Rombouts, Jeroen V.K.; Stentoft, Lars; Violante, Francesco

    innovation for a Laplace innovation assumption improves the pricing in a smaller way. Apart from investigating directly the value of model sophistication in terms of dollar losses, we also use the model condence set approach to statistically infer the set of models that delivers the best pricing performance.......We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differer...

  5. Application of adversarial risk analysis model in pricing strategies with remanufacturing

    Directory of Open Access Journals (Sweden)

    Liurui Deng

    2015-01-01

    Full Text Available Purpose: Purpose: This paper mainly focus on the application of adversarial risk analysis (ARA in pricing strategy with remanufacturing. We hope to obtain more realistic results than classical model. Moreover, we also wish that our research improve the development of ARA in pricing strategy of manufacturing or remanufacturing. Approach: In order to gain more actual research, combining adversarial risk analysis, we explore the pricing strategy with remanufacturing based on Stackelberg model. Especially, we build OEM’s 1-order ARA model and further study on manufacturers and remanufacturers’ pricing strategy. Findings: We find the OEM’s 1-order ARA model for the OEM’s product cost C. Besides, we get according manufacturers and remanufacturers’ pricing strategies. Besides, the pricing strategies based on 1-order ARA model have advantage over than the classical model regardless of OEMs and remanufacturers. Research implications: The research on application of ARA imply that we can get more actual results with this kind of modern risk analysis method and ARA can be extensively in pricing strategies of supply chain. Value: Our research improves the application of ARA in remanufacturing industry. Meanwhile, inspired by this analysis, we can also create different ARA models for different parameters. Furthermore, some results and analysis methods can be applied to other pricing strategies of supply chain.

  6. Casemix funding for a specialist paediatrics hospital: a hedonic regression approach.

    Science.gov (United States)

    Bridges, J F; Hanson, R M

    2000-01-01

    This paper inquires into the effects that Diagnosis Related Groups (DRGs) have had on the ability to explain patient-level costs in a specialist paediatrics hospital. Two hedonic models are estimated using 1996/97 New Children's Hospital (NCH) patient level cost data, one with and one without a casemix index (CMI). The results show that the inclusion of a casemix index as an explanatory variable leads to a better accounting of cost. The full hedonic model is then used to simulate a funding model for the 1997/98 NCH cost data. These costs are highly correlated with the actual costs reported for that year. In addition, univariate regression indicates that there has been inflation in costs in the order of 4.8% between the two years. In conclusion, hedonic analysis can provide valuable evidence for the design of funding models that account for casemix.

  7. Non-Life Insurance Pricing: Multi Agents Model

    OpenAIRE

    Amir H. Darooneh

    2004-01-01

    We use the maximum entropy principle for pricing the non-life insurance and recover the B\\"{u}hlmann results for the economic premium principle. The concept of economic equilibrium is revised in this respect.

  8. Some models for electric power price clearing in liberalized market area

    International Nuclear Information System (INIS)

    Chogelja, Goran; Pavlov, Risto

    2001-01-01

    This paper presents some of the basic models for electrical energy price clearing in liberalized market area and competition on level of consumption and level of production. As an example the Amsterdam power exchange APX (spot market) is given and some of another types of markets and methodology for pricing are presented. In detal 'clearing pricing mechanism in day athead market' from the Amsterdam power exchange is presented as well as the methodology for market balancing and financial clearing. (Original)

  9. A Robust Rational Route to in a Simple Asset Pricing Model

    OpenAIRE

    Hommes, C.H.; Huang, H.; Wang, D.

    2002-01-01

    We investigate asset pricing dynamics in an adaptive evolutionary asset pricing model with fundamentalists, trend followers and a market maker. Agents can choose between a fundamentalist strategy at positive information cost or choose a trend following strategy for free. Price adjustment is proportional to the excess demand in the asset market. Agents asynchronously update their strategy according to realized net profits in the recent past. As agents become more sensitive to differences in st...

  10. Premium Pricing of Liability Insurance Using Random Sum Model

    OpenAIRE

    Kartikasari, Mujiati Dwi

    2017-01-01

    Premium pricing is one of important activities in insurance. Nonlife insurance premium is calculated from expected value of historical data claims. The historical data claims are collected so that it forms a sum of independent random number which is called random sum. In premium pricing using random sum, claim frequency distribution and claim severity distribution are combined. The combination of these distributions is called compound distribution. By using liability claim insurance data, we ...

  11. Transfer prices assignment with integrated production and marketing optimization models

    OpenAIRE

    Enrique Parra

    2018-01-01

    Purpose: In decentralized organizations (today a great majority of the large multinational groups), much of the decision-making power is in its individual business units-BUs-. In these cases, the management control system (MCS) uses transfer prices to coordinate actions of the BUs and to evaluate their performance with the goal of guaranteeing the whole corporation optimum. The purpose of the investigation is to design transfer prices that suit this goal. Design/methodology/approach: Cons...

  12. A BEHAVIORAL ECONOMIC MODEL OF ALCOHOL ADVERTISING AND PRICE

    Science.gov (United States)

    SAFFER, HENRY; DAVE, DHAVAL; GROSSMAN, MICHAEL

    2016-01-01

    SUMMARY This paper presents a new empirical study of the effects of televised alcohol advertising and alcohol price on alcohol consumption. A novel feature of this study is that the empirical work is guided by insights from behavioral economic theory. Unlike the theory used in most prior studies, this theory predicts that restriction on alcohol advertising on TV would be more effective in reducing consumption for individuals with high consumption levels but less effective for individuals with low consumption levels. The estimation work employs data from the National Longitudinal Survey of Youth, and the empirical model is estimated with quantile regressions. The results show that advertising has a small positive effect on consumption and that this effect is relatively larger at high consumption levels. The continuing importance of alcohol taxes is also supported. Education is employed as a proxy for self-regulation, and the results are consistent with this assumption. The key conclusion is that restrictions on alcohol advertising on TV would have a small negative effect on drinking, and this effect would be larger for heavy drinkers. PMID:25919364

  13. A Behavioral Economic Model of Alcohol Advertising and Price.

    Science.gov (United States)

    Saffer, Henry; Dave, Dhaval; Grossman, Michael

    2016-07-01

    This paper presents a new empirical study of the effects of televised alcohol advertising and alcohol price on alcohol consumption. A novel feature of this study is that the empirical work is guided by insights from behavioral economic theory. Unlike the theory used in most prior studies, this theory predicts that restriction on alcohol advertising on TV would be more effective in reducing consumption for individuals with high consumption levels but less effective for individuals with low consumption levels. The estimation work employs data from the National Longitudinal Survey of Youth, and the empirical model is estimated with quantile regressions. The results show that advertising has a small positive effect on consumption and that this effect is relatively larger at high consumption levels. The continuing importance of alcohol taxes is also supported. Education is employed as a proxy for self-regulation, and the results are consistent with this assumption. The key conclusion is that restrictions on alcohol advertising on TV would have a small negative effect on drinking, and this effect would be larger for heavy drinkers. Copyright © 2015 John Wiley & Sons, Ltd. Copyright © 2015 John Wiley & Sons, Ltd.

  14. Measuring Risk Structure Using the Capital Asset Pricing Model

    Directory of Open Access Journals (Sweden)

    Zdeněk Konečný

    2015-01-01

    Full Text Available This article is aimed at proposing of an inovative method for calculating the shares of operational and financial risks. This methodological tool will support managers while monitoring the risk structure. The method is based on the capital asset pricing model (CAPM for calculation of equity cost, namely on determination of the beta coefficient, which is the only variable, that is dependent on entrepreneurial risk. There are combined both alternative approaches for calculation betas, which means, that there are accounting data used and there is distinguished unlevered beta and levered beta. The novelty of the proposed method is based on including of quantities for measuring operational and financial risks in beta calculation. The volatility of cash flow, as a quantity for measuring of operational risk, is included in the unlevered beta. Return on equity based on the cash flow and the indebtedness are variables used in calculation of the levered beta. This modification makes it possible to calculate the share of operational risk as the proportion of the unlevered/levered beta and the share of financial risk, which is the remainder of levered beta. The modified method is applied on companies from two sectors of the Czech economy. In the data set there are companies from one cyclical sector and from one neutral sector to find out potential differences in the risk structure. The findings show, that in both sectors the share of operational risk is over 50%, however, in the neutral sector is this more dominant.

  15. Spontaneous hedonic reactions to social media cues

    NARCIS (Netherlands)

    Koningsbruggen, G.M. van; Hartmann, T.; Eden, A.; Veling, H.P.

    2017-01-01

    Why is it so difficult to resist the desire to use social media? One possibility is that frequent social media users possess strong and spontaneous hedonic reactions to social media cues, which, in turn, makes it difficult to resist social media temptations. In two studies (total N = 200), we

  16. Spontaneous Hedonic Reactions to Social Media Cues.

    Science.gov (United States)

    van Koningsbruggen, Guido M; Hartmann, Tilo; Eden, Allison; Veling, Harm

    2017-05-01

    Why is it so difficult to resist the desire to use social media? One possibility is that frequent social media users possess strong and spontaneous hedonic reactions to social media cues, which, in turn, makes it difficult to resist social media temptations. In two studies (total N = 200), we investigated less-frequent and frequent social media users' spontaneous hedonic reactions to social media cues using the Affect Misattribution Procedure-an implicit measure of affective reactions. Results demonstrated that frequent social media users showed more favorable affective reactions in response to social media (vs. control) cues, whereas less-frequent social media users' affective reactions did not differ between social media and control cues (Studies 1 and 2). Moreover, the spontaneous hedonic reactions to social media (vs. control) cues were related to self-reported cravings to use social media and partially accounted for the link between social media use and social media cravings (Study 2). These findings suggest that frequent social media users' spontaneous hedonic reactions in response to social media cues might contribute to their difficulties in resisting desires to use social media.

  17. Designing Hedonic User Experiences: The Effect Of Psychological Need Fulfilment On Hedonic Motivation

    OpenAIRE

    Rocznik, Dorothee; Goffart, Klaus; Wiesche, Manuel

    2017-01-01

    Within the last two decades the investigation of emotional and experiential influences in technology acceptance gained increasing attention. Especially in the context of the Internet of Things (IoT) researchers discovered the potential of designing hedonic experiences for customers. Recent studies integrated hedonic motivation as a core construct of the Unified Theory of Adoption and Use of Technology (UTAUT2) and confirmed the importance of its role. Nevertheless, we still lack r...

  18. Longitudinal trends in hedonic hunger after Roux-en-Y gastric bypass in adolescents.

    Science.gov (United States)

    Cushing, Christopher C; Benoit, Stephen C; Peugh, James L; Reiter-Purtill, Jennifer; Inge, Thomas H; Zeller, Meg H

    2014-01-01

    Initial outcome studies have reported that Roux-en-Y gastric bypass (RYGB) is safe and efficacious for adolescents with extreme obesity. Although rapid weight loss is seen initially, data also show that modest weight regain typically occurs as early as the second postoperative year. The contribution of various psychological factors, including hedonic hunger, to postoperative weight regain has not previously been studied in adolescents. The objective of this study was to examine the variability in hedonic hunger and body mass index (BMI) over the initial 2-year period of weight loss and modest weight regain in adolescent RYGB recipients. A total of 16 adolescents completed the Power of Food Scale before surgery and at 3, 6, 12, 18, and 24 months postoperatively. Height and weight were measured at each time point, from which BMI was calculated. Nonlinear trends were observed for time on both overall hedonic hunger and hedonic hunger specifically related to food available in the adolescent's environment. The BMI reduction during the first 18 months postoperatively was paralleled by reduction in hedonic hunger; increases in hedonic hunger also paralleled the modest BMI increase at 24 months. In growth analysis, significant power gains are available to models using 4 or more points of data. However, only large effect sizes that are>.85 were detectable with a sample of 16 patients. These data provide preliminary evidence that hedonic hunger is in need of further study in adolescent patients receiving RYGB both preoperatively and postoperatively. Copyright © 2014 American Society for Bariatric Surgery. Published by Elsevier Inc. All rights reserved.

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

    Science.gov (United States)

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

    2015-02-01

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

  20. Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions

    DEFF Research Database (Denmark)

    Bollerslev, Tim; Patton, Andrew J.; Wang, Wenjing

    We construct daily house price indices for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the methodology of the popular monthly Case-Shiller house...... price indices. Our new daily house price indices exhibit dynamic features similar to those of other daily asset prices, with mild autocorrelation and strong conditional heteroskedasticity of the corresponding daily returns. A relatively simple multivariate time series model for the daily house price...... index returns, explicitly allowing for commonalities across cities and GARCH effects, produces forecasts of monthly house price changes that are superior to various alternative forecast procedures based on lower frequency data....

  1. Short-term electricity price forecast based on the improved hybrid model

    International Nuclear Information System (INIS)

    Dong Yao; Wang Jianzhou; Jiang He; Wu Jie

    2011-01-01

    Highlights: → The proposed models can detach high volatility and daily seasonality of electricity price. → The improved hybrid forecast models can make full use of the advantages of individual models. → The proposed models create commendable improvements that are relatively satisfactorily for current research. → The proposed models do not require making complicated decisions about the explicit form. - Abstract: Half-hourly electricity price in power system are volatile, electricity price forecast is significant information which can help market managers and participants involved in electricity market to prepare their corresponding bidding strategies to maximize their benefits and utilities. However, the fluctuation of electricity price depends on the common effect of many factors and there is a very complicated random in its evolution process. Therefore, it is difficult to forecast half-hourly prices with traditional only one model for different behaviors of half-hourly prices. This paper proposes the improved forecasting model that detaches high volatility and daily seasonality for electricity price of New South Wales in Australia based on Empirical Mode Decomposition, Seasonal Adjustment and Autoregressive Integrated Moving Average. The prediction errors are analyzed and compared with the ones obtained from the traditional Seasonal Autoregressive Integrated Moving Average model. The comparisons demonstrate that the proposed model can improve the prediction accuracy noticeably.

  2. Short-term electricity price forecast based on the improved hybrid model

    Energy Technology Data Exchange (ETDEWEB)

    Dong Yao, E-mail: dongyao20051987@yahoo.cn [School of Mathematics and Statistics, Lanzhou University, Lanzhou 730000 (China); Wang Jianzhou, E-mail: wjz@lzu.edu.cn [School of Mathematics and Statistics, Lanzhou University, Lanzhou 730000 (China); Jiang He; Wu Jie [School of Mathematics and Statistics, Lanzhou University, Lanzhou 730000 (China)

    2011-08-15

    Highlights: {yields} The proposed models can detach high volatility and daily seasonality of electricity price. {yields} The improved hybrid forecast models can make full use of the advantages of individual models. {yields} The proposed models create commendable improvements that are relatively satisfactorily for current research. {yields} The proposed models do not require making complicated decisions about the explicit form. - Abstract: Half-hourly electricity price in power system are volatile, electricity price forecast is significant information which can help market managers and participants involved in electricity market to prepare their corresponding bidding strategies to maximize their benefits and utilities. However, the fluctuation of electricity price depends on the common effect of many factors and there is a very complicated random in its evolution process. Therefore, it is difficult to forecast half-hourly prices with traditional only one model for different behaviors of half-hourly prices. This paper proposes the improved forecasting model that detaches high volatility and daily seasonality for electricity price of New South Wales in Australia based on Empirical Mode Decomposition, Seasonal Adjustment and Autoregressive Integrated Moving Average. The prediction errors are analyzed and compared with the ones obtained from the traditional Seasonal Autoregressive Integrated Moving Average model. The comparisons demonstrate that the proposed model can improve the prediction accuracy noticeably.

  3. Endogenous Currency of Price Setting in a Dynamic Open Economy Model

    OpenAIRE

    Michael B. Devereux; Charles Engel

    2001-01-01

    Many papers in the recent literature in open economy macroeconomics make different assumptions about the currency in which firms set their export prices when nominal prices must be pre-set. But to date, all of these studies take the currency of price setting as exogenous. This paper sets up a simple two-country general equilibrium model in which exporting firms can choose the currency in which they set prices for sales to foreign markets. We make two alternative assumptions about the structur...

  4. Which currency to set price? A model of multiple countries and risk averse firm

    OpenAIRE

    Jian Wang

    2004-01-01

    A crucial question centering many recent debates in the international macroeconomics is under which currency the price is sticky. This paper provides a microfoundation to study the firm¡¦s choice of price setting currency in the sticky price model. I first prove that the risk preference is a secondary consideration in the choice of the price setting currency. This result questions the claim that the currency forward market can change the currency choice of risk averse firms. Then I extend the...

  5. Option Price Decomposition in Spot-Dependent Volatility Models and Some Applications

    Directory of Open Access Journals (Sweden)

    Raúl Merino

    2017-01-01

    Full Text Available We obtain a Hull and White type option price decomposition for a general local volatility model. We apply the obtained formula to CEV model. As an application we give an approximated closed formula for the call option price under a CEV model and an approximated short term implied volatility surface. These approximated formulas are used to estimate model parameters. Numerical comparison is performed for our new method with exact and approximated formulas existing in the literature.

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

    Science.gov (United States)

    Xuan Chi; Barry Goodwin

    2012-01-01

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

  7. A tree-based method to price American options in the Heston model

    NARCIS (Netherlands)

    Vellekoop, M.; Nieuwenhuis, H.

    2009-01-01

    We develop an algorithm to price American options on assets that follow the stochastic volatility model defined by Heston. We use an approach which is based on a modification of a combined tree for stock prices and volatilities, where the number of nodes grows quadratically in the number of time

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

    Science.gov (United States)

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

    2012-02-01

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

  9. A market power model with price caps and compact DC power flow constraints

    Energy Technology Data Exchange (ETDEWEB)

    Zuwei Yu [Purdue University, West Lafayette, IN (United States). School of Industrial Engineering

    2003-05-01

    This paper presents a spatial gaming model with price caps for deregulated electricity markets. There has been heated debate on price caps that have been enforced in deregulated electricity markets. Opponents argue that price caps may send wrong economic signals while advocates argue that price caps are good for damping market power. This paper does not intend to take a stand in the argument. Given the fact that price caps are enforced in several deregulated regional electricity markets in the US, a logical step is to reflect this reality in gaining modeling. However, current gaining models have not included any price cap formulation. This paper is the first one to address the issue. DC power flow equations are used for representing the spatial nature of an electrical network. An algorithm is proposed to find a generalized Nash equilibrium under the enforcement of price caps based on the Kuhn-Tucker Vector Optimization Theorem. Case studies show the successful application of the model. The conclusion is that market power impact can be reduced under appropriate price caps. (author)

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

    Science.gov (United States)

    Hardy, Rachel; Oppenheim, Charles; Rubbert, Iris

    2002-01-01

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

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

    Science.gov (United States)

    Joseph Buongiorno

    2014-01-01

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

  12. The performance of multi-factor term structure models for pricing and hedging caps and swaptions

    NARCIS (Netherlands)

    Driessen, J.J.A.G.; Klaassen, P.; Melenberg, B.

    2000-01-01

    In this paper we empirically compare a wide range of different term structure models when it comes to the pricing and, in particular, hedging of caps and swaptions. We analyze the influence of the number of factors on the hedging and pricing results, and investigate which type of data "interest rate

  13. Modeling transport pricing with multiple stakeholders. Working paper : Methodology and a case study

    NARCIS (Netherlands)

    Smits, E.

    2012-01-01

    Pricing measures (e.g., a kilometre charge or cordon toll) are used to improve the external effects of transportation (e.g., congestion or emissions). This working paper presents a planning model for pricing while taking the preferences and interactions of multiple stakeholders (e.g., governments or

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

    Science.gov (United States)

    Bontis, Nick; Chung, Honsan

    2000-01-01

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

  15. A model for hedging load and price risk in the Texas electricity market

    International Nuclear Information System (INIS)

    Coulon, Michael; Powell, Warren B.; Sircar, Ronnie

    2013-01-01

    Energy companies with commitments to meet customers' daily electricity demands face the problem of hedging load and price risk. We propose a joint model for load and price dynamics, which is motivated by the goal of facilitating optimal hedging decisions, while also intuitively capturing the key features of the electricity market. Driven by three stochastic factors including the load process, our power price model allows for the calculation of closed-form pricing formulas for forwards and some options, products often used for hedging purposes. Making use of these results, we illustrate in a simple example the hedging benefit of these instruments, while also evaluating the performance of the model when fitted to the Texas electricity market. - Highlights: • We present a structural model for electricity spot prices in the ERCOT market. • Relationships between power price and factors such as load and gas price are studied. • Seasonal patterns and load-dependent spikes are shown to be well captured. • Closed-form results for prices of forwards, options and spread options are derived. • We demonstrate the effectiveness of hedging power demand with forwards and options

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

    Science.gov (United States)

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

    2005-01-01

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

  17. Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models

    NARCIS (Netherlands)

    Eriksson, B.; Pistorius, M.

    2011-01-01

    Abstract: We present a method of moments approach to pricing double barrier contracts when the underlying is modelled by a polynomial jump-diffusion. By general principles the price is linked to certain infinite dimensional linear programming problems. Subsequently approximating these by finite

  18. Neural responses to macronutrients: hedonic and homeostatic mechanisms.

    Science.gov (United States)

    Tulloch, Alastair J; Murray, Susan; Vaicekonyte, Regina; Avena, Nicole M

    2015-05-01

    The brain responds to macronutrients via intricate mechanisms. We review how the brain's neural systems implicated in homeostatic control of feeding and hedonic responses are influenced by the ingestion of specific types of food. We discuss how these neural systems are dysregulated in preclinical models of obesity. Findings from these studies can increase our understanding of overeating and, perhaps in some cases, the development of obesity. In addition, a greater understanding of the neural circuits affected by the consumption of specific macronutrients, and by obesity, might lead to new treatments and strategies for preventing unhealthy weight gain. Copyright © 2015 AGA Institute. Published by Elsevier Inc. All rights reserved.

  19. The long-run forecasting of energy prices using the model of shifting trend

    International Nuclear Information System (INIS)

    Radchenko, Stanislav

    2005-01-01

    Developing models for accurate long-term energy price forecasting is an important problem because these forecasts should be useful in determining both supply and demand of energy. On the supply side, long-term forecasts determine investment decisions of energy-related companies. On the demand side, investments in physical capital and durable goods depend on price forecasts of a particular energy type. Forecasting long-run rend movements in energy prices is very important on the macroeconomic level for several developing countries because energy prices have large impacts on their real output, the balance of payments, fiscal policy, etc. Pindyck (1999) argues that the dynamics of real energy prices is mean-reverting to trend lines with slopes and levels that are shifting unpredictably over time. The hypothesis of shifting long-term trend lines was statistically tested by Benard et al. (2004). The authors find statistically significant instabilities for coal and natural gas prices. I continue the research of energy prices in the framework of continuously shifting levels and slopes of trend lines started by Pindyck (1999). The examined model offers both parsimonious approach and perspective on the developments in energy markets. Using the model of depletable resource production, Pindyck (1999) argued that the forecast of energy prices in the model is based on the long-run total marginal cost. Because the model of a shifting trend is based on the competitive behavior, one may examine deviations of oil producers from the competitive behavior by studying the difference between actual prices and long-term forecasts. To construct the long-run forecasts (10-year-ahead and 15-year-ahead) of energy prices, I modify the univariate shifting trends model of Pindyck (1999). I relax some assumptions on model parameters, the assumption of white noise error term, and propose a new Bayesian approach utilizing a Gibbs sampling algorithm to estimate the model with autocorrelation. To

  20. Correlation between hedonic liking and facial expression measurement using dynamic affective response representation.

    Science.gov (United States)

    Zhi, Ruicong; Wan, Jingwei; Zhang, Dezheng; Li, Weiping

    2018-06-01

    Emotional reactions towards products play an essential role in consumers' decision making, and are more important than rational evaluation of sensory attributes. It is crucial to understand consumers' emotion, and the relationship between sensory properties, human liking and choice. There are many inconsistencies between Asian and Western consumers in the usage of hedonic scale, as well as the intensity of facial reactions, due to different culture and consuming habits. However, very few studies discussed the facial responses characteristics of Asian consumers during food consumption. In this paper, explicit liking measurement (hedonic scale) and implicit emotional measurement (facial expressions) were evaluated to judge the consumers' emotions elicited by five types of juices. The contributions of this study included: (1) Constructed the relationship model between hedonic liking and facial expressions analyzed by face reading technology. Negative emotions "sadness", "anger", and "disgust" showed noticeable high negative correlation tendency to hedonic scores. The "liking" hedonic scores could be characterized by positive emotion "happiness". (2) Several emotional intensity based parameters, especially dynamic parameter, were extracted to describe the facial characteristic in sensory evaluation procedure. Both amplitude information and frequency information were involved in the dynamic parameters to remain more information of the emotional responses signals. From the comparison of four types of emotional descriptive parameters, the maximum parameter and dynamic parameter were suggested to be utilized for representing emotional state and intensities. Copyright © 2018 Elsevier Ltd. All rights reserved.

  1. A viability analysis for a stock/price model

    Science.gov (United States)

    Jerry, Chakib; Raissi, Nadia

    2012-09-01

    We examine the conditions for the sustainability of a stock/price system based on the use of a marine renewable resource. Instead of studying the environmental and economic interactions in terms of optimal control, we focus on the viability of the system. These viability/crisis situations are defined by a set of economic state constraints. This constraints combine a guaranteed consumption and a minimum income for fishermen. Using the mathematical concept of viability kernel, we reveal that with only economics constraints we guarantee a perennial stock/price system.

  2. An empirical model of daily highs and lows of West Texas Intermediate crude oil prices

    International Nuclear Information System (INIS)

    He, Angela W.W.; Wan, Alan T.K.; Kwok, Jerry T.K.

    2010-01-01

    There is a large collection of literature on energy price forecasting, but most studies typically use monthly average or close-to-close daily price data. In practice, the daily price range constructed from the daily high and low also contains useful information on price volatility and is used frequently in technical analysis. The interaction between the daily high and low and the associated daily range has been examined in several recent studies on stock price and exchange rate forecasts. The present paper adopts a similar approach to analyze the behaviour of the West Texas Intermediate (WTI) crude oil price over a ten-year period. We find that daily highs and lows of the WTI oil price are cointegrated, with the error correction term being closely approximated by the daily price range. Two forecasting models, one based on a vector error correction mechanism and the other based on a transfer function framework with the range taken as a driver variable, are presented for forecasting the daily highs and lows. The results show that both of these models offer significant advantages over the naive random walk and univariate ARIMA models in terms of out-of-sample forecast accuracy. A trading strategy that makes use of the daily high and low forecasts is further developed. It is found that this strategy generally yields very reasonable trading returns over an evaluation period of about two years. (author)

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

    Science.gov (United States)

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

    2012-12-01

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

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

    Science.gov (United States)

    Nurjannah; Solimun; Rinaldo, Adji

    2017-12-01

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

  5. UTILITARIAN AND HEDONIC VALUES THAT INFLUENCE CUSTOMER SATISFACTION AND THEIR IMPACT ON THE REPURCHASE INTENTION: ONLINE SURVEY TOWARDS BERRYBENKA FASHION E-COMMERCE'S BUYER

    Directory of Open Access Journals (Sweden)

    Johar D.S.

    2018-01-01

    Full Text Available This research aims to describe the influence of utilitarian and hedonic values toward customer satisfaction and repurchase intentions. The sampling method used for research is purposive sampling with 141 respondents who bought Berrybenka products. Based on the Structural Equation Modeling, it is found that utilitarian and hedonic values are significant towards repurchase intention through customer satisfaction.

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

    Science.gov (United States)

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

    2018-02-01

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

  7. Joint Pricing of VIX and SPX Options with Stochastic Volatility and Jump models

    DEFF Research Database (Denmark)

    Kokholm, Thomas; Stisen, Martin

    2015-01-01

    to existing literature, we derive numerically simpler VIX option and futures pricing formulas in the case of the SVJ model. Moreover, the paper is the first to study the pricing performance of three widely used models to SPX options and VIX derivatives.......With the existence of active markets for volatility derivatives and options on the underlying instrument, the need for models that are able to price these markets consistently has increased. Although pricing formulas for VIX and vanilla options are now available for commonly employed models...... and variance (SVJJ) are jointly calibrated to market quotes on SPX and VIX options together with VIX futures. The full flexibility of having jumps in both returns and volatility added to a stochastic volatility model is essential. Moreover, we find that the SVJJ model with the Feller condition imposed...

  8. Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model

    International Nuclear Information System (INIS)

    Perelló, Josep; Masoliver, Jaume; Sircar, Ronnie

    2008-01-01

    We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein–Uhlenbeck model. The random diffusion model proposed is a two-dimensional market process that takes a log-Brownian motion to describe price dynamics and an Ornstein–Uhlenbeck subordinated process describing the randomness of the log-volatility. We derive an approximate option price that is valid when (i) the fluctuations of the volatility are larger than its normal level, (ii) the volatility presents a slow driving force, toward its normal level and, finally, (iii) the market price of risk is a linear function of the log-volatility. We study the resulting European call price and its implied volatility for a range of parameters consistent with daily Dow Jones index data

  9. Coordination of pricing and co-op advertising models in supply chain: A game theoretic approach

    Directory of Open Access Journals (Sweden)

    Amin Alirezaei

    2014-01-01

    Full Text Available Co-op advertising is an interactive relationship between manufacturer and retailer(s supply chain and makes up the majority of marketing budget in many product lines for manufacturers and retailers. This paper considers pricing and co-op advertising decisions in two-stage supply chain and develops a monopolistic retailer and duopolistic retailer's model. In these models, the manufacturer and the retailers play the Nash, Manufacturer-Stackelberg and cooperative game to make optimal pricing and co-op advertising decisions. A bargaining model is utilized for determine the best pricing and co-op advertising scheme for achieving full coordination in the supply chain.

  10. American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution

    DEFF Research Database (Denmark)

    Stentoft, Lars Peter

    In this paper we propose a feasible way to price American options in a model with time varying volatility and conditional skewness and leptokurtosis using GARCH processes and the Normal Inverse Gaussian distribution. We show how the risk neutral dynamics can be obtained in this model, we interpret...... properties shows that there are important option pricing differences compared to the Gaussian case as well as to the symmetric special case. A large scale empirical examination shows that our model outperforms the Gaussian case for pricing options on three large US stocks as well as a major index...

  11. Neoclassical and Behavioural Asset Pricing Models : The Case of Sri Lanka

    OpenAIRE

    Perera, Shenali Anne

    2013-01-01

    This study aims to provide a better understanding of the Sri Lankan stock market in terms of asset pricing models. In order to achieve this goal this research evaluates the Fama and French three-factor model and a behavioural asset pricing model to investigate which framework is better suited for security valuation in Sri Lanka. Accordingly findings reveal that small stocks with low book-to-market equity generate high realized returns. But results indicate that superior returns on these stock...

  12. The equity price channel in a New-Keynesian DSGE model with financial frictions and banking

    OpenAIRE

    Hylton Hollander; Guangling Liu

    2013-01-01

    This paper studies the role of the equity price channel in business cycle fluctuations, and highlights the equity price channel as a different aspect to general equilibrium models with financial frictions and, as a result, emphasizes the systemic influence of financial markets on the real economy. We develop a canonical New-Keynesian DSGE model with a tractable role for the equity market in banking, entrepreneur and household economic activities. The model is estimated with Bayesian technique...

  13. Exploring Utilitarian and Hedonic Aspects of Consumption at the Bottom of Pyramid

    Directory of Open Access Journals (Sweden)

    Felipe Gerhard

    2017-08-01

    Full Text Available The number of researches about the Bottom of Pyramid has increased over the last decades; however, a discussion about its consumer habits is still necessary. Thus, this paper aims to investigate the behavior of consumers in informal markets, inherent to this segment. Specifically, this study explores the meanings attributed by consumers to attend a trade fair, through the lenses of hedonic and utilitarian buying values. Through the triangulation of two research methods, Birds’ Fair and its consumers (Brazil were analyzed. The results highlight the fact that the Fair is constituted by the syncretism of non-homogenous groups of consumers, who have different reasons to visit it. Along with the central economic-utilitarian concept of low-prices, a hedonic-festive element arises as an essential attribute of the consumer’s behavior. In this sense, individuals make their purchases guided by a need for usefulness, but there is also pleasure in the activity of shopping itself.

  14. An Electricity Price Forecasting Model by Hybrid Structured Deep Neural Networks

    Directory of Open Access Journals (Sweden)

    Ping-Huan Kuo

    2018-04-01

    Full Text Available Electricity price is a key influencer in the electricity market. Electricity market trades by each participant are based on electricity price. The electricity price adjusted with the change in supply and demand relationship can reflect the real value of electricity in the transaction process. However, for the power generating party, bidding strategy determines the level of profit, and the accurate prediction of electricity price could make it possible to determine a more accurate bidding price. This cannot only reduce transaction risk, but also seize opportunities in the electricity market. In order to effectively estimate electricity price, this paper proposes an electricity price forecasting system based on the combination of 2 deep neural networks, the Convolutional Neural Network (CNN and the Long Short Term Memory (LSTM. In order to compare the overall performance of each algorithm, the Mean Absolute Error (MAE and Root-Mean-Square error (RMSE evaluating measures were applied in the experiments of this paper. Experiment results show that compared with other traditional machine learning methods, the prediction performance of the estimating model proposed in this paper is proven to be the best. By combining the CNN and LSTM models, the feasibility and practicality of electricity price prediction is also confirmed in this paper.

  15. Option Pricing with a Levy-Type Stochastic Dynamic Model for Stock Price Process Under Semi-Markovian Structural Perturbations

    Science.gov (United States)

    2015-11-30

    models ( Beckers 1980, Dupire 1997), the volatility depends on time and stock price through a deterministic func- tional. In both cases, in addition to...T1 ≤ T2 ≤ · · · ≤ Tn−1 are the regime switch- ing times caused by the semi-Markov process prior to t. For notational convenience, we denote θ−1 = θ0...of interest are currently being investigated: (1) an evaluation of the effects of the backward recurrence time, the sojourn time distribution and the

  16. From a bundled energy-capacity pricing model to an energy-capacity-ancillary services pricing model

    International Nuclear Information System (INIS)

    Raineri, Ricardo; Arce, Raul; Rios, Sebastian; Salamanca, Carlos

    2008-01-01

    In this paper, we extend the Chilean power generation pricing mechanism, with capacity and energy payments, to one where ancillary services (AS), as frequency regulation and voltage control, are explicitly recognized. Adequacy and security attributes of the electric system and the public good characteristics of AS are set within the payment structure to distribute the financing of AS among those who benefit from their provision. The contribution to finance the provision of AS is determined assessing the value assigned to the system security by each agent, following what's an efficient pricing mechanism in the presence of public goods

  17. Hedonism and Culture: Impact on Shopper Behaviour

    OpenAIRE

    Kaul Subhashini

    2006-01-01

    Increasingly consumer shopping behaviour is being seen from the holistic perspective of the entire shopping experience. The experiential view of shopping takes a far more holistic approach to the consumption process, right from involvement to post purchase usage, and incorporates the hedonistic perspective into the existing, primarily cognitive- rational information processing view of consumption. Hedonic shopping value refers to the sense of enjoyment and pleasure that the consumer receives ...

  18. Stimulants for the Control of Hedonic Appetite

    OpenAIRE

    Poulton, Alison S.; Hibbert, Emily J.; Champion, Bernard L.; Nanan, Ralph K. H.

    2016-01-01

    The focus of this paper is treatment of obesity in relation to the management of hedonic appetite. Obesity is a complex condition which may be potentiated by excessive reward seeking in combination with executive functioning deficits that impair cognitive control of behaviour. Stimulant medications address both reward deficiency and enhance motivation, as well as suppressing appetite. They have long been recognised to be effective for treating obesity. However, stimulants can be abused for th...

  19. Hedonism and the choice of everyday activities.

    Science.gov (United States)

    Taquet, Maxime; Quoidbach, Jordi; de Montjoye, Yves-Alexandre; Desseilles, Martin; Gross, James J

    2016-08-30

    Most theories of motivation have highlighted that human behavior is guided by the hedonic principle, according to which our choices of daily activities aim to minimize negative affect and maximize positive affect. However, it is not clear how to reconcile this idea with the fact that people routinely engage in unpleasant yet necessary activities. To address this issue, we monitored in real time the activities and moods of over 28,000 people across an average of 27 d using a multiplatform smartphone application. We found that people's choices of activities followed a hedonic flexibility principle. Specifically, people were more likely to engage in mood-increasing activities (e.g., play sports) when they felt bad, and to engage in useful but mood-decreasing activities (e.g., housework) when they felt good. These findings clarify how hedonic considerations shape human behavior. They may explain how humans overcome the allure of short-term gains in happiness to maximize long-term welfare.

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

    Science.gov (United States)

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

    2015-11-10

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

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

    Science.gov (United States)

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

    2018-02-01

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

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

    Science.gov (United States)

    McDonald, John F

    2004-05-01

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

  3. Using Satellite Remote Sensing Data in a Spatially Explicit Price Model

    Science.gov (United States)

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

    2007-01-01

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

  4. Theoretical and Empirical Review of Asset Pricing Models: A Structural Synthesis

    Directory of Open Access Journals (Sweden)

    Saban Celik

    2012-01-01

    Full Text Available The purpose of this paper is to give a comprehensive theoretical review devoted to asset pricing models by emphasizing static and dynamic versions in the line with their empirical investigations. A considerable amount of financial economics literature devoted to the concept of asset pricing and their implications. The main task of asset pricing model can be seen as the way to evaluate the present value of the pay offs or cash flows discounted for risk and time lags. The difficulty coming from discounting process is that the relevant factors that affect the pay offs vary through the time whereas the theoretical framework is still useful to incorporate the changing factors into an asset pricing models. This paper fills the gap in literature by giving a comprehensive review of the models and evaluating the historical stream of empirical investigations in the form of structural empirical review.

  5. Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

    DEFF Research Database (Denmark)

    Haldrup, Niels; Nielsen, Morten Ø.

    The functioning of electricity markets has experienced increasing complexityas a result of deregulation in recent years. Consequently this affects the multilateral price behaviour across regions with physical exchange of power. It has been documented elsewhere that features such aslong memory...... and regime switching reflecting congestion and non-congestion periods are empirically relevant and hence are features that need to be taken into account when modeling price behavior. In the present paper we further elaborate on the co-existence of long memory and regime switches by focusing on the effect...... that the direction of possible congestion episodes has on the price dynamics. Under non-congestion prices are identical. The direction of possible congestion is identified by the region with excess demand of power through the sign of price differences and hence three different states can be considered: Non...

  6. Does Climate Change Mitigation Activity Affect Crude Oil Prices? Evidence from Dynamic Panel Model

    Directory of Open Access Journals (Sweden)

    Jude C. Dike

    2014-01-01

    Full Text Available This paper empirically investigates how climate change mitigation affects crude oil prices while using carbon intensity as the indicator for climate change mitigation. The relationship between crude oil prices and carbon intensity is estimated using an Arellano and Bond GMM dynamic panel model. This study undertakes a regional-level analysis because of the geographical similarities among the countries in a region. Regions considered for the study are Africa, Asia and Oceania, Central and South America, the EU, the Middle East, and North America. Results show that there is a positive relationship between crude oil prices and carbon intensity, and a 1% change in carbon intensity is expected to cause about 1.6% change in crude oil prices in the short run and 8.4% change in crude oil prices in the long run while the speed of adjustment is 19%.

  7. Spatial Modelling of Land Price in The Semarang City

    Science.gov (United States)

    Widjonarko, W.

    2018-02-01

    Land has a very important role in supporting the population activity in both urban and rural areas. Demand for land tends to increase due to the increase in population, on the other hand the availability of land is limited. The increasing demand of land also occurred in the city of Semarang due to population growth and economic activity growth. The increasing demand for land in Semarang City has caused a shift in spatial demand patterns. The shift in land demand is due to limited supply of land in the area near to the city center, and the price become unaffordable for some residents of Semarang City. Due to the limitation of land supply in the city center has affected to the increasing demand of land in the suburbs. This phenomenon causes an increase in the price of land in the periphery of Semarang, and forms a land price pattern that resembles a circus tent, especially at a new center of activity on the periphery.

  8. Day-ahead electricity price forecasting using wavelet transform combined with ARIMA and GARCH models

    International Nuclear Information System (INIS)

    Tan, Zhongfu; Zhang, Jinliang; Xu, Jun; Wang, Jianhui

    2010-01-01

    This paper proposes a novel price forecasting method based on wavelet transform combined with ARIMA and GARCH models. By wavelet transform, the historical price series is decomposed and reconstructed into one approximation series and some detail series. Then each subseries can be separately predicted by a suitable time series model. The final forecast is obtained by composing the forecasted results of each subseries. This proposed method is examined on Spanish and PJM electricity markets and compared with some other forecasting methods. (author)

  9. Testing multi-factor asset pricing models in the Visegrad countries

    Czech Academy of Sciences Publication Activity Database

    Morgese Borys, Magdalena

    2011-01-01

    Roč. 61, č. 2 (2011), s. 118-139 ISSN 0015-1920 R&D Projects: GA MŠk LC542 Institutional research plan: CEZ:AV0Z70850503 Keywords : capital asset pricing model * macroeconomic factor models * asset pricing Subject RIV: AH - Economics Impact factor: 0.346, year: 2011 http://journal.fsv.cuni.cz/mag/article/show/id/1208

  10. Interdependent demands, regulatory constraint, and peak-load pricing. [Assessment of Bailey's model

    Energy Technology Data Exchange (ETDEWEB)

    Nguyen, D T; Macgregor-Reid, G J

    1977-06-01

    A model of a regulated firm which includes an analysis of peak-load pricing has been formulated by E. E. Bailey in which three alternative modes of regulation on a profit-maximizing firm are considered. The main conclusion reached is that under a regulation limiting the rate of return on capital investment, price reductions are received solely by peak-users and that when regulation limiting the profit per unit of output or the return on costs is imposed, there are price reductions for all users. Bailey has expressly assumed that the demands in different periods are interdependent but has somehow failed to derive the correct price and welfare implications of this empirically highly relevant assumption. Her conclusions would have been perfectly correct for marginal revenues but are quite incorrect for prices, even if her assumption that price exceeds marginal revenues in every period holds. This present paper derives fully and rigorously the implications of regulation for prices, outputs, capacity, and social welfare for a profit-maximizing firm with interdependent demands. In section II, Bailey's model is reproduced and the optimal conditions are given. In section III, it is demonstrated that under the conditions of interdependent demands assumed by Bailey herself, her often-quoted conclusion concerning the effects of the return-on-investment regulation on the off-peak price is invalid. In section IV, the effects of the return-on-investment regulation on the optimal prices, outputs, capacity, and social welfare both for the case in which the demands in different periods are substitutes and for the case in which they are complements are examined. In section V, the pricing and welfare implications of the return-on-investment regulation are compared with the two other modes of regulation considered by Bailey. Section VI is a summary of all sections. (MCW)

  11. 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

  12. Optimal pricing of default customers in electrical distribution systems: Effect behavior performance of demand response models

    International Nuclear Information System (INIS)

    Yusta, J.M.; Khodr, H.M.; Urdaneta, A.J.

    2007-01-01

    The response of a non-linear mathematical model is analyzed for the calculation of the optimal prices for electricity assuming default customers under different scenarios and using five different mathematical functions for the consumer response: linear, hyperbolic, potential, logarithmic and exponential. The mathematical functions are defined to simulate the hourly changes in the consumer response according to the load level, the price of electricity, and also depending on the elasticity at every hour. The behavior of the optimization model is evaluated separately under two different objective functions: the profit of the electric utility and the social welfare. The optimal prices as well as the served load are calculated for two different operation schemes: in an hourly basis and also assuming a single constant price for the 24 h of the day. Results obtained by the optimization model are presented and compared for the five different consumer load functions. (author)

  13. A Generalized Schwartz Model for Energy Spot Prices - Estimation using a Particle MCMC Method

    DEFF Research Database (Denmark)

    Lunde, Asger; Brix, Anne Floor; Wei, Wei

    structure. Instead of using various filtering techniques for splitting the two factors, as often found in the literature, we estimate the model in one step using an adaptive MCMC method with a Rao-Blackwellized particle filter. We fit the model to UK natural gas spot prices and investigate the importance......We propose an energy spot price model featuring a two-factor price process and a two-component stochastic volatility process. The first factor in the price process captures the normal variations; the second accounts for spikes. The two-component volatility allows for a flexible autocorrelation...... of spikes and stochastic volatility. We find that the inclusion of stochastic volatility is crucial and that it strongly impacts the jump intensity in the spike process. Furthermore, our estimation method enables us to consider both continuous and purely jump-driven volatility processes, and thereby assess...

  14. Derivation and Evaluation of a Labeled Hedonic Scale

    OpenAIRE

    Lim, Juyun; Wood, Alison; Green, Barry G.

    2009-01-01

    The objective of this study was to develop a semantically labeled hedonic scale (LHS) that would yield ratio-level data on the magnitude of liking/disliking of sensation equivalent to that produced by magnitude estimation (ME). The LHS was constructed by having 49 subjects who were trained in ME rate the semantic magnitudes of 10 common hedonic descriptors within a broad context of imagined hedonic experiences that included tastes and flavors. The resulting bipolar scale is statistically symm...

  15. Pricing model for biodiesel feedstock. A case study of Chhattisgarh in India

    International Nuclear Information System (INIS)

    Pohit, Sanjib; Biswas, Pradip Kumar; Kumar, Rajesh; Goswami, Anandajit

    2010-01-01

    Following the global trend, India declared its biofuel policy in which biodiesel, primarily from jatropha, would meet 20% of the diesel demand beginning with 2011-2012. To promote biofuel, Indian government has announced biodiesel purchase price as well as compulsory blending ratio. But, these measures have not worked to create large scale biodiesel production in India. With this backdrop, this paper highlights about the importance of a sound pricing policy focusing on the entire value chain of biodiesel production. The analysis is based on field level data from Chhattisgarh, the leading state in the production of jatropha. Such a sound pricing policy has to deal with the prices of feedstock, by-products and final product like biodiesel. It would also have to reflect on the business model of production of biodiesel. The simulation exercises in our model shows that the business returns from the production of biodiesel and the minimum support price (MSP) of the feedstock for biodiesel (i.e. jatropha seeds in this case) are sensitive to various parameters like seed yields, technological efficiency, by product and petro-diesel prices. An effective price policy framework has to consider all these factors to create a platform for sustainable biodiesel production in India. (author)

  16. A behavioral asset pricing model with a time-varying second moment

    International Nuclear Information System (INIS)

    Chiarella, Carl; He Xuezhong; Wang, Duo

    2006-01-01

    We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behavior in financial markets when chartists estimate both conditional mean and variance by using a weighted averaging process. Through a stability, bifurcation, and normal form analysis, the market impact of the weighting process and time-varying second moment are examined. It is found that the fundamental price becomes stable (unstable) when the activities from both types of traders are balanced (unbalanced). When the fundamental price becomes unstable, the weighting process leads to different price dynamics, depending on whether the chartists act as either trend followers or contrarians. It is also found that a time-varying second moment of the chartists does not change the stability of the fundamental price, but it does influence the stability of the bifurcations. The bifurcation becomes stable (unstable) when the chartists are more (less) concerned about the market risk characterized by the time-varying second moment. Different routes to complicated price dynamics are also observed. The analysis provides an analytical foundation for the statistical analysis of the corresponding stochastic version of this type of behavioral model

  17. Towards and Effective Financial Management: Relevance of Dividend Discount Model in Stock Price Valuation

    Directory of Open Access Journals (Sweden)

    Ana Mugoša

    2015-06-01

    Full Text Available The aim of this paper is to analyze the relevance of dividend discount model, i.e. its specific form in stock price estimation known as Gordon growth model. The expected dividends can be a measure of cash flows returned to the stockholder. In this context, the model is useful for assessment of how risk factors, such as interest rates and changing inflation rates, affect stock returns. This is especially important in case when investors are value oriented, i.e. when expected dividends are theirmain investing drivers. We compared the estimated with the actual stock price values and tested the statistical significance of price differences in 199 publicly traded European companies for the period2010-2013. Statistical difference between pairs of price series (actual and estimated was tested using Wilcoxon and Kruskal-Wallis tests of median and distribution equality. The hypothesis that Gordon growth model cannot be reliable measure of stock price valuation on European equity market over period of 2010-2013 due to influence of the global financial crisis was rejected with 95% confidence. Gordon growth model has proven to be reliable measure of stock price valuation even over period of strong global financial crisis influence.

  18. ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION

    KAUST Repository

    MARKOWICH, P. A.

    2009-10-01

    We discuss existence and uniqueness of solutions for a one-dimensional parabolic evolution equation with a free boundary. This problem was introduced by Lasry and Lions as description of the dynamical formation of the price of a trading good. Short time existence and uniqueness is established by a contraction argument. Then we discuss the issue of global-in-time-extension of the local solution which is closely related to the regularity of the free boundary. We also present numerical results. © 2009 World Scientific Publishing Company.

  19. A Diffusion Model Incorporating Product Benefits, Price, Income and Information

    OpenAIRE

    Dan Horsky

    1990-01-01

    We start by assuming that a major benefit of many new durable products such as dishwashers and microwave ovens is time savings. Others, such as VCRs, also enhance the value of our leisure time. Using a household production framework we demonstrate that a utility maximizing individual will have a reservation price for the product which is a function of the product benefits and his wage rate. By assuming that the wage rate has an extreme value distribution across the population, we are able to ...

  20. Essays in Road PricingModeling, Evaluation and Case Studies

    OpenAIRE

    Winter, Martin

    2009-01-01

    Die Dissertation beschäftigt sich zum einen mit der Simulation und wohlfahrtsökonomischen Bewertung urbaner Road-Pricing-Lösungen (Kapitel 2-4), zum anderen mit den Auswirkungen hoher bzw. volatiler Rohölpreise auf den Verkehrssektor in Deutschland (Kapitel 5). Nach einer kurzen Einführung in Kapitel 1 widmet sich Kapitel 2 den theoretischen Grundlagen und der übergreifenden Methodik der Arbeit. Zunächst werden externe Effekte des innerstädtischen Straßenverkehrs kategorisiert und Charakteris...

  1. ON A PARABOLIC FREE BOUNDARY EQUATION MODELING PRICE FORMATION

    KAUST Repository

    MARKOWICH, P. A.; MATEVOSYAN, N.; PIETSCHMANN, J.-F.; WOLFRAM, M.-T.

    2009-01-01

    We discuss existence and uniqueness of solutions for a one-dimensional parabolic evolution equation with a free boundary. This problem was introduced by Lasry and Lions as description of the dynamical formation of the price of a trading good. Short time existence and uniqueness is established by a contraction argument. Then we discuss the issue of global-in-time-extension of the local solution which is closely related to the regularity of the free boundary. We also present numerical results. © 2009 World Scientific Publishing Company.

  2. Modelling weather effects for impact analysis of residential time-of-use electricity pricing

    International Nuclear Information System (INIS)

    Miller, Reid; Golab, Lukasz; Rosenberg, Catherine

    2017-01-01

    Analyzing the impact of pricing policies such as time-of-use (TOU) is challenging in the presence of confounding factors such as weather. Motivated by a lack of consensus and model selection details in prior work, we present a methodology for modelling the effect of weather on residential electricity demand. The best model is selected according to explanatory power, out-of-sample prediction accuracy, goodness of fit and interpretability. We then evaluate the effect of mandatory TOU pricing in a local distribution company in southwestern Ontario, Canada. We use a smart meter dataset of over 20,000 households which is particularly suited to our analysis: it contains data from the summer before and after the implementation of TOU pricing in November 2011, and all customers transitioned from tiered rates to TOU rates at the same time. We find that during the summer rate season, TOU pricing results in electricity conservation across all price periods. The average demand change during on-peak and mid-peak periods is −2.6% and −2.4% respectively. Changes during off-peak periods are not statistically significant. These TOU pricing effects are less pronounced compared to previous studies, underscoring the need for clear, reproducible impact analyses which include full details about the model selection process. - Highlights: • We study models for the effect of weather on residential electricity demand. • We evaluate the effect of mandatory TOU pricing in a local distribution company in Ontario, Canada. • We find the effect of TOU pricing to be less pronounced compared to previous studies.

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

    Science.gov (United States)

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

    2016-07-19

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

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

    Directory of Open Access Journals (Sweden)

    Wilma E. Waterlander

    2016-07-01

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

  5. Reactive Power Pricing Model Considering the Randomness of Wind Power Output

    Science.gov (United States)

    Dai, Zhong; Wu, Zhou

    2018-01-01

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

  6. Pricing Asian Interest Rate Options with a Three-Factor HJM Model

    Directory of Open Access Journals (Sweden)

    Claudio Henrique Barbedo

    2010-04-01

    Full Text Available Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable information from derivative instruments. We use a standard procedure to implement the HJM model and to price IDI options. We intend to assess the importance of the principal components of pricing and interest rate hedging derivatives in Brazil, one of the major emerging markets. Our results indicate that the HJM model consistently underprices IDI options traded in the over-the-counter market while it overprices long-term options traded in the exchange studied. We also find a direct relationship between time to maturity and pricing error and a negative relation with moneyness.

  7. Corporate sustainability and asset pricing models: empirical evidence for the Brazilian stock market

    Directory of Open Access Journals (Sweden)

    Vitor Gonçalves de Azevedo

    2016-01-01

    Full Text Available Abstract The paper investigates the impact of corporate sustainability on asset prices. For that purpose, we develop a novel corporate sustainability factor and test the extent to which this factor is priced in an augmented four-factor version of the traditional Fama & French (1993 asset pricing model. The corporate sustainability factor is based on a zero-investment portfolio which is long in stocks with high sustainability and short in stocks with low sustainability. We use data on the Brazilian stock market to estimate alternative model specifications with different combinations of four explanatory variables: the corporate sustainability premium, the market risk factor premium, the size factor premium and the book-to-market factor premium. Our results indicate that corporate sustainability is priced and helps to explain the variability in the cross-section of expected stock returns.

  8. Rent pricing decision support mathematical model for finance leases under effective risks

    Directory of Open Access Journals (Sweden)

    Rabbani Masoud

    2015-01-01

    Full Text Available Nowadays, leasing has become an increasingly important and popular method for equipment acquisition. But, because of the rent pricing difficulties and some risks that affect the lessor and lessee's decision making, there are many people that still tend to buy equipment instead of lease it. In this paper we explore how risk can affect the leasing issue support mathematical model. For this purpose, we consider three types of risk; Credit risk, Transaction risk and Risk based pricing. In particular, our focus was on how to make decision about rent pricing in a leasing problem with different customers, various quality levels and different pricing methods. Finally, the mathematical model has been solved by Genetic Algorithm that is a search heuristic to optimize the problem. This algorithm was coded in MATLAB® R2012a to provide the best set of results.

  9. PRICE AND PRICING STRATEGIES

    OpenAIRE

    SUCIU Titus

    2013-01-01

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

  10. Multivariate EMD-Based Modeling and Forecasting of Crude Oil Price

    Directory of Open Access Journals (Sweden)

    Kaijian He

    2016-04-01

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

  11. On a Corporate Bond Pricing Model with Credit Rating Migration Risksand Stochastic Interest Rate

    Directory of Open Access Journals (Sweden)

    Jin Liang

    2017-10-01

    Full Text Available In this paper we study a corporate bond-pricing model with credit rating migration and astochastic interest rate. The volatility of bond price in the model strongly depends on potential creditrating migration and stochastic change of the interest rate. This new model improves the previousexisting models in which the interest rate is considered to be a constant. The existence, uniquenessand regularity of the solution for the model are established. Moreover, some properties includingthe smoothness of the free boundary are obtained. Furthermore, some numerical computations arepresented to illustrate the theoretical results.

  12. The role of enduring involvement in the relationship between reference price and price acceptance in the context of multichannel choice

    OpenAIRE

    Gyulavári, Tamás; Kolos, Krisztina; Kenesei, Zsófia

    2011-01-01

    Understanding online price acceptance and its determining factors can be essential if the companies try to manage different type of channels. The paper aimed to reveal the role of enduring involvement in price acceptance in a multichannel (online and offline) context. The study revealed that the hedonic value of shopping can increase the negative intention of price acceptance in the online channel, but also explored that for the segment without shopping motivations a similar price level can b...

  13. MARKET ECONOMICS PRICING PARTICULARS

    Directory of Open Access Journals (Sweden)

    V. I. Parshin

    2011-01-01

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

  14. Estimating organic, local, and other price premiums in the Hawaii fluid milk market.

    Science.gov (United States)

    Loke, Matthew K; Xu, Xun; Leung, PingSun

    2015-04-01

    With retail scanner data, we applied hedonic price modeling to explore price premiums for organic, local, and other product attributes of fluid milk in Hawaii. Within the context of revealed preference, this analysis of organic and local attributes, under a single unified framework, is significant, as research in this area is deficient in the existing literature. This paper finds both organic and local attributes delivered price premiums over imported, conventional, whole fluid milk. However, the estimated price premium for organic milk (24.6%) is significantly lower than findings in the existing literature. Likewise, the price premium for the local attribute is estimated at 17.4%, again substantially lower compared with an earlier, stated preference study in Hawaii. Beyond that, we estimated a robust price premium of 19.7% for nutritional benefits claimed. The magnitude of this estimated coefficient reinforces the notion that nutrition information on food is deemed beneficial and valuable. Finally, package size measures the influence of product weight. With each larger package size, the estimate led to a corresponding larger price discount. This result is consistent with the practice of weight discounting that retailers usually offer with fresh packaged food. Additionally, we estimated a fairly high Armington elasticity of substitution, which suggests a relatively high degree of substitution between local and imported fluid milk when their relative price changes. Overall, this study establishes price premiums for organic, local, and nutrition benefits claimed for fluid milk in Hawaii. Copyright © 2015 American Dairy Science Association. Published by Elsevier Inc. All rights reserved.

  15. Energy policies in a macroeconomic model: an analysis of energy taxes when oil prices decline

    International Nuclear Information System (INIS)

    Capros, P.; Karadeloglou, P.; Mentzas, G.

    1992-01-01

    This paper attempts an analysis of energy and macroeconomic policy issues in oil-importing countries within the context of decreasing oil prices and macroeconomic modelling. A medium-term perspective is retained and the assumption is made that the economy experiences unemployment and excess capacity when the price declines. The analysis excludes any response elements that refer to long-term equilibria, optimum allocation of resources or welfare characterization of results which should be dealt with within the context of price adjusted equilibrium models. This paper adopts the approach of quantity adjusted neo-Keynesian macroeconomic models. The paper also inquires into the macroeconomic models currently used by the Commission of the European Communities. The analysis is carried out using the HGRV model which is a large-scale neo-Keynesian multisectoral macroeconomic model of the Greek economy. (UK)

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

    Directory of Open Access Journals (Sweden)

    Daniel Leonhardt

    2017-09-01

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

  17. Optimal models of extreme volume-prices are time-dependent

    International Nuclear Information System (INIS)

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

    2015-01-01

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

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

    Science.gov (United States)

    Sivushina, Anastasiya; Kombu, Anchy; Ryumkin, Valeriy

    2017-11-01

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

  19. On the asymptotic behavior of a boltzmann-type price formation model

    KAUST Repository

    Burger, Martin; Caffarelli, Luis A.; Markowich, Peter A.; Wolfram, Marie-Therese

    2014-01-01

    In this paper we study the asymptotic behavior of a Boltzmann-type price formation model, which describes the trading dynamics in a financial market. In many of these markets trading happens at high frequencies and low transaction costs. This observation motivates the study of the limit as the number of transactions k tends to infinity, the transaction cost a to zero and ka=const. Furthermore we illustrate the price dynamics with numerical simulations © 2014 International Press.

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

    Science.gov (United States)

    Tuncay, Çağlar

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

  1. Covariance of random stock prices in the Stochastic Dividend Discount Model

    OpenAIRE

    Agosto, Arianna; Mainini, Alessandra; Moretto, Enrico

    2016-01-01

    Dividend discount models have been developed in a deterministic setting. Some authors (Hurley and Johnson, 1994 and 1998; Yao, 1997) have introduced randomness in terms of stochastic growth rates, delivering closed-form expressions for the expected value of stock prices. This paper extends such previous results by determining a formula for the covariance between random stock prices when the dividends' rates of growth are correlated. The formula is eventually applied to real market data.

  2. Raising Awareness and Signaling Quality to Uninformed Consumers: A Price-Advertising Model

    OpenAIRE

    Hao Zhao

    2000-01-01

    The objective of this paper is to investigate the firm's optimal advertising and pricing strategies when introducing a new product. We extend the existing signaling literature on advertising spending and price by constructing a model in which advertising is used both to raise awareness about the product and to signal its quality. By comparing the complete information game and the incomplete information game, we find that the high-quality firm will reduce advertising spending and increase pric...

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

    Science.gov (United States)

    Takada, Hellinton Hatsuo; de Oliveira Siqueira, José

    2008-11-01

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

  4. Does Climate Change Mitigation Activity Affect Crude Oil Prices? Evidence from Dynamic Panel Model

    OpenAIRE

    Dike, Jude C.

    2014-01-01

    This paper empirically investigates how climate change mitigation affects crude oil prices while using carbon intensity as the indicator for climate change mitigation. The relationship between crude oil prices and carbon intensity is estimated using an Arellano and Bond GMM dynamic panel model. This study undertakes a regional-level analysis because of the geographical similarities among the countries in a region. Regions considered for the study are Africa, Asia and Oceania, Central and Sout...

  5. Hamiltonian and potentials in derivative pricing models: exact results and lattice simulations

    Science.gov (United States)

    Baaquie, Belal E.; Corianò, Claudio; Srikant, Marakani

    2004-03-01

    The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian formulation. We show here some applications of these methods for various potentials, which we have simulated via lattice Langevin and Monte Carlo algorithms, to the pricing of options. We focus on barrier or path dependent options, showing in some detail the computational strategies involved.

  6. Density forecasts of crude-oil prices using option-implied and ARCH-type models

    DEFF Research Database (Denmark)

    Høg, Esben; Tsiaras, Leonicas

    2011-01-01

    of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well...... obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark...

  7. STOCHASTIC PRICING MODEL FOR THE REAL ESTATE MARKET: FORMATION OF LOG-NORMAL GENERAL POPULATION

    Directory of Open Access Journals (Sweden)

    Oleg V. Rusakov

    2015-01-01

    Full Text Available We construct a stochastic model of real estate pricing. The method of the pricing construction is based on a sequential comparison of the supply prices. We proof that under standard assumptions imposed upon the comparison coefficients there exists an unique non-degenerated limit in distribution and this limit has the lognormal law of distribution. The accordance of empirical distributions of prices to thetheoretically obtained log-normal distribution we verify by numerous statistical data of real estate prices from Saint-Petersburg (Russia. For establishing this accordance we essentially apply the efficient and sensitive test of fit of Kolmogorov-Smirnov. Basing on “The Russian Federal Estimation Standard N2”, we conclude that the most probable price, i.e. mode of distribution, is correctly and uniquely defined under the log-normal approximation. Since the mean value of log-normal distribution exceeds the mode - most probable value, it follows that the prices valued by the mathematical expectation are systematically overstated.

  8. A cost-based empirical model of the aggregate price determination for the Turkish economy: A multivariate cointegration approach

    Directory of Open Access Journals (Sweden)

    Zeren Fatma

    2010-01-01

    Full Text Available This paper tries to examine the long run relationships between the aggregate consumer prices and some cost-based components for the Turkish economy. Based on a simple economic model of the macro-scaled price formation, multivariate cointegration techniques have been applied to test whether the real data support the a priori model construction. The results reveal that all of the factors, related to the price determination, have a positive impact on the consumer prices as expected. We find that the most significant component contributing to the price setting is the nominal exchange rate depreciation. We also cannot reject the linear homogeneity of the sum of all the price data as to the domestic inflation. The paper concludes that the Turkish consumer prices have in fact a strong cost-push component that contributes to the aggregate pricing.

  9. A hedonic analysis of retail Italian vinegars

    Directory of Open Access Journals (Sweden)

    Luigi Galletto

    2015-06-01

    Knowledge about factors affecting the vinegar price can help producers make decisions about what vinegars should be produced and how to price them, which will benefit a consistent proportion of wine and grape producers.

  10. The News Model of Asset Price Determination - An Empirical Examination of the Danish Football Club Bröndby IF

    DEFF Research Database (Denmark)

    Stadtmann, Georg; Moritzen; Jörgensen

    2012-01-01

    According to the news model of asset price determination, only the unexpected component of an information should drive the stock price. We use the Danish publicly listed football club Brøndby IF to analyse how match outcome impacts the stock price. To disentangle gross news from net news, betting...

  11. 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.

  12. Equilibrium Asset and Option Pricing under Jump-Diffusion Model with Stochastic Volatility

    Directory of Open Access Journals (Sweden)

    Xinfeng Ruan

    2013-01-01

    Full Text Available We study the equity premium and option pricing under jump-diffusion model with stochastic volatility based on the model in Zhang et al. 2012. We obtain the pricing kernel which acts like the physical and risk-neutral densities and the moments in the economy. Moreover, the exact expression of option valuation is derived by the Fourier transformation method. We also discuss the relationship of central moments between the physical measure and the risk-neutral measure. Our numerical results show that our model is more realistic than the previous model.

  13. The Arbitrage Pricing Model: A Pedagogic Derivation and a Spreadsheet-Based Illustration

    Directory of Open Access Journals (Sweden)

    Clarence C. Y. Kwan

    2016-05-01

    Full Text Available This paper derives, from a pedagogic perspective, the Arbitrage Pricing Model, which is an important asset pricing model in modern finance. The derivation is based on the idea that, if a self-financed investment has no risk exposures, the payoff from the investment can only be zero. Microsoft Excel plays an important pedagogic role in this paper. The Excel illustration not only helps students recognize more fully the various nuances in the model derivation, but also serves as a good starting point for students to explore on their own the relevance of the noise issue in the model derivation.

  14. Transport fuel demand responses to fuel price and income projections : Comparison of integrated assessment models

    NARCIS (Netherlands)

    Edelenbosch, O. Y.; van Vuuren, Detlef; Bertram, C.; Carrara, S.; Emmerling, J.; Daly, H.; Kitous, A.; McCollum, D. L.; Saadi Failali, N.

    Income and fuel price pathways are key determinants in projections of the energy system in integrated assessment models. In recent years, more details have been added to the transport sector representation in these models. To better understand the model dynamics, this manuscript analyses transport

  15. ARCH Models Efficiency Evaluation in Prediction and Poultry Price Process Formation

    Directory of Open Access Journals (Sweden)

    Behzad Fakari Sardehae

    2016-09-01

    Full Text Available Introduction: Poultry is an important commodity for household consumption. In recent years, price fluctuation for this commodity has caused an uncertain condition for consumers and poultry prices over the past two years has changed a lot. This has caused many changes and uncertainty in a purchase decision. Analysis of changes and volatility modeling can be a great help to predict the poultry prices and great facilities in creating appropriate policies in future. The prices of staples such as poultry consumption basket is highly variable because much of the protein is necessary for daily energy are supplied in this way to households. So when the price of chicken which has been changed over the past two years and has always been in the press and media attention, has been selected in this study. Fluctuations in price of chicken have caused a surge in consumer expectations and contributed in volatility of chicken price. Materials and Methods: In this study ARCH models have been used for daily price of poultry of Iran’s market and this was investigated for2012-13and2013-14.BecauseARCH models can model the impact of heterogeneous variance over time in time series data then the variance of time series, which is limited in time, has no time limit. Many time series are more complex than a linear patterns, thus, non-linear models are of particular importance in Economic Sciences and Econometrics. Accordingly, Engle presented that ARCH model can model the heterogeneous variance components of the error term. That is a disturbing element and modeling can help to examine and explore the relationship between the components can be found disturbing. Basically, these models fit the data to a cluster and periodic oscillations with high volatility and low volatility associated with the period. In this study, we used several different models like ARCH, GARCH, IGARCH, and TGARCH. The distribution of the error term of the model also followt-student distribution

  16. An empirical comparison of alternate regime-switching models for electricity spot prices

    Energy Technology Data Exchange (ETDEWEB)

    Janczura, Joanna [Hugo Steinhaus Center, Institute of Mathematics and Computer Science, Wroclaw University of Technology, 50-370 Wroclaw (Poland); Weron, Rafal [Institute of Organization and Management, Wroclaw University of Technology, 50-370 Wroclaw (Poland)

    2010-09-15

    One of the most profound features of electricity spot prices are the price spikes. Markov regime-switching (MRS) models seem to be a natural candidate for modeling this spiky behavior. However, in the studies published so far, the goodness-of-fit of the proposed models has not been a major focus. While most of the models were elegant, their fit to empirical data has either been not examined thoroughly or the signs of a bad fit ignored. With this paper we want to fill the gap. We calibrate and test a range of MRS models in an attempt to find parsimonious specifications that not only address the main characteristics of electricity prices but are statistically sound as well. We find that the best structure is that of an independent spike 3-regime model with time-varying transition probabilities, heteroscedastic diffusion-type base regime dynamics and shifted spike regime distributions. Not only does it allow for a seasonal spike intensity throughout the year and consecutive spikes or price drops, which is consistent with market observations, but also exhibits the 'inverse leverage effect' reported in the literature for spot electricity prices. (author)

  17. An empirical comparison of alternate regime-switching models for electricity spot prices

    International Nuclear Information System (INIS)

    Janczura, Joanna; Weron, Rafal

    2010-01-01

    One of the most profound features of electricity spot prices are the price spikes. Markov regime-switching (MRS) models seem to be a natural candidate for modeling this spiky behavior. However, in the studies published so far, the goodness-of-fit of the proposed models has not been a major focus. While most of the models were elegant, their fit to empirical data has either been not examined thoroughly or the signs of a bad fit ignored. With this paper we want to fill the gap. We calibrate and test a range of MRS models in an attempt to find parsimonious specifications that not only address the main characteristics of electricity prices but are statistically sound as well. We find that the best structure is that of an independent spike 3-regime model with time-varying transition probabilities, heteroscedastic diffusion-type base regime dynamics and shifted spike regime distributions. Not only does it allow for a seasonal spike intensity throughout the year and consecutive spikes or price drops, which is consistent with market observations, but also exhibits the 'inverse leverage effect' reported in the literature for spot electricity prices. (author)

  18. Pricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method

    Directory of Open Access Journals (Sweden)

    Fei Lung Yuen

    2011-12-01

    Full Text Available In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b and provide some results on pricing of Parisian options under the Markov regime-switching model (MRSM. The MRSM allows the parameters of the market model depending on a Markovian process, and the model can reflect the information of the market environment which cannot be modeled solely by linear Gaussian process. However, when the parameters of the stock price model are not constant but governed by a Markovian process, the pricing of the options becomes complex. We present a fast and simple trinomial tree model to price options in MRSM. In recent years, the pricing of modern insurance products, such as Equity-Indexed annuity (EIA and variable annuities (VAs, has become a popular topic. We show here that our trinomial tree model can been used to price EIA with strong path dependent exotic options in the regime switching model.

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

    Science.gov (United States)

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

    2018-03-01

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

  20. Black-Scholes finite difference modeling in forecasting of call warrant prices in Bursa Malaysia

    Science.gov (United States)

    Mansor, Nur Jariah; Jaffar, Maheran Mohd

    2014-07-01

    Call warrant is a type of structured warrant in Bursa Malaysia. It gives the holder the right to buy the underlying share at a specified price within a limited period of time. The issuer of the structured warrants usually uses European style to exercise the call warrant on the maturity date. Warrant is very similar to an option. Usually, practitioners of the financial field use Black-Scholes model to value the option. The Black-Scholes equation is hard to solve analytically. Therefore the finite difference approach is applied to approximate the value of the call warrant prices. The central in time and central in space scheme is produced to approximate the value of the call warrant prices. It allows the warrant holder to forecast the value of the call warrant prices before the expiry date.

  1. 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.

  2. A Heterogeneous Agent Model of Asspet Price with Three Time Delays

    Directory of Open Access Journals (Sweden)

    Akio Matsumoto

    2016-09-01

    Full Text Available This paper considers a continuous-time heterogeneous agent model ofa ...nancial market with one risky asset, two types of agents (i.e., thefundamentalists and the chartists, and three time delays. The chartistdemand is determined through a nonlinear function of the di¤erence be-tween the current price and a weighted moving average of the delayedprices whereas the fundamentalist demand is governed by the di¤erencebetween the current price and the fundamental value. The asset price dy-namics is described by a nonlinear delay di¤erential equation. Two mainresults are analytically and numerically shown:(i the delay destabilizes the market price and generates cyclic oscillationsaround the equilibrium;(ii under multiple delays, stability loss and gain repeatedly occurs as alength of the delay increases.

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

    Science.gov (United States)

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

    2014-03-01

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

  4. Using pharmacoeconomic modelling to determine value-based pricing for new pharmaceuticals in malaysia.

    Science.gov (United States)

    Dranitsaris, George; Truter, Ilse; Lubbe, Martie S; Sriramanakoppa, Nitin N; Mendonca, Vivian M; Mahagaonkar, Sangameshwar B

    2011-10-01

    Decision analysis (DA) is commonly used to perform economic evaluations of new pharmaceuticals. Using multiples of Malaysia's per capita 2010 gross domestic product (GDP) as the threshold for economic value as suggested by the World Health Organization (WHO), DA was used to estimate a price per dose for bevacizumab, a drug that provides a 1.4-month survival benefit in patients with metastatic colorectal cancer (mCRC). A decision model was developed to simulate progression-free and overall survival in mCRC patients receiving chemotherapy with and without bevacizumab. Costs for chemotherapy and management of side effects were obtained from public and private hospitals in Malaysia. Utility estimates, measured as quality-adjusted life years (QALYs), were determined by interviewing 24 oncology nurses using the time trade-off technique. The price per dose was then estimated using a target threshold of US$44 400 per QALY gained, which is 3 times the Malaysian per capita GDP. A cost-effective price for bevacizumab could not be determined because the survival benefit provided was insufficient According to the WHO criteria, if the drug was able to improve survival from 1.4 to 3 or 6 months, the price per dose would be $567 and $1258, respectively. The use of decision modelling for estimating drug pricing is a powerful technique to ensure value for money. Such information is of value to drug manufacturers and formulary committees because it facilitates negotiations for value-based pricing in a given jurisdiction.

  5. A Generic Decomposition Formula for Pricing Vanilla Options under Stochastic Volatility Models

    Directory of Open Access Journals (Sweden)

    Raúl Merino

    2015-01-01

    Full Text Available We obtain a decomposition of the call option price for a very general stochastic volatility diffusion model, extending a previous decomposition formula for the Heston model. We realize that a new term arises when the stock price does not follow an exponential model. The techniques used for this purpose are nonanticipative. In particular, we also see that equivalent results can be obtained by using Functional Itô Calculus. Using the same generalizing ideas, we also extend to nonexponential models the alternative call option price decomposition formula written in terms of the Malliavin derivative of the volatility process. Finally, we give a general expression for the derivative of the implied volatility under both the anticipative and the nonanticipative cases.

  6. The Optimal Price Ratio of Typical Energy Sources in Beijing Based on the Computable General Equilibrium Model

    Directory of Open Access Journals (Sweden)

    Yongxiu He

    2014-04-01

    Full Text Available In Beijing, China, the rational consumption of energy is affected by the insufficient linkage mechanism of the energy pricing system, the unreasonable price ratio and other issues. This paper combines the characteristics of Beijing’s energy market, putting forward the society-economy equilibrium indicator R maximization taking into consideration the mitigation cost to determine a reasonable price ratio range. Based on the computable general equilibrium (CGE model, and dividing four kinds of energy sources into three groups, the impact of price fluctuations of electricity and natural gas on the Gross Domestic Product (GDP, Consumer Price Index (CPI, energy consumption and CO2 and SO2 emissions can be simulated for various scenarios. On this basis, the integrated effects of electricity and natural gas price shocks on the Beijing economy and environment can be calculated. The results show that relative to the coal prices, the electricity and natural gas prices in Beijing are currently below reasonable levels; the solution to these unreasonable energy price ratios should begin by improving the energy pricing mechanism, through means such as the establishment of a sound dynamic adjustment mechanism between regulated prices and market prices. This provides a new idea for exploring the rationality of energy price ratios in imperfect competitive energy markets.

  7. A Phillips curve interpretation of error-correction models of the wage and price dynamics

    DEFF Research Database (Denmark)

    Harck, Søren H.

    -correction setting, which actually seems to capture the wage and price dynamics of many large- scale econometric models quite well, is fully compatible with the notion of an old-fashioned Phillips curve with finite slope. It is shown how the steady-state impact of various shocks to the model can be profitably...... This paper presents a model of employment, distribution and inflation in which a modern error correction specification of the nominal wage and price dynamics (referring to claims on income by workers and firms) occupies a prominent role. It is brought out, explicitly, how this rather typical error...

  8. A Phillips curve interpretation of error-correction models of the wage and price dynamics

    DEFF Research Database (Denmark)

    Harck, Søren H.

    2009-01-01

    -correction setting, which actually seems to capture the wage and price dynamics of many large- scale econometric models quite well, is fully compatible with the notion of an old-fashioned Phillips curve with finite slope. It is shown how the steady-state impact of various shocks to the model can be profitably......This paper presents a model of employment, distribution and inflation in which a modern error correction specification of the nominal wage and price dynamics (referring to claims on income by workers and firms) occupies a prominent role. It is brought out, explicitly, how this rather typical error...

  9. A regime-switching stochastic volatility model for forecasting electricity prices

    DEFF Research Database (Denmark)

    Exterkate, Peter; Knapik, Oskar

    In a recent review paper, Weron (2014) pinpoints several crucial challenges outstanding in the area of electricity price forecasting. This research attempts to address all of them by i) showing the importance of considering fundamental price drivers in modeling, ii) developing new techniques for ...... on explanatory variables. Bayesian inference is explored in order to obtain predictive densities. The main focus of the paper is on shorttime density forecasting in Nord Pool intraday market. We show that the proposed model outperforms several benchmark models at this task....

  10. Asymptotic approach to the pricing of geometric asian options under the CEV model

    International Nuclear Information System (INIS)

    Lee, Min-Ku

    2016-01-01

    This paper studies the pricing of Asian options whose payoffs depend on the average value of an underlying asset during the period to a maturity. Since the Asian option is not so sensitive to the value of underlying asset, the possibility of manipulation is relatively small than the other options such as European vanilla and barrier options. We derive the pricing formula of geometric Asian options under the constant elasticity of variance (CEV) model that is one of local volatility models, and investigate the implication of the CEV model for geometric Asian options.

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

    International Nuclear Information System (INIS)

    Gulisashvili, Archil; Stein, Elias M.

    2010-01-01

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

  12. Distributional modeling and short-term forecasting of electricity prices by Generalized Additive Models for Location, Scale and Shape

    International Nuclear Information System (INIS)

    Serinaldi, Francesco

    2011-01-01

    In the context of the liberalized and deregulated electricity markets, price forecasting has become increasingly important for energy company's plans and market strategies. Within the class of the time series models that are used to perform price forecasting, the subclasses of methods based on stochastic time series and causal models commonly provide point forecasts, whereas the corresponding uncertainty is quantified by approximate or simulation-based confidence intervals. Aiming to improve the uncertainty assessment, this study introduces the Generalized Additive Models for Location, Scale and Shape (GAMLSS) to model the dynamically varying distribution of prices. The GAMLSS allow fitting a variety of distributions whose parameters change according to covariates via a number of linear and nonlinear relationships. In this way, price periodicities, trends and abrupt changes characterizing both the position parameter (linked to the expected value of prices), and the scale and shape parameters (related to price volatility, skewness, and kurtosis) can be explicitly incorporated in the model setup. Relying on the past behavior of the prices and exogenous variables, the GAMLSS enable the short-term (one-day ahead) forecast of the entire distribution of prices. The approach was tested on two datasets from the widely studied California Power Exchange (CalPX) market, and the less mature Italian Power Exchange (IPEX). CalPX data allow comparing the GAMLSS forecasting performance with published results obtained by different models. The study points out that the GAMLSS framework can be a flexible alternative to several linear and nonlinear stochastic models. - Research Highlights: ► Generalized Additive Models for Location, Scale and Shape (GAMLSS) are used to model electricity prices' time series. ► GAMLSS provide the entire dynamicaly varying distribution function of prices resorting to a suitable set of covariates that drive the instantaneous values of the parameters

  13. Forecasting Nord Pool day-ahead prices with an autoregressive model

    International Nuclear Information System (INIS)

    Kristiansen, Tarjei

    2012-01-01

    This paper presents a model to forecast Nord Pool hourly day-ahead prices. The model is based on but reduced in terms of estimation parameters (from 24 sets to 1) and modified to include Nordic demand and Danish wind power as exogenous variables. We model prices across all hours in the analysis period rather than across each single hour of 24 hours. By applying three model variants on Nord Pool data, we achieve a weekly mean absolute percentage error (WMAE) of around 6–7% and an hourly mean absolute percentage error (MAPE) ranging from 8% to 11%. Out of sample results yields a WMAE and an hourly MAPE of around 5%. The models enable analysts and traders to forecast hourly day-ahead prices accurately. Moreover, the models are relatively straightforward and user-friendly to implement. They can be set up in any trading organization. - Highlights: ► Forecasting Nord Pool day-ahead prices with an autoregressive model. ► The model is based on but with the set of parameters reduced from 24 to 1. ► The model includes Nordic demand and Danish wind power as exogenous variables. ► Hourly mean absolute percentage error ranges from 8% to 11%. ► Out of sample results yields a WMAE and an hourly MAPE of around 5%.

  14. Recovery of time-dependent volatility in option pricing model

    Science.gov (United States)

    Deng, Zui-Cha; Hon, Y. C.; Isakov, V.

    2016-11-01

    In this paper we investigate an inverse problem of determining the time-dependent volatility from observed market prices of options with different strikes. Due to the non linearity and sparsity of observations, an analytical solution to the problem is generally not available. Numerical approximation is also difficult to obtain using most of the existing numerical algorithms. Based on our recent theoretical results, we apply the linearisation technique to convert the problem into an inverse source problem from which recovery of the unknown volatility function can be achieved. Two kinds of strategies, namely, the integral equation method and the Landweber iterations, are adopted to obtain the stable numerical solution to the inverse problem. Both theoretical analysis and numerical examples confirm that the proposed approaches are effective. The work described in this paper was partially supported by a grant from the Research Grant Council of the Hong Kong Special Administrative Region (Project No. CityU 101112) and grants from the NNSF of China (Nos. 11261029, 11461039), and NSF grants DMS 10-08902 and 15-14886 and by Emylou Keith and Betty Dutcher Distinguished Professorship at the Wichita State University (USA).

  15. Policy options for alcohol price regulation: the importance of modelling population heterogeneity.

    Science.gov (United States)

    Meier, Petra Sylvia; Purshouse, Robin; Brennan, Alan

    2010-03-01

    Context and aims Internationally, the repertoire of alcohol pricing policies has expanded to include targeted taxation, inflation-linked taxation, taxation based on alcohol-by-volume (ABV), minimum pricing policies (general or targeted), bans of below-cost selling and restricting price-based promotions. Policy makers clearly need to consider how options compare in reducing harms at the population level, but are also required to demonstrate proportionality of their actions, which necessitates a detailed understanding of policy effects on different population subgroups. This paper presents selected findings from a policy appraisal for the UK government and discusses the importance of accounting for population heterogeneity in such analyses. Method We have built a causal, deterministic, epidemiological model which takes account of differential preferences by population subgroups defined by age, gender and level of drinking (moderate, hazardous, harmful). We consider purchasing preferences in terms of the types and volumes of alcoholic beverages, prices paid and the balance between bars, clubs and restaurants as opposed to supermarkets and off-licenses. Results Age, sex and level of drinking fundamentally affect beverage preferences, drinking location, prices paid, price sensitivity and tendency to substitute for other beverage types. Pricing policies vary in their impact on different product types, price points and venues, thus having distinctly different effects on subgroups. Because population subgroups also have substantially different risk profiles for harms, policies are differentially effective in reducing health, crime, work-place absence and unemployment harms. Conclusion Policy appraisals must account for population heterogeneity and complexity if resulting interventions are to be well considered, proportionate, effective and cost-effective.

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

    Science.gov (United States)

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

    2018-03-01

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

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

    Science.gov (United States)

    Paeng, Seong-Hun

    2015-02-01

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

  18. A review on Black-Scholes model in pricing warrants in Bursa Malaysia

    Science.gov (United States)

    Gunawan, Nur Izzaty Ilmiah Indra; Ibrahim, Siti Nur Iqmal; Rahim, Norhuda Abdul

    2017-01-01

    This paper studies the accuracy of the Black-Scholes (BS) model and the dilution-adjusted Black-Scholes (DABS) model to pricing some warrants traded in the Malaysian market. Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE) are used to compare the two models. Results show that the DABS model is more accurate than the BS model for the selected data.

  19. Impact of variable renewable production on electricity prices in Germany: a Markov switching model

    International Nuclear Information System (INIS)

    Martin de Lagarde, Cyril; Lantz, Frederic

    2016-01-01

    This paper aims at assessing the impact of renewable energy sources (RES) production on electricity spot prices. To do so, we use a two-regime Markov Switching (MS) model, that enables to disentangle the so-called 'merit-order effect' due to wind and solar photovoltaic productions (used in relative share of the electricity demand), depending on the price being high or low. We find that there are effectively two distinct price regimes that are put to light thanks to an inverse hyperbolic sine transformation that allows to treat negative prices. We also show that these two regimes coincide quite well with two regimes for the electricity demand (load). Indeed, when demand is low, prices are low and the merit-order effect is lower than when prices are high, which is consistent with the fact that the inverse supply curve is convex (i.e. has increasing slope). To illustrate this, we computed the mean marginal effects of RES production and load. On average, an increase of 1 GW of wind will decrease the price in regime 1 (resp. 2) by 0.77 euro /MWh (resp. 1 euro /MWh). The influence of solar is slightly weaker, as an extra gigawatt lowers the price of 0.73 euro /MWh in period 1, and 0.96 euro /MWh in regime 2. On the contrary, if the demand increases by 1 GW in regime 1 (resp. 2), the price increases on average by 0.93 euro /MWh (resp. 1.18 euro /MWh). Although we made sure these marginal effects are significantly different from one another, they are much more variable than the estimated coefficients of the model. Also, note that these marginal effects are only valid inside each regime when there is no switching. The latter regime partly corresponds to the high load regime, at the exception of periods during which RES production is high. The impact on volatility could also be observed: the variance of the (transformed) price is higher during the high-price regime than in the low-price one. In addition to the switching of the coefficients, we allowed the probabilities of

  20. Crop Monitoring as a Tool for Modelling the Genesis of Millet Prices in Senegal

    Science.gov (United States)

    Jacques, D.; Marinho, E.; Defourny, P.; Waldner, F.; d'Andrimont, R.

    2015-12-01

    Food security in Sahelian countries strongly relies on the ability of markets to transfer staplesfrom surplus to deficit areas. Market failures, leading to the inefficient geographical allocation of food,are expected to emerge from high transportation costs and information asymmetries that are commonin moderately developed countries. As a result, important price differentials are observed betweenproducing and consuming areas which damages both poor producers and food insecure consumers. Itis then vital for policy makers to understand how the prices of agricultural commodities are formed byaccounting for the existing market imperfections in addition to local demand and supply considerations. To address this issue, we have gathered an unique and diversified set of data for Senegal andintegrated it in a spatially explicit model that simulates the functioning of agricultural markets, that isfully consistent with the economic theory. Our departure point is a local demand and supply modelaround each market having its catchment areas determined by the road network. We estimate the localsupply of agricultural commodities from satellite imagery while the demand is assumed to be a functionof the population living in the area. From this point on, profitable transactions between areas with lowprices to areas with high prices are simulated for different levels of per kilometer transportation costand information flows (derived from call details records i.e. mobile phone data). The simulated prices are then comparedwith the actual millet prices. Despite the parsimony of the model that estimates only two parameters, i.e. the per kilometertransportation cost and the information asymmetry resulting from low levels of mobile phone activitybetween markets, it impressively explains more than 80% of the price differentials observed in the 40markets included in the analysis. In one hand these results can be used in the assessment of the socialwelfare impacts of the further development of

  1. The Economics of Style : Measuring the Price Effect of Neo-Traditional Architecture in Housing

    NARCIS (Netherlands)

    Buitelaar, E.; Schilder, Frans

    2017-01-01

    Vintage effects have received considerable attention from economists in the context of house prices. Although strongly related, the impact of architectural building styles on prices has not been studied yet. Using a cross-sectional hedonic price analysis including building styles of recently

  2. Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations

    NARCIS (Netherlands)

    Pistorius, M.; Stolte, J.

    2012-01-01

    We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a number of widely used models. In particular, we use the

  3. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices

    NARCIS (Netherlands)

    Ooms, M.; Koopman, S.J.; Carnero, A.M.

    2007-01-01

    Novel periodic extensions of dynamic long-memory regression models with autoregressive conditional heteroscedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method of

  4. Asset Pricing Model and the Liquidity Effect: Empirical Evidence in the Brazilian Stock Market

    Directory of Open Access Journals (Sweden)

    Otávio Ribeiro de Medeiros

    2011-09-01

    Full Text Available This paper is aims to analyze whether a liquidity premium exists in the Brazilian stock market. As a second goal, we include liquidity as an extra risk factor in asset pricing models and test whether this factor is priced and whether stock returns were explained not only by systematic risk, as proposed by the CAPM, by Fama and French’s (1993 three-factor model, and by Carhart’s (1997 momentum-factor model, but also by liquidity, as suggested by Amihud and Mendelson (1986. To achieve this, we used stock portfolios and five measures of liquidity. Among the asset pricing models tested, the CAPM was the least capable of explaining returns. We found that the inclusion of size and book-to-market factors in the CAPM, a momentum factor in the three-factor model, and a liquidity factor in the four-factor model improve their explanatory power of portfolio returns. In addition, we found that the five-factor model is marginally superior to the other asset pricing models tested.

  5. Tuition Elasticity of the Demand for Higher Education among Current Students: A Pricing Model.

    Science.gov (United States)

    Bryan, Glenn A.; Whipple, Thomas W.

    1995-01-01

    A pricing model is offered, based on retention of current students, that colleges can use to determine appropriate tuition. A computer-based model that quantifies the relationship between tuition elasticity and projected net return to the college was developed and applied to determine an appropriate tuition rate for a small, private liberal arts…

  6. The capital-asset pricing model reconsidered: tests in real terms on ...

    African Journals Online (AJOL)

    This paper extends previous work of the authors to reconsider the capital-asset pricing model (CAPM) in South Africa in real terms. As in that work, the main question this study aimed to answer remains: Can the CAPM be accepted in the South African market for the purposes of the stochastic modelling of investment returns ...

  7. Testing multi-factor asset pricing models in the Visegrad countries

    Czech Academy of Sciences Publication Activity Database

    Morgese Borys, Magdalena

    -, č. 323 (2007), s. 1-40 ISSN 1211-3298 R&D Projects: GA MŠk LC542 Institutional research plan: CEZ:AV0Z70850503 Keywords : capital asset pricing model * macroeconomic factor models * cost of capital Subject RIV: AH - Economics http://www.cerge-ei.cz/pdf/wp/Wp323.pdf

  8. Airlines' strategic interactions and airport pricing in a dynamic bottleneck model of congestion

    NARCIS (Netherlands)

    Silva Montalva, H.E.; Verhoef, E.T.; van den Berg, V.A.C.

    2014-01-01

    This paper analyzes efficient pricing at a congested airport dominated by a single firm. Unlike much of the previous literature, we combine a dynamic bottleneck model of congestion and a vertical structure model that explicitly considers the role of airlines and passengers. We show that a

  9. Pricing Participating Products under a Generalized Jump-Diffusion Model

    Directory of Open Access Journals (Sweden)

    Tak Kuen Siu

    2008-01-01

    Full Text Available We propose a model for valuing participating life insurance products under a generalized jump-diffusion model with a Markov-switching compensator. It also nests a number of important and popular models in finance, including the classes of jump-diffusion models and Markovian regime-switching models. The Esscher transform is employed to determine an equivalent martingale measure. Simulation experiments are conducted to illustrate the practical implementation of the model and to highlight some features that can be obtained from our model.

  10. Modeling of demand response in electricity markets : effects of price elasticity

    International Nuclear Information System (INIS)

    Banda, E.C.; Tuan, L.A.

    2007-01-01

    A design mechanism for the optimal participation of customer load in electricity markets was presented. In particular, this paper presented a modified market model for the optimal procurement of interruptible loads participating in day-ahead electricity markets. The proposed model considers the effect of price elasticity and demand-response functions. The objective was to determine the role that price elasticity plays in electricity markets. The simulation model can help the Independent System Operator (ISO) identify customers offering the lowest price of interruptible loads and load flow patterns that avoid problems associated with transmission congestion and transmission losses. Various issues associated with procurement of demand-response offerings such as advance notification, locational aspect of load, and power factor of the loads, were considered. It was shown that demand response can mitigate price volatility by allowing the ISO to maintain operating reserves during peak load periods. It was noted that the potential benefits of the demand response program would be reduced when price elasticity of demand is taken into account. This would most likely occur in actual developed open electricity markets, such as Nordpool. This study was based on the CIGRE 32-bus system, which represents the Swedish high voltage power system. It was modified for this study to include a broad range of customer characteristics. 18 refs., 2 tabs., 14 figs

  11. HEDONIC VALUATION OF MARGINAL WILLINGNESS TO PAY FOR AIR QUALITY IMPROVEMENT

    Directory of Open Access Journals (Sweden)

    Endah Saptutyningsih

    2014-10-01

    Full Text Available AbstractThis study aims to identify the highest air pollution areas and to estimate household marginal willingness to pay for air quality improvement. The result of Kriging technique indicates that six sub districts in Yogyakarta City and one sub district in Gunungkidul have highest concentration of particle pollution (PM10. The result of hedonic price method conclude that by adopting a two-stage estimation procedure an 1% increase in the level of PM10 reduced property prices in the study area by 0.32%. Marginal implicit price for reducing PM10 is Rp 957,900.00. The households are willing to pay an additional amount of 1.34 percent for a reduction in PM10 by 1%.Keywords: Air pollution, marginal willingness to pay, hedonic price, implicit priceJEL classification numbers: D12, Q53AbstrakPenelitian ini bertujuan mengidentifikasi daerah polusi udara tertinggi dan untuk memperkirakan kesediaan marginal rumah tangga untuk membayar untuk perbaikan kualitas udara. Dengan menggunakan teknik Kriging, hasil penelitian menunjukkan bahwa enam kecamatan di Kota Yogyakarta dan satu kecamatan di Gunungkidul memiliki konsentrasi tertinggi partikel polusi (PM10. Sementara itu, dengan metode harga hedonik yang mengadopsi prosedur dua tahap, paper ini menyimpulkan bahwa setiap peningkatan PM10 sebesar 1% akan menurunkan harga properti di daerah penelitian sebesar 0.32 persen. Harga implisit marjinal untuk mengurangi PM10 adalah Rp 957,900. Rumah tangga bersedia membayar tambahan 1,34 persen untuk pengurangan PM10 sebesar 1%.Kata kunci: Polusi udara, keinginan membayar marjinal, harga hedonik, SIG, harga implisitJEL classification numbers: D12, Q53

  12. A Comparative Study Of Stock Price Forecasting Using Nonlinear Models

    Directory of Open Access Journals (Sweden)

    Diteboho Xaba

    2017-03-01

    Full Text Available This study compared the in-sample forecasting accuracy of three forecasting nonlinear models namely: the Smooth Transition Regression (STR model, the Threshold Autoregressive (TAR model and the Markov-switching Autoregressive (MS-AR model. Nonlinearity tests were used to confirm the validity of the assumptions of the study. The study used model selection criteria, SBC to select the optimal lag order and for the selection of appropriate models. The Mean Square Error (MSE, Mean Absolute Error (MAE and Root Mean Square Error (RMSE served as the error measures in evaluating the forecasting ability of the models. The MS-AR models proved to perform well with lower error measures as compared to LSTR and TAR models in most cases.

  13. Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework

    Directory of Open Access Journals (Sweden)

    Krzysztof Drachal

    2018-05-01

    Full Text Available This article presents results from modelling spot oil prices by Dynamic Model Averaging (DMA. First, based on a literature review and availability of data, the following oil price drivers have been selected: stock prices indices, stock prices volatility index, exchange rates, global economic activity, interest rates, supply and demand indicators and inventories level. Next, they have been included as explanatory variables in various DMA models with different initial parameters. Monthly data between January 1986 and December 2015 has been analyzed. Several variations of DMA models have been constructed, because DMA requires the initial setting of certain parameters. Interestingly, DMA has occurred to be robust to setting different values to these parameters. It has also occurred that the quality of prediction is the highest for the model with the drivers solely connected with the stock markets behavior. Drivers connected with macroeconomic fundamental indicators have not been found so important. This observation can serve as an argument favoring the hypothesis of the increasing financialization of the oil market, at least in the short-term period. The predictions from other, slightly different modelling variations based on DMA methodology, have happened to be consistent with each other in general. Many constructed models have outperformed alternative forecasting methods. It has also been found that normalization of the initial data, although not necessary for DMA from the theoretical point of view, significantly improves the quality of prediction.

  14. Forecasting Long-Term Crude Oil Prices Using a Bayesian Model with Informative Priors

    Directory of Open Access Journals (Sweden)

    Chul-Yong Lee

    2017-01-01

    Full Text Available In the long-term, crude oil prices may impact the economic stability and sustainability of many countries, especially those depending on oil imports. This study thus suggests an alternative model for accurately forecasting oil prices while reflecting structural changes in the oil market by using a Bayesian approach. The prior information is derived from the recent and expected structure of the oil market, using a subjective approach, and then updated with available market data. The model includes as independent variables factors affecting oil prices, such as world oil demand and supply, the financial situation, upstream costs, and geopolitical events. To test the model’s forecasting performance, it is compared with other models, including a linear ordinary least squares model and a neural network model. The proposed model outperforms on the forecasting performance test even though the neural network model shows the best results on a goodness-of-fit test. The results show that the crude oil price is estimated to increase to $169.3/Bbl by 2040.

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

    International Nuclear Information System (INIS)

    Higgs, Helen; Worthington, Andrew

    2008-01-01

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

  16. Optimal electricity price calculation model for retailers in a deregulated market

    Energy Technology Data Exchange (ETDEWEB)

    Yusta, J.M.; Dominguez-Navarro, J.A. [Zaragoza Univ., Dept. of Electrical Engineering, Zaragoza (Spain); Ramirez-Rosado, I.J. [La Rioja Univ., Dept. of Electrical Engineering, Logrono (Spain); Perez-Vidal, J.M. [McKinnon and Clarke, Energy Services Div., Zaragoza (Spain)

    2005-07-01

    The electricity retailing, a new business in deregulated electric power systems, needs the development of efficient tools to optimize its operation. This paper defines a technical-economic model of an electric energy service provider in the environment of the deregulated electricity market in Spain. This model results in an optimization problem, for calculating the optimal electric power and energy selling prices that maximize the economic profits obtained by the provider. This problem is applied to different cases, where the impact on the profits of several factors, such as the price strategy, the discount on tariffs and the elasticity of customer demand functions, is studied. (Author)

  17. Optimal electricity price calculation model for retailers in a deregulated market

    International Nuclear Information System (INIS)

    Yusta, J.M.; Dominguez-Navarro, J.A.; Ramirez-Rosado, I.J.; Perez-Vidal, J.M.

    2005-01-01

    The electricity retailing, a new business in deregulated electric power systems, needs the development of efficient tools to optimize its operation. This paper defines a technical-economic model of an electric energy service provider in the environment of the deregulated electricity market in Spain. This model results in an optimization problem, for calculating the optimal electric power and energy selling prices that maximize the economic profits obtained by the provider. This problem is applied to different cases, where the impact on the profits of several factors, such as the price strategy, the discount on tariffs and the elasticity of customer demand functions, is studied. (Author)

  18. Analyzing the effects of past prices on reference price formation

    OpenAIRE

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

    2004-01-01

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

  19. The Impact of Energy Price Decline on China's Energy-Economy-Environment System Variables Using a CGE Model

    DEFF Research Database (Denmark)

    Guo, Zhengquan; Wang, Daojuan; Chen, Chong

    In recent years, prices of coal and crude oil have fallen significantly. These declines have had a large impact on China’s energy-economy-environment system variables. This paper establishes a computable general equilibrium model to systematically analyse the impact of coal price changes alone...... or the decline of both coal and oil prices on the variables of China's energy-economy-environment system. The results of the analysis show that the decline of the coal price alone or of coal and crude oil prices together will lead to a significant increase in demand for either coal and total energy or coal...

  20. Impact of sucrose contents and cooking time on cowpea prices in Senegal

    Directory of Open Access Journals (Sweden)

    Mb.D Faye

    2014-07-01

    Full Text Available An alternative approach to traditional consumer behaviour and demand theory is characteristics theory, which assumes that a consumer’s utility function is generated by the characteristics, or attributes, that goods and services possess. Instead of a utility being a function of a product, it becomes a function of the attributes provided by these products. In this paper a hedonic pricing model is used to investigate the influence of sucrose level and cooking time on cowpea prices in Senegal.  Cooking time has a significant impact on price only at Tilene market in Dakar, while the sucrose contents tend to provide a premium throughout. Further investigation shows that the local varieties, AW, Matam and Ndiassiw have higher sucrose contents than the other cowpea varieties.

  1. A Bayesian negotiation model for quality and price in a multi-consumer context

    International Nuclear Information System (INIS)

    Rufo, M.J.; Martín, J.; Pérez, C.J.

    2016-01-01

    Bayesian decision theory plays a significant role in a large number of applications that have as main aim decision making. At the same time, negotiation is a process of making joint decisions that has one of its main foundations in decision theory. In this context, an important issue involved in industrial and commercial applications is product reliability/quality demonstration. The goal is, among others, product commercialization with the best possible price. This paper provides a Bayesian sequential negotiation model in the context of sale of a product based on two characteristics: product price and reliability/quality testing. The model assumes several parties, a manufacturer and different consumers, who could be considered adversaries. In addition, a general setting for which the manufacturer offers a product batch to the consumers is taken. Both the manufacturer and the consumers have to use their prior beliefs as well as their preferences. Sometimes, the model will require to update the previous beliefs. This can be made through the corresponding posterior distribution. Anyway, the main aim is that at least one consumer accepts the product batch based on either product price or product price and reliability/quality. The general model is solved from the manufacturer viewpoint. Thus a general approach that allows us to calculate an optimal price and sample size for testing is provided. Finally, two applications show how the proposed technique can be applied in practice. - Highlights: • A general sequential Bayesian model of decision has been developed. • Product price and reliability/quality testing have been considered. • An original approach is implemented in order to obtain appropriate optimal values. • Distributions widely used in reliability and quality contexts have been taken.

  2. A generalized exponential time series regression model for electricity prices

    DEFF Research Database (Denmark)

    Haldrup, Niels; Knapik, Oskar; Proietti, Tomasso

    on the estimated model, the best linear predictor is constructed. Our modeling approach provides good fit within sample and outperforms competing benchmark predictors in terms of forecasting accuracy. We also find that building separate models for each hour of the day and averaging the forecasts is a better...

  3. CAPM (Capital Asset Pricing Model) and regulation in Brazilian electric distribution sector; CAPM (Capital Asset Pricing Model) e regulacao no segmento de distribuicao do setor eletrico brasileiro

    Energy Technology Data Exchange (ETDEWEB)

    Pinto, Rinaldo Caldeira; Parente, Virginia [Universidade de Sao Paulo (USP), SP (Brazil)], emails: rinaldo@iee.usp.br, vparente@iee.usp.br

    2010-07-01

    The aim of this paper is to analyse the use of Capital Asset Pricing Model (CAPM) Beta in the Brazilian electric distribution sector tariffs review. The betas applied by the Regulatory Agency are defined using data from the American, English and Brazilian markets. These betas will then be compared to the betas obtained in the domestic market. The betas were directly obtained from an economic-financial databank largely employed by the market. The sample is composed of companies' shares, priced at Sao Paulo Stock Market. Their main activity is the distribution of electric energy between July 2002 and July 2007. The results of mean betas obtained for the distribution segment, with values close to the ones applied by the regulatory agency for the cycle of tariff reviews between 2007-2010. (author)

  4. CAPM (Capital Asset Pricing Model) and regulation in Brazilian electric distribution sector; CAPM (Capital Asset Pricing Model) e regulacao no segmento de distribuicao do setor eletrico brasileiro

    Energy Technology Data Exchange (ETDEWEB)

    Pinto, Rinaldo Caldeira; Parente, Virginia, E-mail: rinaldo@iee.usp.br, E-mail: vparente@iee.usp.br [Universidade de Sao Paulo (USP), SP (Brazil)

    2010-07-01

    The aim of this paper is to analyse the use of Capital Asset Pricing Model (CAPM) Beta in the Brazilian electric distribution sector tariffs review. The betas applied by the Regulatory Agency are defined using data from the American, English and Brazilian markets. These betas will then be compared to the betas obtained in the domestic market. The betas were directly obtained from an economic-financial databank largely employed by the market. The sample is composed of companies' shares, priced at Sao Paulo Stock Market. Their main activity is the distribution of electric energy between July 2002 and July 2007. The results of mean betas obtained for the distribution segment, with values close to the ones applied by the regulatory agency for the cycle of tariff reviews between 2007-2010. (author)

  5. Two-echelon competitive integrated supply chain model with price and credit period dependent demand

    Science.gov (United States)

    Pal, Brojeswar; Sankar Sana, Shib; Chaudhuri, Kripasindhu

    2016-04-01

    This study considers a two-echelon competitive supply chain consisting of two rivaling retailers and one common supplier with trade credit policy. The retailers hope that they can enhance their market demand by offering a credit period to the customers and the supplier also offers a credit period to the retailers. We assume that the market demand of the products of one retailer depends not only on their own market price and offering a credit period to the customers, but also on the market price and offering a credit period of the other retailer. The supplier supplies the product with a common wholesale price and offers the same credit period to the retailers. We study the model under a centralised (integrated) case and a decentralised (Vertical Nash) case and compare them numerically. Finally, we investigate the model by the collected numerical data.

  6. Numerically pricing American options under the generalized mixed fractional Brownian motion model

    Science.gov (United States)

    Chen, Wenting; Yan, Bowen; Lian, Guanghua; Zhang, Ying

    2016-06-01

    In this paper, we introduce a robust numerical method, based on the upwind scheme, for the pricing of American puts under the generalized mixed fractional Brownian motion (GMFBM) model. By using portfolio analysis and applying the Wick-Itô formula, a partial differential equation (PDE) governing the prices of vanilla options under the GMFBM is successfully derived for the first time. Based on this, we formulate the pricing of American puts under the current model as a linear complementarity problem (LCP). Unlike the classical Black-Scholes (B-S) model or the generalized B-S model discussed in Cen and Le (2011), the newly obtained LCP under the GMFBM model is difficult to be solved accurately because of the numerical instability which results from the degeneration of the governing PDE as time approaches zero. To overcome this difficulty, a numerical approach based on the upwind scheme is adopted. It is shown that the coefficient matrix of the current method is an M-matrix, which ensures its stability in the maximum-norm sense. Remarkably, we have managed to provide a sharp theoretic error estimate for the current method, which is further verified numerically. The results of various numerical experiments also suggest that this new approach is quite accurate, and can be easily extended to price other types of financial derivatives with an American-style exercise feature under the GMFBM model.

  7. Agent-Based Model of Price Competition and Product Differentiation on Congested Networks

    OpenAIRE

    Lei Zhang; David Levinson; Shanjiang Zhu

    2007-01-01

    Using consistent agent-based techniques, this research models the decision-making processes of users and infrastructure owner/operators to explore the welfare consequence of price competition, capacity choice, and product differentiation on congested transportation networks. Component models include: (1) An agent-based travel demand model wherein each traveler has learning capabilities and unique characteristics (e.g. value of time); (2) Econometric facility provision cost models; and (3) Rep...

  8. Wind Energy Facilities and Residential Properties: The Effect of Proximity and View on Sales Prices

    Energy Technology Data Exchange (ETDEWEB)

    Hoen, Ben; Wiser, Ryan; Cappers, Peter; Thayer, Mark; Sethi, Gautam

    2010-04-01

    With an increasing number of communities considering nearby wind power developments, there is a need to empirically investigate community concerns about wind project development. One such concern is that property values may be adversely affected by wind energy facilities, and relatively little research exists on the subject. The present research investigates roughly 7,500 sales of single-family homes surrounding 24 existing U.S. wind facilities. Across four different hedonic models the results are consistent: neither the view of the wind facilities nor the distance of the home to those facilities is found to have a statistically significant effect on home sales prices.

  9. Wind Energy Facilities and Residential Properties: The Effect of Proximity and View on Sales Prices

    Energy Technology Data Exchange (ETDEWEB)

    San Diego State University; Bard Center for Environmental Policy at Bard College; Hoen, Ben; Wiser, Ryan; Cappers, Peter; Thayer, Mark; Sethi, Gautam

    2011-06-23

    With increasing numbers of communities considering wind power developments, empirical investigations regarding related community concerns are needed. One such concern is that proximate property values may be adversely affected, yet relatively little research exists on the subject. The present research investigates roughly 7,500 sales of single-family homes surrounding 24 existing U.S. wind facilities. Across four different hedonic models, and a variety of robustness tests, the results are consistent: neither the view of the wind facilities nor the distance of the home to those facilities is found to have a statistically significant effect on sales prices, yet further research is warranted.

  10. Modeling agricultural commodity prices and volatility in response to anticipated climate change

    Science.gov (United States)

    Lobell, D. B.; Tran, N.; Welch, J.; Roberts, M.; Schlenker, W.

    2012-12-01

    Food prices have shown a positive trend in the past decade, with episodes of rapid increases in 2008 and 2011. These increases pose a threat to food security in many regions of the world, where the poor are generally net consumers of food, and are also thought to increase risks of social and political unrest. The role of global warming in these price reversals have been debated, but little quantitative work has been done. A particular challenge in modeling these effects is that they require understanding links between climate and food supply, as well as between food supply and prices. Here we combine the anticipated effects of climate change on yield levels and volatility with an empirical competitive storage model to examine how expected climate change might affect prices and social welfare in the international food commodity market. We show that price level and volatility do increase over time in response to decreasing yield, and increasing yield variability. Land supply and storage demand both increase, but production and consumption continue to fall leading to a decrease in consumer surplus, and a corresponding though smaller increase in producer surplus.

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

    Science.gov (United States)

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

    2007-03-01

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

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

    International Nuclear Information System (INIS)

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

    1992-01-01

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

  13. 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.

  14. ELMO model predicts the price of electric power; ELMO-malli saehkoen hinnan ennustamiseksi

    Energy Technology Data Exchange (ETDEWEB)

    Antila, H. [Electrowatt-Ekono Oy, Helsinki (Finland)

    2001-07-01

    Electrowatt-Ekono has developed a new model, by which it is possible to make long-term prognoses on the development of electricity prices in the Nordic Countries. The ELMO model can be used as an analysis service of the electricity markets and estimation of the profitability of long-term power distribution contracts with different scenarios. It can also be applied for calculation of technical and economical fundamentals for new power plants, and for estimation of the effects of different taxation models on the emissions of power generation. The model describes the whole power generation system, the power and heat consumption and transmission. The Finnish power generation system is based on the Electrowatt-Ekono's boiler database by combining different data elements. Calculation is based on the assumption that the Nordic power generation system is used optimally, and that the production costs are minimised. In practise the effectively operated electricity markets ensure the optimal use of the production system. The market area to be described consists of Finland and Sweden. The spot prices have long been the same. Norway has been treated as a separate market area. The most potential power generation system, the power consumption and the power transmission system are presumed for the target year during a normal rainfall situation. The basic scenario is calculated on the basis of the preconditional data. The calculation is carried out on hourly basis, which enables the estimation of the price variation of electric power between different times during the day and seasons. The system optimises the power generation on the basis of electricity and heat consumption curves and fuel prices. The result is an hourly limit price for electric power. Estimates are presented as standard form reports. Prices are presented as average annuals, in the seasonal base, and in hourly or daily basis for different seasons.

  15. MODEL PENENTUAN HARGA SAHAM: PENGUJIAN CAPITAL ASSET PRICING MODEL MELALUI PENGUJIAN ECONOMIC VALUE ADDED

    Directory of Open Access Journals (Sweden)

    Suripto Suripto

    2017-03-01

    Full Text Available This research tested the influence of characteristics of the firms and of EVA (Eco-nomic Value Added to stock of returns. This Research sample was company Self-100 ValueCreator of year 2001 until 2006. Result of research indicated that company size measure,profitability, capital structure (characteristics of the firms and EVA by stimulant had aneffect on significant to stock of returns, but by partial only characteristics company. Condi-tion of company fundamentals had an effect on significance to stock of returns. This indica-tion that investor still considered factors of fundamentals was having investment. EVA didnot have an effect on significant to stock of returns. This finding indicated that Model deter-mination of stock of returns (CAPM Irrelevant determined the level of EVA and also indicatedthat CAPM (Capital Assets Pricing Model was not relevant in determining stock of returns inIndonesian Stock Exchange.

  16. Multisensory influence on eating behavior: Hedonic consumption.

    Science.gov (United States)

    Hernández Ruiz de Eguilaz, María; Martínez de Morentin Aldabe, Blanca; Almiron-Roig, Eva; Pérez-Diez, Salomé; San Cristóbal Blanco, Rodrigo; Navas-Carretero, Santiago; Martínez, J Alfredo

    2018-02-01

    Research in obesity has traditionally focused on prevention strategies and treatments aimed at changing lifestyle habits. However, recent research suggests that eating behavior is a habit regulated not only by homeostatic mechanisms, but also by the hedonic pathway that controls appetite and satiety processes. Cognitive, emotional, social, economic, and cultural factors, as well as organoleptic properties of food, are basic aspects to consider in order to understand eating behavior and its impact on health. This review presents a multisensory integrative view of food at both the homeostatic and non-homeostatic levels. This information will be of scientific interest to determine behavior drivers leading to overeating and, thus, to propose effective measures, at both the individual and population levels, for the prevention of obesity and associated metabolic diseases. Copyright © 2017 SEEN y SED. Publicado por Elsevier España, S.L.U. All rights reserved.

  17. Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets

    OpenAIRE

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

    1988-01-01

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

  18. Importance of Managing for Personal Benefits, Hedonic and Utilitarian Motivations, and Place Attachment at an Urban Natural Setting.

    Science.gov (United States)

    Budruk, Megha; Lee, Woojin

    2016-09-01

    Research on antecedents of place attachment suggests that the special bonds people form with nature are influenced by a number of variables. This study examines associations between the perceived importance of managing for personal benefits, motivations, and place attachment among outdoor recreationists at an urban natural setting. Motivation was conceptualized as two-dimensional (Hedonic and Utilitarian) borrowed from the retail and consumer marketing field and previously unused in a natural resource recreation context. Hedonic and utilitarian motivations represent the experiential and functional dimensions of motivation, respectively. Relationships between the noted variables were examined through structural equation modeling. Data from an onsite survey of 219 users indicated that it was important the resource be managed to provide greater freedom from urban living as well as improved mental well-being. Furthermore, respondents exhibited moderate levels of hedonic and utilitarian motivations as well as attachment to the resource. The structural equation analysis resulted in a good fitting model with several significant relationships emerging. Among these, the perceived importance of managing for personal benefits positively influenced hedonic and utilitarian motivations. In addition, hedonic motivations positively influenced place attachment development, whereas utilitarian motivations did not. Implications of these findings are discussed.

  19. Importance of Managing for Personal Benefits, Hedonic and Utilitarian Motivations, and Place Attachment at an Urban Natural Setting

    Science.gov (United States)

    Budruk, Megha; Lee, Woojin

    2016-09-01

    Research on antecedents of place attachment suggests that the special bonds people form with nature are influenced by a number of variables. This study examines associations between the perceived importance of managing for personal benefits, motivations, and place attachment among outdoor recreationists at an urban natural setting. Motivation was conceptualized as two-dimensional (Hedonic and Utilitarian) borrowed from the retail and consumer marketing field and previously unused in a natural resource recreation context. Hedonic and utilitarian motivations represent the experiential and functional dimensions of motivation, respectively. Relationships between the noted variables were examined through structural equation modeling. Data from an onsite survey of 219 users indicated that it was important the resource be managed to provide greater freedom from urban living as well as improved mental well-being. Furthermore, respondents exhibited moderate levels of hedonic and utilitarian motivations as well as attachment to the resource. The structural equation analysis resulted in a good fitting model with several significant relationships emerging. Among these, the perceived importance of managing for personal benefits positively influenced hedonic and utilitarian motivations. In addition, hedonic motivations positively influenced place attachment development, whereas utilitarian motivations did not. Implications of these findings are discussed.

  20. Investigating the effects of service quality and hedonic on behavioral intentions: An empirical survey on restaurant industry

    Directory of Open Access Journals (Sweden)

    Seyed Hossein Mansouri

    2013-10-01

    Full Text Available This research proposes a comprehensive model that investigates the relationships between service quality, hedonic, perceived value and behavioral intentions. The purpose of this study is to build a better understanding of the determinants of customer satisfaction and customer loyalty throughout the restaurant services by incorporating the perceptions of hedonic effect in service delivery and outlining why and how service quality is important to customer satisfaction and customer loyalty. Respondents were chosen from three regular customers of Atawich chain restaurants in city of Tehran by using stratified random sampling method. A total of 390 questionnaires were used for data analysis. Structural equations modeling by using LISREL was performed to empirically test the relationships between the constructs of this study. Results show that both service quality and hedonic effect are importance predictors of customer satisfaction in Iranian society. In addition, results indicate that service quality and hedonic effect have positive and significant effects on perceived value. However, relationship between customer satisfaction and perceived value with attitudinal loyalty was not significant. Finally, it suggests that restaurant managers should improve their restaurant service offerings to satisfy customers. In addition, the results emphasize the significance of hedonic effect and positive emotions in creating perceived value and customer satisfaction.

  1. Model risk analysis for risk management and option pricing

    NARCIS (Netherlands)

    Kerkhof, F.L.J.

    2003-01-01

    Due to the growing complexity of products in financial markets, market participants rely more and more on quantitative models for trading and risk management decisions. This introduces a fairly new type of risk, namely, model risk. In the first part of this thesis we investigate the quantitative

  2. HMM filtering and parameter estimation of an electricity spot price model

    International Nuclear Information System (INIS)

    Erlwein, Christina; Benth, Fred Espen; Mamon, Rogemar

    2010-01-01

    In this paper we develop a model for electricity spot price dynamics. The spot price is assumed to follow an exponential Ornstein-Uhlenbeck (OU) process with an added compound Poisson process. In this way, the model allows for mean-reversion and possible jumps. All parameters are modulated by a hidden Markov chain in discrete time. They are able to switch between different economic regimes representing the interaction of various factors. Through the application of reference probability technique, adaptive filters are derived, which in turn, provide optimal estimates for the state of the Markov chain and related quantities of the observation process. The EM algorithm is applied to find optimal estimates of the model parameters in terms of the recursive filters. We implement this self-calibrating model on a deseasonalised series of daily spot electricity prices from the Nordic exchange Nord Pool. On the basis of one-step ahead forecasts, we found that the model is able to capture the empirical characteristics of Nord Pool spot prices. (author)

  3. Forecasting Construction Tender Price Index in Ghana using Autoregressive Integrated Moving Average with Exogenous Variables Model

    Directory of Open Access Journals (Sweden)

    Ernest Kissi

    2018-03-01

    Full Text Available Prices of construction resources keep on fluctuating due to unstable economic situations that have been experienced over the years. Clients knowledge of their financial commitments toward their intended project remains the basis for their final decision. The use of construction tender price index provides a realistic estimate at the early stage of the project. Tender price index (TPI is influenced by various economic factors, hence there are several statistical techniques that have been employed in forecasting. Some of these include regression, time series, vector error correction among others. However, in recent times the integrated modelling approach is gaining popularity due to its ability to give powerful predictive accuracy. Thus, in line with this assumption, the aim of this study is to apply autoregressive integrated moving average with exogenous variables (ARIMAX in modelling TPI. The results showed that ARIMAX model has a better predictive ability than the use of the single approach. The study further confirms the earlier position of previous research of the need to use the integrated model technique in forecasting TPI. This model will assist practitioners to forecast the future values of tender price index. Although the study focuses on the Ghanaian economy, the findings can be broadly applicable to other developing countries which share similar economic characteristics.

  4. Estimated Effects of Different Alcohol Taxation and Price Policies on Health Inequalities: A Mathematical Modelling Study.

    Directory of Open Access Journals (Sweden)

    Petra S Meier

    2016-02-01

    Full Text Available While evidence that alcohol pricing policies reduce alcohol-related health harm is robust, and alcohol taxation increases are a WHO "best buy" intervention, there is a lack of research comparing the scale and distribution across society of health impacts arising from alternative tax and price policy options. The aim of this study is to test whether four common alcohol taxation and pricing strategies differ in their impact on health inequalities.An econometric epidemiological model was built with England 2014/2015 as the setting. Four pricing strategies implemented on top of the current tax were equalised to give the same 4.3% population-wide reduction in total alcohol-related mortality: current tax increase, a 13.4% all-product duty increase under the current UK system; a value-based tax, a 4.0% ad valorem tax based on product price; a strength-based tax, a volumetric tax of £0.22 per UK alcohol unit (= 8 g of ethanol; and minimum unit pricing, a minimum price threshold of £0.50 per unit, below which alcohol cannot be sold. Model inputs were calculated by combining data from representative household surveys on alcohol purchasing and consumption, administrative and healthcare data on 43 alcohol-attributable diseases, and published price elasticities and relative risk functions. Outcomes were annual per capita consumption, consumer spending, and alcohol-related deaths. Uncertainty was assessed via partial probabilistic sensitivity analysis (PSA and scenario analysis. The pricing strategies differ as to how effects are distributed across the population, and, from a public health perspective, heavy drinkers in routine/manual occupations are a key group as they are at greatest risk of health harm from their drinking. Strength-based taxation and minimum unit pricing would have greater effects on mortality among drinkers in routine/manual occupations (particularly for heavy drinkers, where the estimated policy effects on mortality rates are as

  5. Estimated Effects of Different Alcohol Taxation and Price Policies on Health Inequalities: A Mathematical Modelling Study

    Science.gov (United States)

    Meier, Petra S.; Holmes, John; Angus, Colin; Ally, Abdallah K.; Meng, Yang; Brennan, Alan

    2016-01-01

    Introduction While evidence that alcohol pricing policies reduce alcohol-related health harm is robust, and alcohol taxation increases are a WHO “best buy” intervention, there is a lack of research comparing the scale and distribution across society of health impacts arising from alternative tax and price policy options. The aim of this study is to test whether four common alcohol taxation and pricing strategies differ in their impact on health inequalities. Methods and Findings An econometric epidemiological model was built with England 2014/2015 as the setting. Four pricing strategies implemented on top of the current tax were equalised to give the same 4.3% population-wide reduction in total alcohol-related mortality: current tax increase, a 13.4% all-product duty increase under the current UK system; a value-based tax, a 4.0% ad valorem tax based on product price; a strength-based tax, a volumetric tax of £0.22 per UK alcohol unit (= 8 g of ethanol); and minimum unit pricing, a minimum price threshold of £0.50 per unit, below which alcohol cannot be sold. Model inputs were calculated by combining data from representative household surveys on alcohol purchasing and consumption, administrative and healthcare data on 43 alcohol-attributable diseases, and published price elasticities and relative risk functions. Outcomes were annual per capita consumption, consumer spending, and alcohol-related deaths. Uncertainty was assessed via partial probabilistic sensitivity analysis (PSA) and scenario analysis. The pricing strategies differ as to how effects are distributed across the population, and, from a public health perspective, heavy drinkers in routine/manual occupations are a key group as they are at greatest risk of health harm from their drinking. Strength-based taxation and minimum unit pricing would have greater effects on mortality among drinkers in routine/manual occupations (particularly for heavy drinkers, where the estimated policy effects on

  6. Estimated Effects of Different Alcohol Taxation and Price Policies on Health Inequalities: A Mathematical Modelling Study.

    Science.gov (United States)

    Meier, Petra S; Holmes, John; Angus, Colin; Ally, Abdallah K; Meng, Yang; Brennan, Alan

    2016-02-01

    While evidence that alcohol pricing policies reduce alcohol-related health harm is robust, and alcohol taxation increases are a WHO "best buy" intervention, there is a lack of research comparing the scale and distribution across society of health impacts arising from alternative tax and price policy options. The aim of this study is to test whether four common alcohol taxation and pricing strategies differ in their impact on health inequalities. An econometric epidemiological model was built with England 2014/2015 as the setting. Four pricing strategies implemented on top of the current tax were equalised to give the same 4.3% population-wide reduction in total alcohol-related mortality: current tax increase, a 13.4% all-product duty increase under the current UK system; a value-based tax, a 4.0% ad valorem tax based on product price; a strength-based tax, a volumetric tax of £0.22 per UK alcohol unit (= 8 g of ethanol); and minimum unit pricing, a minimum price threshold of £0.50 per unit, below which alcohol cannot be sold. Model inputs were calculated by combining data from representative household surveys on alcohol purchasing and consumption, administrative and healthcare data on 43 alcohol-attributable diseases, and published price elasticities and relative risk functions. Outcomes were annual per capita consumption, consumer spending, and alcohol-related deaths. Uncertainty was assessed via partial probabilistic sensitivity analysis (PSA) and scenario analysis. The pricing strategies differ as to how effects are distributed across the population, and, from a public health perspective, heavy drinkers in routine/manual occupations are a key group as they are at greatest risk of health harm from their drinking. Strength-based taxation and minimum unit pricing would have greater effects on mortality among drinkers in routine/manual occupations (particularly for heavy drinkers, where the estimated policy effects on mortality rates are as follows: current tax

  7. Statistical model for forecasting uranium prices to estimate the nuclear fuel cycle cost

    Energy Technology Data Exchange (ETDEWEB)

    Kim, Sung Ki; Ko, Won Il; Nam, Hyoon [Nuclear Fuel Cycle Analysis, Korea Atomic Energy Research Institute, Daejeon (Korea, Republic of); Kim, Chul Min; Chung, Yang Hon; Bang, Sung Sig [Korea Advanced Institute of Science and Technology, Daejeon (Korea, Republic of)

    2017-08-15

    This paper presents a method for forecasting future uranium prices that is used as input data to calculate the uranium cost, which is a rational key cost driver of the nuclear fuel cycle cost. In other words, the statistical autoregressive integrated moving average (ARIMA) model and existing engineering cost estimation method, the so-called escalation rate model, were subjected to a comparative analysis. When the uranium price was forecasted in 2015, the margin of error of the ARIMA model forecasting was calculated and found to be 5.4%, whereas the escalation rate model was found to have a margin of error of 7.32%. Thus, it was verified that the ARIMA model is more suitable than the escalation rate model at decreasing uncertainty in nuclear fuel cycle cost calculation.

  8. Statistical model for forecasting uranium prices to estimate the nuclear fuel cycle cost

    International Nuclear Information System (INIS)

    Kim, Sung Ki; Ko, Won Il; Nam, Hyoon; Kim, Chul Min; Chung, Yang Hon; Bang, Sung Sig

    2017-01-01

    This paper presents a method for forecasting future uranium prices that is used as input data to calculate the uranium cost, which is a rational key cost driver of the nuclear fuel cycle cost. In other words, the statistical autoregressive integrated moving average (ARIMA) model and existing engineering cost estimation method, the so-called escalation rate model, were subjected to a comparative analysis. When the uranium price was forecasted in 2015, the margin of error of the ARIMA model forecasting was calculated and found to be 5.4%, whereas the escalation rate model was found to have a margin of error of 7.32%. Thus, it was verified that the ARIMA model is more suitable than the escalation rate model at decreasing uncertainty in nuclear fuel cycle cost calculation

  9. Density Forecasts of Crude-Oil Prices Using Option-Implied and ARCH-Type Models

    DEFF Research Database (Denmark)

    Tsiaras, Leonidas; Høg, Esben

      The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994-2006 period. Moving beyond standard ARCH models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices...... as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities...

  10. Nash Stability in Additively Separable Hedonic Games and Community Structures

    DEFF Research Database (Denmark)

    Olsen, Martin

    2009-01-01

      We prove that the problem of deciding whether a Nash stable   partition exists in an Additively Separable Hedonic Game is   NP-complete. We also show that the problem of deciding whether a   non trivial Nash stable partition exists in an   Additively Separable Hedonic Game with   non......-negative and symmetric   preferences is NP-complete. We motivate our study of the   computational complexity by linking Nash stable partitions in   Additively Separable Hedonic Games to community structures in   networks. Our results formally justify that computing community   structures in general is hard....

  11. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures

    DEFF Research Database (Denmark)

    Andersen, Torben G.; Bollerslev, Tim; Huang, Xin

    Building on realized variance and bi-power variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose the total daily return variability...

  12. A Study on the Pricing Model for 3PL of Inventory Financing

    Directory of Open Access Journals (Sweden)

    Zhilan Song

    2016-01-01

    Full Text Available Being a new research area, logistics finance solves the contradiction between banks and SMEs (small and medium enterprises about financing; it is beneficial to financial market and logistics market development too. As a service innovation, it unites the interests of bank, 3PL (third-party logistics providers, and SMEs and integrates material, finance, and information. Logistics finance has been developed in recent years in China, but the research is not enough on 3PL enterprises. On the background of that, the paper makes a research in the field of logistics finance with different pricing methods, based on the perspective of third-party logistics enterprises. This paper proposes a pricing model of inventory financing that can maximize the cash flow of 3PL enterprise, when the default rate of the small- and medium-sized enterprise is affected by the pledge price. And then this paper studies the model of inventory financing that can maximize the cash flow of enterprise under the condition of the existence of cash discount rate. The core factors affecting the loan-to-value ratio were established through analysis of mathematical model. We also consider the loan-to-value ratio of cash discount rate in the model. Results show that in the pledge of the known function and cash discount the price change can be calculated to meet enterprise cash flow lending rates and get biggest loan-to-value ratio.

  13. Ordering Cost Reduction in Inventory Model with Defective Items and Backorder Price Discount

    Directory of Open Access Journals (Sweden)

    Karuppuchamy Annadurai

    2014-01-01

    Full Text Available In the real market, as unsatisfied demands occur, the longer the length of lead time is, the smaller the proportion of backorder would be. In order to make up for the inconvenience and even the losses of royal and patient customers, the supplier may offer a backorder price discount to secure orders during the shortage period. Also, ordering policies determined by conventional inventory models may be inappropriate for the situation in which an arrival lot contains some defective items. To compensate for the inconvenience of backordering and to secure orders, the supplier may offer a price discount on the stockout item. The purpose of this study is to explore a coordinated inventory model including defective arrivals by allowing the backorder price discount and ordering cost as decision variables. There are two inventory models proposed in this paper, one with normally distributed demand and another with distribution free demand. A computer code using the software Matlab 7.0 is developed to find the optimal solution and present numerical examples to illustrate the models. The results in the numerical examples indicate that the savings of the total cost are realized through ordering cost reduction and backorder price discount.

  14. Evaluation of the house price models using an ECM approach: the case of the Netherlands

    NARCIS (Netherlands)

    Francke, M.K.; Vujic, S.; Vos, G.A.

    2009-01-01

    The research question of this paper is whether the Dutch housing market is overvalued or not. This is investigated by using different types of error correction models and by examining the impact of different variables that can explain house price changes in the Netherlands. The current financial

  15. A generalized one-factor term structure model and pricing of interest rate derivative securities

    NARCIS (Netherlands)

    Jiang, George J.

    1997-01-01

    The purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest

  16. Stochastic Differential Equation Models for the Price of European CO2 Emissions Allowances

    Directory of Open Access Journals (Sweden)

    Wugan Cai

    2017-02-01

    Full Text Available Understanding the stochastic nature of emissions allowances is crucial for risk management in emissions trading markets. In this study, we discuss the emissions allowances spot price within the European Union Emissions Trading Scheme: Powernext and European Climate Exchange. To compare the fitness of five stochastic differential equations (SDEs to the European Union allowances spot price, we apply regression theory to obtain the point and interval estimations for the parameters of the SDEs. An empirical evaluation demonstrates that the mean reverting square root process (MRSRP has the best fitness of five SDEs to forecast the spot price. To reduce the degree of smog, we develop a new trading scheme in which firms have to hand many more allowances to the government when they emit one unit of air pollution on heavy pollution days, versus one allowance on clean days. Thus, we set up the SDE MRSRP model with Markovian switching to analyse the evolution of the spot price in such a scheme. The analysis shows that the allowances spot price will not jump too much in the new scheme. The findings of this study could contribute to developing a new type of emissions trading.

  17. Day ahead price forecasting of electricity markets by a mixed data model and hybrid forecast method

    International Nuclear Information System (INIS)

    Amjady, Nima; Keynia, Farshid

    2008-01-01

    In a competitive electricity market, forecast of energy prices is a key information for the market participants. However, price signal usually has a complex behavior due to its nonlinearity, nonstationarity, and time variancy. In spite of all performed researches on this area in the recent years, there is still an essential need for more accurate and robust price forecast methods. In this paper, a combination of wavelet transform (WT) and a hybrid forecast method is proposed for this purpose. The hybrid method is composed of cascaded forecasters where each forecaster consists of a neural network (NN) and an evolutionary algorithms (EA). Both time domain and wavelet domain features are considered in a mixed data model for price forecast, in which the candidate input variables are refined by a feature selection technique. The adjustable parameters of the whole method are fine-tuned by a cross-validation technique. The proposed method is examined on PJM electricity market and compared with some of the most recent price forecast methods. (author)

  18. Cost accounting models used for price-setting of health services: an international review.

    Science.gov (United States)

    Raulinajtys-Grzybek, Monika

    2014-12-01

    The aim of the article was to present and compare cost accounting models which are used in the area of healthcare for pricing purposes in different countries. Cost information generated by hospitals is further used by regulatory bodies for setting or updating prices of public health services. The article presents a set of examples from different countries of the European Union, Australia and the United States and concentrates on DRG-based payment systems as they primarily use cost information for pricing. Differences between countries concern the methodology used, as well as the data collection process and the scope of the regulations on cost accounting. The article indicates that the accuracy of the calculation is only one of the factors that determine the choice of the cost accounting methodology. Important aspects are also the selection of the reference hospitals, precise and detailed regulations and the existence of complex healthcare information systems in hospitals. Copyright © 2014 Elsevier Ireland Ltd. All rights reserved.

  19. A Data-Driven Bidding Model for a Cluster of Price-Responsive Consumers of Electricity

    DEFF Research Database (Denmark)

    Saez Gallego, Javier; Morales González, Juan Miguel; Zugno, Marco

    2016-01-01

    This paper deals with the market-bidding problem of a cluster of price-responsive consumers of electricity. We develop an inverse optimization scheme that, recast as a bilevel programming problem, uses price-consumption data to estimate the complex market bid that best captures the price......-response of the cluster. The complex market bid is defined as a series of marginal utility functions plus some constraints on demand, such as maximum pick-up and drop-off rates. The proposed modeling approach also leverages information on exogenous factors that may influence the consumption behavior of the cluster, e...... can be largely captured in the form of a complex market bid, so that this could be ultimately used for the cluster to participate in the wholesale electricity market....

  20. Pricing Exotic Options under a High-Order Markovian Regime Switching Model

    Directory of Open Access Journals (Sweden)

    Wai-Ki Ching

    2007-10-01

    Full Text Available We consider the pricing of exotic options when the price dynamics of the underlying risky asset are governed by a discrete-time Markovian regime-switching process driven by an observable, high-order Markov model (HOMM. We assume that the market interest rate, the drift, and the volatility of the underlying risky asset's return switch over time according to the states of the HOMM, which are interpreted as the states of an economy. We will then employ the well-known tool in actuarial science, namely, the Esscher transform to determine an equivalent martingale measure for option valuation. Moreover, we will also investigate the impact of the high-order effect of the states of the economy on the prices of some path-dependent exotic options, such as Asian options, lookback options, and barrier options.