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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. 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...

  3. 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...

  4. 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

  5. Critical review of hedonic pricing model application in property price appraisal: A case of Nigeria

    Directory of Open Access Journals (Sweden)

    Rotimi Boluwatife Abidoye

    2017-06-01

    Full Text Available The hedonic pricing model (HPM technique has been widely adopted for property price appraisal by scholars and professionals in different real estate markets around the world. Despite its popularity in this research domain, the trend of the application of HPM in Nigeria, being the largest economy in Africa, is unknown and has not been documented. This study, therefore, aims to critically review the extant literature of the HPM property price appraisal related articles published in Nigeria. Papers published in this research area were retrieved from online databases and search engines. The authors’ contributions, authors’ affiliations, the focused study areas and the annual publication trend of the articles were reviewed. The first application of HPM in Nigeria was recorded in 1986. Thereafter, there have been fluctuations in the number of annual publications. However, there have been a considerable number of articles published since 2010. The authors have largely focused on the Lagos metropolis property market as a study area. It was also found that most of the authors were university scholars and on the other side, real estate professionals have not contributed significantly to this research topic. In order to achieve a sustainable real estate practice in Nigeria, the gap between theory and practice should be bridged.

  6. Boosting the predictive accuracy of urban hedonic house price models through airborne laser scanning

    NARCIS (Netherlands)

    Helbich, M.|info:eu-repo/dai/nl/370530349; Jochem, A.; Mücke, W.; Höfle, B.

    This paper introduces an integrative approach to hedonic house price modeling which utilizes high density 3D airborne laser scanning (ALS) data. In general, it is shown that extracting exploratory variables using 3D analysis – thus explicitly considering high-rise buildings, shadowing effects, etc.

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

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    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.

  8. Estimation of a Hedonic House Price Model with Bargaining: Evidence from the Italian Housing Market

    Directory of Open Access Journals (Sweden)

    Mauro Iacobini

    2013-08-01

    Full Text Available This empirical paper tests the role of bargaining in the formation process of housing prices in Italy. Housing markets are “thin”, local and decentralized, and thus buyers and sellers may have some market power. Hence, the selling price is influenced both by the characteristics of the product as well as by the bargaining power of the buyers and sellers. Furthermore, the bargaining power of the seller (buyer can also be viewed as the cost of incomplete information imposed on the buyer (seller. The empirical results derived from multiple regression analysis support our theoretical assumptions. In fact, the variables created as proxies of bargaining power of the parties, and incorporated into the hedonic price function, are statistically significant and help to improve the performance of the hedonic model, thus reducing the differences between predicted and observed selling prices.

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

    Science.gov (United States)

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

    2017-08-01

    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. 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...

  11. No Dog Left Behind: A Hedonic Pricing Model for Animal Shelters.

    Science.gov (United States)

    Reese, Laura A; Skidmore, Mark; Dyar, William; Rosebrook, Erika

    2017-01-01

    Companion animal overpopulation is a growing problem in the United States. In addition to strays, an average of 324,500 nonhuman animals are relinquished to shelters yearly by their caregivers due to family disruption (divorce, death), foreclosure, economic problems, or minor behavioral issues. As a result, estimates of animals in shelters range from 3 million to 8 million, and due to overcrowding, euthanasia is common. This analysis seeks to determine the appropriate pricing mechanisms to clear animal shelters of dogs in the manner most desirable-that is, through adoption. Based on a survey of Michigan residents, it is clear there are a number of correlations between the traits of dogs and the individuals who care for them. Hedonic pricing models indicate that animal shelters need to proactively vary their pricing systems to discount particular traits, specifically for mixed-breed, older, and black dogs. Premiums can be charged for puppies, purebred dogs, and those who have received specific services such as microchipping.

  12. 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...

  13. 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.

  14. A SPATIAL ANALYSIS ON GIS-HEDONIC PRICING MODEL ON THE INFLUENCE OF PUBLIC OPEN SPACE AND HOUSE PRICE IN KLANG VALLEY, MALAYSIA

    Directory of Open Access Journals (Sweden)

    A. M. Zainora

    2016-06-01

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

  15. Valuation of Lake Resources through Hedonic Pricing

    Science.gov (United States)

    1992-09-30

    8217 Housatonic River: A Hedonic Pricing Approach." 1982, Vol. 18, No. 6, pp. 1033-1037. Richardson, H. W. The New Urban Economics . London: Pion Limited...34Nuclear Waste Disposal: Potential Property Value Impacts." 1981, Vol. 21, pp. 789-810. Halvorsen, R., and H. 0. Pollakowski. Journal of Urban ... Economics . "Choice of Functional Form for Hedonic Price Equations." 1981, Vol. 10, pp. 37-49. 66 Hand, J., V. Tauxe and M. Freidemann. Water Qualily

  16. 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...

  17. HEDONIC PRICE ANALYSIS OF NON-BARREN BROODMARES

    OpenAIRE

    Frank TENKORANG; Bree L. DORITY; DAYNA LARREAU

    2016-01-01

    The current real average selling price of a thoroughbred broodmare is nearly half its peak value in 2000. While annual price changes are influenced by economic performance, different prices at an auction are influenced by physical and genetic characteristics of broodmares. We use auction data from the 2013 November Keeneland Breeding Stock Sales to estimate a hedonic pricing model. We find prices are positively influenced by earnings of the covering sire, earnings of the broodmare, pedigree, ...

  18. Determinants of House Prices in Turkey : A Hedonic Regression Model = Türkiye'de Konut Fiyatlarının Belirleyicileri : Hedonik Regresyon Modeli

    Directory of Open Access Journals (Sweden)

    Sibel SELİM

    2008-01-01

    Full Text Available In real estate valuation and house market research, house prices and rental value are generally analyzed by hedonic model based on micro economic theory. Hedonic model examines the effect of characteristics of goods on their prices. Factors that determine the house prices in Turkey are analyzed in this paper using 2004 Household Budget Survey Data. The most important variables that affect house rents are type of house, type of building, number of rooms, size, and other structural characteristics such as water system, pool, natural gas.

  19. 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...

  20. Nonlinear hedonic pricing: a confirmatory study of South African wines

    Directory of Open Access Journals (Sweden)

    Priilaid DA

    2012-03-01

    Full Text Available David A Priilaid1, Paul van Rensburg21School of Management Studies, 2Department of Finance and Tax, University of Cape Town, Republic of South AfricaAbstract: With a sample of South African red and white wines, this paper investigates the relationship between price, value, and value for money. The analysis is derived from a suite of regression models using some 1358 wines drawn from the 2007 period, which, along with red and white blends, includes eight cultivars. Using the five-star rating, each wine was rated both sighted and blind by respected South African publications. These two ratings were deployed in a stripped-down customer-facing hedonic price analysis that confirms (1 the unequal pricing of consecutive increments in star-styled wine quality assessments and (2 that the relationship between value and price can be better estimated by treating successive wine quality increments as dichotomous “dummy” variables. Through the deployment of nonlinear hedonic pricing, fertile areas for bargain hunting can thus be found at the top end of the price continuum as much as at the bottom, thereby assisting retailers and consumers in better identifying wines that offer value for money.Keywords: price, value, wine

  1. Estimation of a Hedonic House Price Model with Bargaining: Evidence from the Italian Housing Market

    OpenAIRE

    Mauro Iacobini; Gaetano Lisi

    2012-01-01

    This empirical paper tests the role of bargaining in the formation process of housing prices in Italy. Housing markets are “thin”, local and decentralized, and thus buyers and sellers may have some market power. Hence, the selling price is influenced both by the characteristics of the product as well as by the bargaining power of the buyers and sellers. Furthermore, the bargaining power of the seller (buyer) can also be viewed as the cost of incomplete information imposed on the buyer (seller...

  2. 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...

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

    African Journals Online (AJOL)

    Data from the Ministry of Lands and Urban development as well as the State Emergency Management Agency were used. ... 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 average value house.

  4. 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.

  5. 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...

  6. 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 €.

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

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    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.

  8. 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

    2017-08-22

    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.

  9. The hedonic price function as an envelope of bid-functions.

    NARCIS (Netherlands)

    Rouwendal, J.

    1992-01-01

    An alternative to Rosen's two-stage approach to the analysis of markets for differentiated products is outlined and applied to Dutch data. The procedure proposed here models the hedonic price function directly as the envelope of a set of bid functions. Preliminary empirical results suggest that

  10. Property Values as a Measure of Neighborhoods: An Application of Hedonic Price Theory.

    Science.gov (United States)

    Leonard, Tammy; Powell-Wiley, Tiffany M; Ayers, Colby; Murdoch, James C; Yin, Wenyuan; Pruitt, Sandi L

    2016-07-01

    Researchers measuring relationships between neighborhoods and health have begun using property appraisal data as a source of information about neighborhoods. Economists have developed a rich tool kit to understand how neighborhood characteristics are quantified in appraisal values. This tool kit principally relies on hedonic (implicit) price models and has much to offer regarding the interpretation and operationalization of property appraisal data-derived neighborhood measures, which goes beyond the use of appraisal data as a measure of neighborhood socioeconomic status. We develop a theoretically informed hedonic-based neighborhood measure using residuals of a hedonic price regression applied to appraisal data in a single metropolitan area. We describe its characteristics, reliability in different types of neighborhoods, and correlation with other neighborhood measures (i.e., raw neighborhood appraisal values, census block group poverty, and observed property characteristics). We examine the association between all neighborhood measures and body mass index. The hedonic-based neighborhood measure was correlated in the expected direction with block group poverty rate and observed property characteristics. The neighborhood measure and average raw neighborhood appraisal value, but not census block group poverty, were associated with individual body mass index. We draw theoretically consistent methodology from the economics literature on hedonic price models to demonstrate how to leverage the implicit valuation of neighborhoods contained in publicly available appraisal data. Consistent measurement and application of the hedonic-based neighborhood measures in epidemiology will improve understanding of the relationships between neighborhoods and health. Researchers should proceed with a careful use of appraisal values utilizing theoretically informed methods such as this one.

  11. 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...

  12. 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.

  13. Measuring the Impact of Urban Air Pollution: Hedonic Price Analysis and Health Production Function

    Directory of Open Access Journals (Sweden)

    Endah Saptutyningsih

    2015-12-01

    Full Text Available This study aims to value air quality from the urban housing market in Yogyakarta City. It is also provides estimation of marginal willingness to pay for the air quality improvement and estimation of the consumer surplus due to reduce of air quality. The methodological framework for estimation is based on a hedonic price model. The result of hedonic price method concludes that by adopting a two-stage estimation procedure to estimate the relationship between air quality and property value, on the average, an increase in the level of O3 by one percent will increases the property price by 0.063 percent. By using a health production function and demand function mitigation can be seen that the medical history of the individual has effect on the number of working days lost. Meanwhile, O3 pollution has positive effect on the amount of medical expenses for mitigation. Decreasing in O3 pollution causes a decrease in the level of medical expenses to mitigate. Therefore, it is important to reduce the negative impacts of air pollution.

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

    Directory of Open Access Journals (Sweden)

    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. Exploring Determinants of Housing Prices in Beijing: An Enhanced Hedonic Regression with Open Access POI Data

    Directory of Open Access Journals (Sweden)

    Yixiong Xiao

    2017-11-01

    Full Text Available The housing market in Chinese metropolises have become inflated significantly over the last decade. In addition to an economic upturn and housing policies that have potentially fueled the real estate bubble, factors that have contributed to the spatial heterogeneity of housing prices can be dictated by the amenity value in the proximity of communities, such as accessibility to business centers and transportation hubs. In the past, scholars have employed the hedonic pricing model to quantify the amenity value in relation to structural, locational, and environmental variables. These studies, however, are limited by two methodological obstacles that are relatively difficult to overcome. The first pertains to difficulty of data collection in regions where geospatial datasets are strictly controlled and limited. The second refers to the spatial autocorrelation effect inherent in the hedonic analysis. Using Beijing, China as a case study, we addressed these two issues by (1 collecting residential housing and urban amenity data in terms of Points of Interest (POIs through web-crawling on open access platforms; and (2 eliminating the spatial autocorrelation effect using the Eigenvector Spatial Filtering (ESF method. The results showed that the effects of nearby amenities on housing prices are mixed. In other words, while proximity to certain amenities, such as convenient parking, was positively correlated with housing prices, other amenity variables, such as supermarkets, showed negative correlations. This mixed finding is further discussed in relation to community planning strategies in Beijing. This paper provides an example of employing open access datasets to analyze the determinants of housing prices. Results derived from the model can offer insights into the reasons for housing segmentation in Chinese cities, eventually helping to formulate effective urban planning strategies and equitable housing policies.

  16. Hedonic price analysis of sheep and goat market in Lagos State ...

    African Journals Online (AJOL)

    Nigeria has substantial livestock resources but problems of infrastructure limit the trade in and the profit from the trade. This study, using the hedonic price methodology, examined the factors that influence the prices of livestock in the major livestock market in Lagos State, Nigeria's most populous urban centre. The results ...

  17. Impact of spatial fragmentation on value of residential housing using the hedonic price methodology, case of study: Mosquera, Cundinamarca

    Directory of Open Access Journals (Sweden)

    Laura Angélica Cadena Contreras

    2016-12-01

    Full Text Available This study develops the methodology to determine the economic impact of spatial fragmentation on the commercial value of property with residential use, it is using the hedonic price method based on attributes that are considered most relevant for the model, it is considering that this is an heterogeneous property that is in function on their physical characteristics and their environment. The methodology is applied to analyze the real states values in the municipality of Mosquera, Cundinamarca. The results of spatial econometric estimates suggest that fragmentation besides being significant, at low levels it impacts negatively the residential house prices and at high levels it increases the price.

  18. Hedonic analysis of the price of UHT-treated milk in Italy.

    Science.gov (United States)

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

    2016-02-01

    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, manufacturers have introduced new versions of UHT milk products such as lactose-free options, vitamin-enriched products, and milk for infants, with the goal of differentiating their products, escaping the price competition, and gaining higher margins. In this paper, we estimated the contribution of different attributes to UHT milk prices in Italy by using a database of Italian UHT milk sales and a hedonic price model. In our analysis, we considered 2 UHT milk market segments: products for infants and those for the general population. We found premiums varied with the milk's attributes as well as between the segments analyzed: n-3 fatty acids, organic, and added calcium were the most valuable product features in the general population segment, whereas in the infant segment fiber, glass packaging, and the targeting of newborns delivered the highest premiums. Finally, we present recommendations for UHT milk manufacturers. Copyright © 2016 American Dairy Science Association. Published by Elsevier Inc. All rights reserved.

  19. 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...

  20. 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...

  1. 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.

  2. Property Prices and Exposure to Multiple Noise Sources: Hedonic Regression with Road and Railway Noise

    OpenAIRE

    ANDERSSON Henrik; JONSSON Lina; OGREN Mikael

    2008-01-01

    This study examines the effect of road and railway noise on property prices. It uses the hedonic regression technique on a Swedish data set that contains information about both road and railway noise for each property, and finds that road noise has a larger negative impact on the property prices than railway noise. This is in line with the evidence from the acoustical literature which has shown that individuals are more disturbed by road than railway noise, but contradicts recent ...

  3. Analisis Penetapan Harga Jual Rumah Menggunakan Metode Hedonic Price Pada Perumahan Tipe Menengah Di Kota Pekanbaru

    OpenAIRE

    Rahmawati, Kiki; Ekwarso, Hendro; Taryono

    2017-01-01

    This study was conducted in the city of Pekanbaru. Pekanbaru City's economy continues to grow, not triggered by the increasing contributions made by each sector of the economy. The growing economy of Pekanbaru trigger development, be it the construction of public places such as shopping centers, places of worship, hospitals, schools, hotels, and especially housing. The purpose of this study was to determine the selling price determination using hedonic house price on housing medium type in Pe...

  4. 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...... evaluate two common model reduction approaches in an empirical case. The first relies on a principal component analysis (PCA) used to construct new orthogonal variables, which are applied in the hedonic model. The second relies on a stepwise model reduction based on the variance inflation index and Akaike......’s information criteria. Our empirical application focuses on estimating the implicit price of forest proximity in a Danish case area, with a dataset containing 86 relevant variables. We demonstrate that the estimated implicit price for forest proximity, while positive in all models, is clearly sensitive...

  5. Valuing Urban Wetlands of the Gnangara Mound: A Hedonic Property Price Approach in Western Australia

    OpenAIRE

    Tapsuwan, Sorada; Ingram, Gordon; Brennan, Donna C.

    2007-01-01

    Up to 60% of potable water supplied to Perth in Western Australia is extracted from the Gnangara mound. Many of the urban wetlands above the Mound are groundwater-dependent. Excessive groundwater extraction and climate change have resulted in a decline in water levels in the wetlands. This study estimates the value of urban wetlands in three local government districts in the Perth metropolitan region using the hedonic property price approach. Preliminary results found that proximity to wetlan...

  6. Estimasi Nilai Basis Pajak Bumi dan Bangunan di Kota Jambi: Pendekatan Hedonic Price Function

    Directory of Open Access Journals (Sweden)

    Arman Delis

    2015-03-01

    Full Text Available This research is aimed to identify the most dominant factors which determine the rate of price of lands and buildings, to measure the ratio between the price of lands and buildings based on price set on Income Tax Payable (SPPT. The estimated value taxpayer on land and buildings and the value of the estimation is based on the hedonic price function. Estimates of the level of the price of land and buildings carried out with the hedonic price function approach. The data used is the cross-sectional data obtained from the results of a field survey of 100 owners of land and buildings are scattered in the subdistrict Telanaipura, Pelayangan, Pasar Jambi and Kota Baru subdistrict. The results showed that the level of the price of land and buildings in the district are highest and lowest Jambi Market in Subdsitrict Pelayangan. The most dominant variable that determines the level of the price of land is population density, distance to the city center location of the land and the type of road that passes through the location of the land, while the price level is determined by the building floor area of ​​the house, the type of home and the availability of the garage wall. On average, the ratio of the price of land in the SPT to the actual price of the desired land owners and the price of each prediction is 29.30 percent and 44.13 percent, while the ratio of the price of houses for the price of the actual building and the price of the average prediction of 39.57 percent and 33.04 percent. The relatively low Figures of ratio indicates that the price of land and buildings are set by the government on the tax return in the calculation of taxable value mostly still too far away when compared with the price of land and building the desired owners and price prediction. This means that the potential increase in the Land and Property Tax in the city of Jambi is still very large.

  7. 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.

  8. Estimasi Nilai Basis Pajak Bumi dan Bangunan di Kota Jambi: Pendekatan Hedonic Price Function

    Directory of Open Access Journals (Sweden)

    Arman Delis

    2015-03-01

    Full Text Available Abstrak Penelitian ini bertujuan untuk mengidentifikasi faktor-faktor yang paling dominan yang menentukan tingkat harga tanah dan bangunan dan untuk mengukur rasio antara harga tanah dan bangunan berdasarkan harga yang ditetapkan pada Surat Pemberitahuan Pajak Terhutang (SPPT. Estimasi tingkat harga dan nilai wajib pajak atas tanah dan bangunan didasarkan pada fungsi harga hedonis. Data yang digunakan adalah data kerat-lintang dari hasil survei lapangan 100 pemilik tanah dan bangunan di wilayah Kecamatan Telanaipura, Pelayangan, Pasar Jambi dan Kota Baru. Hasil penelitian menunjukkan bahwa tingkat harga tanah dan bangunan yang tertinggi ada di Pasar Jambi dan yang terendah di Pelayangan. Variabel yang paling dominan yang menentukan tingkat harga tanah adalah kepadatan penduduk, jarak tanah ke lokasi pusat kota dan jenis jalan yang melewati lokasi tanah, sedangkan tingkat harga bangunan ditentukan oleh luas lantai bangunan, jenis rumah dan ketersediaan garasi. Secara rata-rata, rasio harga tanah pada NJOP terhadap harga tanah aktual yang dikehendaki pemiliknya dan harga prediksinya masing-masing adalah 29,30 persen dan 44,13 persen. Rasio rata-rata yang relatif rendah ini menunjukkan bahwa harga tanah yang ditetapkan pemerintah pada SPT dalam perhitungan NJOP sebagian besar masih terlalu jauh jaraknya bila dibandingkan dengan harga tanah yang dikehendaki pemiliknya dan harga prediksinya. Ini berarti bahwa potensi menaikan Pajak Bumi dan Bangunan di Kota Jambi masih sangat besar.. Kata kunci : harga aktual, harga yang diinginkan, harga prediksi     Abstract This research is aimed to identify the most dominant factors which determine the rate of price of lands and buildings, to measure the ratio between the price of lands and buildings based on price set on Income Tax Payable (SPPT. The estimated value taxpayer on land and buildings and the value of the estimation is based on the hedonic price function. Estimates of the level of the price of land

  9. Measuring externalities of waste transfer stations in Israel using hedonic pricing.

    Science.gov (United States)

    Eshet, Tzipi; Baron, Mira G; Shechter, Mordechai; Ayalon, Ofira

    2007-01-01

    This study estimates the economic value of externalities related to waste transfer stations in Israel. Most externalities are associated with local disamenities experienced by residents living in close proximity to transfer stations - including noise, odor, litter, vermin, visual intrusion and any associated perceived discomfort. Following the mapping of all active transfer stations in Israel, problematic sites near residential areas were identified. Four of these sites were selected for detailed examination. The study involved estimating the economic value of disamenities using the Hedonic Price Method, which examines the impact of disamenities on property values. The results indicate that the maximum spatial extent of the impact occurs about 2.8km away from a transfer station with an increase of about $5000 in housing price for each additionalkm away from the site. Alternatively, an increase of 1% in the average distance of a house from the local transfer station is associated with a 0.06% rise in the price of the average house. These figures, representing the relationship between changes in environmental quality and property prices, indicate that transfer stations create externalities that should be taken into account in location and clean-up policies for transfer stations as well as in potential compensation policies.

  10. WILLINGNESS TO PAY FOR PUBLIC GOODS: A HEDONIC DEMAND MODEL FOR NEIGHBORHOOD SAFETY, SCHOOL AND ENVIRONMENTAL QUALITY

    OpenAIRE

    Bhattarai, Gandhi Raj; Pandit, Ram; Hite, Diane

    2004-01-01

    A two-stage hedonic price and demand model was developed to estimate the willingness to pay for school quality, neighborhood safety and environmental quality in six Ohio metropolitan areas. Environmental quality and public safety were complements while school quality and house size were substitutes for them.

  11. 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.

  12. 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...

  13. Commercial Property Value and Proximity to Light Rail: A Hedonic Price Application

    OpenAIRE

    Weinberger, Rachel R.

    2001-01-01

    When the public sector sponsors projects to promote general welfare, disproportionate benefits or disproportionate burdens often fall on individuals. In Santa Clara County, California, private property owners claimed a burden due to the existence of a light rail transit system (LRT). Looking at rental rates for commercial property this research tests several hedonic specifications to determine what effect, if any, the LRT has on proximate property values; it compares transit accessibility wit...

  14. 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

  15. 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 cha...... 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....

  16. 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.

  17. 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.

  18. 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,

  19. 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)

  20. 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.

  1. 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...

  2. The market value of cultural heritage in urban areas: An application of spatial hedonic pricing

    NARCIS (Netherlands)

    Lazrak, F.; Nijkamp, P.; Rietveld, P.; Rouwendal, J.

    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

  3. Hedonic and utilitarian purchases and construal level theory in the perception of justice and price fairness: behavioral and physiological perspectives

    OpenAIRE

    Giuliana Isabella

    2015-01-01

    Consumers make purchasing decisions every day. Among their purchases, consumers shop for hedonic and utilitarian products. In general, hedonic consumption is related to fun, pleasure, excitement, fantasy, experimental situations, or sensual pleasure. On the other hand, utilitarian consumption is related to instrumental and functional needs or products. Studies in psychology have shown that the information processes used to understand words and pictures are different. Since marketing researche...

  4. 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.

  5. Hedonic valuation of urban attributes on Medellin’s housing prices

    OpenAIRE

    Vanessa Galeano; Marcelo Lufin

    2015-01-01

    Colombia’s second largest city, Medellin, has transformed itself over the last two decades to become a model for social and sustainable urban development. After suffering deep crisis during the decades of 70’s and 80’s due to economic and social factors, the urban and city transformation is remarkable. Medellín has opted to use the architecture and urbanism as a tool for social development, redressing deep and long-standing social and spatial imbalances. Medellín’s urban change involve a comp...

  6. 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...... 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....

  7. 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.

  8. Measuring the Effect of the Real Estate Bubble: a House Price Index for Bilbao

    OpenAIRE

    Bárcena Ruiz, María Jesús; Menéndez, Patricia; Palacios, María Blanca; Tusell Palmer, Fernando Jorge

    2011-01-01

    A spatio-temporal model is proposed aimed at producing an index of housing prices. A hedonic model with geographically varying coefficients is coupled with a non parametric estimation of the trend, whence a price index is derived.

  9. 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

  10. Effect of Value Addition on Price: A Hedonic Analysis of Peanut in Retail Supermarkets in Nairobi, Kenya

    OpenAIRE

    Ochieng', Otieno Geoffrey

    2010-01-01

    Market liberalization, globalization, and changing consumer behaviour are causing transformation in Kenyan agro-food value chains. Production, marketing and consumption are moving towards high-valued products resulting to diversification in the agricultural food production portfolio. The purpose of this research was to evaluate the effects of value addition on product price in reducing the declining per capita expenditure as well as reduced competitiveness of peanut and its products sold in t...

  11. Price Indexes for PC Database Software and the Value of Code Compatibility

    OpenAIRE

    Harhoff, Dietmar; Moch, Dietmar

    1996-01-01

    Changing product quality poses a challenge for the computation of price indexes, in particular in technologically advanced industries. We assess the differences between traditional and quality-corrected indexes by computing hedonic and matched-model price indexes for personal computer database software. Our database covers the price development in Germany from 1986 to 1994. Quality-adjusted software prices decline by 7.4 percent according to our hedonic index. Surprisingly, a matchedmodel ind...

  12. 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.

  13. Modeling Asymmetric Volatility In Oil Prices

    National Research Council Canada - National Science Library

    Syed Aun Hassan

    2011-01-01

    .... The paper uses daily crude oil price data for the past 10 years to test and model the oil price volatility by fitting different variations of GARCH including a univariate asymmetric GARCH model to the series...

  14. 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...

  15. 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.

  16. Minimum prices in a model with search frictions and price posting

    NARCIS (Netherlands)

    Cai, X.

    2015-01-01

    In this paper I consider the effects of a minimum price (maximum wage) in a random search model with price (wage) posting. I show that with a minimum price, the price distribution will have a mass point. If the minimum price is sufficiently high, the price distribution will become degenerate.

  17. 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.

  18. 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

  19. Pricing Models Using Real Data

    Science.gov (United States)

    Obremski, Tom

    2008-01-01

    A practical hands-on classroom exercise is described and illustrated using the price of an item as dependent variable throughout. The exercise is well-tested and affords the instructor a variety of approaches and levels.

  20. 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

  1. Modeling the Volatility in 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 estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH

  2. Electricity price modeling with stochastic time change

    NARCIS (Netherlands)

    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

  3. 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

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

    OpenAIRE

    Okmyung Bin; Ben Poulter; Dumas, Christopher F.; 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...

  5. 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.

  6. Electricity price forecasting through transfer function models

    Energy Technology Data Exchange (ETDEWEB)

    Nogales, F.J. [Universidad Carlos II, Madrid (Spain); Conejo, A.J. [Universidad de Castilla, Ciudad Real (Spain)

    2006-04-15

    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)

  7. 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.

  8. A Price Discrimination Model of Trade Promotions

    OpenAIRE

    Tony Haitao Cui; Jagmohan S. Raju; Z. John Zhang

    2008-01-01

    Critics have long faulted the wide-spread practice of trade promotions as wasteful. It has been estimated that this practice adds up to $100 billion worth of inventory to the distribution system. Yet, the practice continues. In this paper, we propose a price discrimination model of trade promotions. We show that in a distribution channel characterized by a dominant retailer, a manufacturer has incentives to price discriminate between the dominant retailer and smaller independents. While offer...

  9. Superfund, Hedonics, and the Scales of Environmental Justice

    Science.gov (United States)

    Noonan, Douglas S.; Turaga, Rama Mohana R.; Baden, Brett M.

    2009-11-01

    Environmental justice (EJ) is prominent in environmental policy, yet EJ research is plagued by debates over methodological procedures. A well-established economic approach, the hedonic price method, can offer guidance on one contentious aspect of EJ research: the choice of the spatial unit of analysis. Environmental managers charged with preventing or remedying inequities grapple with these framing problems. This article reviews the theoretical and empirical literature on unit choice in EJ, as well as research employing hedonic pricing to assess the spatial extent of hazardous waste site impacts. The insights from hedonics are demonstrated in a series of EJ analyses for a national inventory of Superfund sites. First, as evidence of injustice exhibits substantial sensitivity to the choice of spatial unit, hedonics suggests some units conform better to Superfund impacts than others. Second, hedonic estimates for a particular site can inform the design of appropriate tests of environmental inequity for that site. Implications for policymakers and practitioners of EJ analyses are discussed.

  10. Calorie seeking, but not hedonic response, contributes to hyperphagia in a mouse model for Prader-Willi syndrome.

    Science.gov (United States)

    Davies, Jennifer R; Humby, Trevor; Dwyer, Dominic M; Garfield, Alastair S; Furby, Hannah; Wilkinson, Lawrence S; Wells, Timothy; Isles, Anthony R

    2015-08-01

    Prader-Willi syndrome (PWS) is a neurodevelopmental disorder caused by deletion or inactivation of paternally expressed imprinted genes on human chromosome 15q11-q13, the most recognised feature of which is hyperphagia. This is thought to arise as a consequence of abnormalities in both the physiological drive for food and the rewarding properties of food. Although a number of mouse models for PWS exist, the underlying variables dictating maladaptive feeding remain unknown. Here, feeding behaviour in a mouse model in which the imprinting centre (IC) of the syntenic PWS interval has been deleted (PWS(ICdel) mice) is characterised. It is demonstrated that PWS(ICdel) mice show hyperghrelinaemia and increased consumption of food both following overnight fasting and when made more palatable with sucrose. However, hyperphagia in PWS(ICdel) mice was not accompanied by any changes in reactivity to the hedonic properties of palatable food (sucrose or saccharin), as measured by lick-cluster size. Nevertheless, overall consumption by PWS(ICdel) mice for non-caloric saccharin in the licking test was significantly reduced. Combined with converging findings from a continuous reinforcement schedule, these data indicate that PWS(ICdel) mice show a marked heightened sensitivity to the calorific value of food. Overall, these data indicate that any impact of the rewarding properties of food on the hyperphagia seen in PWS(ICdel) mice is driven primarily by calorie content and is unlikely to involve hedonic processes. This has important implications for understanding the neural systems underlying the feeding phenotype of PWS and the contribution of imprinted genes to abnormal feeding behaviour more generally. © 2015 The Authors. European Journal of Neuroscience published by Federation of European Neuroscience Societies and John Wiley & Sons Ltd.

  11. The Price of "Man" and "Woman": A Hedonic Pricing Model of Avatar Attributes in a Synthetic World

    OpenAIRE

    Castronova, Edward

    2003-01-01

    This paper explores a unique new source of social valuation: a market for bodies. The internet hosts a number of large synthetic worlds which users can visit by piloting a computer-generated body, known as an avatar. Avatars can have an asset value, in that users can spend time to increase their skills; these asset values can be directly observed in online markets. Auction data for avatars from the synthetic fantasy world of EverQuest are used here to explore a number of questions, especially...

  12. 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.

  13. 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

  14. 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.

  15. Temperature stochastic modeling and weather derivatives pricing ...

    African Journals Online (AJOL)

    ... over a sufficient period to apply a stochastic process that describes the evolution of the temperature. A numerical example of a swap contract pricing is presented, using an approximation formula as well as Monte Carlo simulations. Keywords: Weather derivatives, temperature stochastic model, Monte Carlo simulation.

  16. 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.

  17. Modelling and forecasting electricity price variability

    Energy Technology Data Exchange (ETDEWEB)

    Haugom, Erik

    2012-07-01

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

  18. Value of Beef Steak Branding: Hedonic Analysis of Retail Scanner Data

    OpenAIRE

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

    2012-01-01

    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...

  19. A jump diffusion model for spot electricity prices and market price of risk

    Science.gov (United States)

    Bhar, Ramaprasad; Colwell, David B.; Xiao, Yuewen

    2013-08-01

    We construct a jump-diffusion model with seasonality, mean-reversion, time-dependent jump intensity and heteroskedastic disturbance for electricity spot prices, while keeping the analytical tractability of futures prices. We find that the jump component plays a considerably larger role than the diffusion component in the variance of spot prices. Moreover, the jump intensity is much higher during summer and winter. We also explore the seasonal market price of risk (MPR) with different maturities, from one month to five months. Our results show that the diffusion risk and the jump risk are priced quite differently.

  20. 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.

  1. 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

  2. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

    NARCIS (Netherlands)

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

    2013-01-01

    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, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used

  3. 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

    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...... 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...

  4. Dynamic pricing models for electronic business

    Indian Academy of Sciences (India)

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

    Abstract. Dynamic pricing is the dynamic adjustment of prices to consumers depending upon the value these customers attribute to a product or service. Today's digital economy is ready for dynamic pricing; however recent research has shown that the prices will have to be adjusted in fairly sophisticated ways, based on.

  5. Dynamic pricing models for electronic business

    Indian Academy of Sciences (India)

    Dynamic pricing is the dynamic adjustment of prices to consumers depending upon the value these customers attribute to a product or service. Today's digital economy is ready for dynamic pricing; however recent research has shown that the prices will have to be adjusted in fairly sophisticated ways, based on sound ...

  6. Pricing European options on agriculture commodity prices using mean-reversion model with jump diffusion

    Science.gov (United States)

    Dharmawan, Komang

    2017-03-01

    It has been claimed in many literatures that the prices of some agriculture commodities tend to follow mean reversion. However, when dealing with the prices of agriculture commodities, is mean-reversion realistic enough without incorporating seasonality and jump diffusion? This research tries to answer the question. The combination between mean-reversion feature, jump and seasonal components are applied to model the behavior of agriculture commodity prices. A jump and seasonal components are added to the standard mean-reverting process in order to reproduce the spiky or jump behaviors. This model has been well applied on simulating the electricity prices but it has not been applied to investigate the behavior of agriculture commodity prices yet. This paper discusses the performance of the model when it is used to price European call options. First, the deterministic seasonality part is calibrated using the least square method. The second stage is to calibrate the stochastic part based on historical prices. The parameters are calibrated by discretizing the model. Hence, the discretized model allows us to perform Monte Carlo simulation on the commodity price under real-word probability. The analysis is conducted using 2 future price of Crude Palm Oil and Coffee Bean on standard payoff functions, a Basket, a Spread, Best of Call, and Worst of Call Options.

  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. 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.

  10. 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.

  11. 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

  12. 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

  13. 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 mom...... to a benchmark model in terms of dollar losses and the ability to explain the smirk in implied volatilities....

  14. 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.

  15. A Price Hedging Model in Dynamic Market

    OpenAIRE

    Kuo-Wei Lin; Kuang-Jung Tseng; Szu-Cheng Cheng

    2012-01-01

    Problem statement: Pricing is a problem when a firm has to set a price for the first time. This happens when the firm develops or acquires a new product, introduces its regular product into a new distribution or geographical area, or enters bids on the new contract work. Many companies try to set the price to maximize current profits. They estimate the demand and costs associated with alternative prices and choose the price that maximizes current profit, cash flow, or rate of return on invest...

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

    DEFF Research Database (Denmark)

    Rasmussen, Anne-Sofie Reng

    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......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...... of returns or the moment matrix of returns, the traditional C-CAPM actually outperforms the models from both the two new litterature strands....

  18. Models of price development on world market for cocoa beans

    Directory of Open Access Journals (Sweden)

    Pavel Syrovátka

    2008-01-01

    Full Text Available This paper is focused on the modelling and simulating the development of the price of cocoa beans on the world market. The developed models were based on the dependence of the level of the world price of cocoa beans on the world stock to grindings ratio of the beans in the last crop year. The ICCO databases from 1960/1961 to 2005/2006 crop years were used for the estimation of the parameters in the investigated forms of the price model. The linear and logarithmic-linear categories of the price models were studied in this paper. Within the linear forms of the price models; the single linear construction and the linear construction with dummy time variable were specified and tested. Within the logarithmic-linear category of the price models; the error correction model and autoregressive model were examined. From the point of view of statistical verification and from the low value of deviation of the simulated world price of cocoa beans for the 2005/2006 period from the actual price level of price for this crop period, the logarithmic-linear form of model with the error correction achieved the best results. Acceptable results were also obtained by means of the modified price model with the error correction component. By using the logarithmic-linear form of error correction model, the world price of the cocoa beans for the crop period 2006/2007 will achieve the following value 1047 SDR · t−1.Under the modified error correction model, the level of the world price will be 1050 SDR · t−1.

  19. Comparative Performance of Volatility Models for Oil Price

    Directory of Open Access Journals (Sweden)

    Afees A. Salisu

    2012-07-01

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

  20. A Simple Model of Intertemporal Price Discrimination

    OpenAIRE

    Mark D. White

    2004-01-01

    Many products are sold in identical form at different times and at different prices. Motion pictures are shown at most movie theaters at full price for weeks after initial release, after which they may be shown in bargain theaters for a much lower price. Upon initial release, compact discs are sold at retail outlets for a high price and several months later may be available through music clubs at significantly lower cost. Book clubs and movie clubs offer similar arrangements. At all times of ...

  1. Prices, Production, and Inventories Over the Automotive Model Year

    OpenAIRE

    Adam Copeland; Wendy Dunn; George 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...

  2. Dynamic Hybrid Model for Short-Term Electricity Price Forecasting

    Directory of Open Access Journals (Sweden)

    Marin Cerjan

    2014-05-01

    Full Text Available Accurate forecasting tools are essential in the operation of electric power systems, especially in deregulated electricity markets. Electricity price forecasting is necessary for all market participants to optimize their portfolios. In this paper we propose a hybrid method approach for short-term hourly electricity price forecasting. The paper combines statistical techniques for pre-processing of data and a multi-layer (MLP neural network for forecasting electricity price and price spike detection. Based on statistical analysis, days are arranged into several categories. Similar days are examined by correlation significance of the historical data. Factors impacting the electricity price forecasting, including historical price factors, load factors and wind production factors are discussed. A price spike index (CWI is defined for spike detection and forecasting. Using proposed approach we created several forecasting models of diverse model complexity. The method is validated using the European Energy Exchange (EEX electricity price data records. Finally, results are discussed with respect to price volatility, with emphasis on the price forecasting accuracy.

  3. Hedonic Price Indices for Ground Vehicles

    Science.gov (United States)

    2015-05-01

    learning effect would no longer be detectible after the first lot, at those rates. Lot size, however, does appear to be an important factor, with...exacerbated by both multicollinearity within the predictors and correlation between the predictors and time. This instability could be mitigated using

  4. A characterization of oil price behavior. Evidence from jump models

    Energy Technology Data Exchange (ETDEWEB)

    Gronwald, Marc [Munich Univ. (Germany). Ifo Institute - Leibniz Institute for Economic Research

    2011-11-15

    This paper is concerned with the statistical behavior of oil prices in two ways. It, firstly, applies a combined jump GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its empirical results to implications of Hotelling-type resource extraction models. The empirical analysis shows that oil prices are characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by sudden extreme price movements. This finding implies that, first, oil price signals are not reliable and, as a consequence, both finding optimal extraction paths and decisions regarding the transmission to alternative technologies are likely to be compromised. Second, this behavior is in stark contrast to the notion of deterministic trends in the price of oil. (orig.)

  5. An interregional hedonic analysis of noxious facility impacts on local wages and property values

    Energy Technology Data Exchange (ETDEWEB)

    Clark, D.E.; Nieves, L.A.

    1991-01-01

    Claims of property value loss are commonly raised by homeowners when noxious facilities are sited or when new information about the hazards of existing facilities is made public. While the capitalization of externalities into land values is consistent with economic theory, empirical measurement of impacts has not generated consistent results. This is true both for hedonic measurements as well as other types of econometric analyses. While it is well established that job and site risks have similar impacts on regional labor markets, there are no studies relating the presence of a broad range of noxious facilities to local wage premiums. In contrast, this study employs an interregional framework in a hedonic analysis of both wage and property markets and considers eight different facility classifications. This paper discusses the development of the hedonic model employed in this study. It develops more fully the theoretical advantages of the intercity model and alternative methods of deriving implicit prices for environmental amenities and disamenities. The unique data base and the structure of the estimated model are described. It also includes a discussion of the research findings. Major conclusions and suggestions for further research are presented.

  6. An interregional hedonic analysis of noxious facility impacts on local wages and property values

    Energy Technology Data Exchange (ETDEWEB)

    Clark, D.E.; Nieves, L.A.

    1991-12-31

    Claims of property value loss are commonly raised by homeowners when noxious facilities are sited or when new information about the hazards of existing facilities is made public. While the capitalization of externalities into land values is consistent with economic theory, empirical measurement of impacts has not generated consistent results. This is true both for hedonic measurements as well as other types of econometric analyses. While it is well established that job and site risks have similar impacts on regional labor markets, there are no studies relating the presence of a broad range of noxious facilities to local wage premiums. In contrast, this study employs an interregional framework in a hedonic analysis of both wage and property markets and considers eight different facility classifications. This paper discusses the development of the hedonic model employed in this study. It develops more fully the theoretical advantages of the intercity model and alternative methods of deriving implicit prices for environmental amenities and disamenities. The unique data base and the structure of the estimated model are described. It also includes a discussion of the research findings. Major conclusions and suggestions for further research are presented.

  7. 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.

  8. 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.

  9. Electricity Price Modelling with a Regime Switching Volatility

    OpenAIRE

    Silvana Musti; Viviana Fanelli

    2010-01-01

    We present a methodology to model electricity price dynamics by applying the interest rate theory toolkit. We construct the electricity market following [16] and applying the Heath, Jarrow and Morton ([7]) model. The electricity returns forward curve evolution using the Regime Switching Volatility is the instrument chosen to reflect into a simulating model the natural seasonality of electricity prices. The model calibration and the volatility parameters estimation allow to simulate in a reali...

  10. A Price-Dependent Demand Model in the Single Period Inventory System with Price Adjustment

    Directory of Open Access Journals (Sweden)

    Kamran Forghani

    2013-01-01

    Full Text Available The previous efforts toward single period inventory problem with price-dependent demand only investigate the optimal order quantity to minimize the total inventory costs; however, there is no method in the literature to avoid unwanted costs due to the deviation between the actual demand and the previously estimated demand. To fill this gap, the present paper supposes that stochastic demand rate with normal distribution is sensitive to the selling price; this means that increasing the selling price would decrease the demand rate and vice versa. After monitoring the consumption trend within a section of the period, a new selling price is implemented to change the demand rate and reduce the shortage or salvage costs at the end of the period. Three functions were suggested to represent the demand rate as a function of selling price, and the numerical analysis was implemented to solve the proposed problem. Finally, an illustrative numerical example was solved for different configurations in order to show the advantages of the proposed model. The results revealed that there is a significant improvement in the system costs when price revision is considered.

  11. 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.

  12. Modeling electricity spot and futures price dependence: A multifrequency approach

    Science.gov (United States)

    Malo, Pekka

    2009-11-01

    Electricity prices are known to exhibit multifractal properties. We accommodate this finding by investigating multifractal models for electricity prices. In this paper we propose a flexible Copula-MSM (Markov Switching Multifractal) approach for modeling spot and weekly futures price dynamics. By using a conditional copula function, the framework allows us to separately model the dependence structure, while enabling use of multifractal stochastic volatility models to characterize fluctuations in marginal returns. An empirical experiment is carried out using data from Nord Pool. A study of volatility forecasting performance for electricity spot prices reveals that multifractal techniques are a competitive alternative to GARCH models. We also demonstrate how the Copula-MSM model can be employed for finding optimal portfolios, which minimizes the Conditional Value-at-Risk.

  13. 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...... of power exchange areas. We use data from the Nord Pool electricity power exchange area bidding markets. Different spatial weight matrices are considered to capture the structure of the spatial dependence process across different bidding markets and statistical tests show significant spatial dependence...

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

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    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 ...... on S&P 500 across strikes and maturities as well as options on the VIX volatility index. The calibration of the model is done in two steps, first by matching VIX option prices and then by matching prices of options on the underlying....

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

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... 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...

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

    DEFF Research Database (Denmark)

    Cont, Rama; Kokholm, Thomas

    2013-01-01

    We propose a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index. Our model reproduces various empirically observed properties of variance swap dynamics and enables volatility derivatives and options on the underlying index...... 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...

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

    KAUST Repository

    Markowich, Peter A.

    2016-10-04

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

  18. Modeling of certain problems in financial mathematics: Spread option pricing

    Science.gov (United States)

    Khorev, K. P.

    2007-04-01

    The problem of valuating exotic options, namely, the option on the spread between two forward interest rates is considered. The price of the option is derived under the assumption that the dynamics of debt instruments and the interest rates are described by the Heath-Jarrow-Morton model. The parameters of the model are estimated, and the price of the option is numerically computed based on Russian bond market data.

  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...... 2011, and compute dollar losses and implied standard deviation losses. We compare our results to those of existing mixture models and other benchmarks like component models and jump models. Using the model confidence set test, the overall dollar root mean squared error of the best performing benchmark...... model is significantly larger than that of the best mixture model....

  20. 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,

  1. 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....... as the ratio of the weight of cooked meat to the total weight and the number of mussel per kg of raw mussels, respectively, are the most important characteristics determining the price. At the sample mean, if the meat content increases by 1%, farmers can get a premium price of 5.5 eurocents kg−1 of raw mussel...

  2. The Impact of Noise and Dust Level on Rental Price of Residential ...

    African Journals Online (AJOL)

    The hedonic models which take the doublelog functional form were estimated with house rent (a proxy for house price) as the dependent variable. ... The basic objective of such policy response is for manufacturing companies to move to the use of energy efficient and eco-friendly plants that generate less noise and dust in ...

  3. Stochastic Modeling and Analysis of Energy Commodity Spot Price Processes

    Science.gov (United States)

    2014-06-27

    have been developed in economics. Elloit et al [37] developed a model for pricing variance swaps and volatility swaps under a continuous-time Markov...Wissenschaften, Bände 121, 122. Academic Press, New York. Springer, Berlin [37] Elloitt, R., Siu, T., chan, L. , (2007) Pricing volatility swaps under Heston’s...nomics, University of Chicago. [48] Heston S. 1993. A closed form solution for options with stochastic volatility with applications to Bond and Currency

  4. A generalized exponential time series regression model for electricity prices

    DEFF Research Database (Denmark)

    Haldrup, Niels; Knapik, Oskar; Proietti, Tomasso

    We consider the issue of modeling and forecasting daily electricity spot prices on the Nord Pool Elspot power market. We propose a method that can handle seasonal and non-seasonal persistence by modelling the price series as a generalized exponential process. As the presence of spikes can distort...... 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...... strategy than forecasting the daily average directly....

  5. 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.

  6. Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models

    CSIR Research Space (South Africa)

    Das, Sonali

    2010-01-01

    Full Text Available This paper uses the dynamic factor model framework, which accommodates a large cross-section of macroeconomic time series, for forecasting regional house price inflation. In this study, the authors forecast house price inflation for five...

  7. 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.

  8. Incorporating spatial variation in housing attribute prices: a comparison of geographically weighted regression and the spatial expansion method

    Science.gov (United States)

    Bitter, Christopher; Mulligan, Gordon F.; Dall'Erba, Sandy

    2007-04-01

    Hedonic house price models typically impose a constant price structure on housing characteristics throughout an entire market area. However, there is increasing evidence that the marginal prices of many important attributes vary over space, especially within large markets. In this paper, we compare two approaches to examine spatial heterogeneity in housing attribute prices within the Tucson, Arizona housing market: the spatial expansion method and geographically weighted regression (GWR). Our results provide strong evidence that the marginal price of key housing characteristics varies over space. GWR outperforms the spatial expansion method in terms of explanatory power and predictive accuracy.

  9. 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.

  10. 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.

  11. Hedonic demand analysis for beef in Benin Metropolis | Ojogho ...

    African Journals Online (AJOL)

    The results of the Hedonic analysis showed that, with an average unit price of N836.57 for beef, a consumer is strongly willing to pay additional N229.27 for beef with good taste, N227.10 for neat beef, N163.05 for beef of 'proper' processing style and N380.21 for fresh beef in the study area. Similarly, the consumer is willing ...

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

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    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 ...

  13. Fundamental State Space Time Series Models for JEPX Electricity Prices

    Science.gov (United States)

    Ofuji, Kenta; Kanemoto, Shigeru

    Time series models are popular in attempts to model and forecast price dynamics in various markets. In this paper, we have formulated two state space models and tested them for its applicability to power price modeling and forecasting using JEPX (Japan Electric Power eXchange) data. The state space models generally have a high degree of flexibility with its time-dependent state transition matrix and system equation configurations. Based on empirical data analysis and past literatures, we used calculation assumptions to a) extract stochastic trend component to capture non-stationarity, and b) detect structural changes underlying in the market. The stepwise calculation algorithm followed that of Kalman Filter. We then evaluated the two models' forecasting capabilities, in comparison with ordinary AR (autoregressive) and ARCH (autoregressive conditional heteroskedasticity) models. By choosing proper explanatory variables, the latter state space model yielded as good a forecasting capability as that of the AR and the ARCH models for a short forecasting horizon.

  14. 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.

  15. 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.

  16. A LINKED ANNUAL AND MONTHLY MODEL FOR FORECASTING ALFALFA HAY PRICES

    OpenAIRE

    Blake, Martin J.; Clevenger, Tom

    1984-01-01

    This article develops a model to forecast monthly alfalfa hay prices before the first harvest. This is done by linking an annual model, which forecasts the initial May price, with a system of monthly equations that track the monthly seasonal price pattern, given the forecasted May price.

  17. 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

  18. 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.

  19. 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 ...

  20. Business Models, transparency and efficient stock price formation

    DEFF Research Database (Denmark)

    Nielsen, Christian; Vali, Edward; Hvidberg, Rene

    The purpose of this research project has been to clarify and provide expert advice on how to create a sufficiently transparent business model. Too many companies are assessed solely on the basis of factors that have direct influence on their share price, for example changed depreciation principles...

  1. 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…

  2. 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

  3. 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.

  4. 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.

  5. Asset Prices in a News Driven Real Business Cycle Model

    OpenAIRE

    Maral Shamloo; Aytek Malkhozov

    2010-01-01

    We examine the implications of introducing anticipated productivity shocks for the ability of a real-business-cycle model to explain asset prices. Our theoretical framework is a real-business-cycle model in which agents receive news about future productivity shocks. We show that incorporating anticipated shocks, or news, creates a persistent predictable component in consumption growth, often referred to as long-run risk in the finance literature (Bansal and Yaron, 2004). Thus, in conjunction ...

  6. 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

  7. On the structure of Gaussian pricing models and Gaussian Markov functional models

    NARCIS (Netherlands)

    C.D.D. Neumann

    2002-01-01

    textabstractThis article investigates the structure of Gaussian pricing models (that is, models in which future returns are normally distributed). Although much is already known about such models, this article differs in that it is based on a formulation of the theory of derivative pricing in which

  8. Evaluating Asset Pricing Models in a Simulated Multifactor Approach

    Directory of Open Access Journals (Sweden)

    Wagner Piazza Gaglianone

    2012-12-01

    Full Text Available In this paper a methodology to compare the performance of different stochastic discount factor (SDF models is suggested. The starting point is the estimation of several factor models in which the choice of the fundamental factors comes from different procedures. Then, a Monte Carlo simulation is designed in order to simulate a set of gross returns with the objective of mimicking the temporal dependency and the observed covariance across gross returns. Finally, the artificial returns are used to investigate the performance of the competing asset pricing models through the Hansen and Jagannathan (1997 distance and some goodness-of-fit statistics of the pricing error. An empirical application is provided for the U.S. stock market.

  9. Modeling Temperature and Pricing Weather Derivatives Based on Temperature

    Directory of Open Access Journals (Sweden)

    Birhan Taştan

    2017-01-01

    Full Text Available This study first proposes a temperature model to calculate the temperature indices upon which temperature-based derivatives are written. The model is designed as a mean-reverting process driven by a Levy process to represent jumps and other features of temperature. Temperature indices are mainly measured as deviations from a base temperature, and, hence, the proposed model includes jumps because they may constitute an important part of this deviation for some locations. The estimated value of a temperature index and its distribution in this model apply an inversion formula to the temperature model. Second, this study develops a pricing process over calculated index values, which returns a customized price for temperature-based derivatives considering that temperature has unique effects on every economic entity. This personalized price is also used to reveal the trading behavior of a hypothesized entity in a temperature-based derivative trade with profit maximization as the objective. Thus, this study presents a new method that does not need to evaluate the risk-aversion behavior of any economic entity.

  10. The Impact of Auctions on Residential Sale Prices : Australian Evidence

    Directory of Open Access Journals (Sweden)

    Alex Frino

    2010-09-01

    Full Text Available This study re-examines the variation in selling prices between the auction and private treaty method of sales.Using sales data from five major Australian capital cities over a four year period, we estimate a hedonic pricingmodel. Results indicate that for house sales, auctions lead to greater selling prices across all cities examined.However, results for unit sales reveal that this auction premium is only evident in two cities where auctionsare less prevalent. Further analysis reveals that self-selection (where a particular method of sale is selected tomaximise the selling price is evident across the sample. After controlling for this self-selection bias using atwo-stage model, houses sold via auction generally command a higher price. This suggests that the auctionmethod of selling provides a price premium over the private treaty method of sale.

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

    DEFF Research Database (Denmark)

    Knapik, Oskar

    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...... 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...

  12. 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. 

  13. On Markov Modulated Mean-Reverting Price-Difference Models

    Directory of Open Access Journals (Sweden)

    W. P. Malcom

    2008-06-01

    Full Text Available In this paper we develop a stochastic model incorporating a double-Markov modulated mean-reversion model. Unlike a price process the basis process X can take positive or negative values. This model is based on an explicit discretisation of the corresponding continuous time dynamics. The new feature in our model is that we suppose the mean reverting level in our dynamics as well as the noise coefficient can change according to the states of some finite-state Markov processes which could be the economy and some other unseen random phenomenon.

  14. 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…

  15. Liquidity Constraints in Production Based Asset Pricing Models

    OpenAIRE

    Brock, William A.; Blake LeBaron

    1989-01-01

    This paper explores the time series implications of introducing credit constraints into a production based asset pricing model. Simulations are performed choosing parameter values which generate reasonable values for aggregate fluctuations. These results show that mean reversion in simulated returns series, measured by variance ration tests, is enhanced with the introduction of binding credit constraints. Without these constraints there is very little evidence of mean reversion. This is consi...

  16. 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.

  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. 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.

  19. 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......The year 2016 will be pivotal for organic aquaculture producers in EU, because it represents the deadline for implementing the complete organic life cycle in aquaculture production. Depending on the sturdiness of farms already producing, such a shift in the industry may affect production costs...

  20. Modeling the Demand for Outdoor Recreation

    Science.gov (United States)

    Mendelsohn, Robert

    1987-05-01

    This paper critically reviews several of the new methodologies developed in the last 10 years to model the demand for recreation. There are three competing approaches to modeling heterogeneous recreation sites: partitioning, hedonic, and index models. Partitioning involves grouping sites into small homogeneous sets and treating each set as a unique good (multiple-site travel cost models). Hedonic involves disaggregating goods into their component characteristics and modeling the prices and demands for the characteristics (hedonic property value and the hedonic travel cost method). The index models involve measuring choices among limited alternatives using an index of characteristics (generalized travel cost, gravity, and discrete choice models). Although much work has been done on each method, limitations are noted with each approach, and additional research needs are identified.

  1. Hedonic tone and activation in the mood-creativity link: towards a dual pathway to creativity model

    NARCIS (Netherlands)

    de Dreu, C.K.W.; Baas, M.; Nijstad, B.A.

    2008-01-01

    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

  2. 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

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

    Science.gov (United States)

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

    2008-05-01

    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 on arousal, psychophysiological processes, and working memory capacity, the authors argue that activating moods (e.g., angry, fearful, happy, elated) lead to more creative fluency and originality than do deactivating moods (e.g., sad, depressed, relaxed, serene). Furthermore, activating moods influence creative fluency and originality because of enhanced cognitive flexibility when tone is positive and because of enhanced persistence when tone is negative. Four studies with different mood manipulations and operationalizations of creativity (e.g., brainstorming, category inclusion tasks, gestalt completion tests) support the model. (c) 2008 APA, all rights reserved

  4. 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.

  5. Extended ARMA models for estimating price developments on day-ahead electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Swider, Derk J. [Institute of Energy Economics and the Rational Use of Energy, University of Stuttgart, Hessbruehlstr. 49a, 70565 Stuttgart (Germany); Weber, Christoph [University of Duisburg-Essen, Universitaetsstr. 12, 45117 Essen (Germany)

    2007-04-15

    In this paper extended models for estimating price developments on electricity markets are presented. The models consider deviations from the normality hypothesis of the prices. Based on an ARMA model combination with GARCH, Gaussian-mixture and switching-regime approaches are comparatively discussed. The comparison is based on historic electricity prices of the spot and two reserve markets in Germany. It is shown that the proposed extended models lead to significantly improved representations of the considered stochastic price processes. It is inferred that these models may be preferred for estimating price developments on electricity markets. (author)

  6. MODELLING AND FORECAST OF CHARCOAL PRICES USING A NEURO-FUZZY SYSTEM

    National Research Council Canada - National Science Library

    Carlos Alberto Araújo Júnior; Liniker Fernandes da Silva; Marcio Lopes da Silva; Helio Garcia Leite; Erlon Barbosa Valdetaro; Danilo Barros Donato; Renato Vinícius Oliveira Castro

    2016-01-01

    Using a monthly time series of charcoal prices in Minas Gerais from January 2000 to September 2014, this study aimed to evaluate the use of neuro-fuzzy system to model the series and forecasting prices...

  7. Asset Pricing Model and the Liquidity Effect: Empirical Evidence in the Brazilian Stock Market

    National Research Council Canada - National Science Library

    Otávio Ribeiro de Medeiros; Márcio André Veras Machado

    2011-01-01

    .... 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...

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

    OpenAIRE

    Liu Zhishuo; Zhao Kuan; Ma Jingmiao; Wang Chunfang

    2017-01-01

    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 perform...

  9. 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.

  10. 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.

  11. 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-...

  12. Hedonic valuation with translating amenities: Mountain Pine Beetles and host trees in the Colorado Front Range

    Science.gov (United States)

    Jed Cohen; Christine E. Blinn; Kevin J. Boyle; Tom Holmes; Klaus Moeltner

    2016-01-01

    In hedonic valuation studies the policy-relevant environmental quality attribute of interest is often costly to measure, especially under pronounced spatial and temporal variability. However, in many cases this attribute affects home prices and consumer preferences solely through its impact on a readily observable, spatially delineated, and time-invariant feature of...

  13. 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.

  14. 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.

  15. 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....... Overall, the dollar root mean squared error of the best performing benchmark component model is 39% larger than for the mixture model. When considering the recent financial crisis this difference increases to 69%....... 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...

  16. 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.

  17. Sale Price Expectations and Mortgage Commitment: Inaccuracy versus Price Setting Behaviour

    NARCIS (Netherlands)

    Droes, M.I.; Hassink, W.H.J.

    This paper investigates why the homeowner’s expectation about the sale price of a house deviates from its market price. This paper has two distinct contributions. First, we argue that sale price expectations are individual specific. Omitting this individual effect leads to biased hedonic estimates.

  18. Nozick's experience machine and palliative care: revisiting hedonism.

    Science.gov (United States)

    Barilan, Y Michael

    2009-11-01

    In refutation of hedonism, Nozick offered a hypothetical thought experiment, known as the Experience Machine. This paper maintains that end-of-life-suffering of the kind that is resistant to state-of-the-art palliation provides a conceptually equal experiment which validates Nozick's observations and conclusions. The observation that very many terminal patients who suffer terribly do no wish for euthanasia or terminal sedation is incompatible with motivational hedonism. Although irreversible vegetative state and death are equivalently pain-free, very many people loath the former even at the price of the latter. This attitude cannot be accounted for by hedonism. Following these observations, the goals of palliative care are sketched along four circles. The first is mere removal or mitigation of noxious symptoms and suffering. The second targets sufferings that stymie patients' life-plans and do not allow them to be happy, the third targets sufferings that interfere with their pursuance of other goods (palliation as a primary good). The fourth is the control of sufferings that do not allow the person to benefit from any human good whatsoever ("total pain" or critical suffering). Only in the fourth circle are people hedonists.

  19. Hedonic Valuation of Marginal Willingness to Pay for Air Quality Improvement

    OpenAIRE

    Basuki, Agus Tri; Saptutyningsih, Endah

    2012-01-01

    This 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....

  20. 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.

  1. 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-

  2. 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

    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 st...

  3. A Novel Hybrid BND-FOA-LSSVM Model for Electricity Price Forecasting

    OpenAIRE

    Weishang Guo; Zhenyu Zhao

    2017-01-01

    Accurate electricity price forecasting plays an important role in the profits of electricity market participants and the healthy development of electricity market. However, the electricity price time series hold the characteristics of volatility and randomness, which make it quite hard to forecast electricity price accurately. In this paper, a novel hybrid model for electricity price forecasting was proposed combining Beveridge-Nelson decomposition (BND) method, fruit fly optimization algorit...

  4. Dynamic Hybrid Model for Short-Term Electricity Price Forecasting

    OpenAIRE

    Marin Cerjan; Marin Matijaš; Marko Delimar

    2014-01-01

    Accurate forecasting tools are essential in the operation of electric power systems, especially in deregulated electricity markets. Electricity price forecasting is necessary for all market participants to optimize their portfolios. In this paper we propose a hybrid method approach for short-term hourly electricity price forecasting. The paper combines statistical techniques for pre-processing of data and a multi-layer (MLP) neural network for forecasting electricity price and price spike det...

  5. 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...

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

    Science.gov (United States)

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

    2015-01-01

    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.

  7. 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

  8. 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

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

    Science.gov (United States)

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

    2017-03-01

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

  10. Giving Form to a Hedonic Haptics Player

    DEFF Research Database (Denmark)

    Boer, Laurens; Vallgårda, Anna; Cahill, Ben

    2017-01-01

    In this pictorial we present the form-giving process of a Hedonic Haptic player, a wearable device that plays vibrotactile patterns on the body. We depict how we explored the aesthetics of the vibrotactile design space, how we constructed a platform as body of a hedonic experience, and how we...

  11. Credit Derivatives Pricing Model for Fuzzy Financial Market

    Directory of Open Access Journals (Sweden)

    Liang Wu

    2015-01-01

    Full Text Available With various categories of fuzziness in the market, the factors that influence credit derivatives pricing include not only the characteristic of randomness but also nonrandom fuzziness. Thus, it is necessary to bring fuzziness into the process of credit derivatives pricing. Based on fuzzy process theory, this paper first brings fuzziness into credit derivatives pricing, discusses some pricing formulas of credit derivatives, and puts forward a One-Factor Fuzzy Copula function which builds a foundation for portfolio credit products pricing. Some numerical calculating samples are presented as well.

  12. 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.

  13. 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.

  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. Effects of Light and Commuter Rail Transit on Land Prices: Experiences in San Diego County

    OpenAIRE

    Cervero, Robert

    2006-01-01

    Using hedonic price models, appreciable land-value premiums were found for multiple land uses in different rail corridors of San Diego County. The most appreciable benefits were for condominiums and single-family housing near commuter-rail stations in the north county, multi-family housing near light-rail stations, and commercial properties near downtown commuter-rail stations and light-rail stops in the Mission Valley. Elsewhere, commercial properties accrued small or even negative capitaliz...

  16. 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

  17. 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.

  18. 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...

  19. 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.

  20. LAPM: A Liquidity-Based Asset Pricing Model

    OpenAIRE

    Holmström, Bengt; Tirole, Jean

    2001-01-01

    The intertemporal CAPM predicts that an asset's price is equal to the expectation of the product of the asset's payoff and a representative consum substitution. This paper develops an alternative approach to asset pricing based on industrial and financial corporations' desire to hoard liquidity to fulfill future cash needs. Our corporate finance a determinants of asset prices such as the distribution of wealth within the corporate sector and between the corporate sector and the consumers. Als...

  1. Transaction costs and asset prices : a dynamic equilibrium model

    OpenAIRE

    Dimitri Vayanos

    1998-01-01

    In this article we study the effects of transaction costs on asset prices. We assume an overlapping generations economy with a riskless, liquid bond, and many risky stocks carrying proportional transaction costs. We obtain stock prices and turnover in closed form. Surprisingly, a stock's price may increase in transaction costs, and a more frequently traded stock may be less adversely affected by an increase in transaction costs. Calculations based on the 'marginal' investor overestimate the e...

  2. Analisa Faktor Type Hedonic Shopping Motivation dan Faktor Pembentuk Kepuasan Tourist Shopper di Surabaya

    Directory of Open Access Journals (Sweden)

    Edwin Japarianto

    2010-01-01

    Full Text Available This research try to find factors in the hedonic motivation for the tourist shopper and satisfaction, researcher try to find factors can develop the basic motivation tourist shopper. Basic Hedonic motivation have six dimensions: Adventure Shopping, Social Shopping, Gratification Shopping, Idea Shopping, Role Shopping, and Value Shopping. Used 349 responden who collect from Judmental sampling and calculated by factor analysist. Reseracher find 5 hedonic motivation tourist shopper in Surabaya: Moody Shopper, Fashionable Shopper, Community Shopper, Price Sensitive Shopper and Charity Shopper. Satisfaction can analyst with 3 attributes, they are: attribute related to product, attribute related to service and attribute related to purchase, use the same correspondent and research tools. Researcher gets 4 variables to build satisfaction: Creative and uniqueness, excellent program and familiarity, Empathy and good performance, Equality cost & benefit managerial.

  3. Matlab Simulations of Dynamic Pricing on the Market of a Product Models

    Directory of Open Access Journals (Sweden)

    Corina Sbughea

    2015-09-01

    Full Text Available This paper aims to illustrate the dynamic models of prices adjustment on a product market, such as Kaldor classic model and Extended Kaldor model with adaptive expectations, using simulations achieved by Matlab programming language. This way price trajectories will be plotted, using multiple sets of input data.

  4. Wine market prices and investment under uncertainty: an econometric model for Bordeaux Crus Classes

    OpenAIRE

    Jones, Gregory V.; Storchmann, Karl-Heinz

    2001-01-01

    This paper describes an econometric assessment of wine market prices for 21 of the Crus Classes chateaux in the Bordeaux region of France. The model developed in the analysis attempts to define the relationship between factors that influence wine quality and those that influence wine prices. Characteristics of the models are: (1) climate influences on grape composition (acid and sugar levels), (2) grape composition influences on market prices, (3) subjective quality evaluations (Parker-points...

  5. 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

    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......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...

  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. 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.

  8. The effect of stress on hedonic capacity.

    Science.gov (United States)

    Berenbaum, H; Connelly, J

    1993-08-01

    Two experiments were conducted to examine the effect of stress on hedonic capacity. In Experiment 1, cadets in the U.S. Army Reserve Officer Training Corps reported experiencing less pleasure while watching amusing film clips after participating in a weekend of field training exercises than they did on a control day. In Experiment 2, college students reported experiencing less pleasure in their daily activities during final exam week than they did at the baseline assessment. Hedonic capacity was associated with positive affect but not with negative affect or reported stress levels. The deleterious effect of stress on hedonic capacity was particularly strong for subjects with family histories of depression.

  9. 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.

  10. 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.

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

    DEFF Research Database (Denmark)

    Kokholm, Thomas; Stisen, Martin

    2015-01-01

    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 exhib...

  12. 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

  13. 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…

  14. 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

  15. Hidden Markov Model and Forward-Backward Algorithm in Crude Oil Price Forecasting

    Science.gov (United States)

    Talib Bon, Abdul; Isah, Nuhu

    2016-11-01

    In light of the importance of crude oil to the world's economy, it is not surprising that economists have devoted great efforts towards developing methods to forecast price and volatility levels. Crude oil is an important energy commodity to mankind. Several causes have made crude oil prices to be volatile such as economic, political and social. Hence, forecasting the crude oil prices is essential to avoid unforeseen circumstances towards economic activity. In this study, daily crude oil prices data was obtained from WTI dated 2nd January to 29th May 2015. We used Hidden Markov Model (HMM) and Forward-Backward Algorithm to forecasting the crude oil prices. In this study, the analyses were done using Maple software. Based on the study, we concluded that model (0 3 0) is able to produce accurate forecast based on a description of history patterns in crude oil prices.

  16. IDENTIFYING MONETARY IMPACTS ON FOOD PRICES IN CHINA: A VEC MODEL APPROACH

    OpenAIRE

    Peng, Xuehua; Marchant, Mary A.; Michael R. Reed

    2004-01-01

    This research attempts to investigate the impacts of monetary variables (such as money supply and interest rates) on food prices in China using a vector error correction (VEC) model approach. Evidence indicates that monetary variables and the food price index (FPI) have a long-run equilibrium relationship in China. Furthermore, the direction of Granger-causality moves from the money supply to the FPI and then to interest rates, rather than the reverse. Monetary impacts on food prices in China...

  17. 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.

  18. 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.

  19. 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.

  20. 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.

  1. Numerical Solution of a Model Equation of Price Formation

    Science.gov (United States)

    Chernogorova, T.; Vulkov, L.

    2009-10-01

    The paper [2] is devoted to the effect of reconciling the classical Black-Sholes theory of option pricing and hedging with various phenomena observed in the markets such as the influence of trading and hedging on the dynamics of an asset. Here we will discuss the numerical solution of initial boundary-value problems to a model equation of the theory. The lack of regularity in the solution as a result from Dirac delta coefficient reduces the accuracy in the numerical computations. First, we apply the finite volume method to discretize the differential problem. Second, we implement a technique of local regularization introduced by A-K. Tornberg and B. Engquist [7] for handling this equation. We derived the numerical regularization process into two steps: the Dirac delta function is regularized and then the regularized differential equation is discretized by difference schemes. Using the discrete maximum principle a priori bounds are obtained for the difference equations that imply stability and convergence of difference schemes for the problem under consideration. Numerical experiments are discussed.

  2. 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.

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

    Science.gov (United States)

    Naimzada, Ahmad; Pireddu, Marina

    2015-08-01

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

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

    Science.gov (United States)

    Joseph Buongiorno

    2001-01-01

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

  5. 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...

  6. 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

  7. Estimating Multivariate Exponentail-Affine Term Structure Models from Coupon Bound Prices using Nonlinear Filtering

    DEFF Research Database (Denmark)

    Baadsgaard, Mikkel; Nielsen, Jan Nygaard; Madsen, Henrik

    2000-01-01

    , the central tendency and stochastic volatility. Emphasis is placed on the particular class of exponential-affine term structure models that permits solving the bond pricing PDE in terms of a system of ODEs. It is assumed that coupon bond prices are contaminated by additive white noise, where the stochastic...

  8. Analysis on the influence factors of Bitcoin’s price based on VEC model

    National Research Council Canada - National Science Library

    Zhu, Yechen; Dickinson, David; Li, Jianjun

    2017-01-01

    ...’ price changes in the past.In this paper, we use monthly data from 2011 to 2016 to build a VEC model to exam how economic factors such as Custom price index, US dollar index, Dow jones industry average, Federal Funds Rate...

  9. 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

  10. 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

  11. An Inverse Problem for a Nonlinear Stochastic Differential Equation Modeling Price Dynamics

    OpenAIRE

    Jäger, Simon; Kostina, Ekaterina

    2006-01-01

    Diffusion processes are widely used for mathematical modeling in finance e.g. in modeling foreign exchange rates. This paper presents a non-linear stochastic continuous time model that captures the main characteristics of price dynamics. The generalized mean reversion process discloses various features of observed price movements such as multi-modality of the distributions, multiple equilibria, and regime switching. The attractors depend substantially on the economic environment. The model re...

  12. Does banning price discrimination promote entry and increase welfare? A model of differentiated-product duopoly with asymmetric markets

    OpenAIRE

    Jorge, S.F.; Pires,C.P.

    2013-01-01

    In this paper we investigate the impact of firms’ pricing policies upon entry and welfare under duopoly price competition and product differentiation. We consider a model where an incumbent serves two distinct and independent geographical markets and an entrant may enter in one of the markets. Our results show that discriminatory pricing may be either more, less or equally favorable to entry than uniform pricing. The welfare effect of banning price discrimination is also amb...

  13. Risk assessment of oil price from static and dynamic modelling approaches

    DEFF Research Database (Denmark)

    Mi, Zhi-Fu; Wei, Yi-Ming; Tang, Bao-Jun

    2017-01-01

    The price gap between West Texas Intermediate (WTI) and Brent crude oil markets has been completely changed in the past several years. The price of WTI was always a little larger than that of Brent for a long time. However, the price of WTI has been surpassed by that of Brent since 2011. The new...... market circumstances and volatility of oil price require a comprehensive reestimation of risk. Therefore, this study aims to explore an integrated approach to assess the price risk in the two crude oil markets through the value at risk (VaR) model. The VaR is estimated by the extreme value theory (EVT......) and GARCH model on the basis of generalized error distribution (GED). The results show that EVT is a powerful approach to capture the risk in the oil markets. On the contrary, the traditional variance–covariance (VC) and Monte Carlo (MC) approaches tend to overestimate risk when the confidence level is 95...

  14. 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 probabilistic (i.e. interval or density) forecasting of electricity prices, iii) introducing an universal technique for model comparison. We propose new regime-switching stochastic volatility model with three regimes (negative jump, normal price, positive jump (spike)) where the transition matrix depends...... 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....

  15. Bayesian Option Pricing using Mixed Normal Heteroskedasticity Models

    DEFF Research Database (Denmark)

    Rombouts, Jeroen; Stentoft, Lars

    2014-01-01

    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...

  16. 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.

  17. The integration of price/cost modelling and construction planning - the automated generation of construc­tion operation

    OpenAIRE

    Bowen, P A; G. J. Erwin; G. K. le Roux

    1997-01-01

    The fact that traditional price/cost models are unrelated to the construction process renders them largely unsuited to the provision of meaningful price/cost advice. The nature and lengthiness of the construction planning process has precluded its incorporation into price/cost modelling during the pre-tender phase of the traditional building procurement process. The nub of the modelling problem has been how to integrate the complex process of construction planning into the pre-tender price...

  18. Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models

    Directory of Open Access Journals (Sweden)

    Kaili Xiang

    2014-01-01

    Full Text Available Option pricing is always one of the critical issues in financial mathematics and economics. Brownian motion is the basic hypothesis of option pricing model, which questions the fractional property of stock price. In this paper, under the assumption that the exchange rate follows the extended Vasicek model, we obtain the closed form of the pricing formulas for two kinds of power options under fractional Brownian Motion (FBM jump-diffusion models.

  19. Calf and yearling prices in California and the western United States

    Directory of Open Access Journals (Sweden)

    Tina L. Saitone

    2016-11-01

    Full Text Available This paper investigates spatial, quality and temporal factors impacting the pricing of calves and yearlings in the western United States using data from a satellite video auction and a hedonic regression framework. Results suggest that spatial price discounts received by western ranchers closely match reported shipping costs and, thus, are consistent with free-on-board pricing and competitive procurement. This study also identifies the presence of temporal price premiums, on average, for seller-offered forward contracts at video auctions. With respect to quality attributes, this study provides estimates of the marginal value associated with various quality attributes and management practices, including vaccination protocols, weaning, certified Angus beef candidates, and age and source verification. Finally, we show that the considerable year-to-year variability in estimated valuations for value-added attributes in hedonic regression models of cattle pricing can be linked to the stage of the cattle cycle, with premiums paid by buyers being attenuated when cattle inventories are high.

  20. 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...

  1. 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%.

  2. 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.

  3. A Novel Hybrid BND-FOA-LSSVM Model for Electricity Price Forecasting

    Directory of Open Access Journals (Sweden)

    Weishang Guo

    2017-09-01

    Full Text Available Accurate electricity price forecasting plays an important role in the profits of electricity market participants and the healthy development of electricity market. However, the electricity price time series hold the characteristics of volatility and randomness, which make it quite hard to forecast electricity price accurately. In this paper, a novel hybrid model for electricity price forecasting was proposed combining Beveridge-Nelson decomposition (BND method, fruit fly optimization algorithm (FOA, and least square support vector machine (LSSVM model, namely BND-FOA-LSSVM model. Firstly, the original electricity price time series were decomposed into deterministic term, periodic term, and stochastic term by using BND model. Then, these three decomposed terms were forecasted by employing LSSVM model, respectively. Meanwhile, to improve the forecasting performance, a new swarm intelligence optimization algorithm FOA was used to automatically determine the optimal parameters of LSSVM model for deterministic term forecasting, periodic term forecasting, and stochastic term forecasting. Finally, the forecasting result of electricity price can be obtained by multiplying the forecasting values of these three terms. The results show the mean absolute percentage error (MAPE, root mean square error (RMSE and mean absolute error (MAE of the proposed BND-FOA-LSSVM model are respectively 3.48%, 11.18 Yuan/MWh and 9.95 Yuan/MWh, which are much smaller than that of LSSVM, BND-LSSVM, FOA-LSSVM, auto-regressive integrated moving average (ARIMA, and empirical mode decomposition (EMD-FOA-LSSVM models. The proposed BND-FOA-LSSVM model is effective and practical for electricity price forecasting, which can improve the electricity price forecasting accuracy.

  4. 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.

  5. 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.

  6. The capital-asset pricing model: the case of South Africa | Reddy ...

    African Journals Online (AJOL)

    . Abstract. This paper tests the empirical validity of the capital-asset pricing model (CAPM) for the South African share market. For the investigation, quarterly total returns from ten sectoral indices listed on the JSE Securities Exchange from 30 ...

  7. 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

  8. PRICE AND PRICING STRATEGIES

    OpenAIRE

    Titus SUCIU

    2013-01-01

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

  9. Market Power and Shadow Prices for Nonrenewable Resources: An Empirical Dynamic Model

    OpenAIRE

    Lin, C.-Y. Cynthia; Zhang, Wei

    2011-01-01

    This paper estimates a dynamic model of the world market for nine nonrenewable resources over the period 1970-2004, and tests whether the countries supplying a nonrenewable resource behaved as price-takers or oligopolists. The model generates estimates of the shadow price of the nine minerals with minimal functional form assumptions. The results show that the countries supplying hard coal, lead, and oil behaved as oligopolists during the study period, while the world market for other nonrenew...

  10. Efficient pricing and allocation of irrigation water: A model of the Murrumbidgee Irrigation Area

    OpenAIRE

    Hafi, Ahmed; Klijn, Nico; Kemp, Adrian

    2001-01-01

    A model of the Murrumbidgee Irrigation Area with two linked components: the farms in the area and the off farm water delivery system is developed. Two versions of the model are formulated. The first version represents the practice of uniform pricing by water authorities where the differences in conveyance losses between farms are ignored while in the second version water authorities are assumed to charge an efficient price that reflects the cost of delivering water, including the conveyance l...

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

    Energy Technology Data Exchange (ETDEWEB)

    Tan, Zhongfu; Zhang, Jinliang; Xu, Jun [North China Electric Power University, Beijing 102206 (China); Wang, Jianhui [Argonne National Laboratory, Argonne, IL 60439 (United States)

    2010-11-15

    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)

  12. 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

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

    OpenAIRE

    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 public transport operators) into account. Because we do not restrict ourselves to a single stakeholder, the model can analyse the interdependencies between measures and, particularly, the positive...

  14. Investigating the use of Automated Valuation Models (AVMs) in the ...

    African Journals Online (AJOL)

    technology and include hedonic pricing methods, artificial neural networks, spatial analysis methods, fuzzy ... Disadvantages include data limitations, public opinion, the lack of property inspections, financial regulation, risk ... to develop neural network or artificial intelligence models, which identify the variables relevant to ...

  15. Intra-regional amenities, wages, and home prices: The role of forests in the Southwest

    Science.gov (United States)

    Michael S. Hand; Jennifer A. Thacher; Daniel W. McCollum; Robert P. Berrens

    2008-01-01

    Forests provide non-market goods and services that people are implicitly willing to pay for through hedonic housing and labor markets. But it is unclear if compensating differentials arise in these markets at the regional level. This empirical question is addressed in a study of Arizona and New Mexico. Hedonic regressions of housing prices and wages using census and...

  16. 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.

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

    Energy Technology Data Exchange (ETDEWEB)

    Chiarella, Carl [School of Finance and Economics, University of Technology, Sydney, P.O. Box 123, Broadway, NSW 2007 (Australia)]. E-mail: carl.chiarella@uts.edu.au; He Xuezhong [School of Finance and Economics, University of Technology, Sydney, P.O. Box 123, Broadway, NSW 2007 (Australia); Wang, Duo [LMAM, Department of Financial Mathematics, School of Mathematical Sciences, Peking University, Beijing 100871 (China)

    2006-08-15

    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.

  18. 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

  19. A confidence-based model for asset and derivative prices in the BitCoin market

    OpenAIRE

    Cretarola, Alessandra; Figà-Talamanca, Gianna

    2017-01-01

    We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin system may propagate to BitCoin prices causing a Bubble effect, the presence of which is documented in several papers about the cryptocurrency. In this paper we develop a bivariate model in continuous time to describe the price dynamics of one BitCoin as well as the behavior of a second factor aff...

  20. Stock price forecasting using secondary self-regression model and wavelet neural networks

    Science.gov (United States)

    Yang, Chi-I.; Wang, Kai-Cheng; Chang, Kuei-Fang

    2015-07-01

    We have established a DWT-based secondary self-regression model (AR(2)) to forecast stock value. This method requires the user to decide upon the trend of the stock prices. We later used WNN to forecast stock prices which does not require the user to decide upon the trend. When comparing these two methods, we could see that AR(2) does not perform as well if there are no trends for the stock prices. On the other hand, WNN would not be influenced by the presence of trends.

  1. 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.

  2. Where is the pleasure in that? Low hedonic capacity predicts smoking onset and escalation.

    Science.gov (United States)

    Audrain-McGovern, Janet; Rodriguez, Daniel; Leventhal, Adam M; Cuevas, Jocelyn; Rodgers, Kelli; Sass, Joseph

    2012-10-01

    Hedonic capacity is a dispositional ability to experience pleasure in response to stimuli that are typically rewarding. The ability to derive pleasure from natural reinforcers has been relatively overlooked as a risk factor for adolescent smoking. The present study sought to provide initial evidence for a relationship between hedonic capacity and adolescent smoking onset and escalation. The sample was composed of 1,106 adolescents participating in a prospective longitudinal survey study of adolescent health behaviors. Variables were measured via self-report every 6 months for 4 waves of data spanning 18 months. We hypothesized that adolescents with lower hedonic capacity may be less responsive to natural reinforcers and therefore be prone to take up and rely on smoking as a reinforcer. A two-part latent growth curve model indicated that adolescents low in hedonic capacity were over two and a half times more likely to have smoked a cigarette in the past month at age 15.5 years (odds ratio = 2.64, 95% CI = 1.08-6.45) and to show a 90% increase (β = 0.9, z = 2.28, p = .02) in the rate of smoking escalation every 6 months across the following 18 months compared with adolescents with high hedonic capacity. This study provides the first evidence implicating hedonic capacity as a risk factor for adolescent smoking initiation and progression. Adolescents low in hedonic capacity may be an important population to target for smoking prevention and smoking cessation efforts possibly through behavioral skills to enhance pleasure derived through natural reinforcers.

  3. Longitudinal Trends in Hedonic Hunger following 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

    Background Initial outcome studies have demonstrated that Roux-en-Y gastric bypass (RYGB) is safe and efficacious for adolescents with extreme obesity. While rapid weight loss is seen initially, data also show that modest weight regain typically occurs as early as the second post-operative year. The contribution of various psychological factors, including hedonic hunger to postoperative weight regain has not previously been studied in adolescents. Objectives To examine the variability in hedonic hunger and Body Mass Index (BMI) over the initial two-year period of weight loss and modest weight regain in adolescent RYGB recipients. Setting Academic Children’s Hospital, United States Methods A total of 16 adolescents completed the Power of Food Scale prior to 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. Results 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 subjects. Conclusion These data provide preliminary evidence that hedonic hunger is in need of further study in adolescent patients receiving RYGB both pre- and post-operatively. PMID:24135561

  4. 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.

  5. Interaction Models for Common Long-Range Dependence in Asset Prices Volatility

    Science.gov (United States)

    Teyssière, G.

    We consider a class of microeconomic models with interacting agents which replicate the main properties of asset prices time series: non-linearities in levels and common degree of long-memory in the volatilities and co-volatilities of multivariate time series. For these models, long-range dependence in asset price volatility is the consequence of swings in opinions and herding behavior of market participants, which generate switches in the heteroskedastic structure of asset prices. Thus, the observed long-memory in asset prices volatility might be the outcome of a change-point in the conditional variance process, a conclusion supported by a wavelet anaysis of the volatility series. This explains why volatility processes share only the properties of the second moments of long-memory processes, but not the properties of the first moments.

  6. Parametric Density Recalibration of a Fundamental Market Model to Forecast Electricity Prices

    Directory of Open Access Journals (Sweden)

    Antonio Bello

    2016-11-01

    Full Text Available This paper proposes a new approach to hybrid forecasting methodology, characterized as the statistical recalibration of forecasts from fundamental market price formation models. Such hybrid methods based upon fundamentals are particularly appropriate to medium term forecasting and in this paper the application is to month-ahead, hourly prediction of electricity wholesale prices in Spain. The recalibration methodology is innovative in seeking to perform the recalibration into parametrically defined density functions. The density estimation method selects from a wide diversity of general four-parameter distributions to fit hourly spot prices, in which the first four moments are dynamically estimated as latent functions of the outputs from the fundamental model and several other plausible exogenous drivers. The proposed approach demonstrated its effectiveness against benchmark methods across the full range of percentiles of the price distribution and performed particularly well in the tails.

  7. 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.

  8. 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.

  9. 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.

  10. The impact of different wind and solar portfolios on spot market prices. A market model

    Energy Technology Data Exchange (ETDEWEB)

    Speth, Valerie [St. Gallen Univ. (Switzerland). Inst. for Economy and the Environment (IWOE-HSG); Klein, Andreas [Hochschule Mannheim - Univ. of Applied Sciences (Germany)

    2012-07-01

    This paper develops a model that simulates the German power plant dispatch by building hourly merit order curves to evaluate the impact of high wind and solar penetration levels on spot market prices over a time period of one year. After collecting German generator data we assign generation costs and compare our model to the actual 2011 spot market price data. We come up with a weekly correlation of 95%. In our scenario analysis we identify that different portfolios have only a small impact on prices. We further found that with a high renewable energy penetration spot market prices reach very low levels in the current market mechanism. Policy makers might use this findings to advance the discussion about future market design. (orig.)

  11. 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.

  12. 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

  13. 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; Zsófia KENESEI

    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...

  14. 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.

  15. 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.

  16. 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 ...

  17. 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.

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

    Science.gov (United States)

    Moretto, Enrico; Pasquali, Sara; Trivellato, Barbara

    2017-09-01

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

  19. Exchange rate pass-through to various price indices: Empirical estimation using vector error correction models

    OpenAIRE

    Bachmann, Andreas

    2012-01-01

    The extent to which exchange rate fluctuations are passed through to domestic prices is of high relevance for open economies and for monetary authorities targeting price stability. Existing empirical studies estimating the exchange rate pass-through for Switzerland are based on either single equation estimation or on VAR models. However, these approaches feature some major drawbacks. The former cannot account for dynamic interactions between the time series and both methods disregard long-run...

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

    KAUST Repository

    Burger, Martin

    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.

  1. The news model of asset price determination: An empirical examination of the Danish football club Brøndby IF

    OpenAIRE

    Jørgensen, Casper W.; Moritzen, Mark R.; Stadtmann, Georg

    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 analyze how match outcome impacts the stock price. To disentangle gross news from net news, betting odd information is used to control for the expected match outcome.

  2. 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...

  3. 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.

  4. 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.

  5. 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

  6. 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.

  7. a Merton-Like Approach to Pricing Debt Based on a Non-Gaussian Asset Model

    Science.gov (United States)

    Borland, Lisa; Evnine, Jeremy; Pochart, Benoit

    2005-09-01

    We propose a generalization to Merton's model for evaluating credit spreads. In his original work, a company's assets were assumed to follow a log-normal process. We introduce fat tails and skew into this model, along the same lines as in the option pricing model of Borland and Bouchaud (2004, Quantitative Finance 4) and illustrate the effects of each component. Preliminary empirical results indicate that this model fits well to empirically observed credit spreads with a parameterization that also matched observed stock return distributions and option prices.

  8. 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.

  9. 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

    in their specification of the conditional variance, conditional correlation, and innovation distribution. All models belong to the dynamic conditional correlation class which is particularly suited because it allows to consistently estimate the risk neutral dynamics with a manageable computational effort in relatively...... 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....

  10. Rough electricity: a new fractal multi-factor model of electricity spot prices

    DEFF Research Database (Denmark)

    Bennedsen, Mikkel

    We introduce a new 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, fractality, and our approach...... on recent data from six European energy exchanges and we find statistical evidence of fractality in five out of six markets. As an application of our model, we show how, in these five markets, a fractal component improves short term forecasting of the prices....... explicitly incorporates this into the model of the prices. Our setup generalizes the popular Ornstein Uhlenbeck-based multi-factor framework of Benth et al. (2007) and allows us to perform statistical tests to distinguish between an Ornstein Uhlenbeck-based model and a fractal model. Further, through...

  11. 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.

  12. 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.

  13. 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.

  14. 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.

  15. Multiobjective Optimization Model for Pricing and Seat Allocation Problem in Non Profit Performing Arts Organization

    DEFF Research Database (Denmark)

    Baldin, Andrea; Bille, Trine; Ellero, Andrea

    these two conflicting goals pursued. In this paper we introduce a multi-objective optimization model that jointly considers pricing and seat allocation. The framework proposed integrates a choice model estimated by multinomial logit model and the demand forecast, taking into account the impact...

  16. 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.

  17. Determination of the Price Transmission Mechanism in Iran Dates Market (Application of BV GARCH Model

    Directory of Open Access Journals (Sweden)

    H. Sherafatmand

    2016-10-01

    transmission in dates market bivariate GARCH model was used. Developments of ARCH and GARCH models take into account the nature of the phenomenon Volatility in financial and prices error component regression equations. ARCH model was first introduced by Engle and augmented GARCH model was first introduced by Bollerslev. Due to Conditional variance Heteroscedasticity, ARCH and GARCH models are widely used but little attention has been to this interaction. For this purpose, bivariate GARCH models developed. This study determined the mechanism of price transmission in date's market, over the period 1361: 1-1391: 4 with Diagonal VECH Bivariate GARCH model. Results and Discussion: With the implementation of augmented Dickey-Fuller test, it was found that the time series producer price index and the consumer price index over the period 1361:1-1391:4 are stationary in first difference. In this study, also Hegy test used for stationary of variables. In this test the unit root hypothesis tested with different periods (for the monthly data used in this study up to 12 repetitions will examined. Next, Johansen co-integration test results showed that there was a long-term relationship between the producer price index and the consumer price index. Granger causality test results indicated that there was a one-way causal relationship from consumer price index to producer price index. The results of this study indicated that the producer price index volatility with one lag has a positive and significant impact on its current volatility. As the results indicated, the covariance coefficient is statistically significant, indicating the volatility spillover between the two levels of the market. The spillover of volatility indicated uncertainty in the retail market and in producers market. The results also indicated that a one unit increase in the consumer price index cause an increase in producer price index less than unity (0.003. Conclusions: the price transmission in Dates market is incomplete

  18. Detecting Housing Submarkets using Unsupervised Learning of Finite Mixture Models

    DEFF Research Database (Denmark)

    Ntantamis, Christos

    framework. The global form of heterogeneity is incorporated in a Hedonic Price Index model that encompasses a nonlinear function of the geographical coordinates of each dwelling. The local form of heterogeneity is subsequently modeled as a Finite Mixture Model for the residuals of the Hedonic Index....... The identified mixtures are considered as the different spatial housing submarkets. The main advantage of the approach is that submarkets are recovered by the housing prices data compared to submarkets imposed by administrative or geographical criteria. The Finite Mixture Model is estimated using the Figueiredo......The problem of modeling housing prices has attracted considerable attention due to its importance in terms of households' wealth and in terms of public revenues through taxation. One of the main concerns raised in both the theoretical and the empirical literature is the existence of spatial...

  19. 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.

  20. Fractional Black-Scholes Model and Technical Analysis of Stock Price

    Directory of Open Access Journals (Sweden)

    Song Xu

    2013-01-01

    Full Text Available In the stock market, some popular technical analysis indicators (e.g., Bollinger bands, RSI, ROC, etc. are widely used to forecast the direction of prices. The validity is shown by observed relative frequency of certain statistics, using the daily (hourly, weekly, etc. stock prices as samples. However, those samples are not independent. In earlier research, the stationary property and the law of large numbers related to those observations under Black-Scholes stock price model and stochastic volatility model have been discussed. Since the fitness of both Black-Scholes model and short-range dependent process has been questioned, we extend the above results to fractional Black-Scholes model with Hurst parameter H>1/2, under which the stock returns follow a kind of long-range dependent process. We also obtain the rate of convergence.

  1. Pricing Public Parks and Recreation Services as a Percent of Per Capita Income: The Creation of a National Pricing Model.

    Science.gov (United States)

    Kelsey, Craig W.; Smith, S. Harold

    This study of public parks and recreation agencies throughout the United States was undertaken to develop a mathematical pricing formula sensitive to local spending abilities in order to determine if a per capita pricing structure would be possible. Four hundred and seventy public parks and recreation agencies responded to a survey of fees and…

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

    Science.gov (United States)

    Chu, Zhujie; Wu, Yunga; Zhuang, Jun

    2017-03-01

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

  3. Supply chain single vendor – Single buyer inventory model with price-dependent demand

    Directory of Open Access Journals (Sweden)

    Mona Ahmadi Rad

    2014-09-01

    Full Text Available Purpose: The aim of this article is developing an integrated production-inventory-marketing model for a two-stage supply chain. The demand rate is considered as the Iso-elastic decreasing function of the selling price.  The main research goal of the article is to obtain the optimal values of the selling price, order quantity and number of shipments for the proposed model under independent and also joint optimization. In addition, the effects of the model’s parameters on the optimal solution are investigated. Design/methodology/approach: Mathematical modeling is used to obtain the joint total profit function of the supply chain. Then, the iterative solution algorithm is presented to solve the model and determine the optimal solution. Findings and Originality/value: It is observed that under joint optimization, the demand rate and the supply chain’s profit are higher than their values under independent optimization, especially for the more price sensitive demand. Therefore, coordination between the buyer and the vendor is advantageous for the supply chain.  On the other hand, joint optimization will be less beneficial when there isn’t a significant difference between the buyer’s and the vendor’s holding costs. Originality/value: The contribution of the article is determining the ordering and pricing policy jointly in the supply chain, which contains one vendor and one buyer while the demand rate is the Iso-elastic function of the selling price.

  4. 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.

  5. 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

  6. An Inventory Model with Finite Replenishment Rate, Trade Credit Policy and Price-Discount Offer

    Directory of Open Access Journals (Sweden)

    Biswajit Sarkar

    2013-01-01

    Full Text Available When some suppliers offer trade credit periods and price discounts to retailers in order to increase the demand of their products, retailers have to face different types of discount offers and credits within which they have to take a decision which is the best offer for them to make more profit. The retailers try to buy perfect-quality items at a reasonable price, and also they try to invest returns obtained by selling those items in such a manner that their business is not hampered. In this point of view, we consider an economic order quantity (EOQ model for various types of time-dependent demand when delay in payment and price discount are permitted by suppliers to retailers. The models of various demand patterns are discussed analytically. Some numerical examples and graphical representations are considered to illustrate the model.

  7. 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

    2017-05-01

    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.

  8. 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.

  9. 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

  10. 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…

  11. Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem

    NARCIS (Netherlands)

    A. Pascucci; M. Suarez-Taboada; C. Vazquez

    2013-01-01

    htmlabstract In this paper the mathematical analysis of a model for pricing stock loan contracts, when the accumulative dividend yield associated to the stock is returned by the lender to the borrower on redemption, is carried out. More precisely, the model is formulated in terms of an obstacle

  12. 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.

  13. Higher-order effects in asset-pricing models with long-run risks

    NARCIS (Netherlands)

    Pohl, W.; Schmedders, K.; Wilms, Ole

    2017-01-01

    This paper shows that the latest generation of asset pricing models with long-run risk exhibits economically significant nonlinearities, and thus the ubiquitous Campbell--Shiller log-linearization can generate large numerical errors. These errors in turn translate to considerable errors in the model

  14. UPDATE February 2012 - The Food Crises: Predictive validation of a quantitative model of food prices including speculators and ethanol conversion

    CERN Document Server

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

    2012-01-01

    Increases in global food prices have led to widespread hunger and social unrest---and an imperative to understand their causes. In a previous paper published in September 2011, we constructed for the first time a dynamic model that quantitatively agreed with food prices. Specifically, the model fit the FAO Food Price Index time series from January 2004 to March 2011, inclusive. The results showed that the dominant causes of price increases during this period were investor speculation and ethanol conversion. The model included investor trend following as well as shifting between commodities, equities and bonds to take advantage of increased expected returns. Here, we extend the food prices model to January 2012, without modifying the model but simply continuing its dynamics. The agreement is still precise, validating both the descriptive and predictive abilities of the analysis. Policy actions are needed to avoid a third speculative bubble that would cause prices to rise above recent peaks by the end of 2012.

  15. The nature of well-being: the roles of hedonic and eudaimonic processes and trait emotional intelligence.

    Science.gov (United States)

    Bhullar, Navjot; Schutte, Nicola S; Malouff, John M

    2013-01-01

    The present study reconceptualized the role of hedonic (pleasure) and eudaimonic (engagement) functions as well-being processes and distinguished them from well-being outcomes. Well-being outcomes encompass life satisfaction, positive affect, psychological well-being, social well-being, subjective physical health, and absence of depression, anxiety, and stress. It was hypothesized that trait emotional intelligence (EI) would mediate the relationship between well-being processes and well-being outcomes. Participants (N = 370, mean age = 27.35 years, SD = 10.01) completed measures of hedonic and eudaimonic well-being processes, trait EI, and well-being outcome indices. Path analysis using structural equation modeling showed that trait EI fully mediated the relationship between hedonic and eudaimonic processes and well-being outcomes. Results demonstrated that engagement in meaningful activities as captured by hedonic and eudaimonic well-being processes may promote well-being outcomes.

  16. The Economics of Style : Measuring the Price Effect of Neo-Traditional Architecture in Housing

    NARCIS (Netherlands)

    Buitelaar, E.|info:eu-repo/dai/nl/24321653X; 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

  17. Core stability in hedonic coalition formation

    OpenAIRE

    Woeginger, Gerhard J.

    2012-01-01

    In many economic, social and political situations individuals carry out activities in groups (coalitions) rather than alone and on their own. Examples range from households and sport clubs to research networks, political parties and trade unions. The underlying game theoretic framework is known as coalition formation. This survey discusses the notion of core stability in hedonic coalition formation (where each player's happiness only depends on the other members of his coalition but not on ho...

  18. 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).

  19. 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.

  20. 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

    Despite the prevalence of online shopping, consumers’ hedonic experience, when shopping online, is often limited due to static product images and uninspiring product description in textual form. To this end, this study endeavors to shed light on how contemporary and widely applied online product...... 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...

  1. 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.

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

    Directory of Open Access Journals (Sweden)

    Kevin D. Brewer

    2012-11-01

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

  3. The Spatial Dimension of House Prices

    Directory of Open Access Journals (Sweden)

    Yunlong Gong

    2017-04-01

    early period before 2010, the house price dynamics of cities are much more homogeneous.The similarities and/or dissimilarities among house price dynamics of different cities indicate the complicated interrelationships between each of the markets. This research further examines various spatial interrelationships between the housing markets of an economic common area in south China. The spatial causal relationships between housing markets are first tested by the Granger causality test. The results reveal a complicated pattern, but it can be tentatively confirmed that house price changes in the developed eastern-central markets ‘cause’ the house price dynamics in theless-developed western markets. Then a spatial-temporal model is built to depict the diffusion pattern of house prices between markets. In general, a shock given to the house price of a certain market gradually spreads to its neighbouring cities. However, the interurban housing market can hardly remain an equilibrium relationship in the long-run, that is, it tends to be divergent.The last part of this research concerns the treatment of spatial effects in the hedonic house price model as well as its influence on the construction of hedonic imputation indexes, which measure the pure house price changes over time. It is argued that the value of a dwelling can be split into the value of the land and the value of the structure, and that the value of the location characteristics of a dwelling is capitalised into the price of the land. Thus, land prices can be expected to vary significantly across space. Indeed, the mixed geographically weighted regression framework adopted in this research, which allows the shadow price of structure to be constant across space and the implicit price of land to be property-based, is found to be superior to, in terms of model prediction, those models that restrict the spatial variation of land prices. Nevertheless, the Fisher imputation house price index based on the most

  4. The application of pharmacoeconomic modelling to estimate a value-based price for new cancer drugs.

    Science.gov (United States)

    Dranitsaris, George; Truter, Ilse; Lubbe, Martie S; Cottrell, Wayne; Spirovski, Biljana; Edwards, Jonathan

    2012-04-01

    Value-based pricing has recently been discussed by international bodies as a means to estimate a drug price that is linked to the benefits it offers patients and society. The World Health Organization (WHO) has recommended using three times a country's per capita gross domestic product (GDP) as the threshold for economic value. Using the WHO criteria, pharmacoeconomic modelling was used to illustrate the application of value-based price towards bevacizumab, a relatively new drug that provides a 1.4-month survival benefit to patients with metastatic colorectal cancer (mCRC). A decision model was developed to simulate outcomes in mCRC patients receiving chemotherapy ± bevacizumab. Clinical data were obtained from randomized trials and costs from Canadian cancer centres. Utility estimates were determined by interviewing 24 oncology nurses and pharmacists. A price per dose of bevacizumab was then estimated using a target threshold of $CAD117,000 per quality adjusted life year gained, which is three times the Canadian per capita GDP. For a 1.4-month survival benefit, a price of $CAD830 per dose would be considered cost-effective from the Canadian public health care perspective. If the drug were able to improve patient quality of life or survival from 1.4 to 3 months, the drug price could increase to $CAD1560 and $CAD2180 and still be considered cost-effective. The use of the WHO criteria for estimating a value-based price is feasible, but a balance between what patients/governments can afford to pay and the commercial viability of the product in the reference country would be required. © 2010 Blackwell Publishing Ltd.

  5. Modeling household fleet choice as a function of fuel price using a multiple discrete-continuous choice model

    OpenAIRE

    Jäggi, Boris; Erath, Alexander; Dobler, Christoph; Axhausen, Kay W.

    2011-01-01

    In this Paper, a new model of fleet choice for households is presented that uses the multiple discrete-continuous extreme value (MDCEV) model as a framework. The aim of the model is to establish a model to allocate car types to activity based microscopic agent based transport simulations. What is new in the presented model, is that in addition to socioeconomic attributes of households, the choice is also influenced by fuel price. To model a range of fuel prices up to 20 USD/gallon a data base...

  6. 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.

  7. Prediction of Emission Allowances Spot Prices Volatility with the Use of GARCH Models

    Directory of Open Access Journals (Sweden)

    Daniela Spiesová

    2016-06-01

    Full Text Available For several years, the system of emission allowances trading has been dealing with a crisis mainly due to the falling prices of emission allowances. That said, the partial aim of this paper is to create an overview of EUA trading options and acquaint readers with the development of the emission allowances price. Another partial aim is to predict the volatility of prices of emission allowances with the use of BAU scenario, i.e. without any intervention. ARIMA models are used to model the conditional mean value and linear ARCH or GARCH models are used to model conditional variance. The uniqueness of this paper lies in the fact that there are many expert studies dealing with the prediction of the price of allowance but there are only a limited number of scientific studies concerning the prediction of volatility which is the crucial element for trading with emission allowances on the exchange. Based on these two results the main aim of this article is to show possible malfunction of EU ETS in future based on the price development of EUA in time and on volatility prediction. The results of this study confirm that to predict the conditional variance and then volatility, it is adequate to use the cluster model AR(1,8,12-GARCH(1, 1 without constant, where in the long-term, the square root of the conditional variance inclines towards stable value. Based on the analysis of EUA prices it is obvious that the system is not efficient and does not fulfill its purpose. These two partial conclusions suggest that in case of non-intervention of the European Commission the whole mechanism may fail.

  8. 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)

  9. 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.

  10. 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...... 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...... 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...

  11. Density forecasts of crude-oil prices using option-implied and ARCH-type models

    DEFF Research Database (Denmark)

    Høg, Esben; Tsiaras, Leonicas

    2011-01-01

    The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices...... 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...... 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...

  12. 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.

  13. 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.

  14. 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.

  15. 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

  16. 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

  17. 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

  18. HMM filtering and parameter estimation of an electricity spot price model

    Energy Technology Data Exchange (ETDEWEB)

    Erlwein, Christina [Department of Financial Mathematics, Fraunhofer Institute for Industrial Mathematics ITWM, Kaiserslautern (Germany); Benth, Fred Espen [CMA, Centre of Mathematics for Applications, University of Oslo, Oslo (Norway); Mamon, Rogemar [Department of Statistical and Actuarial Sciences, University of Western Ontario, London, Ontario (Canada)

    2010-09-15

    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)

  19. Perceived Control and Hedonic Tone Dynamics during Performance in Elite Shooters

    Science.gov (United States)

    Robazza, Claudio; Bertollo, Maurizio; Filho, Edson; Hanin, Yuri; Bortoli, Laura

    2016-01-01

    Purpose: The purpose of the study was to investigate the individuals' dynamics of perceived control and hedonic tone over time, with respect to the 4 performance states as conceptualized within the multiaction plan (MAP) model. We expected to find idiosyncratic and differentiated trends over time in the scores of perceived control and hedonic…

  20. 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.

  1. 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.

  2. 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.

  3. 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.

  4. 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.

  5. 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.

  6. 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.

  7. 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

  8. Bio-economic modelling of decisions under yield and price risk for suckler cow farms

    NARCIS (Netherlands)

    Briner, Simon; Lehmann, Niklaus; Finger, Robert

    2015-01-01

    Applying a bio-economic whole-farm model, we assess the impact of price and weather risk as well as different risk-management strategies on the variability of the gross margin in Swiss suckler cow production. For instance, flexible adjustment of fodder composition, feed stocks, or land use as

  9. 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

  10. Lattice Methods for Pricing American Strangles with Two-Dimensional Stochastic Volatility Models

    Directory of Open Access Journals (Sweden)

    Xuemei Gao

    2014-01-01

    Full Text Available The aim of this paper is to extend the lattice method proposed by Ritchken and Trevor (1999 for pricing American options with one-dimensional stochastic volatility models to the two-dimensional cases with strangle payoff. This proposed method is compared with the least square Monte-Carlo method via numerical examples.

  11. Asset Price Dynamics in a Chartist-Fundamentalist Model with Time Delays: A Bifurcation Analysis

    Directory of Open Access Journals (Sweden)

    Loretti I. Dobrescu

    2016-01-01

    Full Text Available This paper studies the dynamic behavior of asset prices using a chartist-fundamentalist model with two speculative markets. To this effect, we employ a differential system with delays à la Dibeh (2007 to describe the price dynamics and we assume that the two markets are coupled via diffusive coupling terms. We study two different time delay cases, namely, when both markets experience the same time delay and when the time delay is different across markets. First, we theoretically determine that the equilibrium exists and investigate its stability. Second, we establish the general conditions for the existence of local Hopf bifurcations and analyze their direction and stability. The common conclusion from both the delay scenarios we consider is that coupled speculative markets with heterogeneous agents in each, but with different price dynamics, can be synchronized through diffusive coupling. Finally, we provide some numerical illustrations to confirm our theoretical findings.

  12. 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....

  13. 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.

  14. Price Fairness versus Pricing Fairness

    OpenAIRE

    Chapuis, Jean Michel

    2012-01-01

    International audience; This research note discusses the distinction between these two concepts of perceptions of fairness, based on the theory of distributive justice and procedural justice, in order to helps understand consumer behavior. With a sample of 250 tourists in French Polynesia and a structural equation model, tourists do not confuse price fairness and pricing fairness. The theoretical implications are that future research should use two distinct scales. For managers, the study sug...

  15. Bayesian Network Modeling to Improve Water Pricing Practices in Northwest China

    Directory of Open Access Journals (Sweden)

    Yusuyunjiang Mamitimin

    2015-10-01

    Full Text Available Water pricing is regarded as the most important and simplest economic instrument to encourage more efficient use of irrigation water in crop production. In the extremely water-scarce Tarim River basin in northwest China, improving water use efficiency has high relevance for research and policy. A Bayesian network modeling approach was applied, which is especially suitable under data-scarce conditions and the complex geo-hydrological, socioeconomic, and institutional settings of the study region, as it allows the integration of data from various types of sources. The transdisciplinary approach aimed at understanding the actual water pricing practices, the shortcomings of the current system, and possible ways of improvement. In an iterative procedure of expert interviews and group workshops, the key factors related to water pricing and water use efficiency were identified. The interactions among specific factors were defined by the respective experts, generating a causal network, which describes all relevant aspects of the investigated system. This network was finally populated with probabilistic relationships through a second round of expert interviews and group discussions. The Bayesian modeling exercise was then conducted using Netica software. The modeling results show that the mere increase of water price does not lead to significant increases in water use efficiency in crop production. Additionally, the model suggests a shift to volumetric water pricing, subsidization of water saving irrigation technology, and advancing agricultural extension to enable the farmer to efficiently react to increased costs for water. The applied participatory modeling approach helped to stimulate communication among relevant stakeholders from different domains in the region, which is necessary to create mutual understanding and joint targeted action. Finally, the challenges related to the applied transdisciplinary Bayesian modeling approach are discussed in the

  16. 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

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

    Science.gov (United States)

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

    2016-01-01

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

  18. Generation of predictive price and trading volume patterns in a model of dynamically evolving free market supply and demand

    Directory of Open Access Journals (Sweden)

    J. K. Wang

    2001-01-01

    Full Text Available I present a model of stock market price fluctuations incorporating effects of share supply as a history-dependent function of previous purchases and share demand as a function of price deviation from moving averages. Price charts generated show intervals of oscillations switching amplitude and frequency suddenly in time, forming price and trading volume patterns well-known in market technical analysis. Ultimate price trends agree with traditional predictions for specific patterns. The consideration of dynamically evolving supply and demand in this model resolves the apparent contradiction with the Efficient Market Hypothesis: perceptions of imprecise equity values by a world of investors evolve over non-negligible periods of time, with dependence on price history.

  19. A game theory model for stabilizing price of chili: A case study

    Science.gov (United States)

    Wardayanti, Ari; Aviv, Afgan Suffan; Sutopo, Wahyudi; Hisjam, Muh.

    2017-11-01

    Chili is one of the important agricultural commodity in Indonesia because of its widely consumption by the Indonesian. Chili becomes one of the commodities that experience price fluctuations and important cause of yearly inflation in Indonesia. The unstable price of chili is affected by the scarcity of the commodity in some months and the difference of the harvest season. This study proposes a model to solve the problem by considering the substitution of fresh chilies with dried chili. We propose the cooperative of chili's farmer as entities that process fresh chili into dry ones. The existence of substitution products is expected to maintain the price stability chili. This research was conducted by taking a case study on chili commodity markets in Surakarta which consists of 19 traditional markets. This study aims to create a price stabilization scheme with product substitution using a game theory model. There are 4 strategies proposed in game theory model to describe the relationship between producers and consumers. In this case, the producers are the farmers and the consumers are the trade market. A mixed strategy of was chosen to determine the optimal value among 4 strategies. From the calculation results obtained optimal value when doing a mixed strategy of IDR 201,188,829,000.

  20. Hedon spaa = Hedon spa / Tüüne-Kristin Vaikla ; kommenteerinud Nele Rent

    Index Scriptorium Estoniae

    Vaikla, Tüüne-Kristin, 1961-

    2015-01-01

    Pärnu neoklassitsistlik mudaravila, arhitektid Olev Siinmaa, Erich von Wolffeldt, Aleksander Nürnberg. Hedon spaa Pärnu mudaravilas Ranna pst 1. Sisekujunduse autorid Tüüne-Kristin Vaikla, Urmo Vaikla (Vaikla Stuudio), Tuuli Trei, Margit Teikari; Allianss Arhitektid. Eesti Sisearhitektide Liidu aastapreemia 2014/2015 parima ühiskondliku ruumi eest. Lühidalt Vaikla Stuudiost

  1. Shifting the risk in pricing and reimbursement schemes. A new model of risk-sharing agreements for innovative drugs

    OpenAIRE

    Stefano Capri; Rossella Levaggi

    2010-01-01

    Risk sharing is becoming increasingly an increasingly popular instrument to regulate the price of new drugs. In the recent past, forms of risk-sharing agreements between the public regulator and the industry have been proposed and implemented, but their effects on price and profits are still controversial. Methods: We develop a model aimed at studying the effects on price and expected pro.t of several risk-sharing agreement between a regulator and the industry, based on the ex post effectiven...

  2. Measuring spatial transmission of white maize prices between South Africa and Mozambique: An asymmetric error correction model approach

    OpenAIRE

    Acosta, Alejandro

    2012-01-01

    Over the last decade, Mozambique has experienced drastic increases in food prices, with serious implications for households’ real income. A deeper understanding of how food prices are spatially transmitted from global to domestic markets is thus fundamental for designing policy measures to reduce poverty and food insecurity. This study assesses the spatial transmission of white maize prices between South Africa and Mozambique using an asymmetric error correction model to estimate the speed ...

  3. An Econometric Model of Healthcare Demand With Nonlinear Pricing.

    Science.gov (United States)

    Kunz, Johannes S; Winkelmann, Rainer

    2017-06-01

    From 2004 to 2012, the German social health insurance levied a co-payment for the first doctor visit in a calendar quarter. We develop a new model for estimating the effect of such a co-payment on the individual number of visits per quarter. The model combines a one-time increase in the otherwise constant hazard rate determining the timing of doctor visits with a difference-in-differences strategy to identify the reform effect. An extended version of the model accounts for a mismatch between reporting period and calendar quarter. Using data from the German Socio-Economic Panel, we do not find an effect of the co-payment on demand for doctor visits. Copyright © 2016 John Wiley & Sons, Ltd. Copyright © 2016 John Wiley & Sons, Ltd.

  4. A stochastic model for stationary dynamics of prices in real estate markets. A case of random intensity for Poisson moments of prices changes

    Science.gov (United States)

    Rusakov, Oleg; Laskin, Michael

    2017-06-01

    We consider a stochastic model of changes of prices in real estate markets. We suppose that in a book of prices the changes happen in points of jumps of a Poisson process with a random intensity, i.e. moments of changes sequently follow to a random process of the Cox process type. We calculate cumulative mathematical expectations and variances for the random intensity of this point process. In the case that the process of random intensity is a martingale the cumulative variance has a linear grows. We statistically process a number of observations of real estate prices and accept hypotheses of a linear grows for estimations as well for cumulative average, as for cumulative variance both for input and output prises that are writing in the book of prises.

  5. UPPAAL-SMC: Statistical Model Checking for Priced Timed Automata

    DEFF Research Database (Denmark)

    Bulychev, Petr; David, Alexandre; Larsen, Kim Guldstrand

    2012-01-01

    on a series of extensions of the statistical model checking approach generalized to handle real-time systems and estimate undecidable problems. U PPAAL - SMC comes together with a friendly user interface that allows a user to specify complex problems in an efficient manner as well as to get feedback...

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

    African Journals Online (AJOL)

    Many mathematical models of stochastic dynamical systems were based on the assumption that the drift and volatility coefficients were linear function of the solution. In this work, we arrive at the drift and the volatility by observing the dynamics of change in the selected stocks in a sufficiently small interval △t . We assumed ...

  7. Latent Utility Shocks in a Structural Empirical Asset Pricing Model

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Raahauge, Peter

    . We find that current dividendsdo not forecast future utility shocks, whereas current utility shocks do forecastfuture dividends. The estimated structural model produces a sequence of predictedutility shocks which provide better forecasts of future long-horizon stock market returnsthan the classical...

  8. Multiple Linear Regression Model for Estimating the Price of a ...

    African Journals Online (AJOL)

    In the modeling, the Ordinary Least Squares (OLS) normality assumption which could introduce errors in the statistical analyses was dealt with by log transformation of the data, ensuring the data is normally distributed and there is no correlation between them. Minimisation of Sum of Squares Error method was used to ...

  9. Short-Term Price Forecasting Models Based on Artificial Neural Networks for Intraday Sessions in the Iberian Electricity Market

    Directory of Open Access Journals (Sweden)

    Claudio Monteiro

    2016-09-01

    Full Text Available This paper presents novel intraday session models for price forecasts (ISMPF models for hourly price forecasting in the six intraday sessions of the Iberian electricity market (MIBEL and the analysis of mean absolute percentage errors (MAPEs obtained with suitable combinations of their input variables in order to find the best ISMPF models. Comparisons of errors from different ISMPF models identified the most important variables for forecasting purposes. Similar analyses were applied to determine the best daily session models for price forecasts (DSMPF models for the day-ahead price forecasting in the daily session of the MIBEL, considering as input variables extensive hourly time series records of recent prices, power demands and power generations in the previous day, forecasts of demand, wind power generation and weather for the day-ahead, and chronological variables. ISMPF models include the input variables of DSMPF models as well as the daily session prices and prices of preceding intraday sessions. The best ISMPF models achieved lower MAPEs for most of the intraday sessions compared to the error of the best DSMPF model; furthermore, such DSMPF error was very close to the lowest limit error for the daily session. The best ISMPF models can be useful for MIBEL agents of the electricity intraday market and the electric energy industry.

  10. Option pricing for stochastic volatility model with infinite activity Lévy jumps

    Science.gov (United States)

    Gong, Xiaoli; Zhuang, Xintian

    2016-08-01

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

  11. Modeling the price dynamics of CO{sub 2} emission allowances

    Energy Technology Data Exchange (ETDEWEB)

    Benz, Eva [Bonn Graduate School of Economics (Germany); Trueck, Stefan [Macquarie University Sydney (Australia)

    2009-01-15

    In this paper we analyze the short-term spot price behavior of carbon dioxide (CO{sub 2}) emission allowances of the new EU-wide CO{sub 2} emissions trading system (EU ETS). After reviewing the stylized facts of this new class of assets we investigate several approaches for modeling the returns of emission allowances. Due to different phases of price and volatility behavior in the returns, we suggest the use of Markov switching and AR-GARCH models for stochastic modeling. We examine the approaches by conducting an in-sample and out-of-sample forecasting analysis and by comparing the results to alternative approaches. Our findings strongly support the adequacy of the models capturing characteristics like skewness, excess kurtosis and in particular different phases of volatility behavior in the returns. (author)

  12. A reaction-diffusion model for market fluctuations - A relation between price change and traded volumes

    Science.gov (United States)

    Yuvan, Steven; Bier, Martin

    2018-02-01

    Two decades ago Bak et al. (1997) [3] proposed a reaction-diffusion model to describe market fluctuations. In the model buyers and sellers diffuse from opposite ends of a 1D interval that represents a price range. Trades occur when buyers and sellers meet. We show analytically and numerically that the model well reproduces the square-root relation between traded volumes and price changes that is observed in real-life markets. The result is remarkable as this relation has commonly been explained in terms of more elaborate trader strategies. We furthermore explain why the square-root relation is robust under model modifications and we show how real-life bond market data exhibit the square-root relation.

  13. Probabilistic Price Forecasting for Day-Ahead and Intraday Markets: Beyond the Statistical Model

    Directory of Open Access Journals (Sweden)

    José R. Andrade

    2017-10-01

    Full Text Available Forecasting the hourly spot price of day-ahead and intraday markets is particularly challenging in electric power systems characterized by high installed capacity of renewable energy technologies. In particular, periods with low and high price levels are difficult to predict due to a limited number of representative cases in the historical dataset, which leads to forecast bias problems and wide forecast intervals. Moreover, these markets also require the inclusion of multiple explanatory variables, which increases the complexity of the model without guaranteeing a forecasting skill improvement. This paper explores information from daily futures contract trading and forecast of the daily average spot price to correct point and probabilistic forecasting bias. It also shows that an adequate choice of explanatory variables and use of simple models like linear quantile regression can lead to highly accurate spot price point and probabilistic forecasts. In terms of point forecast, the mean absolute error was 3.03 €/MWh for day-ahead market and a maximum value of 2.53 €/MWh was obtained for intraday session 6. The probabilistic forecast results show sharp forecast intervals and deviations from perfect calibration below 7% for all market sessions.

  14. 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

  15. Dynamic leverage asset pricing

    OpenAIRE

    Adrian,Tobias; Moench, Emanuel; Shin, Hyun Song

    2013-01-01

    We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses detrended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing factor, is shown to perform well in time series and cross-sectional tests of a wide variety of equity and bond portfolios. The model outperforms alternative specifications of intermediary pricing model...

  16. Evolution of the Relative Price of Goods and Services in a Neoclassical Model of Capital Accumulation

    OpenAIRE

    Vladimir Klyuev

    2005-01-01

    The paper provides an explanation for the secular increase in the price of services relative to that of manufactured goods that relies on capital accumulation rather than on an exogenous total factor productivity growth differential. The key assumptions of the two-sector, intertemporal optimizing model are relatively high capital intensity in the production of goods and limited cross-border capital mobility, allowing the interest rate to vary. With plausible parameterization, the model also p...

  17. The History of the Static Equilibrium Dominant Firm Price Leadership Model

    OpenAIRE

    Christoph Schenzler; John J. Siegfried; William O. Thweatt

    1992-01-01

    The static equilibrium dominant firm price leadership model is traced to a seminar presentation by Karl Forchheimer in 1906, who seems to have originated the concept of a dominant firm facing competition from fringe rivals maximizing profits on the basis of residual demand--industry demand less quantity supplied by the fringe. Heinrich von Stackelberg completed the model analytically in 1934, although in a duopoly context absent stable equilibrium. George Stigler finally combined von Stackelb...

  18. Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

    Science.gov (United States)

    Schütz, Gunter M.; de Almeida Prado, Fernando Pigeard; Harris, Rosemary J.; Belitsky, Vladimir

    2009-10-01

    We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows us to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution, the results are independent of the graph structure that models the peer network of agents whose decisions influence each other.

  19. 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

    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...... process under congestion. At the same time it is an empirical regularity that electricity prices tend to show a high degree of fractional integration, and thus that prices may be fractionally cointegrated. An empirical analysis using Nord Pool data shows that even though the prices strongly co-move under...

  20. A long-term/short-term model for daily electricity prices with dynamic volatility

    Energy Technology Data Exchange (ETDEWEB)

    Schlueter, Stephan

    2010-09-15

    In this paper we introduce a new stochastic long-term/short-term model for short-term electricity prices, and apply it to four major European indices, namely to the German, Dutch, UK and Nordic one. We give evidence that all time series contain certain periodic (mostly annual) patterns, and show how to use the wavelet transform, a tool of multiresolution analysis, for filtering purpose. The wavelet transform is also applied to separate the long-term trend from the short-term oscillation in the seasonal-adjusted log-prices. In all time series we find evidence for dynamic volatility, which we incorporate by using a bivariate GARCH model with constant correlation. Eventually we fit various models from the existing literature to the data, and come to the conclusion that our approach performs best. For the error distribution, the Normal Inverse Gaussian distribution shows the best fit. (author)

  1. Joint Pricing and Purchasing Decisions for the Dual-Channel Newsvendor Model with Partial Information

    Directory of Open Access Journals (Sweden)

    Jixiang Zhou

    2014-01-01

    Full Text Available We investigate a joint pricing and purchasing problem for the dual-channel newsvendor model with the assumption that only the mean and variance of the demand are known. The newsvendor in our model simultaneously distributes a single product through traditional retail and Internet. A robust optimization approach that maximizes the worst-case profit is adapted under the aforementioned conditions to model demand uncertainty and linear clearing functions that characterize the relationship between demand and prices. We obtain a close-form expression for the robust optimal policy. Illustrative simulations and numerical experiments show the effects of several parameters on the optimal policy and on newsvendor performance. Finally, we determine that the gap between newsvendor performance under demand certainty and uncertainty is minimal, which shows that the robust approach can significantly improve performance.

  2. 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...... the effect of the riskneutralization, and we derive approximation procedures which allow for a computationally efficient implementation of the model. When the model is estimated on financial returns data the results indicate that compared to the Gaussian case the extension is important. A study of the model...

  3. EPS Prize Lecture. Licking and liking: the assessment of hedonic responses in rodents.

    Science.gov (United States)

    Dwyer, Dominic M

    2012-01-01

    Affective processes are a key determinant of behaviour: At its simplest, liked stimuli are approached while disliked stimuli are avoided. Although assessing hedonic responses in nonverbal animals can be difficult, one relatively tractable approach relies on detailed analyses of rodents' consummatory behaviour. Rodents typically produce rhythmic sets of licks that can be grouped into clusters on the basis of the intervals between licks. The mean number of licks in a cluster (cluster size) is directly related to the concentration of palatable and unpalatable solutions. These relationships suggest that lick cluster size might be a useful index of an animal's hedonic reaction to the solution being consumed. I begin by reviewing studies of conditioned flavour preference and aversion that support the idea that lick cluster size can provide useful information about rats' hedonic reactions. I then describe how this methodology has been used to address previously intractable issues in the investigation of contrast effects as well as revealing an analogue of effort justification effects that, in humans, are commonly explained in terms of cognitive dissonance reduction. Finally, I consider how lick analysis might provide information about hedonic responses in animal models of human psychiatric disorders. In all these cases, how an animal did something was particularly informative about why it was doing it.

  4. 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...

  5. An inventory model for generalized weibull deteriorating items with price dependent demand and permissible delay in payments under inflation

    Directory of Open Access Journals (Sweden)

    S.P.Singh

    2015-09-01

    Full Text Available This paper derives an inventory model is developed for items that deteriorates at a generalized Weibull distributed rate when demand for the items is dependent on the selling price. Shortages are not allowed and price inflation is taken into consideration over finite planning horizon. A brief analysis of the cost involved is carried out by theoretical analysis.

  6. Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities

    NARCIS (Netherlands)

    Jiang, GJ

    1998-01-01

    This paper develops a nonparametric model of interest rate term structure dynamics based an a spot rate process that permits only positive interest rates and a market price of interest rate risk that precludes arbitrage opportunities. Both the spot rate process and the market price of interest rate

  7. ALTERNATE PRICING STRATEGIES IN CONSTRUCTION

    Directory of Open Access Journals (Sweden)

    Krishna Mochtar

    2000-01-01

    Full Text Available Recent research findings on pricing strategies both in general and in construction are reviewed and explored. First%2C pricing strategy in general%2C mostly in the manufacturing industry%2C is reviewed. It includes the concepts of pricing strategy%2C predatory pricing%2C price wars%2C and price policy development. Second%2C pricing strategy in construction is explored. It includes various pricing models for bid price determination%2C such as the Friedman-Gates models%2C expected utility models%2C risk-pricing model%2C and the crew-day%2C multiple regression%2C and fuzzy-set pricing models. In conclusion%2C pricing strategies in construction are still predominantly based on a cost-based approach. More recent models try to close the gap between the models and the real life conditions of a bidder%5C%27s decision-making process. It appears that there are more problems in cost-based pricing as opposed to market-based pricing. Consequently%2C it is highly recommended that%2C alternative pricing approach such as that are closer to the proposed market-based pricing model need to be explored and developed for use in the construction industry. Abstract in Bahasa Indonesia : Pricing+strategy%2C+cost-based+pricing%2C+market-based+pricing.

  8. A Conceptual Framework of Green Certification Impact On Property Price

    Directory of Open Access Journals (Sweden)

    Abdullah Lizawati

    2016-01-01

    Full Text Available Green building is one of the sustainability dimensions in built environment. The issues of green building and its impact to the society have been increasingly discussed. Green certification is one of the components in measuring sustainable development and plays an important role as an assessment system to an individual building’s performance. The question arises whether the market understand and recognized the green certification. The objectives of this research are to discuss the issue pertaining to green value and the relationship between green certification and property price. The research emphasized on the understanding of property attributes focusing on green certification and the impact to the property price. Among the attributes identified are structural characteristics, location and neighborhood, and time attributes. Thus, this paper will discusses the review of literature on green development and the significance impact on property market in term of price and value. The green building development across the country could be classified as another sector in property markets that give significant impact to the real estate industry. As a result, a conceptual framework in assessing the impact of green certification is suggested to provide a significant input in developing the model of hedonic pricing for green building. This research may contribute to extend the body of knowledge in the area of green development and a suggested significant input will give much emphasize on the new valuation technique in valuing green building properties.

  9. Exporter Price Premia?

    DEFF Research Database (Denmark)

    Jäkel, Ina Charlotte; Sørensen, Allan

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

  10. Stochastic differential equation (SDE) model of opening gold share price of bursa saham malaysia

    Science.gov (United States)

    Hussin, F. N.; Rahman, H. A.; Bahar, A.

    2017-09-01

    Black and Scholes option pricing model is one of the most recognized stochastic differential equation model in mathematical finance. Two parameter estimation methods have been utilized for the Geometric Brownian model (GBM); historical and discrete method. The historical method is a statistical method which uses the property of independence and normality logarithmic return, giving out the simplest parameter estimation. Meanwhile, discrete method considers the function of density of transition from the process of diffusion normal log which has been derived from maximum likelihood method. These two methods are used to find the parameter estimates samples of Malaysians Gold Share Price data such as: Financial Times and Stock Exchange (FTSE) Bursa Malaysia Emas, and Financial Times and Stock Exchange (FTSE) Bursa Malaysia Emas Shariah. Modelling of gold share price is essential since fluctuation of gold affects worldwide economy nowadays, including Malaysia. It is found that discrete method gives the best parameter estimates than historical method due to the smallest Root Mean Square Error (RMSE) value.

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

    Science.gov (United States)

    Zhu, Qing; Zou, Yingchao; Lai, Kin Keung

    2014-01-01

    As a typical nonlinear and dynamic system, the crude oil price movement is difficult to predict and its accurate forecasting remains the subject of intense research activity. Recent empirical evidence suggests that the multiscale data characteristics in the price movement are another important stylized fact. The incorporation of mixture of data characteristics in the time scale domain during the modelling process can lead to significant performance improvement. This paper proposes a novel morphological component analysis based hybrid methodology for modeling the multiscale heterogeneous characteristics of the price movement in the crude oil markets. Empirical studies in two representative benchmark crude oil markets reveal the existence of multiscale heterogeneous microdata structure. The significant performance improvement of the proposed algorithm incorporating the heterogeneous data characteristics, against benchmark random walk, ARMA, and SVR models, is also attributed to the innovative methodology proposed to incorporate this important stylized fact during the modelling process. Meanwhile, work in this paper offers additional insights into the heterogeneous market microstructure with economic viable interpretations. PMID:25061614

  12. Day-ahead crude oil price forecasting using a novel morphological component analysis based model.

    Science.gov (United States)

    Zhu, Qing; He, Kaijian; Zou, Yingchao; Lai, Kin Keung

    2014-01-01

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

  13. 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

    respect to Q as a sum of two integrable terms. Let (tn)n∈I(0,∞) be a local sequence of increasing stopping times with limn→∞ tn = T , associated with...wise exponential distributions are known to have piecewise constant intensities. Knowing that Riemann integrable functions can be approximated almost...extensive continuous time MCMC and the two-step numerical integration procedure (Hunt & Hahn 2010, Ghosh & Goswami 2009), for simulating option prices and

  14. Lie Symmetry Analysis of a First-Order Feedback Model of Option Pricing

    Directory of Open Access Journals (Sweden)

    Winter Sinkala

    2015-01-01

    Full Text Available A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonliner generalised Black-Scholes equation and the classical Black-Scholes equation, is studied using Lie symmetry analysis. This model arises as an extension of the classical Black-Scholes model when liquidity is incorporated into the market. We compute the admitted Lie point symmetries of the system and construct an optimal system of the associated one-dimensional subalgebras. We also construct some invariant solutions of the model.

  15. The option to expand a project: its assessment with the binomial options pricing model

    Directory of Open Access Journals (Sweden)

    Salvador Cruz Rambaud

    Full Text Available Traditional methods of investment appraisal, like the Net Present Value, are not able to include the value of the operational flexibility of the project. In this paper, real options, and more specifically the option to expand, are assumed to be included in the project information in addition to the expected cash flows. Thus, to calculate the total value of the project, we are going to apply the methodology of the Net Present Value to the different scenarios derived from the existence of the real option to expand. Taking into account the analogy between real and financial options, the value of including an option to expand is explored by using the binomial options pricing model. In this way, estimating the value of the option to expand is a tool which facilitates the control of the uncertainty element implicit in the project. Keywords: Real options, Option to expand, Binomial options pricing model, Investment project appraisal

  16. A Phillips curve interpretation of error-correction models of the wage and price dynamics

    DEFF Research Database (Denmark)

    Harck, Søren H.

     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 err...... conceived of and interpreted in terms of (and to some extent even calculated by means of) this long-run Phillips curve.    ...

  17. A Phillips curve interpretation of error-correction models of the wage and price dynamics

    DEFF Research Database (Denmark)

    Harck, Søren H.

    2009-01-01

    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 erro...... conceived of and interpreted in terms of (and to some extent even calculated by means of) this long-run Phillips curve....

  18. 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 wind energy expanding rapidly in the U.S. and abroad, and 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 existing research exists on the subject. The present research is based on almost 7,500 sales of single-family homes situated within ten miles of 24 existing wind facilities in nine different U.S. states. The conclusions of the study are drawn from four different hedonic pricing models. The model results are consistent in that 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.

  19. The integration of price/cost modelling and construction planning - the automated generation of construc­tion operation

    Directory of Open Access Journals (Sweden)

    P. A. Bowen

    1997-07-01

    Full Text Available The fact that traditional price/cost models are unrelated to the construction process renders them largely unsuited to the provision of meaningful price/cost advice. The nature and lengthiness of the construction planning process has precluded its incorporation into price/cost modelling during the pre-tender phase of the traditional building procurement process. The nub of the modelling problem has been how to integrate the complex process of construction planning into the pre-tender price/cost modelling process. In this paper the authors propose the synthesis of artificial intelligence techniques and construction planning techniques, resulting in a conceptual framework for a network-based cost modelling system for use by quantity surveyors in the cost modelling of buildings.

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

    Science.gov (United States)

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

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

  1. The Impact of Wind Power Projects on Residential Property Values in the United States: A Multi-Site Hedonic Analysis

    Energy Technology Data Exchange (ETDEWEB)

    Hoen, Ben; Wiser, Ryan; Cappers, Peter; Thayer, Mark; Sethi, Gautam

    2009-12-02

    With wind energy expanding rapidly in the U.S. and abroad, and with an increasing number of communities considering wind power development nearby, there is an urgent need to empirically investigate common community concerns about wind project development. The concern that property values will be adversely affected by wind energy facilities is commonly put forth by stakeholders. Although this concern is not unreasonable, given property value impacts that have been found near high voltage transmission lines and other electric generation facilities, the impacts of wind energy facilities on residential property values had not previously been investigated thoroughly. The present research collected data on almost 7,500 sales of singlefamily homes situated within 10 miles of 24 existing wind facilities in nine different U.S. states. The conclusions of the study are drawn from eight different hedonic pricing models, as well as both repeat sales and sales volume models. The various analyses are strongly consistent in that none of the models uncovers conclusive evidence of the existence of any widespread property value impacts that might be present in communities surrounding wind energy facilities. Specifically, neither the view of the wind facilities nor the distance of the home to those facilities is found to have any consistent, measurable, and statistically significant effect on home sales prices. Although the analysis cannot dismiss the possibility that individual homes or small numbers of homes have been or could be negatively impacted, it finds that if these impacts do exist, they are either too small and/or too infrequent to result in any widespread, statistically observable impact.

  2. Flow of Funds Modeling for Localized Financial Markets: An Application of Spatial Price and Allocation Activity Analysis Models.

    Science.gov (United States)

    1981-01-01

    116 Market linkages 124 Prototypes for Product Differentiation 129 Advertising 133 Collusion and leading firm solutions 135 Monopolistic competition...market segmentation and product differentiation ; government 5 regulation and intervention; and competition not only in marketing final products, loans and...Prototypes for Product Differentiation The spatial price and allocation activity analysis model has been used to demonstrate the perfect competition

  3. Exploring the usefulness of a simple linear regression model for understanding price movements of selected recycled materials in UK.

    OpenAIRE

    Angus, Andrew; Rivas Casado, Monica; Fitzsimons, D

    2012-01-01

    The price volatility of recycled materials exposes many different organisations to financial and regulatory risk. These risks can be partially mitigated by improved understanding of price volatility using econometric models, although these have tended to be sophisticated autoregressive models, beyond the analytical capability or cost structure of the average market participant. In this context, this study explores the use of a simple linearregression model to understand the ...

  4. 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.

  5. On the effects of search attributes on price variability: An empirical investigation on quality wines

    Directory of Open Access Journals (Sweden)

    Seccia Antonio

    2017-01-01

    Full Text Available The choice of a bottle of wine is affected by the presence of attributes that are searched by consumers and can be evaluated before the purchase. The aim of the paper is to analyze the effect of some search attributes on wine price variability applying the Hedonic Price Model. It allows explaining how the price of wine varies depending on its main quality attributes. The analysis has been based on a sample of wines made in Puglia, Italian region characterized by a tradition in wine production and consumption. Data have been collected from a wine guidebook considering the years 2008–2013. The study provided a measure of the market value of some search attributes for wines produced in Puglia. Attributes as alcoholic content, age and score given by experts, influence price variability allowing wines to obtain a premium price, such as the most known Protected Designation of Origin (PDO and some Protected Geographical Indication (PGI. The name of the variety seems not to have high influence with the exception of less known and locally grown varieties. Results may be of interest for marketers and policy makers of wine industry. Managerial implications could refer to the importance of differentiation strategies aimed to market segmentation and to the pricing strategy. Policymakers could also find interesting hints about the influence of the different appellations and the importance of minor autochthonous grape varieties.

  6. The impact of green areas on dwelling prices – the case of Poznań city

    Directory of Open Access Journals (Sweden)

    Radosław Trojanek

    2016-06-01

    Full Text Available Objective: The objective of this paper is to estimate the impact of urban green areas on dwelling prices in Poznań. Research Design & Methods: In order to identify the influence of the green spaces on dwelling prices, the hedonic method was used. In the analysis, transaction prices of residential units in Poznań were used. Findings: The application of the log-linear model allows to identify the percentage difference in the price of the same dwelling located with different distances to green areas. In case of this research, the results indicates that increase the distance from green area by one kilometer lowered the price of a dwelling by 3% in Poznań in years 2013-2015. Implications & Recommendations: It is necessary to conduct research on impact of green areas on other types of properties. Different types of urban green areas may affect in different way. Contribution & Value Added: The originality of this work lies in studying some aspects of influence of green areas on dwelling prices in Poland.

  7. 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.

  8. Electricity Price Forecast Using Combined Models with Adaptive Weights Selected and Errors Calibrated by Hidden Markov Model

    Directory of Open Access Journals (Sweden)

    Da Liu

    2013-01-01

    Full Text Available A combined forecast with weights adaptively selected and errors calibrated by Hidden Markov model (HMM is proposed to model the day-ahead electricity price. Firstly several single models were built to forecast the electricity price separately. Then the validation errors from every individual model were transformed into two discrete sequences: an emission sequence and a state sequence to build the HMM, obtaining a transmission matrix and an emission matrix, representing the forecasting ability state of the individual models. The combining weights of the individual models were decided by the state transmission matrixes in HMM and the best predict sample ratio of each individual among all the models in the validation set. The individual forecasts were averaged to get the combining forecast with the weights obtained above. The residuals of combining forecast were calibrated by the possible error calculated by the emission matrix of HMM. A case study of day-ahead electricity market of Pennsylvania-New Jersey-Maryland (PJM, USA, suggests that the proposed method outperforms individual techniques of price forecasting, such as support vector machine (SVM, generalized regression neural networks (GRNN, day-ahead modeling, and self-organized map (SOM similar days modeling.

  9. Empirical evaluation of the market price of risk using the CIR model

    Science.gov (United States)

    Bernaschi, M.; Torosantucci, L.; Uboldi, A.

    2007-03-01

    We describe a simple but effective method for the estimation of the market price of risk. The basic idea is to compare the results obtained by following two different approaches in the application of the Cox-Ingersoll-Ross (CIR) model. In the first case, we apply the non-linear least squares method to cross sectional data (i.e., all rates of a single day). In the second case, we consider the short rate obtained by means of the first procedure as a proxy of the real market short rate. Starting from this new proxy, we evaluate the parameters of the CIR model by means of martingale estimation techniques. The estimate of the market price of risk is provided by comparing results obtained with these two techniques, since this approach makes possible to isolate the market price of risk and evaluate, under the Local Expectations Hypothesis, the risk premium given by the market for different maturities. As a test case, we apply the method to data of the European Fixed Income Market.

  10. Effects of minimum unit pricing for alcohol on different income and socioeconomic groups: a modelling study.

    Science.gov (United States)

    Holmes, John; Meng, Yang; Meier, Petra S; Brennan, Alan; Angus, Colin; Campbell-Burton, Alexia; Guo, Yelan; Hill-McManus, Daniel; Purshouse, Robin C

    2014-05-10

    Several countries are considering a minimum price policy for alcohol, but concerns exist about the potential effects on drinkers with low incomes. We aimed to assess the effect of a £0·45 minimum unit price (1 unit is 8 g/10 mL ethanol) in England across the income and socioeconomic distributions. We used the Sheffield Alcohol Policy Model (SAPM) version 2.6, a causal, deterministic, epidemiological model, to assess effects of a minimum unit price policy. SAPM accounts for alcohol purchasing and consumption preferences for population subgroups including income and socioeconomic groups. Purchasing preferences are regarded as the types and volumes of alcohol beverages, prices paid, and the balance between on-trade (eg, bars) and off-trade (eg, shops). We estimated price elasticities from 9 years of survey data and did sensitivity analyses with alternative elasticities. We assessed effects of the policy on moderate, hazardous, and harmful drinkers, split into three socioeconomic groups (living in routine or manual households, intermediate households, and managerial or professional households). We examined policy effects on alcohol consumption, spending, rates of alcohol-related health harm, and opportunity costs associated with that harm. Rates of harm and costs were estimated for a 10 year period after policy implementation. We adjusted baseline rates of mortality and morbidity to account for differential risk between socioeconomic groups. Overall, a minimum unit price of £0.45 led to an immediate reduction in consumption of 1.6% (-11.7 units per drinker per year) in our model. Moderate drinkers were least affected in terms of consumption (-3.8 units per drinker per year for the lowest income quintile vs 0.8 units increase for the highest income quintile) and spending (increase in spending of £0.04 vs £1.86 per year). The greatest behavioural changes occurred in harmful drinkers (change in consumption of -3.7% or -138.2 units per drinker per year, with a

  11. Bond and CDS Pricing via the Stochastic Recovery Black-Cox Model

    Directory of Open Access Journals (Sweden)

    Albert Cohen

    2017-04-01

    Full Text Available Building on recent work incorporating recovery risk into structural models by Cohen & Costanzino (2015, we consider the Black-Cox model with an added recovery risk driver. The recovery risk driver arises naturally in the context of imperfect information implicit in the structural framework. This leads to a two-factor structural model we call the Stochastic Recovery Black-Cox model, whereby the asset risk driver At defines the default trigger and the recovery risk driver Rt defines the amount recovered in the event of default. We then price zero-coupon bonds and credit default swaps under the Stochastic Recovery Black-Cox model. Finally, we compare our results with the classic Black-Cox model, give explicit expressions for the recovery risk premium in the Stochastic Recovery Black-Cox model, and detail how the introduction of separate but correlated risk drivers leads to a decoupling of the default and recovery risk premiums in the credit spread. We conclude this work by computing the effect of adding coupons that are paid continuously until default, and price perpetual (consol bonds in our two-factor firm value model, extending calculations in the seminal paper by Leland (1994.

  12. Application of artificial neural network models and principal component analysis method in predicting stock prices on Tehran Stock Exchange

    Science.gov (United States)

    Zahedi, Javad; Rounaghi, Mohammad Mahdi

    2015-11-01

    Stock price changes are receiving the increasing attention of investors, especially those who have long-term aims. The present study intends to assess the predictability of prices on Tehran Stock Exchange through the application of artificial neural network models and principal component analysis method and using 20 accounting variables. Finally, goodness of fit for principal component analysis has been determined through real values, and the effective factors in Tehran Stock Exchange prices have been accurately predicted and modeled in the form of a new pattern consisting of all variables.

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

    Science.gov (United States)

    Heydari, Jafar; Norouzinasab, Yousef

    2015-07-01

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

  14. Analysis of hedonic and utilitariam aspects as predictors of recom-mendation and repurchase of “Natal Luz

    Directory of Open Access Journals (Sweden)

    Rafael Mendes Lübeck

    2016-05-01

    Full Text Available The objective of this study was to demonstrate that the hedonic and utilitarian aspects prior to recommendation and repurchase (loyalty and the frequency of visits to an event changes the perception of the consumer of the hedonic and utilitarian motivations and the higher the frequency of visits more utilitarian event is motivation. For this purpose we proceeded a survey, applied December 2011 and January 2012, measuring the hedonic and utilitarian perception of the recommendation and moderate repurchase by the frequency of visits to the event. The data were analyzed using the structural equation modeling technique (ESM and the results showed that the more consumers attending the event, the greater the strength of utilities reasons for recommendation and repurchase and hedonic aspects and utilities prior to recommendation and repurchase. The hedonic value the results found decreases as the consumer attends the event. This evidence allowed the inference that after the first visit to the "Christmas Light" the consumer develops a useful relationship with the show and can cite "reasons" for your choice and the greater the higher repurchase will be the rationalization of choice by new repurchases of event.

  15. Intelligent Optimized Combined Model Based on GARCH and SVM for Forecasting Electricity Price of New South Wales, Australia

    Directory of Open Access Journals (Sweden)

    Yi Yang

    2014-01-01

    Full Text Available Daily electricity price forecasting plays an essential role in electrical power system operation and planning. The accuracy of forecasting electricity price can ensure that consumers minimize their electricity costs and make producers maximize their profits and avoid volatility. However, the fluctuation of electricity price depends on other commodities and there is a very complicated randomization in its evolution process. Therefore, in recent years, although large number of forecasting methods have been proposed and researched in this domain, it is very difficult to forecast electricity price with only one traditional model for different behaviors of electricity price. In this paper, we propose an optimized combined forecasting model by ant colony optimization algorithm (ACO based on the generalized autoregressive conditional heteroskedasticity (GARCH model and support vector machine (SVM to improve the forecasting accuracy. First, both GARCH model and SVM are developed to forecast short-term electricity price of New South Wales in Australia. Then, ACO algorithm is applied to determine the weight coefficients. Finally, the forecasting errors by three models are analyzed and compared. The experiment results demonstrate that the combined model makes accuracy higher than the single models.

  16. Design and analysis of experiments in ANFIS modeling for stock price prediction

    Directory of Open Access Journals (Sweden)

    Meysam Alizadeh

    2011-04-01

    Full Text Available At the computational point of view, a fuzzy system has a layered structure, similar to an artificial neural network (ANN of the radial basis function type. ANN learning algorithms can be employed for optimization of parameters in a fuzzy system. This neuro-fuzzy modeling approach has preference to explain solutions over completely black-box models, such as ANN. In this paper, we implement the design of experiment (DOE technique to identify the significant parameters in the design of adaptive neuro-fuzzy inference systems (ANFIS for stock price prediction.

  17. Short-term electricity demand and gas price forecasts using wavelet transforms and adaptive models

    Energy Technology Data Exchange (ETDEWEB)

    Nguyen, Hang T.; Nabney, Ian T. [Non-linearity and Complexity Research Group, School of Engineering and Applied Science, Aston University, Aston Triangle, Birmingham B4 7ET (United Kingdom)

    2010-09-15

    This paper presents some forecasting techniques for energy demand and price prediction, one day ahead. These techniques combine wavelet transform (WT) with fixed and adaptive machine learning/time series models (multi-layer perceptron (MLP), radial basis functions, linear regression, or GARCH). To create an adaptive model, we use an extended Kalman filter or particle filter to update the parameters continuously on the test set. The adaptive GARCH model is a new contribution, broadening the applicability of GARCH methods. We empirically compared two approaches of combining the WT with prediction models: multicomponent forecasts and direct forecasts. These techniques are applied to large sets of real data (both stationary and non-stationary) from the UK energy markets, so as to provide comparative results that are statistically stronger than those previously reported. The results showed that the forecasting accuracy is significantly improved by using the WT and adaptive models. The best models on the electricity demand/gas price forecast are the adaptive MLP/GARCH with the multicomponent forecast; their NMSEs are 0.02314 and 0.15384 respectively. (author)

  18. Choice Overload, Satisficing Behavior, and Price Distribution in a Time Allocation Model

    Directory of Open Access Journals (Sweden)

    Francisco Álvarez

    2014-01-01

    Full Text Available Recent psychological research indicates that consumers that search exhaustively for the best option of a market product—known as maximizers—eventually feel worse than consumers who just look for something good enough—called satisficers. We formulate a time allocation model to explore the relationship between different distributions of prices of the product and the satisficing behavior and the related welfare of the consumer. We show numerically that, as the number of options becomes large, the maximizing behavior produces less and less welfare and eventually leads to choice paralysis—these are effects of choice overload—whereas satisficing conducts entail higher levels of satisfaction and do not end up in paralysis. For different price distributions, we provide consistent evidence that maximizers are better off for a low number of options, whereas satisficers are better off for a sufficiently large number of options. We also show how the optimal satisficing behavior is affected when the underlying price distribution varies. We provide evidence that the mean and the dispersion of a symmetric distribution of prices—but not the shape of the distribution—condition the satisficing behavior of consumers. We also show that this need not be the case for asymmetric distributions.

  19. The impact of ICT investment and energy price on industrial electricity demand: Dynamic growth model approach

    Energy Technology Data Exchange (ETDEWEB)

    Cho, Youngsang; Lee, Jongsu; Kim, Tai-Yoo [Technology Management, Economics and Policy Program, College of Engineering, Seoul National University, Shillim-Dong San56-1, Gwanak-Ku, Seoul 151-742 (Korea)

    2007-09-15

    The authors investigate the effects of information and communications technology (ICT) investment, electricity price, and oil price on the consumption of electricity in South Korea's industries using a logistic growth model. The concept electricity intensity is used to explain electricity consumption patterns. An empirical analysis implies that ICT investment in manufacturing industries that normally consume relatively large amounts of electricity promotes input factor substitution away from the labor intensive to the electricity intensive. Moreover, results also suggest that ICT investment in some specific manufacturing sectors is conducive to the reduction of electricity consumption, whereas ICT investment in the service sector and most manufacturing sectors increases electricity consumption. It is concluded that electricity prices critically affect electricity consumption in half of South Korea's industrial sectors, but not in the other half, a finding that differs somewhat from previous research results. Reasons are suggested to explain why the South Korean case is so different. Policymakers may find this study useful, as it answers the question of whether ICT investment can ultimately reduce energy consumption and may aid in planning the capacity of South Korea's national electric power. (author)

  20. Integrated health impact assessment of travel behaviour: model exploration and application to a fuel price increase.

    Science.gov (United States)

    Dhondt, Stijn; Kochan, Bruno; Beckx, Carolien; Lefebvre, Wouter; Pirdavani, Ali; Degraeuwe, Bart; Bellemans, Tom; Int Panis, Luc; Macharis, Cathy; Putman, Koen

    2013-01-01

    Transportation policy measures often aim to change travel behaviour towards more efficient transport. While these policy measures do not necessarily target health, these could have an indirect health effect. We evaluate the health impact of a policy resulting in an increase of car fuel prices by 20% on active travel, outdoor air pollution and risk of road traffic injury. An integrated modelling chain is proposed to evaluate the health impact of this policy measure. An activity-based transport model estimated movements of people, providing whereabouts and travelled kilometres. An emission- and dispersion model provided air quality levels (elemental carbon) and a road safety model provided the number of fatal and non-fatal traffic victims. We used kilometres travelled while walking or cycling to estimate the time in active travel. Differences in health effects between the current and fuel price scenario were expressed in Disability Adjusted Life Years (DALY). A 20% fuel price increase leads to an overall gain of 1650 (1010-2330) DALY. Prevented deaths lead to a total of 1450 (890-2040) Years Life Gained (YLG), with better air quality accounting for 530 (180-880) YLG, fewer road traffic injuries for 750 (590-910) YLG and active travel for 170 (120-250) YLG. Concerning morbidity, mostly road safety led to 200 (120-290) fewer Years Lived with Disability (YLD), while air quality improvement only had a minor effect on cardiovascular hospital admissions. Air quality improvement and increased active travel mainly had an impact at older age, while traffic safety mainly affected younger and middle-aged people. This modelling approach illustrates the feasibility of a comprehensive health impact assessment of changes in travel behaviour. Our results suggest that more is needed than a policy rising car fuel prices by 20% to achieve substantial health gains. While the activity-based model gives an answer on what the effect of a proposed policy is, the focus on health may make

  1. Performance Analysis of Four Decomposition-Ensemble Models for One-Day-Ahead Agricultural Commodity Futures Price Forecasting

    Directory of Open Access Journals (Sweden)

    Deyun Wang

    2017-09-01

    Full Text Available Agricultural commodity futures prices play a significant role in the change tendency of these spot prices and the supply–demand relationship of global agricultural product markets. Due to the nonlinear and nonstationary nature of this kind of time series data, it is inevitable for price forecasting research to take this nature into consideration. Therefore, we aim to enrich the existing research literature and offer a new way of thinking about forecasting agricultural commodity futures prices, so that four hybrid models are proposed based on the back propagation neural network (BPNN optimized by the particle swarm optimization (PSO algorithm and four decomposition methods: empirical mode decomposition (EMD, wavelet packet transform (WPT, intrinsic time-scale decomposition (ITD and variational mode decomposition (VMD. In order to verify the applicability and validity of these hybrid models, we select three futures prices of wheat, corn and soybean to conduct the experiment. The experimental results show that (1 all the hybrid models combined with decomposition technique have a better performance than the single PSO–BPNN model; (2 VMD contributes the most in improving the forecasting ability of the PSO–BPNN model, while WPT ranks second; (3 ITD performs better than EMD in both cases of corn and soybean; and (4 the proposed models perform well in the forecasting of agricultural commodity futures prices.

  2. Synthesis of descriptive sensory attributes and hedonic rankings of dried persimmon (Diospyros kakisp.).

    Science.gov (United States)

    Milczarek, Rebecca R; Woods, Rachelle D; LaFond, Sean I; Breksa, Andrew P; Preece, John E; Smith, Jenny L; Sedej, Ivana; Olsen, Carl W; Vilches, Ana M

    2018-01-01

    This work aimed to characterize the sensory attributes of hot air-dried persimmon ( Diospyros kaki ) chips, correlate these attributes with consumer hedonic information, and, by doing so, present recommendations for cultivars that are most suitable for hot-air drying. A trained sensory panel evaluated dried persimmon samples (representing 40 cultivars) for flavor, taste/aftertaste, and texture. In addition, in each of two tests conducted in different years, more than 100 consumers provided hedonic evaluations of 21 unique samples in a ranking task with a balanced incomplete block design. A partial least squares regression model correlating the mean hedonic ranking to the trained panel data was developed using the data from the first consumer panel. The predictions from the model were correlated with the second panel to verify the model. It was found that including taste, aftertaste, and texture data (but not specific flavor attribute data) produced a predictive model (Spearman's ρ=0.83). This indicates that flavor is likely secondary to taste and texture in dried persimmon chips. Using the validated predictive model, 6 of the 40 persimmon cultivars tested are recommended for a dried chip product; these cultivars are 'Fuyu', 'Lycopersicon', 'Maekawa Jiro', 'Nishimura Wase', 'Tishihtzu', and 'Yotsumizo'.

  3. Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim

    Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the resulting biases. We investigate...... alternatives to the SQR model, by comparing its empirical performance with that of five different but equally parsimonious stochastic volatility models. We provide empirical evidence from three different sources. We first use realized volatilities to assess the properties of the SQR model and to guide us...... in the search for alternative specifications. We then estimate the models using maximum likelihood on S&P500 returns. Finally, we employ nonlinear least squares on a panel of option data. In comparison with earlier studies that explicitly solve the filtering problem, we analyze a more comprehensive option data...

  4. Modeling the return and volatility of the Greek electricity marginal system price

    Energy Technology Data Exchange (ETDEWEB)

    Theodorou, Petros [Department of Economics, Athens University of Economics and Business, 76, Patission Street, 104 34 Athens (Greece); Karyampas, Dimitrios [School of Economics, Mathematics and Statistics, Birkbeck, University of London (United Kingdom)

    2008-07-15

    Traditional cost based optimization models (WASP) for expansion planning do not allow for mark-to-market valuation and cannot satisfy arbitrage free requirements. This work will fill this gap by developing and estimating models for mark-to-market valuation. Furthermore the present paper examines the return and volatility of the newly born Greek's electricity market's marginal system price. A detailed description of the market mechanism and regulation is used to describe how prices are determined in order to proceed with return and volatility modeling. Continuous time mean reverting and time varying mean reverting stochastic processes have been solved in discrete time processes and estimated econometrically along with ARMAX and GARCH models. It was found that GARCH model gave much better estimation and forecasting ability. Strong persistence in mean has been found giving suspicions of market inefficiency and strong incentives for arbitrage opportunities. Finally, the change in the regulatory framework has been controlled and found to have significant impact. (author)

  5. The Tripartite Game Model for Electricity Pricing in Consideration of the Power Quality

    Directory of Open Access Journals (Sweden)

    Tianlei Zang

    2017-12-01

    Full Text Available Under the Energy Internet concept the distribution and management of resources in the electricity market have been gradually transiting from a centralized pattern to a decentralized pattern. Correspondingly, the methodological model for the analysis of economic behaviors needs to be upgraded too. Based on the idea of non-cooperative game theory, this paper puts forward a tripartite game model for electricity pricing in consideration of the power quality, which is applicable to the electricity market under the Energy Internet with distributed generation, including the State Grid Corporation of China (SGCC, generating companies (GENCOs and the marketers which correspond to the regional power-retailing companies. Then, the sequential quadratic programming based on the quasi-Newton method is given to solve the game model. Finally, four sets of tests with different game factors are carried out to verify the validity and feasibility of the proposed model and algorithm. The SGCC price, the cost and the number of GENCOs and the cross-regional environment are considered in each test, respectively. The results show that this model can adapt well to the various conditions.

  6. A production inventory model for an item with three parameter Weibull Deterioration and price discount

    Directory of Open Access Journals (Sweden)

    Pradhan L.M

    2012-09-01

    Full Text Available Background: Deterioration is a natural process for most of the items as such it cannot be ignored in study of inventory control and management. In recent years great deal of study is devoted in developing inventory models for deteriorating items considering various practical situations. Price discount for partially deteriorated items is considerably a new concept introduced in developing various models. Methods: This paper deals with the development of an inventory model for Weibull deteriorating items. Here production and demand rate are considered to be constant and the holding cost per unit is assumed to be constant with respect to time. Completely deteriorated units are discarded and partially deteriorated items are allowed to carry a discount. Shortages are not allowed. Results and conclusions: A Production Inventory model for an item with three parameter Weibull deterioration with price discount for partially deteriorated item have been proposed in this paper. Here the optimal cycle time for the model has been derived and the result is illustrated with the help of numerical example. Sensitivity analysis has been carried out to analyze the changes in the optimal solution with respect to the change in other parameters.

  7. Intact Hedonic Responses to Sweet Tastes in Autism Spectrum Disorder.

    Science.gov (United States)

    Damiano, Cara R; Aloi, Joseph; Burrus, Caley; Garbutt, James C; Kampov-Polevoy, Alexei B; Dichter, Gabriel S

    2014-03-01

    The Sweet Taste Test (STT) is a standardized measure designed to index the ability to detect differences in sweet tastes (sweet taste sensitivity) and hedonic responses to sweet tastes (sweet taste liking). Profiles of response on the STT suggest enhanced hedonic responses to sweet tastes in psychiatric disorders characterized by dysfunctional reward processing systems, including binge-eating disorders and substance use disorders, and a putative mechanism governing STT responses is the brain opioid system. The present study examined STT responses in 20 adults with autism spectrum disorder (ASD) and 38 healthy control adults. There were no differences in sweet taste sensitivity or hedonic response to sweet tastes between the ASD and control groups. Within the ASD sample, ASD symptom severity was associated with sweet taste sensitivity, but not hedonic response to sweet taste. Results may ultimately shed light on brain opioid system functioning in ASD.

  8. Analyzing the effects of past prices on reference price formation

    NARCIS (Netherlands)

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

    2004-01-01

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

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

    Science.gov (United States)

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

    2012-03-01

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

  10. Entry Decision and Pricing Policies

    OpenAIRE

    Sílvia Jorge; Cesaltina Pires

    2007-01-01

    We extend the analysis of the impact of firms' pricing policies upon entry to a framework where price competition and differentiated products are present. We consider a model where an incumbent serves two distinct and independent geographical markets and an entrant may enter in one of the markets. Entry under discriminatory pricing is more likely than under uniform pricing when entry is profitable under discriminatory pricing but unprofitable under uniform pricing. Our results show entry unde...

  11. Topographical representation of odor hedonics in the olfactory bulb.

    Science.gov (United States)

    Kermen, Florence; Midroit, Maëllie; Kuczewski, Nicola; Forest, Jérémy; Thévenet, Marc; Sacquet, Joëlle; Benetollo, Claire; Richard, Marion; Didier, Anne; Mandairon, Nathalie

    2016-07-01

    Hedonic value is a dominant aspect of olfactory perception. Using optogenetic manipulation in freely behaving mice paired with immediate early gene mapping, we demonstrate that hedonic information is represented along the antero-posterior axis of the ventral olfactory bulb. Using this representation, we show that the degree of attractiveness of odors can be bidirectionally modulated by local manipulation of the olfactory bulb's neural networks in freely behaving mice.

  12. A RBF neural network model with GARCH errors: Application to electricity price forecasting

    Energy Technology Data Exchange (ETDEWEB)

    Coelho, Leandro dos Santos [Industrial and Systems Engineering Graduate Program, PPGEPS, Pontifical Catholic University of Parana, Imaculada Conceicao, 1155, Zip code 80215-901, Curitiba, Parana (Brazil); Santos, Andre A.P. [Department of Statistics, Universidad Carlos III de Madrid, C/ Madrid, 126, 28903 Getafe, Madrid (Spain)

    2011-01-15

    In this article, we propose a nonlinear forecasting model based on radial basis function neural networks (RBF-NNs) with Gaussian activation functions and robust clustering algorithms to model the conditional mean and a parametric generalized autoregressive conditional heteroskedasticity (GARCH) specification to model the conditional volatility. Instead of calibrating the parameters of the RBF-NNs via numerical simulations, we propose an estimation procedure by which the number of basis functions, their corresponding widths and the parameters of the GARCH model are jointly estimated via maximum likelihood along with a genetic algorithm to maximize the likelihood function. We use this model to provide multi-step-ahead point and direction-of-change forecasts of the Spanish electricity pool prices. (author)

  13. International evidence on crude oil price dynamics. Applications of ARIMA-GARCH models

    Energy Technology Data Exchange (ETDEWEB)

    Mohammadi, Hassan [Department of Economics, Illinois State University, Normal, IL 61790-4200 (United States); Su, Lixian [Graduate Student, Department of Economics, Illinois State University, Normal, IL 61790-4200 (United States)

    2010-09-15

    We examine the usefulness of several ARIMA-GARCH models for modeling and forecasting the conditional mean and volatility of weekly crude oil spot prices in eleven international markets over the 1/2/1997-10/3/2009 period. In particular, we investigate the out-of-sample forecasting performance of four volatility models - GARCH, EGARCH and APARCH and FIGARCH over January 2009 to October 2009. Forecasting results are somewhat mixed, but in most cases, the APARCH model outperforms the others. Also, conditional standard deviation captures the volatility in oil returns better than the traditional conditional variance. Finally, shocks to conditional volatility dissipate at an exponential rate, which is consistent with the covariance-stationary GARCH models than the slow hyperbolic rate implied by the FIGARCH alternative. (author)

  14. A stochastic delay model for pricing debt and equity: Numerical techniques and applications

    Science.gov (United States)

    Tambue, Antoine; Kemajou Brown, Elisabeth; Mohammed, Salah

    2015-01-01

    Delayed nonlinear models for pricing corporate liabilities and European options were recently developed. Using self-financed strategy and duplication we were able to derive a Random Partial Differential Equation (RPDE) whose solutions describe the evolution of debt and equity values of a corporate in the last delay period interval in the accompanied paper (Kemajou et al., 2012) [14]. In this paper, we provide robust numerical techniques to solve the delayed nonlinear model for the corporate value, along with the corresponding RPDEs modeling the debt and equity values of the corporate. Using financial data from some firms, we forecast and compare numerical solutions from both the nonlinear delayed model and classical Merton model with the real corporate data. From this comparison, it comes up that in corporate finance the past dependence of the firm value process may be an important feature and therefore should not be ignored.

  15. Multi-Objective Demand Response Model Considering the Probabilistic Characteristic of Price Elastic Load

    Directory of Open Access Journals (Sweden)

    Shengchun Yang

    2016-01-01

    Full Text Available Demand response (DR programs provide an effective approach for dealing with the challenge of wind power output fluctuations. Given that uncertain DR, such as price elastic load (PEL, plays an important role, the uncertainty of demand response behavior must be studied. In this paper, a multi-objective stochastic optimization problem of PEL is proposed on the basis of the analysis of the relationship between price elasticity and probabilistic characteristic, which is about stochastic demand models for consumer loads. The analysis aims to improve the capability of accommodating wind output uncertainty. In our approach, the relationship between the amount of demand response and interaction efficiency is developed by actively participating in power grid interaction. The probabilistic representation and uncertainty range of the PEL demand response amount are formulated differently compared with those of previous research. Based on the aforementioned findings, a stochastic optimization model with the combined uncertainties from the wind power output and the demand response scenario is proposed. The proposed model analyzes the demand response behavior of PEL by maximizing the electricity consumption satisfaction and interaction benefit satisfaction of PEL. Finally, a case simulation on the provincial power grid with a 151-bus system verifies the effectiveness and feasibility of the proposed mechanism and models.

  16. Just value of the Tactebel energy: an valuation from the main models of pricing asset

    Directory of Open Access Journals (Sweden)

    Renato Campos

    2010-01-01

    Full Text Available This study aimed to determine the current fair value of Tractebel Energia, from the main asset pricing models. The company was taken as the object due to its stable growth and the ease of obtaining data, since it is located in the city of Florianopolis. Nevertheless, the volatility in its shares has been priced aroused interest. Therefore, this study intended to provide subsidy for the decision making of investors regarding the purchase or sale of company stock. For this, the theoretical treat on the concept of asset valuation and the main models available, emphasizing their applications and limitations, which are: assessment book on, discounted dividend model and discounted cash flow. Regarding the methodological aspect, the research fits into exploratory, descriptive, highly quantitative field study and case. Moreover, it was made use of desk research, literature, interview and program Economática. Thus, the analysis of data initially sought to raise the assumptions demanded by each of the models surveyed ad apply them. The results were then compared and adjusted so that there is consistency. He was later adopted an arithmetic mean to assign a fair value to the company. From this average was defined as an acceptance range, depending on the variability of results and uncertainty in the estimates.

  17. Forecasting spot prices in bulk shipping using multivariate and univariate models

    Directory of Open Access Journals (Sweden)

    N.D. Geomelos

    2014-12-01

    Full Text Available This paper employs an applied econometric study concerning forecasting spot prices in bulk shipping in both markets of tankers and bulk carriers in a disaggregated level. This research is essential, as spot market is one of the most volatile markets and there is a great uncertainty about the future development of spot prices. This uncertainty could be reduced by using estimates of ex-post and ex-ante forecasts. Econometric analysis focuses in the comparison of different econometric models from two important categories of econometrics: (1 multivariate models (VAR and VECM and (2 univariate time series models (ARIMA, GARCH and E-GARCH in order to derive the best predicting model for each ship type. Also, forecasts can be modified to yield an improved performance of forecasting accuracy via the theory of combining methods. Ex-post and ex-ante forecasts are estimated on the basis of best predicting model’s performance. Results show that the combining methodology can reduce even more the forecasting errors. The results of empirical analysis could also be useful from the specialization, identification, estimation, and evaluation of previous econometric models’ point of view. Also, ex-ante forecasts, which are taking into consideration the present economic crisis, can be used for the formation of efficient economic policy from decision-makers of shipping industry reducing even more spot markets’ risk.

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

    Science.gov (United States)

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

    2010-04-17

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

  19. Using the Theory of Games to Modelling the Equipment and Prices of Car Parking

    Science.gov (United States)

    Parkitny, Waldemar

    2017-10-01

    In large cities there are two serious problems connected with increasing number of cars. The first problem is the congestion of vehicles’ movement. The second one is too small of car parks, especially in centres of the cities. Authorities of cities and management of municipal streets introduce limitations in vehicles’ movement and reduce the number of car parks to minimalize streets crowd. That acting seems logical, but this is only the one point of view. From the other point of view municipal governments should aim to improve the level of the occupants’ life and assure the financial incomes, which enable to cover indispensable expenses. From this point of view, the municipal car parks are needed and bringing the profits element of municipal infrastructure. Cracow, which is one of the largest cities in Poland (about 760 thousands of occupants, and Cracovian agglomeration is about 1.4 million persons), was chosen as the object of the investigations. The zone of paid parking in Cracow, administered by the company belonging to city, has possessed 28837 parking places in 28.01.2016. In the zone there are assigned car parks or parking places near to the curbs and on pavements. The zone operates from Monday to Friday, from 10.00 to 20.00. Assuming using car parks only in 50% and fare of about 0.7 euro per hour, we receive incomes figuring out about 740000 euro/month. The purpose of the investigations was the identification of technical parameters of car parks being preferred by drivers. The investigations had been executed by method of questionnaires. Next the mathematical model of competition was made. The model was executed basing on the theory of games. Strategies of “Player 1” were prices and technical equipment of car parks and parking places lying in the zone of paid parking, administered by municipal company. Strategies of “Player 2” were prices and technical equipment of car parks belonging to private owners and two commercial centres in the city

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

    Science.gov (United States)

    Greenblatt, R. E.

    2014-12-01

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

  1. On a price formation free boundary model by Lasry and Lions

    KAUST Repository

    Caffarelli, Luis A.

    2011-06-01

    We discuss global existence and asymptotic behaviour of a price formation free boundary model introduced by Lasry and Lions in 2007. Our results are based on a construction which transforms the problem into the heat equation with specially prepared initial datum. The key point is that the free boundary present in the original problem becomes the zero level set of this solution. Using the properties of the heat operator we can show global existence, regularity and asymptotic results of the free boundary. 2011 Académie des sciences.

  2. Commodity Price Uncertainty and Manufactured Exports in Morocco and Tunisia: Some Insights from a Novel GARCH Model

    OpenAIRE

    Bouoiyour, Jamal; Selmi, Refk

    2013-01-01

    This paper attempts to assess empirically the short-run dynamic between commodity price uncertainty and manufactured exports in Morocco and Tunisia. To this end, we propose a novel model Component with Multiple Threshold-GARCH (CMT-GARCH) that extends Weighted-GARCH of Bauwens and Storti (2008). Our results clearly show a positive and significant connection between commodity price volatility and manufactured exports, which is transitory for Morocco and Tunisia (except the impact of manufactur...

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

    Science.gov (United States)

    Shabri, Ani; Samsudin, Ruhaidah

    2014-01-01

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

  4. Hedonic Coalition Formation for Distributed Task Allocation among Wireless Agents

    CERN Document Server

    Saad, Walid; Basar, Tamer; Debbah, Merouane; Hjørungnes, Are

    2010-01-01

    Autonomous wireless agents such as unmanned aerial vehicles or mobile base stations present a great potential for deployment in next-generation wireless networks. While current literature has been mainly focused on the use of agents within robotics or software applications, we propose a novel usage model for self-organizing agents suited to wireless networks. In the proposed model, a number of agents are required to collect data from several arbitrarily located tasks. Each task represents a queue of packets that require collection and subsequent wireless transmission by the agents to a central receiver. The problem is modeled as a hedonic coalition formation game between the agents and the tasks that interact in order to form disjoint coalitions. Each formed coalition is modeled as a polling system consisting of a number of agents which move between the different tasks present in the coalition, collect and transmit the packets. Within each coalition, some agents can also take the role of a relay for improving...

  5. Supplier Selection in Three Echelon Supply Chain & Vendor Managed Inventory Model Under Price Dependent Demand Condition

    Directory of Open Access Journals (Sweden)

    Mohammad Sohrabi

    2016-02-01

    Full Text Available This paper, considers the supplier selection in three echelon supply chain with Vendor Managed Inventory (VMI strategy under price dependent demand condition. As there is a lack of study on the supplier selection in VMI literature, this paper presents a VMI model in supply chain including multi supplier, one distributer and multi retailer that distributer selects suppliers. Two class models (traditional vs. VMI are presented and we compare them to study the impact of VMI on supply chain and supplier selection. As the proposed model is a NP-hard problem, a meta-heuristics namely Harmony Search is employed to optimize the proposed models. We show that how the VMI system can effect on supplier selection and can change the set of selected suppliers. Finally the conclusion and further studies are presented

  6. Price-Dynamics of Shares and Bohmian Mechanics: Deterministic or Stochastic Model?

    Science.gov (United States)

    Choustova, Olga

    2007-02-01

    We apply the mathematical formalism of Bohmian mechanics to describe dynamics of shares. The main distinguishing feature of the financial Bohmian model is the possibility to take into account market psychology by describing expectations of traders by the pilot wave. We also discuss some objections (coming from conventional financial mathematics of stochastic processes) against the deterministic Bohmian model. In particular, the objection that such a model contradicts to the efficient market hypothesis which is the cornerstone of the modern market ideology. Another objection is of pure mathematical nature: it is related to the quadratic variation of price trajectories. One possibility to reply to this critique is to consider the stochastic Bohm-Vigier model, instead of the deterministic one. We do this in the present note.

  7. Price Perception

    OpenAIRE

    Margianti, E.S.; Saptariani, Trini; Sirongoringo, Hotniar

    2008-01-01

    This research is intended to investigate consumer price perception which is set up by two (2) big retail chains. However, research variable is subjected to consumer opinion, so that survey research was deployed to gather data needed. Questionnaire, as research instrument, was distributed to consumers who perform convenience shopping goods at two chains, i.e. Carrefour and Giant in Depok city. As research variables are latent in nature, multilevel structural equation modeling was used to analy...

  8. Fuel price and technological uncertainty in a real options model for electricity planning

    Energy Technology Data Exchange (ETDEWEB)

    Fuss, Sabine [International Institute of Systems Analysis, Schlossplatz 1, A-2361 Laxenburg (Austria); Szolgayova, Jana [International Institute of Systems Analysis, Schlossplatz 1, A-2361 Laxenburg (Austria); Department of Applied Mathematics and Statistics, Faculty of Mathematics, Physics and Informatics, Comenius University, Bratislava (Slovakia)

    2010-09-15

    Electricity generation is an important source of total CO{sub 2} emissions, which in turn have been found to relate to an acceleration of global warming. Given that many OECD countries have to replace substantial portions of their electricity-generating capacity over the next 10-20 years, investment decisions today will determine the CO{sub 2}-intensity of the future energy mix. But by what type of power plants will old (mostly fossil-fuel-fired) capacity be replaced? Given that modern, less carbon-intensive technologies are still expensive but can be expected to undergo improvements due to technical change in the near future, they may become more attractive, especially if fossil fuel price volatility makes traditional technologies more risky. At the same time, technological progress is an inherently uncertain process itself. In this paper, we use a real options model with stochastic technical change and stochastic fossil fuel prices in order to investigate their impact on replacement investment decisions in the electricity sector. We find that the uncertainty associated with the technological progress of renewable energy technologies leads to a postponement of investment. Even the simultaneous inclusion of stochastic fossil fuel prices in the same model does not make renewable energy competitive compared to fossil-fuel-fired technology in the short run based on the data used. This implies that policymakers have to intervene if renewable energy is supposed to get diffused more quickly. Otherwise, old fossil-fuel-fired equipment will be refurbished or replaced by fossil-fuel-fired capacity again, which enforces the lock-in of the current system into unsustainable electricity generation. (author)

  9. Estimating Price Volatility Structure in Iran’s Meat Market: Application of General GARCH Models

    Directory of Open Access Journals (Sweden)

    Z. Rasouli Birami

    2016-10-01

    Full Text Available Introduction: Over the past few years, the price volatility of agricultural products and food markets has attracted attention of many researchers and policy makers. This growing attention was started from the food price crisis in 2007 and 2008 when major agricultural products faced accelerated price increases and then rapidly decreased. This paper focused on the price volatility of major commodities related to three market levels of Iran’s meat market, including hay (the input level, calf and sheep (the wholesale level and beef and mutton (the retail level. In particular, efforts will made to find more appropriate models for explaining the behavior of volatility of the return series and to identify which return series are more volatile. The effects of good and bad news on the volatility of prices in each return series will also be studied. Materials and Methods: Different GARCH type models have been considered the best for modeling volatility of return series. Nonlinear GARCH models were introduced to capture the effect of good and bad news separately. The paper uses some GARCH type models including GARCH, Exponential GARCH (EGARCH, GJR-GARCH, Threshold GARCH (TGARCH, Simple Asymmetric GARCH (SAGARCH, Power GARCH (PGARCH, Non-linear GARCH (NGARCH, Asymmetric Power GARCH (APGARCH and Non-linear Power GARCH (NPGARCH to model the volatility of hay, calf, sheep, beef and mutton return series. The data on hay, calf, sheep, and beef and mutton monthly prices are published by Iran’s livestock support firm. The paper uses monthly data over the sample period of the May 1992 to the March 2014. Results and Discussion: Descriptive statistics of the studied return series show evidence of skewness and kurtosis. The results here show that all the series has fat tails. The significant p-values for the Ljung-Box Q-statistics mean that the auto-correlation exists in the squared residuals. The presence of unit roots in the return series is confirmed by the

  10. Food Prices Transmission In Rwanda: Econometric Analysis ...

    African Journals Online (AJOL)

    This paper analyses the food prices transmission using econometric techniques where vector autoregressive models were formulated. Price transmission means the change of one price caused by the change of another price. Spatial price transmission is used in this study and price transmission is affected by different ...

  11. Modeling hourly Electricity Spot Market Prices as non stationary functional times series

    OpenAIRE

    Liebl, Dominik

    2010-01-01

    The instantaneous nature of electricity distinguishes its spot prices from spot prices for equities and other commodities. Up to now electricity cannot be stored economically and therefore demand for electricity has an untempered effect on electricity prices. In particular, hourly electricity spot prices show a vast range of dynamics which can change rapidly. In this paper we introduce a robust version of functional principal component analysis for sparse data. The functional perspective inte...

  12. 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

    into the continuous sample path variance, the variation arising from discontinuous jumps that occur during the trading day, as well as the overnight return variance. Our empirical results, based on long samples of high-frequency equity and bond futures returns, suggest that the dynamic dependencies in the daily......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...... continuous sample path variability is well described by an approximate long-memory HAR-GARCH model, while the overnight returns may be modelled by an augmented GARCH type structure. The dynamic dependencies in the non-parametrically identified significant jumps appear to be well described by the combination...

  13. An EPLS model for a variable production rate with stock-price sensitive demand and deterioration

    Directory of Open Access Journals (Sweden)

    Roy T.

    2012-01-01

    Full Text Available It is observed that large piles of consumer goods displayed in supermarkets lead consumers to buy more, which generates more profit to sellers. But a large number of on-hand display of stock leaves a negative impression on the buyer. Also, the amount of shelf or display space is limited. Due to this reason, we impose a restriction on the number of on-hand display of stock and also on initial and ending on-hand stock levels. We introduce an economic production lot size model, where production rate depends on stock and selling price per unit. A constant fraction deterioration rate is considered in this model. To illustrate the results of the model, four numerical examples are established. Sensitivity analysis of the changes of parameter values is also given.

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

    Science.gov (United States)

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

    2016-11-01

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

  15. Inventory models with stock- and price-dependent demand for deteriorating items based on limited shelf space

    Directory of Open Access Journals (Sweden)

    Chang Chun-Tao

    2010-01-01

    Full Text Available This paper deals with the problem of determining the optimal selling price and order quantity simultaneously under EOQ model for deteriorating items. It is assumed that the demand rate depends not only on the on-display stock level but also the selling price per unit, as well as the amount of shelf/display space is limited. We formulate two types of mathematical models to manifest the extended EOQ models for maximizing profits and derive the algorithms to find the optimal solution. Numerical examples are presented to illustrate the models developed and sensitivity analysis is reported.

  16. Model of price-dependent management of an industrial enterprise energy consumption

    Directory of Open Access Journals (Sweden)

    Solovieva I.A.

    2017-01-01

    Full Text Available The article is devoted to the problems of price-dependent management of energy consumed by industrial enterprises which are involved in purchasing energy in the wholesale and retail energy markets. The article provides the analysis of forming the obligation value to pay for each component of cost of energy. There have been revealed ways and time intervals of energy consumption demand value management in order to minimize the obligation value to pay for cost of energy. The authors have developed a model aimed at managing energy consumption demand which takes into consideration the specific character of forming the obligation to pay in terms of each component of cost bearing in mind to the factors restricting possibilities to manage demand in the time intervals required. The article also covers some description of the parameters developed for information support of the model offered. The practical approval conducted by the authors, permits to state that using the mechanism of price-dependent energy consumption gives industrial enterprises substantial reserves to reduce energy consumption costs. The research results are of practical importance and can be applied in everyday activity connected with energy purchasing by industrial enterprises.

  17. Price Recall, Bertrand Paradox and Price Dispersion With Elastic Demand

    NARCIS (Netherlands)

    Carvalho, M.

    2009-01-01

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

  18. Oil-Price Volatility and Macroeconomic Spillovers in Central and Eastern Europe: Evidence from a Multivariate GARCH Model

    Directory of Open Access Journals (Sweden)

    Hegerty Scott W.

    2015-11-01

    Full Text Available Recent commodity price declines have added to worldwide macroeconomic risk, which has had serious effects on both commodity exporters and manufacturers that use oil and raw materials. These effects have been keenly felt in Central and Eastern Europe—particularly in Russia, but also in European Union member states. This study tests for spillovers among commodity-price and macroeconomic volatility by applying a VAR(1-MGARCH model to monthly time series for eight CEE countries. Overall, we find that oil prices do indeed have effects throughout the region, as do spillovers among exchange rates, inflation, interest rates, and output, but that they differ from country to country—particularly when different degrees of transition and integration are considered. While oil prices have a limited impact on the currencies of Russia and Ukraine, they do make a much larger contribution to the two countries’ macroeconomic volatility than do spillovers among the other macroeconomic variables.

  19. FPL-PELPS : a price endogenous linear programming system for economic modeling, supplement to PELPS III, version 1.1.

    Science.gov (United States)

    Patricia K. Lebow; Henry Spelter; Peter J. Ince

    2003-01-01

    This report provides documentation and user information for FPL-PELPS, a personal computer price endogenous linear programming system for economic modeling. Originally developed to model the North American pulp and paper industry, FPL-PELPS follows its predecessors in allowing the modeling of any appropriate sector to predict consumption, production and capacity by...

  20. Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model

    Directory of Open Access Journals (Sweden)

    Petra Posedel

    2006-12-01

    Full Text Available The interest of professional investors in financial derivatives on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal framework. The quantification of the fair price of such financial instruments is therefore becoming increasingly important. Once the derivatives market is formed, the use of the Black-Scholes option pricing model is also expected. However, contrary to the assumptions of the Black-Scholes model, research in the field of option markets worldwide suggests that the volatility of the time-series returns is not constant over time. The present study analyzes the implications of volatility that changes over time for option pricing. The nonlinear-in-mean asymmetric GARCH model that reflects asymmetry in the distribution of returns and the correlation between returns and variance is recommended. For the purpose of illustration, we use the NGARCH model for the pricing of foreign currency options. Possible prices for such options having different strikes and maturities are then determined using Monte Carlo simulations. The improvement provided by the NGARCH model is that the option price is a function of the risk premium embedded in the underlying asset. This contrasts with the standard preference-free option pricing result that is obtained in the Black-Scholes model.

  1. LAND – PRICE DETERMINANTS USING THE SPATIAL ECONOMETRICS MODELING IN THE MOLDAVIAN REAL ESTATE MARKET

    Directory of Open Access Journals (Sweden)

    Anatol RACUL

    2012-01-01

    Full Text Available The purpose of this paper is to determine the factors which influence the land market in Republic of Moldova. The paper aims to discover the determinants for land pricing using the spatial econometrics modeling, as it is widely used when the spatial component is present. The country’s agricultural economy combined with the interest of international organizations and limited data availability directed the focus of this empirical study towards land for agricultural purposes. The factors which determine the land market (for agricultural purposes in Republic of Moldova are mainly related to economic characteristics of land, such as field productivity, the position on the local landscape (characterized by angle and soil quality, proximity to local or national roads (due to storage and transportation reasons, and economic characteristics of owners. Also, another important role in land market price creation is the pressure of urban space to transform land for agricultural use close to cities and villages in spaces for industrial or residential purposes. This is characterized by the financial pressure from the urban centers which has become significant in land transactions.

  2. Implementation of Equilibrium-Price Model to the Estimation of Import Inflation

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    Yadulla Hasanli

    2015-04-01

    Full Text Available This study aims at investigating the the import inflationary processes as a result of feedbacks of mutual economic relations of World countries. It is used Equilibrium Price Model to estimate the import inflationary processes in CIS countries. The study investigates the further results regarding the import inflationary processes in the CIS countries on the scenario of increasing the Value Added norm in Russia. As well as by standpoint of economic growth and price stability, the recent revaluation of US dollar in the World and its impacts to total output of other countries have been investigated in details. In other words due to revaluation of the US dollar, if the final product decreases in USA, this decreasing impact how to be transmitted to the world countries have been estimated by the Input-Output Table in this study as well. The work is fulfilled on the Input-Output data for the year 2011. This study assumes theoretical and practical importance in defining the monetary policy.

  3. A Novel Stackelberg-Bertrand Game Model for Pricing Content Provider

    Directory of Open Access Journals (Sweden)

    Cheng Zhang

    2015-11-01

    Full Text Available With the popularity of smart devices such as smartphone, tablet, contents that traditionally be viewed on a personal computer, can also be viewed on these smart devices. The demand for contents thus is increasing year by year, which makes the content providers (CPs get great revenue from either users’ subscription or advertisement. On the other hand, Internet service providers (ISPs, who keep investing in the network technology or capacity capacity to support the huge traffic generated by contents, do not benefit directly from the content traffic. One choice for ISPs is to charge CPs to share the revenue from the huge content traffic. Then ISPs have enough incentives to invest in network infrastructure to improve quality of services (QoS, which eventually benefit CPs and users. This paper presents a novel economic model called Stackelberg-Bertrand game to capture the interaction and competitions among ISPs, CPs and users when ISPs charge CPs. A generic user demand function is assumed to capture the sensitivity of demand to prices of ISPs and CPs. The numerical results show that the price elasticity of ISP and CP plays an important part on the payoff of the ISP and CP.

  4. Development of a Model for a Cordon Pricing Scheme Considering Environmental Equity: A Case Study of Tehran

    Directory of Open Access Journals (Sweden)

    Shahriar Afandizadeh

    2016-02-01

    Full Text Available Congestion pricing strategy has been recognized as an effective countermeasure in the practical field of urban traffic congestion mitigation. Despite the positive effects of congestion pricing, its implementation has faced problems. This paper investigates the issue of environmental equity in cordon pricing and a park-and-ride scheme. Although pollution decreases inside the cordon by implementation of cordon pricing, air pollutants emission may increase in some links and in the whole network. Therefore, an increase in air emissions in the network means more emission outside the cordon. In fact, due to the implementation of this policy, air pollutants emission may transfer from inside to outside the cordon, creating a type of environmental inequity. To reduce this inequity, a bi-level optimization model with an equity constraint is developed. The proposed solution algorithm based on the second version of the strength Pareto evolutionary algorithm (SPEA2 is applied to the city network in Tehran. The results revealed that it seems reasonable to consider environmental equity as an objective function in cordon pricing. In addition, we can create a sustainable situation for the transportation system by improving environmental inequity with a relatively low reduction in social welfare. Moreover, there are environmental inequity impacts in real networks, which should be considered in the cordon pricing scheme.

  5. Model of Dynamic Pricing for Two Parallels Flights with Multiple Fare Classes Based on Passenger Choice Behavior

    Directory of Open Access Journals (Sweden)

    Ahmad Rusdiansyah

    2010-01-01

    Full Text Available Airline revenue management (ARM is one of emerging topics in transportation logistics areas. This paper discusses a problem in ARM which is dynamic pricing for two parallel flights owned by the same airline. We extended the existing model on Joint Pricing Model for Parallel Flights under passenger choice behavior in the literature. We generalized the model to consider multiple full-fare class instead of only single full-fare class. Consequently, we have to define the seat allocation for each fare class beforehand. We have combined the joint pricing model and the model of nested Expected Marginal Seat Revenue (EMSR model. To solve this hybrid model, we have developed a dynamic programming-based algorithm. We also have conducted numerical experiments to show the behavior of our model. Our experiment results have showed that the expected revenue of both flights significantly induced by the proportion of the time flexible passengers and the number of allocated seat in each full-fare class. As managerial insights, our model has proved that there is a closed relationship between demand management, which is represented by the price of each fare class, and total expected revenue considering the passenger choice behavior.

  6. Music Influences Hedonic and Taste Ratings in Beer.

    Science.gov (United States)

    Reinoso Carvalho, Felipe; Velasco, Carlos; van Ee, Raymond; Leboeuf, Yves; Spence, Charles

    2016-01-01

    The research presented here focuses on the influence of background music on the beer-tasting experience. An experiment is reported in which different groups of customers tasted a beer under three different conditions (N = 231). The control group was presented with an unlabeled beer, the second group with a labeled beer, and the third group with a labeled beer together with a customized sonic cue (a short clip from an existing song). In general, the beer-tasting experience was rated as more enjoyable with music than when the tasting was conducted in silence. In particular, those who were familiar with the band that had composed the song, liked the beer more after having tasted it while listening to the song, than those who knew the band, but only saw the label while tasting. These results support the idea that customized sound-tasting experiences can complement the process of developing novel beverage (and presumably also food) events. We suggest that involving musicians and researchers alongside brewers in the process of beer development, offers an interesting model for future development. Finally, we discuss the role of attention in sound-tasting experiences, and the importance that a positive hedonic reaction toward a song can have for the ensuing tasting experience.

  7. Music Influences Hedonic and Taste Ratings in Beer

    Science.gov (United States)

    Reinoso Carvalho, Felipe; Velasco, Carlos; van Ee, Raymond; Leboeuf, Yves; Spence, Charles

    2016-01-01

    The research presented here focuses on the influence of background music on the beer-tasting experience. An experiment is reported in which different groups of customers tasted a beer under three different conditions (N = 231). The control group was presented with an unlabeled beer, the second group with a labeled beer, and the third group with a labeled beer together with a customized sonic cue (a short clip from an existing song). In general, the beer-tasting experience was rated as more enjoyable with music than when the tasting was conducted in silence. In particular, those who were familiar with the band that had composed the song, liked the beer more after having tasted it while listening to the song, than those who knew the band, but only saw the label while tasting. These results support the idea that customized sound-tasting experiences can complement the process of developing novel beverage (and presumably also food) events. We suggest that involving musicians and researchers alongside brewers in the process of beer development, offers an interesting model for future development. Finally, we discuss the role of attention in sound-tasting experiences, and the importance that a positive hedonic reaction toward a song can have for the ensuing tasting experience. PMID:27199862

  8. Music influences hedonic and taste ratings in beer

    Directory of Open Access Journals (Sweden)

    Felipe eReinoso Carvalho

    2016-05-01

    Full Text Available The research presented here focuses on the influence of background music on the beer-tasting experience. An experiment is reported in which different groups of customers tasted a beer under three different conditions (N = 231. The control group was presented with an unlabeled beer, the second group with a labeled beer, and the third group with a labeled beer together with a customized sonic cue (a short clip from an existing song.In general, the beer-tasting experience was rated as more enjoyable with music than when the tasting was conducted in silence. In particular, those who were familiar with the band that had composed the song, liked the beer more after having tasted it while listening to the song, than those who knew the band, but only saw the label while tasting.These results provide support for the idea that customized sound-tasting experiences can complement the process of developing novel beverage (and presumably also food events. Here we also suggest that involving musicians and researchers alongside brewers in the process of beer development, offers an interesting model for future development. Finally, we discuss the role of attention in sound-tasting experiences, and the importance that a positive hedonic reaction towards a song can have for the ensuing tasting experience.

  9. CSR concept implementation vs. political hedonism driven by human action

    Directory of Open Access Journals (Sweden)

    Grzegorz Hoppe

    2014-11-01

    Full Text Available The concept of CSR is a big challenge for organisations striving for business excellence. Nevertheless, a question should be asked whether achieving excellence is possible? I s it possible to become an excellent organisation in contemporary economic, social and political circumstances? Or the efforts to build an excellent organisation are only a PR trick. Unfortunately, nowadays many facts seem to confirm that, while operating in a very unfavourable environment, the majority of organisations which implement – to the full extent – the CSR concept in their strategies and adopt the model of socially responsible business risk business failure. Such a conclusion derives from two key facts. First of all, the legal environment is not ready for the development of socially responsible companies which results from political hedonism being an innate feature of democratic systems. Secondly, the level of customer social responsibility is not satisfactory and hardly any changes are expected in the short-term perspective, which is the consequence of hedonistic nature of human actions.

  10. The Architecture of the Statistical Modeling Concerning the Consumer Prices Indexes for Food Goods, Non-Food Goods and Services, in Romania

    Directory of Open Access Journals (Sweden)

    Gabriela OPAIT

    2014-08-01

    Full Text Available This paper reflects the econometric modeling between 2000-2013, in Romania, concerning the Consumer Prices Index for food goods, the Consumer Prices Index for non-food goods and the Consumer Prices Index for services, through by means of the „Least Squares Method”. The Consumer Prices Index (CPI reflects the change of price concerning the basket of goods that it is supposed to be purchased by a urban consumers in terms of the expenses incurred by a typical household.

  11. Agent-based models for latent liquidity and concave price impact

    Science.gov (United States)

    Mastromatteo, Iacopo; Tóth, Bence; Bouchaud, Jean-Philippe

    2014-04-01

    We revisit the "ɛ-intelligence" model of Tóth et al. [Phys. Rev. X 1, 021006 (2011), 10.1103/PhysRevX.1.021006], which was proposed as a minimal framework to understand the square-root dependence of the impact of meta-orders on volume in financial markets. The basic idea is that most of the daily liquidity is "latent" and furthermore vanishes linearly around the current price, as a consequence of the diffusion of the price itself. However, the numerical implementation of Tóth et al. (2011) was criticized as being unrealistic, in particular because all the "intelligence" was conferred to market orders, while limit orders were passive and random. In this work, we study various alternative specifications of the model, for example, allowing limit orders to react to the order flow or changing the execution protocols. By and large, our study lends strong support to the idea that the square-root impact law is a very generic and robust property that requires very few ingredients to be valid. We also show that the transition from superdiffusion to subdiffusion reported in Tóth et al. (2011) is in fact a crossover but that the original model can be slightly altered in order to give rise to a genuine phase transition, which is of interest on its own. We finally propose a general theoretical framework to understand how a nonlinear impact may appear even in the limit where the bias in the order flow is vanishingly small.

  12. Stochastic modeling of economic injury levels with respect to yearly trends in price commodity.

    Science.gov (United States)

    Damos, Petros

    2014-05-01

    The economic injury level (EIL) concept integrates economics and biology and uses chemical applications in crop protection only when economic loss by pests is anticipated. The EIL is defined by five primary variables: the cost of management tactic per production unit, the price of commodity, the injury units per pest, the damage per unit injury, and the proportionate reduction of injury averted by the application of a tactic. The above variables are related according to the formula EIL = C/VIDK. The observable dynamic alteration of the EIL due to its different parameters is a major characteristic of its concept. In this study, the yearly effect of the economic variables is assessed, and in particular the influence of the parameter commodity value on the shape of the EIL function. In addition, to predict the effects of the economic variables on the EIL level, yearly commodity values were incorporated in the EIL formula and the generated outcomes were further modelled with stochastic linear autoregressive models having different orders. According to the AR(1) model, forecasts for the five-year period of 2010-2015 ranged from 2.33 to 2.41 specimens per sampling unit. These values represent a threshold that is in reasonable limits to justify future control actions. Management actions as related to productivity and price commodity significantly affect costs of crop production and thus define the adoption of IPM and sustainable crop production systems at local and international levels. This is an open access paper. We use the Creative Commons Attribution 3.0 license that permits unrestricted use, provided that the paper is properly attributed.

  13. Comment on G.E. Mizon, Modelling relative price variability and aggregate inflation in the United Kingdom

    NARCIS (Netherlands)

    H.K. van Dijk (Herman)

    1991-01-01

    textabstractComments on an article on the modelling of relative price variability and aggregate inflation in Great Britain. Advantage of the general to specific modeling approach; Steps in the analysis of macroeconomic time series; Information on the PC-GIVE menu-driven program.

  14. Time perspectives and convenience food consumption among teenagers in Vietnam: The dual role of hedonic and healthy eating values.

    Science.gov (United States)

    Olsen, Svein Ottar; Tuu, Ho Huy

    2017-09-01

    This study uses the subscales of Consideration of Future Consequences (CFC) to explore the effects of future (CFC-future) and immediate (CFC-immediate) on convenience food consumption among teenagers in Vietnam. Furthermore, we investigate the mediating and dual role of hedonic and healthy eating values in the relationships between CFCs and convenience food consumption. Survey data from 451 teenagers in Central Vietnam and structural equation modelling were used to test the relationships in a proposed theoretical model. The results indicate that while CFC-immediate and hedonic eating value has a positive direct effect, CFC-future and healthy eating value has a negative direct effect on convenience food consumption. The findings also reveal that both CFC-immediate and CFC-future have positive effects on hedonic and healthy eating values. However, this study argues and tests the relative importance of the direct (asymmetric) effects of time perspectives on eating values, and finds that while CFC-future dominate in explaining healthy eating values, CFC-immediate dominate in explaining hedonic eating values. Copyright © 2017 Elsevier Ltd. All rights reserved.

  15. Empirical Studies of the Effect of Flood Risk on Housing Prices.

    Science.gov (United States)

    1998-02-01

    34, Journal of Urban Economics , 18:135-142. Donnelly, W.A. 1989. "Hedonic Price Analysis of the Effect of a Floodplain on Property Values", Water...Hedonic Price Equations", Journal of Urban Economics , 10:37-49. Holway, J.M., and RJ. Burby. 1990. "The Effects of Floodplain Development Controls on...Wealth Redistribution, and Urban Property Values", Journal of Urban Economics , 26:43-53. Skantz, Terrance R., and Thomas H. Strickland. 1987. "House

  16. Examining Uncertainty in Demand Response Baseline Models and Variability in Automated Response to Dynamic Pricing

    Energy Technology Data Exchange (ETDEWEB)

    Mathieu, Johanna L.; Callaway, Duncan S.; Kiliccote, Sila

    2011-08-15

    Controlling electric loads to deliver power system services presents a number of interesting challenges. For example, changes in electricity consumption of Commercial and Industrial (C&I) facilities are usually estimated using counterfactual baseline models, and model uncertainty makes it difficult to precisely quantify control responsiveness. Moreover, C&I facilities exhibit variability in their response. This paper seeks to understand baseline model error and demand-side variability in responses to open-loop control signals (i.e. dynamic prices). Using a regression-based baseline model, we define several Demand Response (DR) parameters, which characterize changes in electricity use on DR days, and then present a method for computing the error associated with DR parameter estimates. In addition to analyzing the magnitude of DR parameter error, we develop a metric to determine how much observed DR parameter variability is attributable to real event-to-event variability versus simply baseline model error. Using data from 38 C&I facilities that participated in an automated DR program in California, we find that DR parameter errors are large. For most facilities, observed DR parameter variability is likely explained by baseline model error, not real DR parameter variability; however, a number of facilities exhibit real DR parameter variability. In some cases, the aggregate population of C&I facilities exhibits real DR parameter variability, resulting in implications for the system operator with respect to both resource planning and system stability.

  17. Market Price of Risk Analysis from Three Major Industrial Countries on the Stability of the Brennan-Schwartz Model

    Directory of Open Access Journals (Sweden)

    Tri Handhika

    2012-01-01

    Full Text Available At any given time, market price of risk must be the same for all derivatives and it is linked in par-ticular to interest rate. The Brennan-Schwartz model is one of the stochastic differential equations for the interest rate under the risk neutral probability measure. To estimate parameters of this model, it is required that the real data which are collected in the real world in which the distribution of interest rate process is under the actual probability measure. Therefore, parameter estimators are obtained by changing the measure which is determined by the market price of risk. Hence, market price of risk must make the Brennan-Schwartz model becomes stable, which is important to describe resistance of the model to the perturbation in the initial state or parameters of the model. This paper aims to analyze the market price of risk from three major industrial countries: USA, Japan, and Canada. This analysis can be used as a guideline to decide that the interest rate of these three major industrial countries can be modeled as Brennan-Schwartz model. ";} // -->activate javascript

  18. Removing the Correlation Term in Option Pricing Heston Model: Numerical Analysis and Computing

    Directory of Open Access Journals (Sweden)

    R. Company

    2013-01-01

    Full Text Available This paper deals with the numerical solution of option pricing stochastic volatility model described by a time-dependent, two-dimensional convection-diffusion reaction equation. Firstly, the mixed spatial derivative of the partial differential equation (PDE is removed by means of the classical technique for reduction of second-order linear partial differential equations to canonical form. An explicit difference scheme with positive coefficients and only five-point computational stencil is constructed. The boundary conditions are adapted to the boundaries of the rhomboid transformed numerical domain. Consistency of the scheme with the PDE is shown and stepsize discretization conditions in order to guarantee stability are established. Illustrative numerical examples are included.

  19. Assessing the Option to Abandon an Investment Project by the Binomial Options Pricing Model

    Directory of Open Access Journals (Sweden)

    Salvador Cruz Rambaud

    2016-01-01

    Full Text Available Usually, traditional methods for investment project appraisal such as the net present value (hereinafter NPV do not incorporate in their values the operational flexibility offered by including a real option included in the project. In this paper, real options, and more specifically the option to abandon, are analysed as a complement to cash flow sequence which quantifies the project. In this way, by considering the existing analogy with financial options, a mathematical expression is derived by using the binomial options pricing model. This methodology provides the value of the option to abandon the project within one, two, and in general n periods. Therefore, this paper aims to be a useful tool in determining the value of the option to abandon according to its residual value, thus making easier the control of the uncertainty element within the project.

  20. Comparative Study between Capital Asset Pricing Model and Arbitrage Pricing Theory in Indonesian Capital Market during Period 2008-2012

    Directory of Open Access Journals (Sweden)

    Leo Julianto

    2015-09-01

    Full Text Available For decades, there were many models explaining the returns earned emerged in order to fulfil the curiosity had by human. Since then, various studies and empirical findings in many countries’ stock market showedthat the empirical findings of market return explanation and the return of assets meet the different results in both clarify of model and identification of significant determinant variables.Therefore, many comparative studies between models were accomplished. In this study, the author attempts to do comparative study between two models, APT and CAPM, in Indonesian Capital Market during period 2008 until 2012.  Besides, the author also attempts to find how much inflation, interest rate, and exchange rate describe the returns earned in each sector existed in Indonesia Capital Market. As the result, the author find out that CAPM has bigger explanation power than APT in Indonesian Capital Market during period 2008-2012. Besides, the author also found that among macroeconomic factors, there are only two macroeconomic factors that can affect certain samples significantly.  They are change in BI rate, which affect AALI, ANTM, ASII, TLKM, UNTR, and change in exchange rate, which affect INDF and TLKM significantly.