DYNAMIC OPTIMAL BUDGET ALLOCATION FOR INTEGRATED MARKETING CONSIDERING PERSISTENCE

OpenAIRE

SHIZHONG AI; RONG DU; QIYING HU

2010-01-01

Aiming at forming dynamic optimal integrated marketing policies, we build a budget allocation model considering both current effects and sustained ones. The model includes multiple time periods and multiple marketing tools which interact through a common resource pool as well as through delayed cross influences on each other's sales, reflecting the nature of "integrated marketing" and its dynamics. In our study, marginal analysis is used to illuminate the structure of optimal policy. We deriv...

Correlation dynamics in East Asian financial markets

NARCIS (Netherlands)

Lestano, L; Kuper, Gerard H.

2016-01-01

We examine the dynamic relationship between stock returns and exchange rate changes using daily data from January 1994 to September 2013 for six East Asian countries. We use the multivariate GARCH-DCC model in order to disclose the relationship between stock markets and foreign exchange markets

The Analysis of the Dynamics of the Marketing Services Market in Terms of Strategic Management of Crisis

Directory of Open Access Journals (Sweden)

Ivanova Natalya

2016-12-01

Full Text Available The aim of the study is to determine the basic modern marketing services according to the dynamics data of the media market of Ukraine. Thus, marketing services are considered as tools that provide crisis man-agement in strategic business development perspective. Scientific and practical significance of the study lies in the results of trend analysis of the dynamics of the media market of Ukraine and its components, the results of which led to the conclusion about the importance of Internet advertising as a modern marketing tool in terms of anti-crisis policy. The study predicted the values of the obtained volumes and market share of Internet advertising in the media market structure in Ukraine for the next period.

Stability of power systems coupled with market dynamics

Science.gov (United States)

Meng, Jianping

This Ph.D. thesis presented here spans two relatively independent topics. The first part, Chapter 2 is self-contained, and is dedicated to studies of new algorithms for power system state estimation. The second part, encompassing the remaining chapters, is dedicated to stability analysis of power system coupled with market dynamics. The first part of this thesis presents improved Newton's methods employing efficient vectorized calculations of higher order derivatives in power system state estimation problems. The improved algorithms are proposed based on an exact Newton's method using the second order terms. By efficiently computing an exact gain matrix, combined with a special optimal multiplier method, the new algorithms show more reliable convergence compared with the existing methods of normal equations, orthogonal decomposition, and Hachtel's sparse tableau. Our methods are able to handle ill-conditioned problems, yet show minimal penalty in computational cost for well-conditioned cases. These claims are illustrated through the standard IEEE 118 and 300 bus test examples. The second part of the thesis focuses on stability analysis of market/power systems. The work presented is motivated by an emerging problem. As the frequency of market based dispatch updates increases, there will inevitably be interaction between the dynamics of markets determining the generator dispatch commands, and the physical response of generators and network interconnections, necessitating the development of stability analysis for such coupled systems. We begin with numeric tests using different market models, with detailed machine/exciter/turbine/governor dynamics, in the New England 39 bus test system. A progression of modeling refinements are introduced, including such non-ideal effects as time delays. Electricity market parameter identification algorithms are also studied based on real time data from the PJM electricity market. Finally our power market model is augmented by optimal

Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression

Directory of Open Access Journals (Sweden)

Lili Li

2016-01-01

Full Text Available We study the nonlinear autoregressive dynamics of stock index returns in seven major advanced economies (G7 and China. The quantile autoregression model (QAR enables us to investigate the autocorrelation across the whole spectrum of return distribution, which provides more insightful conditional information on multinational stock market dynamics than conventional time series models. The relation between index return and contemporaneous trading volume is also investigated. While prior studies have mixed results on stock market autocorrelations, we find that the dynamics is usually state dependent. The results for G7 stock markets exhibit conspicuous similarities, but they are in manifest contrast to the findings on Chinese stock markets.

Dynamic linkages among the gold market, US dollar and crude oil market

Science.gov (United States)

Mo, Bin; Nie, He; Jiang, Yonghong

2018-02-01

This paper aims to examine the dynamic linkages among the gold market, US dollar and crude oil market. The analysis also delves more deeply into the effect of the global financial crisis on the short-term relationship. We use fractional cointegration to analyze the long-term memory feature of these volatility processes to investigate whether they are tied through a common long-term equilibrium. The DCC-MGARCH model is employed to investigate the time-varying long-term linkages among these markets. The Krystou-Labys non-linear asymmetric Granger causality method is used to examine the effect of the financial crisis. We find that (i) there is clearly a long-term dependence among these markets; (ii) the dynamic gold-oil relationship is always positive and the oil-dollar relationship is always negative; and (iii) after the crisis, we can observe evidence of a positive non-linear causal relationship from gold to US dollar and US dollar to crude oil, and a negative non-linear causal relationship from US dollar to gold. Investors who want to construct their optimal portfolios and policymakers who aim to make effective macroeconomic policies should take these findings into account.

The futility of utility: how market dynamics marginalize Adam Smith

Science.gov (United States)

McCauley, Joseph L.

2000-10-01

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

Dynamic analysis of policy drivers for bioenergy commodity markets

International Nuclear Information System (INIS)

Jeffers, Robert F.; Jacobson, Jacob J.; Searcy, Erin M.

2013-01-01

Biomass is increasingly being considered as a feedstock to provide a clean and renewable source of energy in the form of both liquid fuels and electric power. In the United States, the biofuels and biopower industries are regulated by different policies and have different drivers, which impact the maximum price the industries are willing to pay for biomass. This article describes a dynamic computer simulation model that analyzes future behavior of bioenergy feedstock markets given policy and technical options. The model simulates the long-term dynamics of these markets by treating advanced biomass feedstocks as a commodity and projecting the total demand of each industry, as well as the market price over time. The model is used for an analysis of the United States bioenergy feedstock market that projects supply, demand, and market price given three independent buyers: domestic biopower, domestic biofuels, and foreign exports. With base-case assumptions, the biofuels industry is able to dominate the market and meet the federal Renewable Fuel Standard (RFS) targets for advanced biofuels. Further analyses suggest that United States bioenergy studies should include estimates of export demand in their projections, and that GHG-limiting policy would partially shield both industries from export dominance. - Highlights: ► We model a United States bioenergy feedstock commodity market. ► Three buyers compete for biomass: biopower, biofuels, and foreign exports. ► The presented methodology improves on dynamic economic equilibrium theory. ► With current policy incentives and ignoring exports, biofuels dominates the market. ► Overseas biomass demand could dominate unless a CO 2 -limiting policy is enacted.

Poverty, Job Quality and Labor Market Dynamics in the Middle East ...

International Development Research Centre (IDRC) Digital Library (Canada)

Poverty, Job Quality and Labor Market Dynamics in the Middle East and North Africa ... This project will explore links between labour market dynamics and the quality ... public health, and health systems research relevant to the emerging crisis.

Dynamic Model of Market with Uninformed Market Maker

Czech Academy of Sciences Publication Activity Database

Šmíd, Martin; Kopa, Miloš

2017-01-01

Roč. 53, č. 5 (2017), s. 922-958 ISSN 0023-5954 R&D Projects: GA ČR(CZ) GBP402/12/G097 Institutional support: RVO:67985556 Keywords : market maker * optimal decision * price and inventory * high frequency data * dynamic model Subject RIV: BB - Applied Statistics, Operational Research OBOR OECD: Statistics and probability Impact factor: 0.379, year: 2016 http://www.library.utia.cas.cz/separaty/2017/E/smid-0483753.pdf

Mechanical and electrical evaluation of a dilute aluminium alloy heat treated for application in electrical cables and wires; Avaliacao mecanica e eletrica de uma liga diluida de aluminio tratada termicamente para aplicacao em fios e cabos eletricos

Energy Technology Data Exchange (ETDEWEB)

Freitas, E.S. [Faculdade de Engenharia Mecanica - Unicamp - Campinas, SP (Brazil)], e-mail: manu@fem.unicamp.br; Kamizono, K.A.; Nogueira, P.; Nogueira, A.T.; Quaresma, Jose Maria do Vale [Universidade Federal do Para - UFPA, PA (Brazil)

2010-07-01

With the need to investigate new materials developed and presented to the market of non-ferrous materials and in particular those developed for the transmission and distribution of electricity, we conducted a study on a dilute alloy Al-EC-0, 7% Si, where from his previous characterization and thus knowing their good mechanical and electrical properties, we developed a new aluminum alloy in an attempt to know the properties of the alloy Al-EC-0, 7% Si in the presence of alloying elements, titanium. Being the new alloy under different thermal treatment temperature in order to observe their behavior under such mechanical and electrical conditions. (author)

The dynamic conditional relationship between stock market returns and implied volatility

Science.gov (United States)

Park, Sung Y.; Ryu, Doojin; Song, Jeongseok

2017-09-01

Using the dynamic conditional correlation multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) model, we empirically examine the dynamic relationship between stock market returns (KOSPI200 returns) and implied volatility (VKOSPI), as well as their statistical mechanics, in the Korean market, a representative and leading emerging market. We consider four macroeconomic variables (exchange rates, risk-free rates, term spreads, and credit spreads) as potential determinants of the dynamic conditional correlation between returns and volatility. Of these macroeconomic variables, the change in exchange rates has a significant impact on the dynamic correlation between KOSPI200 returns and the VKOSPI, especially during the recent financial crisis. We also find that the risk-free rate has a marginal effect on this dynamic conditional relationship.

Wealth dynamics in a sentiment-driven market

Science.gov (United States)

Goykhman, Mikhail

2017-12-01

We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. The considered sentiments influence the buy/sell stock trading attitude, the perceived price uncertainty, and the trading intensity of all or a part of the market participants. We study how the wealth of market participants evolves in time in such an environment. We discuss the opposite perspective in which the parameters of the sentiment processes can be inferred a posteriori from the observed market behavior.

Dynamic capabilities, Marketing Capability and Organizational Performance

Directory of Open Access Journals (Sweden)

Adriana Roseli Wünsch Takahashi

2017-01-01

Full Text Available The goal of the study is to investigate the influence of dynamic capabilities on organizational performance and the role of marketing capabilities as a mediator in this relationship in the context of private HEIs in Brazil. As a research method we carried out a survey with 316 IES and data analysis was operationalized with the technique of structural equation modeling. The results indicate that the dynamic capabilities have influence on organizational performance only when mediated by marketing ability. The marketing capability has an important role in the survival, growth and renewal on educational services offerings for HEIs in private sector, and consequently in organizational performance. It is also demonstrated that mediated relationship is more intense for HEI with up to 3,000 students and other organizational profile variables such as amount of courses, the constitution, the type of institution and type of education do not significantly alter the results.

The dynamic correlation between policy uncertainty and stock market returns in China

Science.gov (United States)

Yang, Miao; Jiang, Zhi-Qiang

2016-11-01

The dynamic correlation is examined between government's policy uncertainty and Chinese stock market returns in the period from January 1995 to December 2014. We find that the stock market is significantly correlated to policy uncertainty based on the results of the Vector Auto Regression (VAR) and Structural Vector Auto Regression (SVAR) models. In contrast, the results of the Dynamic Conditional Correlation Generalized Multivariate Autoregressive Conditional Heteroscedasticity (DCC-MGARCH) model surprisingly show a low dynamic correlation coefficient between policy uncertainty and market returns, suggesting that the fluctuations of each variable are greatly influenced by their values in the preceding period. Our analysis highlights the understanding of the dynamical relationship between stock market and fiscal and monetary policy.

Multi-product dynamic advertisement planning in a segmented market

Directory of Open Access Journals (Sweden)

Aggarwal Sugandha

2017-01-01

Full Text Available In this paper, a dynamic multi-objective linear integer programming model is proposed to optimally distribute a firm’s advertising budget among multiple products and media in a segmented market. To make the media plan responsive to the changes in the market, the distribution is carried out dynamically by dividing the planning horizon into smaller periods. The model incorporates the effect of the previous period advertising reach on the current period (taken through retention factor, and it also considers cross-product effect of simultaneously advertising different products. An application of the model is presented for an insurance firm that markets five different products, using goal programming approach.

Unraveling hidden order in the dynamics of developed and emerging markets.

Science.gov (United States)

Berman, Yonatan; Shapira, Yoash; Ben-Jacob, Eshel

2014-01-01

The characterization of asset price returns is an important subject in modern finance. Traditionally, the dynamics of stock returns are assumed to lack any temporal order. Here we present an analysis of the autocovariance of stock market indices and unravel temporal order in several major stock markets. We also demonstrate a fundamental difference between developed and emerging markets in the past decade - emerging markets are marked by positive order in contrast to developed markets whose dynamics are marked by weakly negative order. In addition, the reaction to financial crises was found to be reversed among developed and emerging markets, presenting large positive/negative autocovariance spikes following the onset of these crises. Notably, the Chinese market shows neutral or no order while being regarded as an emerging market. These findings show that despite the coupling between international markets and global trading, major differences exist between different markets, and demonstrate that the autocovariance of markets is correlated with their stability, as well as with their state of development.

Better Jobs for Central American Women: Labour Market Dynamics ...

International Development Research Centre (IDRC) Digital Library (Canada)

More than 60% of women work in such jobs. ... self-employment and to provide technical and marketing skills to potential women entrepreneurs. ... prepare a comparative analysis of labour market dynamics in El Salvador and Nicaragua; ...

Market dynamics as a driver towards the evolution of research needs

African Journals Online (AJOL)

Market dynamics offer positive (incentive) or negative (disincentive) feedback loops that shape the research needs for, or certain aspects of, a particular technology. Our case study results illustrate how market dynamics have influenced the evolution of research needs in the wastewater treatment sector, with specific ...

Dynamic Stock Market Participation of Households with Heterogeneous Participation Costs

DEFF Research Database (Denmark)

Khorunzhina, Natalia

This paper develops and estimates a dynamic model of stock market participation, where consumers’ decisions regarding stock market participation are influenced by participation costs. The practical significance of the participation costs is considered as being a channel through which financial...... education programs can affect consumers’ investment decisions. Using household data from the Panel Study of Income Dynamics, I estimate the magnitude of the participation cost, allowing for individual heterogeneity in it. The results show the average stock market participation cost is about 5% of labor...... income; however, it varies substantially over consumers’ life. The model successfully predicts the level of the observed participation rate and the increasing pattern of stock market participation over the consumers’ life cycle....

Linking Financial Market Dynamics and the Impact of News

Science.gov (United States)

Nacher, J. C.; Ochiai, T.

2011-09-01

In financial markets, he behavior of investors determines the prices of financial products. However, these investors can also be influenced by good and bad news. Here, we present a mathematical model to reproduce the price dynamics in real financial markets affected by news. The model has both positive and negative feed-back mechanisms. Furthermore, the behavior of the model is examined by considering two different types of noise. Our results show that the dynamic balance of positive and negative feed-back mechanisms with the noise effect determines the asset price movement. For comparison with real market, we have used the Forex data corresponding to the time period of the recent Tohoku-Kanto earthquake in Japan.

Dynamics of market orientation in Croatian economy

Directory of Open Access Journals (Sweden)

Ivana First

2011-12-01

Full Text Available It was the goal of this research to examine the dynamics of Croatian transformation to market orientation and test whether the market orientation model changes with time as the business environment changes. Based on the literature analysis, we proposed a hypothetical model which relies on behavioural approach in understanding market orientation. To empirically test the hypothetical model, we used data previously collected for 2001, and by replicating the same questionnaire now collected data for 2011. Data was analyzed by hierarchical regression analysis on the two sets of data. Our findings reveal that Croatian organizations reached the level of moderate market orientation leaving space for improvement. Findings also reveal that higher level of market orientation correlates with higher business performance. Furthermore, with development of ICT, the model of market orientation modified in time in a way that in predicting successful market oriented reaction, specific information on consumer satisfaction gains importance, while general information from competitor and consumer databases lose importance. Despite the changes in the relationships among the elements of market orientation, the model itself similarly predicts performance today as it did ten years ago. Managers are advised to increase implementation of market orientation especially focusing on market responsiveness as such behaviour will lead to better performance.

System Dynamics Modeling of the Massachusetts SREC Market

Directory of Open Access Journals (Sweden)

Wilson Rickerson

2010-08-01

Full Text Available As states across the country struggle to increase local development of renewable energy, policymakers are turning to innovative program designs to meet their renewable electricity targets. Massachusetts recently adopted a unique, auction-based price support mechanism for the solar portion of its renewable portfolio standard. During the program development process, the Massachusetts Department of Energy Resources (DOER used system dynamics to simulate potential solar renewable energy certificate market conditions under the proposed regulations. The modeling exercise resulted in several program design changes that will lead to a more stable certificate market. System dynamics can be a useful tool for developing and improving sustainability programs.

DYNAMICS OF THE ROMANIAN ILLEGAL DRUG MARKETS

Directory of Open Access Journals (Sweden)

Irina Caunic

2011-06-01

Full Text Available Globalization has led to an increase in commercial activities running on the illegal markets, its dynamics being largely determined by the balance between profitability and the major risks involved. Revenuesare significant, one example being those obtained from drug industry. In recent years, illicit drug trafficking has seen in Romania an unprecedented escalation, as a result of market liberalization and the movement of per sons and because of the extending the phenomenon both among producers and consumers. This article examines the size of the Romanian illegal drug markets, the countries of origin and drugtransit routes, as well as the profits made by the drug trafficking networks.

Canadian natural gas market: dynamics and pricing

International Nuclear Information System (INIS)

2000-01-01

This publication by the National Energy Board is part of a continuing program of assessing applications for long-term natural gas export licences. The market-based procedure used by the Board is based on the premise that the marketplace will generally operate in a way that will ensure that Canadian requirements for natural gas will be met at fair market prices. The market--based procedure consists of a public hearing and a monitoring component. The monitoring component involves the on-going assessment of Canadian energy markets to provide analyses of major energy commodities on either an individual or integrated commodity basis. This report is the result of the most recent assessment . It identifies factors that affect natural gas prices and describes the functioning of regional markets in Canada. It provides an overview of the energy demand, including recent trends, reviews the North American gas supply and markets, the natural gas pricing dynamics in Canada, and a regional analysis of markets, prices and dynamics in British Columbia, Alberta, Saskatchewan, Manitoba, Ontario, Quebec and the Atlantic provinces. In general, demand growth outstripped growth in supply, but natural gas producers throughout North America have been responding to the current high price environment with aggressive drilling programs. The Board anticipates that in time, there will be a supply and demand response and accompanying relief in natural gas prices. A review of the annual weighted average border price paid for Alberta gas indicates that domestic gas users paid less than export customers until 1998, at which point the two prices converged, suggesting that Canadians have had access to natural gas at prices no less favourable than export customers. The influence of electronic trading systems such as NYMEX and AECO-C/NIT have had significant impact on the pricing of natural gas. These systems, by providing timely information to market participants. enables them to manage price

Dynamic Pricing of New Products in Competitive Markets: A Mean-Field Game Approach

OpenAIRE

Chenavaz, Régis; Paraschiv, Corina; Turinici, Gabriel

2017-01-01

Dynamic pricing of new products has been extensively studied in monopolistic and oligopolistic markets. But, the optimal control and differential game tools used to investigate the pricing behavior on markets with a finite number of firms are not well-suited to model competitive markets with an infinity of firms. Using a mean-field games approach, this paper examines dynamic pricing policies in competitive markets, where no firm exerts market power. The theoretical setting is based on a diffu...

Assessing the Dynamic Behavior of Online Q&A Knowledge Markets: A System Dynamics Approach

Science.gov (United States)

Jafari, Mostafa; Hesamamiri, Roozbeh; Sadjadi, Jafar; Bourouni, Atieh

2012-01-01

Purpose: The objective of this paper is to propose a holistic dynamic model for understanding the behavior of a complex and internet-based kind of knowledge market by considering both social and economic interactions. Design/methodology/approach: A system dynamics (SD) model is formulated in this study to investigate the dynamic characteristics of…

Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

OpenAIRE

Škrinjarić, Tihana; Šego, Boško

2016-01-01

Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation an...

Conditional co-movement and dynamic interactions: US and BRIC equity markets

Directory of Open Access Journals (Sweden)

Singh Amanjot

2017-01-01

Full Text Available The present study attempts to capture conditional or time-varying co-movement and dynamic interactions between the US and BRIC (Brazil, Russia, India, and China equity markets across the sample period 2004 to 2014 by employing diverse econometric models. The sample period is further divided into three different sub-periods concerning the US financial crisis period, viz. pre-crisis, crisis, and post-crisis periods. The vector autoregression- dynamic conditional correlation-multivariate asymmetric generalized autoregressive conditional heteroskedastic [VAR-DCC-MVAGARCH (1.1] model and Toda-Yamamoto’s (1995 Granger causality tests are employed for the purpose of overall analysis in a multivariate framework. The results report the existence of time-varying co-movement between the US and BRIC equity markets, whereby co-movement between the US and Brazilian markets is found to be the highest, followed by the Russian, Indian, and Chinese equity markets. Dynamic interactions are also registered between the respective US/BRIC comovements during different sub-periods. The results have important implications for market participants and policymakers.

Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs

DEFF Research Database (Denmark)

Qin, Zhenjiang

on the heterogeneous posterior variance of dividend throughout [0; T). The market populated with many time-additive exponential-utility investors is dynamically effectively complete, if investors are allowed to trade in only two long-lived securities continuously. The underlying mechanism is that these assumptions...... imply that the Pareto efficient individual consumption plans are measurable with respect to the aggregate consumption. Hence, I may not need a dynamically complete market to facilitate a Pareto efficient allocation of consumption, the securities only have to facilitate an allocation which is measurable...... a sufficient statistic for computation of the price of redundant dividend derivative and the equilibrium portfolios. The investors form their Pareto optimal trading strategies as if they intend to dynamically endogenously replicate the value of the dividend derivative....

Electricity Market Stochastic Dynamic Model and Its Mean Stability Analysis

Directory of Open Access Journals (Sweden)

Zhanhui Lu

2014-01-01

Full Text Available Based on the deterministic dynamic model of electricity market proposed by Alvarado, a stochastic electricity market model, considering the random nature of demand sides, is presented in this paper on the assumption that generator cost function and consumer utility function are quadratic functions. The stochastic electricity market model is a generalization of the deterministic dynamic model. Using the theory of stochastic differential equations, stochastic process theory, and eigenvalue techniques, the determining conditions of the mean stability for this electricity market model under small Gauss type random excitation are provided and testified theoretically. That is, if the demand elasticity of suppliers is nonnegative and the demand elasticity of consumers is negative, then the stochastic electricity market model is mean stable. It implies that the stability can be judged directly by initial data without any computation. Taking deterministic electricity market data combined with small Gauss type random excitation as numerical samples to interpret random phenomena from a statistical perspective, the results indicate the conclusions above are correct, valid, and practical.

Forecasting the Electricity Demand and Market Shares in Retail Electricity Market Based on System Dynamics and Markov Chain

OpenAIRE

Qingyou Yan; Chao Qin; Mingjian Nie; Le Yang

2018-01-01

Due to the deregulation of retail electricity market, consumers can choose retail electric suppliers freely, and market entities are facing fierce competition because of the increasing number of new entrants. Under these circumstances, forecasting the changes in all market entities, when market share stabilized, is important for suppliers making marketing decisions. In this paper, a market share forecasting model was established based on Markov chain, and a system dynamics model was construct...

a Statistical Dynamic Approach to Structural Evolution of Complex Capital Market Systems

Science.gov (United States)

Shao, Xiao; Chai, Li H.

As an important part of modern financial systems, capital market has played a crucial role on diverse social resource allocations and economical exchanges. Beyond traditional models and/or theories based on neoclassical economics, considering capital markets as typical complex open systems, this paper attempts to develop a new approach to overcome some shortcomings of the available researches. By defining the generalized entropy of capital market systems, a theoretical model and nonlinear dynamic equation on the operations of capital market are proposed from statistical dynamic perspectives. The US security market from 1995 to 2001 is then simulated and analyzed as a typical case. Some instructive results are discussed and summarized.

Dynamic interaction between markets for leasing and selling automobiles

OpenAIRE

Andrikopoulos, Athanasios; Markellos, Raphael N.

2015-01-01

We develop a model of dynamic interactions between price variations in leasing and selling markets for automobiles. Our framework assumes a differential game between multiple Bertrand-type competing firms which offer differentiated products to forward-looking agents. Empirical analysis of our model using monthly US data from 2002 to 2011 shows that variations in selling (cash) market prices lead rapidly dissipating changes of leasing market prices in the opposite direction. We discuss the pra...

Market mood, adaptive beliefs and asset price dynamics

International Nuclear Information System (INIS)

Dieci, Roberto; Foroni, Ilaria; Gardini, Laura; He Xuezhong

2006-01-01

Empirical evidence has suggested that, facing different trading strategies and complicated decision, the proportions of agents relying on particular strategies may stay at constant level or vary over time. This paper presents a simple 'dynamic market fraction' model of two groups of traders, fundamentalists and trend followers, under a market maker scenario. Market mood and evolutionary adaption are characterized by fixed and adaptive switching fraction among two groups, respectively. Using local stability and bifurcation analysis, as well as numerical simulation, the role played by the key parameters in the market behaviour is examined. Particular attention is paid to the impact of the market fraction, determined by the fixed proportions of confident fundamentalists and trend followers, and by the proportion of adaptively rational agents, who adopt different strategies over time depending on realized profits

Dynamic evolution of cross-correlations in the Chinese stock market.

Directory of Open Access Journals (Sweden)

Fei Ren

Full Text Available The analysis of cross-correlations is extensively applied for the understanding of interconnections in stock markets and the portfolio risk estimation. Current studies of correlations in Chinese market mainly focus on the static correlations between return series, and this calls for an urgent need to investigate their dynamic correlations. Our study aims to reveal the dynamic evolution of cross-correlations in the Chinese stock market, and offer an exact interpretation for the evolution behavior. The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock Exchange from January 4, 1999 to December 30, 2011 are calculated over a moving window with a size of 400 days. The evolutions of the statistical properties of the correlation coefficients, eigenvalues, and eigenvectors of the correlation matrices are carefully analyzed. We find that the stock correlations are significantly increased in the periods of two market crashes in 2001 and 2008, during which only five eigenvalues significantly deviate from the random correlation matrix, and the systemic risk is higher in these volatile periods than calm periods. By investigating the significant contributors of the deviating eigenvectors in different time periods, we observe a dynamic evolution behavior in business sectors such as IT, electronics, and real estate, which lead the rise (drop before (after the crashes. Our results provide new perspectives for the understanding of the dynamic evolution of cross-correlations in the Chines stock markets, and the result of risk estimation is valuable for the application of risk management.

Dynamic evolution of cross-correlations in the Chinese stock market.

Science.gov (United States)

Ren, Fei; Zhou, Wei-Xing

2014-01-01

The analysis of cross-correlations is extensively applied for the understanding of interconnections in stock markets and the portfolio risk estimation. Current studies of correlations in Chinese market mainly focus on the static correlations between return series, and this calls for an urgent need to investigate their dynamic correlations. Our study aims to reveal the dynamic evolution of cross-correlations in the Chinese stock market, and offer an exact interpretation for the evolution behavior. The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock Exchange from January 4, 1999 to December 30, 2011 are calculated over a moving window with a size of 400 days. The evolutions of the statistical properties of the correlation coefficients, eigenvalues, and eigenvectors of the correlation matrices are carefully analyzed. We find that the stock correlations are significantly increased in the periods of two market crashes in 2001 and 2008, during which only five eigenvalues significantly deviate from the random correlation matrix, and the systemic risk is higher in these volatile periods than calm periods. By investigating the significant contributors of the deviating eigenvectors in different time periods, we observe a dynamic evolution behavior in business sectors such as IT, electronics, and real estate, which lead the rise (drop) before (after) the crashes. Our results provide new perspectives for the understanding of the dynamic evolution of cross-correlations in the Chines stock markets, and the result of risk estimation is valuable for the application of risk management.

Policy changes and the dynamics of capacity expansion in the Swiss electricity market

International Nuclear Information System (INIS)

Ochoa, Patricia; Van Ackere, Ann

2009-01-01

Capacity of supply is a crucial matter in electricity markets as it directly influences reliability of supply, price volatility and blackout risk. In this paper, we analyse the dynamics of capacity expansion in the Swiss electricity market and the impact of different policies such as nuclear phaseout and management of electricity exchanges - imports and exports - policies. This article develops the conceptualization model presented in [Ochoa, P., 2007b. Policy changes in the Swiss electricity market: a system dynamics analysis of likely market responses. Socio-Economic Planning Sciences 41 (4):336-349.]. We build a system dynamics model based on the dynamics of capacity expansion explained in the latter paper and present and analyse different scenarios. We conclude that international electricity exchanges are important for the Swiss market as they help to lower costs and to increase the income of the utility companies; however, we illustrate the need for explicit policies for managing imports and exports of electricity to avoid import dependence from neighbouring countries. (author)

Dynamic Decision Making in Agricultural Futures and Options Markets?

NARCIS (Netherlands)

Mattos, F.; Garcia, P.; Pennings, J.M.E.

2008-01-01

This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets. Analysis of trading records of 12 traders identified considerable heterogeneity in individual dynamic trading behavior. Using risk measures derived from the deltas and vegas of traderâ¿¿s

Dynamic Asset Allocation and the Informational Efficiency of Markets.

OpenAIRE

Grossman, Sanford J

1995-01-01

Markets have an allocational role; even in the absence of news about payoffs, prices change to facilitate trade and allocate resources to their best use. Allocational price changes create noise in the signal extraction process, and markets where such trading is important are markets in which we may expect to find a failure of informational efficiency. An important source of allocational trading is the use of dynamic trading strategies caused by the incomplete equitization of risks. Incomplete...

Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach

Directory of Open Access Journals (Sweden)

Škrinjarić Tihana

2016-09-01

Full Text Available Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time.

Modeling energy market dynamics using discrete event system simulation

International Nuclear Information System (INIS)

Gutierrez-Alcaraz, G.; Sheble, G.B.

2009-01-01

This paper proposes the use of Discrete Event System Simulation to study the interactions among fuel and electricity markets and consumers, and the decision-making processes of fuel companies (FUELCOs), generation companies (GENCOs), and consumers in a simple artificial energy market. In reality, since markets can reach a stable equilibrium or fail, it is important to observe how they behave in a dynamic framework. We consider a Nash-Cournot model in which marketers are depicted as Nash-Cournot players that determine supply to meet end-use consumption. Detailed engineering considerations such as transportation network flows are omitted, because the focus is upon the selection and use of appropriate market models to provide answers to policy questions. (author)

A dynamic marketing model with best reply and inertia

International Nuclear Information System (INIS)

Bischi, Gian Italo; Cerboni Baiardi, Lorenzo

2015-01-01

In this paper we consider a nonlinear discrete-time dynamic model proposed by Farris et al. (2005) as a market share attraction model with two firms that decide marketing efforts over time according to best reply strategies with naïve expectations. The model also considers an adaptive adjustment toward best reply, a form of inertia or anchoring attitude, and we investigate the effects of heterogeneities among firms. A rich scenario of local and global bifurcations is obtained even with just two competing firms, and a comparison is proposed with apparently similar duopoly models based on repeated best reply dynamics with naïve expectations and adaptive adjustment.

The Joint Dynamics of Equity Market Factors

DEFF Research Database (Denmark)

Christoffersen, Peter; Langlois, Hugues

2013-01-01

The 4 equity market factors from Fama and French (1993) and Carhart (1997) are pervasive in academia and practice. However, not much is known about their joint distribution and dynamics. We find striking evidence of asymmetric tail dependence across the factors. While the linear factor correlatio...

Dynamic Interaction between Cap & Trade and Electricity Markets

Science.gov (United States)

Jeev, Kumar

Greenhouse Gases (GHG), such as Carbon-Dioxide (CO2), which is released in the atmosphere due to anthropogenic activities like power production, are now accepted as the main culprits for global warming. The Regional Greenhouse Gas Initiative (RGGI), an initiative of the North East and Mid-Atlantic States of the United States (US) for limiting the emission of GHG, has developed a regional cap-and-trade program for CO2 emissions for power plants. Existing cap-and-trade programs in US and Europe for Greenhouse Gases have recently been plagued by over-allocation. Carbon prices recently collapsed in all these markets during the global recession. Since then, there have been significant policy changes, which have resulted in the adoption of aggressive emission cap targets by most major carbon emission markets. This is expected to make carbon emissions availability more restrictive, raising the prices of these credits. These emissions markets are expected to have a major impact on the wholesale electricity markets. Two models to study the interaction of these two markets are presented. These models assess the impact of the emissions market on wholesale electricity prices. The first model characterizes the competition between two types of power plants (coal and gas) in both the electricity and emissions markets as a dynamic game using the Cournot approximation. Under this approximation, we find that in the Nash equilibrium the plants increase their permit allocation to high-demand periods and the marginal value of each credit for a plant is identical in all periods under their optimal equilibrium strategy. The second numerical model allows us to explicitly evaluate the closed loop equilibrium of the dynamic interaction of two competitors in these markets. We find that plants often try to corner the market and push prices all the way to the price cap. Power plants derive most of their profits from these extreme price regimes. In the experiments where trading is allowed

Characterising Wildlife Trade Market Supply-Demand Dynamics

Science.gov (United States)

Rowcliffe, M.; Cowlishaw, G.; Alexander, J. S.; Ntiamoa-Baidu, Y.; Brenya, A.; Milner-Gulland, E. J.

2016-01-01

The trade in wildlife products can represent an important source of income for poor people, but also threaten wildlife locally, regionally and internationally. Bushmeat provides livelihoods for hunters, traders and sellers, protein to rural and urban consumers, and has depleted the populations of many tropical forest species. Management interventions can be targeted towards the consumers or suppliers of wildlife products. There has been a general assumption in the bushmeat literature that the urban trade is driven by consumer demand with hunters simply fulfilling this demand. Using the urban bushmeat trade in the city of Kumasi, Ghana, as a case study, we use a range of datasets to explore the processes driving the urban bushmeat trade. We characterise the nature of supply and demand by explicitly considering three market attributes: resource condition, hunter behaviour, and consumer behaviour. Our results suggest that bushmeat resources around Kumasi are becoming increasingly depleted and are unable to meet demand, that hunters move in and out of the trade independently of price signals generated by the market, and that, for the Kumasi bushmeat system, consumption levels are driven not by consumer choice but by shortfalls in supply and consequent price responses. Together, these results indicate that supply-side processes dominate the urban bushmeat trade in Kumasi. This suggests that future management interventions should focus on changing hunter behaviour, although complementary interventions targeting consumer demand are also likely to be necessary in the long term. Our approach represents a structured and repeatable method to assessing market dynamics in information-poor systems. The findings serve as a caution against assuming that wildlife markets are demand driven, and highlight the value of characterising market dynamics to inform appropriate management. PMID:27632169

Econophysics and Data Driven Modelling of Market Dynamics

CERN Document Server

Aoyama, Hideaki; Chakrabarti, Bikas; Chakraborti, Anirban; Ghosh, Asim; Econophysics and Data Driven Modelling of Market Dynamics

2015-01-01

This book presents the works and research findings of physicists, economists, mathematicians, statisticians, and financial engineers who have undertaken data-driven modelling of market dynamics and other empirical studies in the field of Econophysics. During recent decades, the financial market landscape has changed dramatically with the deregulation of markets and the growing complexity of products. The ever-increasing speed and decreasing costs of computational power and networks have led to the emergence of huge databases. The availability of these data should permit the development of models that are better founded empirically, and econophysicists have accordingly been advocating that one should rely primarily on the empirical observations in order to construct models and validate them. The recent turmoil in financial markets and the 2008 crash appear to offer a strong rationale for new models and approaches. The Econophysics community accordingly has an important future role to play in market modelling....

The dynamics of Chinese rural households' participation in labor markets

NARCIS (Netherlands)

Brosig, S.; Glauben, T.; Herzfeld, T.; Rozelle, S.; Wang, X.

2007-01-01

The work is devoted to the dynamics of labor market participation of Chinese rural households. Based on a theoretical farm household framework the choice between four distinct labor market participation states is empirically analyzed. Using household data over the period 1995¿2002 from the province

Differences in Dynamic Brand Competition Across Markets: An Empirical Analysis

OpenAIRE

Jean-Pierre Dubé; Puneet Manchanda

2005-01-01

We investigate differences in the dynamics of marketing decisions across geographic markets empirically. We begin with a linear-quadratic game involving forward-looking firms competing on prices and advertising. Based on the corresponding Markov perfect equilibrium, we propose estimable econometric equations for demand and marketing policy. Our model allows us to measure empirically the strategic response of competitors along with economic measures such as firm profitability. We use a rich da...

Design and implementation of the web Linguistic and Ethnographic Atlas of Colombia

Science.gov (United States)

Rocha S., Luz Angela; Bonilla, Johnatan; Bernal, Julio; Duarte, Catherine; Rodriguez, Alejandro

2018-05-01

The Atlas Lingüístico y Etnográfico de Colombia (Linguistic and Ethnographic Atlas of Colombia), known by "ALEC" is a compilation of popular speaking Spanish of the populations of Colombia; such research was carried out for more than fifty years. The result of this work is a collection of thematic maps organized in six volumes and its supplements in analog format. In that sense was created the project entitles "Interactive ALEC" which main objective is to develop a digital and interactive web version of the ethnographic and Linguistic Atlas of Colombia (1983) and its supplements. In this way the Corpus linguistics research group belonging to the Institute Caro y Cuervo and the research group NIDE of the Universidad Distrital "Francisco José de Caldas" have been working together in the design and development of the Atlas Web, that allows the visualization and consulting of the spatial information contained in the volume III of the analog ALEC Atlas, applying concepts of Geographical Information Systems and web cartography. Therefore, the objective of this paper is to show the process of design and development of the web prototype of the ALEC as a collection of static and dynamic maps, which show spatial information, combined with multimedia content, taking into account that in addition to all maps, the total compendium includes images, illustrations, photographs, audio and text comments. Likewise, the interactive ALEC is a good example of how to use geo-technology tools nowadays, because they are essential for the dissemination of geo linguistic information through internet, achieving more access and distribution of the Atlas web.

A dynamic replicator model of the players' bids in an oligopolistic electricity market

International Nuclear Information System (INIS)

Sahraei-Ardakani, Mostafa; Rahimi-Kian, Ashkan

2009-01-01

In this paper, the replicator dynamics of the power suppliers' bids in an oligopolistic electricity market are derived for both the fixed and variable demand cases. The replicator dynamics stability analysis is also performed. The dynamics of the electricity markets are the results of players' decisions. The physical parameters of the power systems (such as the lines capacities, voltage limitations, etc.) also affect the market dynamics indirectly, through the changes in players' behaviors. Assuming rational players, an optimal bidding strategy for constructing the supply function (SF) of a generating firm is presented and based on that, the dynamics of the bid replicators are studied. Both fixed demands and price sensitive demands are taken into account. The replicator model is presented in the well-known state space structure. A case study is presented to show the applicability of the developed dynamic replicator bid model, and also to show how the Nash-SFE equilibrium evolves over time. (author)

Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems

International Nuclear Information System (INIS)

Yang, Ge; Wang, Jun; Fang, Wen

2015-01-01

In an attempt to reproduce and study the dynamics of financial markets, a random agent-based financial price model is developed and investigated by the finite-range multitype contact dynamic system, in which the interaction and dispersal of different types of investment attitudes in a stock market are imitated by viruses spreading. With different parameters of birth rates and finite-range, the normalized return series are simulated by Monte Carlo simulation method and numerical studied by power-law distribution analysis and autocorrelation analysis. To better understand the nonlinear dynamics of the return series, a q-order autocorrelation function and a multi-autocorrelation function are also defined in this work. The comparisons of statistical behaviors of return series from the agent-based model and the daily historical market returns of Shanghai Composite Index and Shenzhen Component Index indicate that the proposed model is a reasonable qualitative explanation for the price formation process of stock market systems

Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems

Science.gov (United States)

Yang, Ge; Wang, Jun; Fang, Wen

2015-04-01

In an attempt to reproduce and study the dynamics of financial markets, a random agent-based financial price model is developed and investigated by the finite-range multitype contact dynamic system, in which the interaction and dispersal of different types of investment attitudes in a stock market are imitated by viruses spreading. With different parameters of birth rates and finite-range, the normalized return series are simulated by Monte Carlo simulation method and numerical studied by power-law distribution analysis and autocorrelation analysis. To better understand the nonlinear dynamics of the return series, a q-order autocorrelation function and a multi-autocorrelation function are also defined in this work. The comparisons of statistical behaviors of return series from the agent-based model and the daily historical market returns of Shanghai Composite Index and Shenzhen Component Index indicate that the proposed model is a reasonable qualitative explanation for the price formation process of stock market systems.

Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems

Energy Technology Data Exchange (ETDEWEB)

Yang, Ge; Wang, Jun [School of Science, Beijing Jiaotong University, Beijing 100044 (China); Fang, Wen, E-mail: fangwen@bjtu.edu.cn [School of Economics and Management, Beijing Jiaotong University, Beijing 100044 (China)

2015-04-15

In an attempt to reproduce and study the dynamics of financial markets, a random agent-based financial price model is developed and investigated by the finite-range multitype contact dynamic system, in which the interaction and dispersal of different types of investment attitudes in a stock market are imitated by viruses spreading. With different parameters of birth rates and finite-range, the normalized return series are simulated by Monte Carlo simulation method and numerical studied by power-law distribution analysis and autocorrelation analysis. To better understand the nonlinear dynamics of the return series, a q-order autocorrelation function and a multi-autocorrelation function are also defined in this work. The comparisons of statistical behaviors of return series from the agent-based model and the daily historical market returns of Shanghai Composite Index and Shenzhen Component Index indicate that the proposed model is a reasonable qualitative explanation for the price formation process of stock market systems.

A Market Dynamics Model for New Industrial Products and Its Application

OpenAIRE

Shmuel S. Oren; Michael H. Rothkopf

1984-01-01

New product planning models attempt to predict the market consequences of product line and product design decisions. One output of such models, especially those driven by subjective or market research data, is usually theoretical market shares based upon consumer preferences under idealized conditions. This paper describes a class of models that bridge the gap between such theoretical market shares and dynamic sales forecasts. This model accounts for differences in customer awareness of diffe...

Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets

Science.gov (United States)

Chen, Shu-Peng; He, Ling-Yun

2010-04-01

Based on Partition Function and Multifractal Spectrum Analysis, we investigated the nonlinear dynamical mechanisms in China’s agricultural futures markets, namely, Dalian Commodity Exchange (DCE for short) and Zhengzhou Commodity Exchange (ZCE for short), where nearly all agricultural futures contracts are traded in the two markets. Firstly, we found nontrivial multifractal spectra, which are the empirical evidence of the existence of multifractal features, in 4 representative futures markets in China, that is, Hard Winter wheat (HW for short) and Strong Gluten wheat (SG for short) futures markets from ZCE and Soy Meal (SM for short) futures and Soy Bean No.1 (SB for short) futures markets from DCE. Secondly, by shuffling the original time series, we destroyed the underlying nonlinear temporal correlation; thus, we identified that long-range correlation mechanism constitutes major contributions in the formation in the multifractals of the markets. Thirdly, by tracking the evolution of left- and right-half spectra, we found that there exist critical points, between which there are different behaviors, in the left-half spectra for large price fluctuations; but for the right-hand spectra for small price fluctuations, the width of those increases slowly as the delay t increases in the long run. Finally, the dynamics of large fluctuations is significantly different from that of the small ones, which implies that there exist different underlying mechanisms in the formation of multifractality in the markets. Our main contributions focus on that we not only provided empirical evidence of the existence of multifractal features in China agricultural commodity futures markets; but also we pioneered in investigating the sources of the multifractality in China’s agricultural futures markets in current literature; furthermore, we investigated the nonlinear dynamical mechanisms based on spectrum analysis, which offers us insights into the underlying dynamical mechanisms in

Electricity market reforms: Institutional developments, investment dynamics and game modeling

Science.gov (United States)

Pineau, Pierre-Olivier

The reform trend of the 1990's in electricity markets recreates, to some extent, the institutional framework from which they developed one century ago. Although these reforms do not endeavor to completely remove regulation, the basic objectives of deregulation dwell on limiting central and governmental control over the industry in order to promote free competition at all possible levels. To assess whether the electricity industry is or is not moving back to a 19th century structure is not the goal of this thesis. We will rather try to understand on what grounds deregulation reforms stand and review how different countries and large utilities have reacted to this trend. The special nature of electricity (non-storable basic good, centrally produced) creates different obstacles in the restructuring of electricity markets, compared to other industries like the airline or telecommunication ones. For example, the dominant positions of some utilities, the production structure and the importance of electricity in modern life could transform these reforms in a threatening move for consumers. Another specific issue arising from deregulation, now that national energy policy goals no longer rule the behavior of utilities, is how investment will be coordinated in the new market. A key element to keep in sight is the competition level targeted by these reforms. To which extent full competition can really occur in electricity markets remains an unanswered question. Indeed, the oligopolistic structure of the market could prevent such an outcome. An investigation of the investment dynamics in such a context seems therefore appropriate, and this will be an important theme of the thesis. This work offers an analysis of deregulated electricity markets and studies the oligopolistic market dynamics that could prevail in the new structure. Two complementary approaches are used for these purposes. The first is institutional and presents a thorough illustration of the economic arguments

The Influence of Information Acquisition on the Complex Dynamics of Market Competition

Science.gov (United States)

Guo, Zhanbing; Ma, Junhai

In this paper, we build a dynamical game model with three bounded rational players (firms) to study the influence of information on the complex dynamics of market competition, where useful information is about rival’s real decision. In this dynamical game model, one information-sharing team is composed of two firms, they acquire and share the information about their common competitor, however, they make their own decisions separately, where the amount of information acquired by this information-sharing team will determine the estimation accuracy about the rival’s real decision. Based on this dynamical game model and some creative 3D diagrams, the influence of the amount of information on the complex dynamics of market competition such as local dynamics, global dynamics and profits is studied. These results have significant theoretical and practical values to realize the influence of information.

Impact of Stock Market Structure on Intertrade Time and Price Dynamics

Science.gov (United States)

Ivanov, Plamen Ch.; Yuen, Ainslie; Perakakis, Pandelis

2014-01-01

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization–a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing

Impact of stock market structure on intertrade time and price dynamics.

Science.gov (United States)

Ivanov, Plamen Ch; Yuen, Ainslie; Perakakis, Pandelis

2014-01-01

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization-a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing

Dynamics of electricity market correlations

Science.gov (United States)

Alvarez-Ramirez, J.; Escarela-Perez, R.; Espinosa-Perez, G.; Urrea, R.

2009-06-01

Electricity market participants rely on demand and price forecasts to decide their bidding strategies, allocate assets, negotiate bilateral contracts, hedge risks, and plan facility investments. However, forecasting is hampered by the non-linear and stochastic nature of price time series. Diverse modeling strategies, from neural networks to traditional transfer functions, have been explored. These approaches are based on the assumption that price series contain correlations that can be exploited for model-based prediction purposes. While many works have been devoted to the demand and price modeling, a limited number of reports on the nature and dynamics of electricity market correlations are available. This paper uses detrended fluctuation analysis to study correlations in the demand and price time series and takes the Australian market as a case study. The results show the existence of correlations in both demand and prices over three orders of magnitude in time ranging from hours to months. However, the Hurst exponent is not constant over time, and its time evolution was computed over a subsample moving window of 250 observations. The computations, also made for two Canadian markets, show that the correlations present important fluctuations over a seasonal one-year cycle. Interestingly, non-linearities (measured in terms of a multifractality index) and reduced price predictability are found for the June-July periods, while the converse behavior is displayed during the December-January period. In terms of forecasting models, our results suggest that non-linear recursive models should be considered for accurate day-ahead price estimation. On the other hand, linear models seem to suffice for demand forecasting purposes.

Dynamics of world oil crops market

Directory of Open Access Journals (Sweden)

Knežević Marija

2012-01-01

Full Text Available According to the harvested area, oil crops are the second most important crops after cereals. Soybean is the most important oil crop in terms of production and trade of oilseeds and meals, and second most important in terms of production and trade of vegetable oils after palm oil. Dynamics of prices of derived oil crop products in the international market is conditioned by the relationship between supply and demand in the overall market of oil crops. The substitution of animal fats with vegetable oils in human nutrition, the expansion of biodiesel industry and intensification of livestock production have led to increased demand for oil crops. The objective of this paper was to identify trends in production, consumption and trade of soybeans, rapeseed and sunflower and their derived products.

ASSESSING THE RELATIONSHIP BETWEEN MARKET FACTORS AND REGIONAL PRICE DYNAMICS IN U.S. CATTLE MARKETS

OpenAIRE

Walburger, Allan M.; Foster, Kenneth A.

1997-01-01

Regional live cattle prices are decomposed into two components: (a) a trend common to all regional cattle price series and (b) regional deviations or price dynamics around that trend. Tests are developed to determine if market factors are related to the regional price deviations around a common trend. Slaughter volume, distance between a market and the next closest, and forward contract deliveries are significantly related to price deviations from the estimated common trend.

Dynamic portfolio optimization across hidden market regimes

DEFF Research Database (Denmark)

Nystrup, Peter; Madsen, Henrik; Lindström, Erik

2017-01-01

Regime-based asset allocation has been shown to add value over rebalancing to static weights and, in particular, reduce potential drawdowns by reacting to changes in market conditions. The predominant approach in previous studies has been to specify in advance a static decision rule for changing...... the allocation based on the state of financial markets or the economy. In this article, model predictive control (MPC) is used to dynamically optimize a portfolio based on forecasts of the mean and variance of financial returns from a hidden Markov model with time-varying parameters. There are computational...... than a buy-and-hold investment in various major stock market indices. This is after accounting for transaction costs, with a one-day delay in the implementation of allocation changes, and with zero-interest cash as the only alternative to the stock indices. Imposing a trading penalty that reduces...

The Complex Dynamics of Sponsored Search Markets

Science.gov (United States)

Robu, Valentin; La Poutré, Han; Bohte, Sander

This paper provides a comprehensive study of the structure and dynamics of online advertising markets, mostly based on techniques from the emergent discipline of complex systems analysis. First, we look at how the display rank of a URL link influences its click frequency, for both sponsored search and organic search. Second, we study the market structure that emerges from these queries, especially the market share distribution of different advertisers. We show that the sponsored search market is highly concentrated, with less than 5% of all advertisers receiving over 2/3 of the clicks in the market. Furthermore, we show that both the number of ad impressions and the number of clicks follow power law distributions of approximately the same coefficient. However, we find this result does not hold when studying the same distribution of clicks per rank position, which shows considerable variance, most likely due to the way advertisers divide their budget on different keywords. Finally, we turn our attention to how such sponsored search data could be used to provide decision support tools for bidding for combinations of keywords. We provide a method to visualize keywords of interest in graphical form, as well as a method to partition these graphs to obtain desirable subsets of search terms.

Outflow dynamics in modeling oligopoly markets: the case of the mobile telecommunications market in Poland

Science.gov (United States)

Sznajd-Weron, Katarzyna; Weron, Rafał; Włoszczowska, Maja

2008-11-01

In this paper we introduce two models of opinion dynamics in oligopoly markets and apply them to a situation where a new entrant challenges two incumbents of the same size. The models differ in the way in which the two forces influencing consumer choice—(local) social interactions and (global) advertising—interact. We study the general behavior of the models using the mean field approach and Monte Carlo simulations and calibrate the models using data from the Polish telecommunications market. For one of the models criticality is observed—below a certain critical level of advertising the market approaches a lock-in situation, where one market leader dominates the market and all other brands disappear. Interestingly, for both models the best fits to real data are obtained for conformity level p \\in (0.3,0.4) . This agrees very well with the conformity level found by Solomon Asch in his famous social experiment.

Can Big Data Help Predict Financial Market Dynamics?: Evidence from the Korean Stock Market

Directory of Open Access Journals (Sweden)

Dong-Jin Pyo

2017-06-01

Full Text Available This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency prevail during the sample period. Meanwhile, the search frequency has a negative association with the one-week- ahead stock return but not vice versa. In addition to identifying dynamic correlations, the paper also aims to serve as a test bed in which the existence of profitable trading strategies based on big data is explored. Specifically, the strategy interpreting the heightened investor attention as a negative signal for future returns appears to have been superior to the benchmark strategy in terms of the expected utility over wealth. This paper also demonstrates that the big data-based option trading strategy might be able to beat the market under certain conditions. These results highlight the possibility of big data as a potential source-which has been left largely untapped-for establishing profitable trading strategies as well as developing insights on stock market dynamics.

Investigating the Nonlinear Dynamics of Emerging and Developed Stock Markets

Directory of Open Access Journals (Sweden)

K. Guhathakurta

2015-01-01

Full Text Available Financial time-series has been of interest of many statisticians and financial experts. Understanding the characteristic features of a financial-time series has posed some difficulties because of its quasi-periodic nature. Linear statistics can be applied to a periodic time series, but since financial time series is non-linear and non-stationary, analysis of its quasi periodic characteristics is not entirely possible with linear statistics. Thus, the study of financial series of stock market still remains a complex task having its specific requirements. In this paper keeping in mind the recent trends and developments in financial time series studies, we want to establish if there is any significant relationship existing between trading behavior of developing and developed markets. The study is conducted to draw conclusions on similarity or differences between developing economies, developed economies, developing-developed economy pairs. We take the leading stock market indices dataset for the past 15 years in those markets to conduct the study. First we have drawn probability distribution of the dataset to see if any graphical similarity exists. Then we perform quantitative techniques to test certain hypotheses. Then we proceed to implement the Ensemble Empirical Mode Distribution technique to draw out amplitude and phase of movement of index value each data set to compare at granular level of detail. Our findings lead us to conclude that the nonlinear dynamics of emerging markets and developed markets are not significantly different. This could mean that increasing cross market trading and involvement of global investment has resulted in narrowing the gap between emerging and developed markets. From nonlinear dynamics perspective we find no reason to distinguish markets into emerging and developed any more.

Correlation between agricultural markets in dynamic perspective-Evidence from China and the US futures markets

Science.gov (United States)

Jia, Rui-Lin; Wang, Dong-Hua; Tu, Jing-Qing; Li, Sai-Ping

2016-12-01

Emerging as the earliest futures markets, agricultural futures markets play an important role in risk aversion and price discovery. With the integration of global economy, the linkage between domestic and international futures markets becomes closer than ever. By using the thermal optimal path (TOP) method, this paper selects soybean, corn and wheat as the representatives to study the dynamic lead-lag relationship between the Chinese and American markets in both returns and volatility. The results indicate that: (1) For the futures return, different kinds of agricultural futures lead-lag relationship between China and the US varied before 2014 both in direction and order in different time periods. However, China leads the US for all the three kinds we study after 2014. (2) Agricultural commodities subject to less import restrictions and government regulations in China such as soybean are more susceptible to the fluctuations from the international markets. On the other hand, lower foreign trade openness and more government regulation species such as wheat are less affected by fluctuations from outside. (3) The volatility transmission from the US to China wheat futures market takes longer time than soybean, which suggests that China's soybean futures market is more closely linked to the international agricultural futures market than wheat.

North American Oriented Strand Board Markets, Arbitrage Activity, and Market Price Dynamics: A Smooth Transition Approach

OpenAIRE

Goodwin, Barry K.; Holt, Matthew T.; Prestemon, Jeffery P.

2008-01-01

Price dynamics for North American oriented strand board (OSB) markets are examined. The role of transactions costs are explored vis-a-vis the law of one price. Weekly data, February 3rd, 1995 through October 9th, 2009, are used in the analysis. Nonlinearities induced by unobservable transactions costs are modeled by estimating Time-Varying Smooth Transition Autoregressions (TV-STARs). Results indicate that nonlinearity and structural change are important features of these markets; price...

How Overall Logistics Strategy Mediates The Influence Of Market Attractiveness And Dynamic Capability On Strategic Competitive Response

Directory of Open Access Journals (Sweden)

Febriyanto

2015-08-01

Full Text Available This research is conducted to examine the influence of market attractiveness and dynamic capability on strategic competitive response through overall logistics strategies of logistics service providers LSPs. Involving 266 LSPs SEM-LISREL is applied to test the hypotheses. The findings reveal that the market attractiveness and the dynamic capability positively affect the overall logistics strategy. Additionally the market attractiveness and the dynamic capability positively affect the strategic competitive response. Indirectly the market attractiveness and the dynamic capability positively affect the performance through strategic competitive response of LSPs. Obviously overall logistics strategy strengthen the influence of both market attractiveness and dynamic capability on strategic competitive response. There are five alternatives to optimize the overall logistics strategy of LSPs market intensification integration focus collaboration and strengthening value proposition. The involvement of overall logistics strategy as mediating variable is new paradigm in the strategic management discourses especially in logistics industry. Further research needs to be performed by involving the size of business as control variable and LSPs perception on Governments policies.

Electricity market reforms : institutional developments, investment dynamics and game modeling (Finland)

International Nuclear Information System (INIS)

Pineau, P.-O.

2001-01-01

During the 1990s, there was a definite trend to reform the electric power industry from the way in which it operated a century ago. The reform does not try to totally remove regulation. Rather, the basic objective is to limit central and governmental control over the industry so that free competition can be encouraged at all possible levels. This thesis tried to understand the status of deregulatory reforms and reviews how different countries and large utilities have reacted to the trend. Electricity is particular in that it is a non-storable basic good that is centrally produced. Compared to other industries such as the airline or telecommunication industry, this special nature creates barriers in the restructuring of power markets. An issue that is emerging with deregulation is that national energy policy goals no longer determine the behaviour of utilities. This will impact on how investments will be coordinated in the new market. A major factor to keep in mind is the competition level sought by these reforms. It is not yet known to which extent full competition can really occur in electricity markets. The oligopolistic structure of the market may even prevent such an outcome. It is important to examine the investment dynamics in such a context. This was the primary theme of the thesis. The two complementary approaches used included an example of an institution and its economic arguments that support market reform. A detailed example of the reform process in the electricity market in Finland was presented. The second approach was more analytical and was based on the market equilibria that may occur as a result of market reform. A dynamic model of investment for the power market was again applied to the electricity market in Finland

Electricity market reforms : institutional developments, investment dynamics and game modeling (Finland)

Energy Technology Data Exchange (ETDEWEB)

Pineau, P.-O.

2001-07-01

During the 1990s, there was a definite trend to reform the electric power industry from the way in which it operated a century ago. The reform does not try to totally remove regulation. Rather, the basic objective is to limit central and governmental control over the industry so that free competition can be encouraged at all possible levels. This thesis tried to understand the status of deregulatory reforms and reviews how different countries and large utilities have reacted to the trend. Electricity is particular in that it is a non-storable basic good that is centrally produced. Compared to other industries such as the airline or telecommunication industry, this special nature creates barriers in the restructuring of power markets. An issue that is emerging with deregulation is that national energy policy goals no longer determine the behaviour of utilities. This will impact on how investments will be coordinated in the new market. A major factor to keep in mind is the competition level sought by these reforms. It is not yet known to which extent full competition can really occur in electricity markets. The oligopolistic structure of the market may even prevent such an outcome. It is important to examine the investment dynamics in such a context. This was the primary theme of the thesis. The two complementary approaches used included an example of an institution and its economic arguments that support market reform. A detailed example of the reform process in the electricity market in Finland was presented. The second approach was more analytical and was based on the market equilibria that may occur as a result of market reform. A dynamic model of investment for the power market was again applied to the electricity market in Finland.

Quantifying the behavior of price dynamics at opening time in stock market

Science.gov (United States)

Ochiai, Tomoshiro; Takada, Hideyuki; Nacher, Jose C.

2014-11-01

The availability of huge volume of financial data has offered the possibility for understanding the markets as a complex system characterized by several stylized facts. Here we first show that the time evolution of the Japan’s Nikkei stock average index (Nikkei 225) futures follows the resistance and breaking-acceleration effects when the complete time series data is analyzed. However, in stock markets there are periods where no regular trades occur between the close of the market on one day and the next day’s open. To examine these time gaps we decompose the time series data into opening time and intermediate time. Our analysis indicates that for the intermediate time, both the resistance and the breaking-acceleration effects are still observed. However, for the opening time there are almost no resistance and breaking-acceleration effects, and volatility is always constantly high. These findings highlight unique dynamic differences between stock markets and forex market and suggest that current risk management strategies may need to be revised to address the absence of these dynamic effects at the opening time.

Dynamics of the youth travel market on a global level

Directory of Open Access Journals (Sweden)

Timea DEMETER

2015-06-01

Full Text Available The segment of young tourists has been considered a niche market and was treated as a branch of the tourism industry. In the past 10 years, however, its market value has began to increase significantly bringing real benefits to the companies adapting to this segment by developing appropriate strategies and policies. Therefore, the aim of this project is to analyse the dynamics of the youth travel market, on a global level, taking into consideration the international youth arrivals, youth accommodation units and the behavioural habits of young tourists, serving as a starting point in the strategy development process.

Patching. Restitching business portfolios in dynamic markets.

Science.gov (United States)

Eisenhardt, K M; Brown, S L

1999-01-01

In turbulent markets, businesses and opportunities are constantly falling out of alignment. New technologies and emerging markets create fresh opportunities. Converging markets produce more. And of course, some markets fade. In this landscape of continuous flux, it's more important to build corporate-level strategic processes that enable dynamic repositioning than it is to build any particular defensible position. That's why smart corporate strategists use patching, a process of mapping and remapping business units to create a shifting mix of highly focused, tightly aligned businesses that can respond to changing market opportunities. Patching is not just another name for reorganizing; patchers have a distinctive mindset. Traditional managers see structure as stable; patching managers believe structure is inherently temporary. Traditional managers set corporate strategy first, but patching managers keep the organization focused on the right set of business opportunities and let strategy emerge from individual businesses. Although the focus of patching is flexibility, the process itself follows a pattern. Patching changes are usually small in scale and made frequently. Patching should be done quickly; the emphasis is on getting the patch about right and fixing problems later. Patches should have a test drive before they're formalized but then be tightly scripted after they've been announced. And patching won't work without the right infrastructure: modular business units, fine-grained and complete unit-level metrics, and companywide compensation parity. The authors illustrate how patching works and point out some common stumbling blocks.

A stochastic MILP energy planning model incorporating power market dynamics

International Nuclear Information System (INIS)

Koltsaklis, Nikolaos E.; Nazos, Konstantinos

2017-01-01

Highlights: •Stochastic MILP model for the optimal energy planning of a power system. •Power market dynamics (offers/bids) are incorporated in the proposed model. •Monte Carlo method for capturing the uncertainty of some key parameters. •Analytical supply cost composition per power producer and activity. •Clean dark and spark spreads are calculated for each power unit. -- Abstract: This paper presents an optimization-based methodological approach to address the problem of the optimal planning of a power system at an annual level in competitive and uncertain power markets. More specifically, a stochastic mixed integer linear programming model (MILP) has been developed, combining advanced optimization techniques with Monte Carlo method in order to deal with uncertainty issues. The main focus of the proposed framework is the dynamic formulation of the strategy followed by all market participants in volatile market conditions, as well as detailed economic assessment of the power system’s operation. The applicability of the proposed approach has been tested on a real case study of the interconnected Greek power system, quantifying in detail all the relevant technical and economic aspects of the system’s operation. The proposed work identifies in the form of probability distributions the optimal power generation mix, electricity trade at a regional level, carbon footprint, as well as detailed total supply cost composition, according to the assumed market structure. The paper demonstrates that the proposed optimization approach is able to provide important insights into the appropriate energy strategies designed by market participants, as well as on the strategic long-term decisions to be made by investors and/or policy makers at a national and/or regional level, underscoring potential risks and providing appropriate price signals on critical energy projects under real market operating conditions.

Dynamic asset trees in the US stock market: Structure variation and market phenomena

International Nuclear Information System (INIS)

Huang, Wei-Qiang; Yao, Shuang; Zhuang, Xin-Tian; Yuan, Ying

2017-01-01

In this work, employing a moving window to scan through every stock price time series over a period from 2 January 1986 to 20 October 2015, we use cross-correlations to measure the interdependence between stock prices, and we construct a corresponding minimal spanning tree for 170 U.S. stocks in every given window. We show how the asset tree evolves over time and describe the dynamics of its normalized length, centrality measures, vertex degree and vertex strength distributions, and single- and multiple-step edge survival ratios. We find that the normalized tree length shows a tendency to decrease over the 30 years. The power-law of vertex degree or vertex strength distribution does not hold for all trees. The survival ratio analysis reveals an increased stability of the dependence structure of the stock market as time elapses. We then examine the relationship between tree structure variation and market phenomena, such as average, volatility and tail risk of stock (market) return. Our main observation is that the normalized tree length has a positive relationship with the level of stock market average return, and it responds negatively to the market return volatility and tail risk. Furthermore, the majority of stocks have their vertex degrees significantly positively correlated to their average return, and significantly negatively correlated to their return volatility and tail risk.

Post-hit dynamics of price limit hits in the Chinese stock markets

Science.gov (United States)

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

2017-01-01

Price limit trading rules are useful to cool off traders short-term trading mania on individual stocks. The price dynamics approaching the limit boards are known as the magnet effect. However, the price dynamics after opening price limit hits are not well investigated. Here, we provide a detailed analysis on the price dynamics after the hits of up-limit or down-limit is open based on all A-share stocks traded in the Chinese stock markets. A "W" shape is found in the expected return, which reveals high probability of a continuous price limit hit on the following day. We also find that price dynamics after opening limit hits are dependent on the market trends. The time span of continuously hitting the price limit is found to an influence factor of the expected profit after the limit hit is open. Our analysis provides a better understanding of the price dynamics around the limit boards and contributes potential practical values for investors.

Oil price and financial markets: Multivariate dynamic frequency analysis

International Nuclear Information System (INIS)

Creti, Anna; Ftiti, Zied; Guesmi, Khaled

2014-01-01

The aim of this paper is to study the degree of interdependence between oil price and stock market index into two groups of countries: oil-importers and oil-exporters. To this end, we propose a new empirical methodology allowing a time-varying dynamic correlation measure between the stock market index and the oil price series. We use the frequency approach proposed by Priestley and Tong (1973), that is the evolutionary co-spectral analysis. This method allows us to distinguish between short-run and medium-run dependence. In order to complete our study by analysing long-run dependence, we use the cointegration procedure developed by Engle and Granger (1987). We find that interdependence between the oil price and the stock market is stronger in exporters' markets than in the importers' ones. - Highlights: • A new time-varying measure for the stock markets and oil price relationship in different horizons. • We propose a new empirical methodology: multivariate frequency approach. • We propose a comparison between oil importing and exporting countries. • We show that oil is not always countercyclical with respect to stock markets. • When high oil prices originate from supply shocks, oil is countercyclical with stock markets

Dynamic pricing for demand response considering market price uncertainty

DEFF Research Database (Denmark)

Ghazvini, Mohammad Ali Fotouhi; Soares, Joao; Morais, Hugo

2017-01-01

Retail energy providers (REPs) can employ different strategies such as offering demand response (DR) programs, participating in bilateral contracts, and employing self-generation distributed generation (DG) units to avoid financial losses in the volatile electricity markets. In this paper......, the problem of setting dynamic retail sales price by a REP is addressed with a robust optimization technique. In the proposed model, the REP offers price-based DR programs while it faces uncertainties in the wholesale market price. The main contribution of this paper is using a robust optimization approach...

Dynamics of the Croatian electricity market opening

International Nuclear Information System (INIS)

Pesut, D.; Zeljko, M.; Zutobradic, S.

2003-01-01

Customer eligibility is regulated by the Law on Electricity Market and its Article 23 (Official Gazette 79/01). Eligibility is understood as a possible supplier choice. To ensure the eligible status, annual demand should exceed 40 GWh. The category of customers that has gained the eligibility status based on the Law on Electricity Market makes out a total of around 7 percent of the annual electric energy consumption in Croatia. Thus, it can be said that electricity market openness in Croatia lies somewhat below 10 percent. According to the already mentioned Article 23, paragraph 4, the Government may determine annual demand threshold lowering as a condition to grant the eligibility status. According to the Law on Gas Market from 2001, the category of eligible gas customers in Croatia includes all electricity generators who use gas, regardless of the annual gas consumption, and other customers whose annual consumption exceeds 100 million m3. In 2002 there were seven such customers and they participated with 1,374,160,000 m3, i.e. 51 percent in the total gas consumption. As INA is the sole natural gas producer in Croatia with a long-term contract on the supply line lease for the transportation of Russian gas, it is also the only supplier of natural gas. Therefore, in 2002 each eligible customer bought gas from INA. Issues related to this field are: what kind of dynamics should one proceed with toward further energy market opening in Croatia? How large is this share of electricity, i.e. gas consumption in Croatia? What are the prerequisites, both organisational and technical, for this kind of market opening? (author)

Insurance brokers market dynamics in Poland before deregulation

Directory of Open Access Journals (Sweden)

Jarosław Krajewski

2014-12-01

Full Text Available The article focus on insurance broker profession in connection with second part of professions deregulations. It briefly presents modifications in polish law in this domain. Next part concerns the insurance brokers market dynamics analysis. The results shows permanent increase in brokers quantity in spite of existing regulations. Presented paper makes start point to following analysis.

Price dynamics in European petroleum markets

International Nuclear Information System (INIS)

Wlazlowski, Szymon; Giulietti, Monica; Binner, Jane; Milas, Costas

2009-01-01

This paper analyses horizontal and vertical price dynamics in the EU petroleum markets. The results indicate that the cross-country price differentials have significant impact on the local price adjustments. We investigate the cross-national price spill-overs and find that the extent of the welfare transfer due to asymmetric price transmission, when analysed in a cross-country setting, is less pronounced than claimed in previous contributions in this area. We also find empirical evidence, although indirect, for the politically charged concept of 'fuel tourism', using a pan-European cross-product time series dataset. (author)

A Dynamic Model of the Combined Electricity and Natural Gas Markets

DEFF Research Database (Denmark)

Jenkins, Sandra; Annaswamy, Anuradha M.; Hansen, Jacob

2015-01-01

With the shale gas revolution, coal retirements, environmental regulations, and increasing renewable energy resources, the interdependency of natural gas and electricity has grown significantly. Interdependency challenges, such as mismatched market schedules and disparate market operations, require...... quantitative modeling in order to garner insights into the effectiveness of various solutions. In this paper, a quantitative model with a dynamic market mechanism is proposed to evaluate the effects of the fuel uncertainty of natural gas-fired power plants on Social Welfare. The results of the model show...

Dynamic conditional correlation analysis of financial market interdependence : An application to Thailand and Indonesia

NARCIS (Netherlands)

Kuper, Gerard H.; Lestano, [No Value

2006-01-01

This paper examines the dynamic linkages among financial markets in Thailand and Indonesia. In particular, we focus on the cross-border relationship in individual markets and on the relationship between finan- cial markets within each country. We find that while tight monetary policy pursued by

The market dynamics of selective serotonin re-uptake inhibitors: a ...

African Journals Online (AJOL)

The market dynamics of selective serotonin re-uptake inhibitors: a private sector study in South Africa. Frasia Oosthuizen, Pariksha Jolene Kondiah, Hawa Bibi Moosa, Siddiqa Naroth, Nabeel Ismail Patel, Divashnee Reddy, Amanda Soobramoney ...

Dynamic voltage stability constrained congestion management framework for deregulated electricity markets

International Nuclear Information System (INIS)

Amjady, Nima; Hakimi, Mahmood

2012-01-01

Highlights: ► A new congestion management method for electricity markets is proposed. ► The proposed method includes dynamic models of generators and loads. ► Dynamic voltage stability limits are properly modeled in the proposed method. ► The proposed method is compared with several other congestion management methods. ► It leads to a more robust power system with a lower congestion management cost. - Abstract: Congestion management is an important part of power system operation in today deregulated electricity markets. However, congestion management is traditionally performed based on static analysis tools, while these tools may not correctly capture dynamic voltage stability limits of a power system. In this paper, a new congestion management framework considering dynamic voltage stability boundary of power system is proposed. For this purpose, precise dynamic modeling of power system equipment, including generators and loads, is incorporated into the proposed congestion management framework. The proposed method alleviates congestion with a lower congestion management cost and more dynamic voltage stability margin, resulting in a more robust power system, compared with the previous congestion management methods. The validity of proposed congestion management framework is studied based on the New England 39-bus power system. The obtained results confirm the validity of the developed approach.

Dynamic Correlation between Stock Market Returns and Crude Oil Prices: Evidence from a Developing Economy

Directory of Open Access Journals (Sweden)

Emenike O. Kalu

2015-10-01

Full Text Available Normal 0 false false false EN-US X-NONE X-NONE Modeling the correlation of assets returns volatilities across different markets or segments of a market has practical value for portfolio selection and diversification, market regulation, and risk management. This paper therefore evaluates the nature of time-varying correlation between volatilities of stock market and crude oil returns in Nigeria using Dynamic Conditional Correlation-Generalised Autoregressive Conditional Heteroscedasticity (DCC-GARCH model. Results from DCC-GARCH (1,1 model show evidence of volatility clustering and persistence in Nigeria stock market and crude oil returns. The results also show that there is no dynamic conditional correlation in ARCH effects between stock market returns and crude oil prices in Nigeria. The results further show that there is strong evidence of time-varying volatility correlation between stock market and crude oil returns volatility. The findings will help shape policy-making in risk management and market regulation in Nigeria.

Wholesale energy market in a smart grid. Dynamic modeling, stability, and robustness

Energy Technology Data Exchange (ETDEWEB)

Kiani Bejestani, Arman

2013-01-24

The recent paradigm shift in the architecture of the smart grid is driven by the need to integrate Renewable Energy Resources (RER), the availability of information through communication networks, and an emerging policy of demand that is intertwined with pricing. A major component of this architecture is the design of electricity markets, which pertains to the optimal scheduling of power generation and reserve requirements. The challenge is to carry out this scheduling with a high level of integration of renewable generation sources, a formidable task due to intermittency and uncertainty. Introducing huge intermittency and uncertainty in the smart grid will demand a dynamic framework for addressing the operation, scheduling and financial settlements in the uncertain environment. The temporal components in scheduling generation are necessary due to increasing penetration of renewable sources, and increasing potential of adjustable demand via Demand Response (DR). The former brings issues of strong intermittency and uncertainty, and the latter brings a feedback structure, where demand can be modulated over a range of time-scales. Both of these components are dictating a new look at market mechanisms, with a controls viewpoint enabling a novel framework for analysis and synthesis. This dissertation provides static and dynamic models that capture the various aspects of electrical power systems, including the dynamics of market participants, the physical and technical constraints of power systems, and the uncertainty of RER. The proposed models shed new light on wholesale electricity market design, allowing an understanding to be gained of how to create markets, which enhance the stability of price profiles, and efficiency of the power systems, in the presence of uncertain demand and intermittent resources. The notion of market equilibrium in the presence of RER and DR is presented. The effects of uncertainties due to forecast errors in RER and variations due to DR on

Market dynamics of community pharmacies in Minnesota, U.S. from 1992 through 2012.

Science.gov (United States)

Schommer, Jon C; Yusuf, Akeem A; Hadsall, Ronald S

2014-01-01

An understanding of community pharmacy market dynamics is important for monitoring access points for pharmacist services. The purpose of this study was to describe (1) changes in pharmacy mix (independent versus chain) between 1992 and 2002 and between 2002 and 2012 for 87 counties in Minnesota (state in U.S.) and (2) the number (and proportion) of community pharmacies in Minnesota for the years 1992, 2002, and 2012 using a new categorization method developed specifically for this study. Data included licensure records for 1992, 2002, and 2012 from the State of Minnesota Board of Pharmacy and county level demographics for 1990, 2000 and 2010 from the US Census Bureau. Descriptive statistics were used to summarize findings over time and to describe associations between study variables. The ratio of independent pharmacies to chain pharmacies changed from approximately 2:1 in 1992 to 1:2 in 2012. The primary market factors associated with changes in the number of community pharmacies per county were (1) the metropolitan designation of the county and (2) whether the population density (persons/square mile) was increasing or decreasing. The face of community pharmacy in Minnesota changed between 1992 and 2012. By 2012, pharmacies were located in traditional retail pharmacies, mass merchandiser outlets, supermarkets, and clinics/medical centers. Furthermore, specialty pharmacies grew in proportion to meet patient needs. Between 1992 and 2012, the market dynamics of community pharmacies in Minnesota was characterized by vigorous market entry and exit. In light of recent health reform that is exhibiting characteristics such as continuity-of-care models, performance-based payment, technology advances, and the care of patients becoming more "ambulatory" (versus in-patient), we suggest that the market dynamics of community pharmacies will continue to exhibit vigorous market entry and exit in this new environment. It is proposed that the community pharmacy categories developed

Transient dynamics in trial-offer markets with social influence: Trade-offs between appeal and quality.

Science.gov (United States)

Altszyler, Edgar; Berbeglia, Franco; Berbeglia, Gerardo; Van Hentenryck, Pascal

2017-01-01

We study a trial-offer market where consumers may purchase one of two competing products. Consumer preferences are affected by the products quality, their appeal, and their popularity. While the asymptotic convergence or stationary states of these, and related dynamical systems, has been vastly studied, the literature regarding the transitory dynamics remains surprisingly sparse. To fill this gap, we derive a system of Ordinary Differential Equations, which is solved exactly to gain insight into the roles played by product qualities and appeals in the market behavior. We observe a logarithmic tradeoff between quality and appeal for medium and long-term marketing strategies: The expected market shares remain constant if a decrease in quality is followed by an exponential increase in the product appeal. However, for short time horizons, the trade-off is linear. Finally, we study the variability of the dynamics through Monte Carlo simulations and discover that low appeals may result in high levels of variability. The model results suggest effective marketing strategies for short and long time horizons and emphasize the significance of advertising early in the market life to increase sales and predictability.

Transient dynamics in trial-offer markets with social influence: Trade-offs between appeal and quality

Science.gov (United States)

Altszyler, Edgar; Berbeglia, Franco; Van Hentenryck, Pascal

2017-01-01

We study a trial-offer market where consumers may purchase one of two competing products. Consumer preferences are affected by the products quality, their appeal, and their popularity. While the asymptotic convergence or stationary states of these, and related dynamical systems, has been vastly studied, the literature regarding the transitory dynamics remains surprisingly sparse. To fill this gap, we derive a system of Ordinary Differential Equations, which is solved exactly to gain insight into the roles played by product qualities and appeals in the market behavior. We observe a logarithmic tradeoff between quality and appeal for medium and long-term marketing strategies: The expected market shares remain constant if a decrease in quality is followed by an exponential increase in the product appeal. However, for short time horizons, the trade-off is linear. Finally, we study the variability of the dynamics through Monte Carlo simulations and discover that low appeals may result in high levels of variability. The model results suggest effective marketing strategies for short and long time horizons and emphasize the significance of advertising early in the market life to increase sales and predictability. PMID:28746334

Transient dynamics in trial-offer markets with social influence: Trade-offs between appeal and quality.

Directory of Open Access Journals (Sweden)

Edgar Altszyler

Full Text Available We study a trial-offer market where consumers may purchase one of two competing products. Consumer preferences are affected by the products quality, their appeal, and their popularity. While the asymptotic convergence or stationary states of these, and related dynamical systems, has been vastly studied, the literature regarding the transitory dynamics remains surprisingly sparse. To fill this gap, we derive a system of Ordinary Differential Equations, which is solved exactly to gain insight into the roles played by product qualities and appeals in the market behavior. We observe a logarithmic tradeoff between quality and appeal for medium and long-term marketing strategies: The expected market shares remain constant if a decrease in quality is followed by an exponential increase in the product appeal. However, for short time horizons, the trade-off is linear. Finally, we study the variability of the dynamics through Monte Carlo simulations and discover that low appeals may result in high levels of variability. The model results suggest effective marketing strategies for short and long time horizons and emphasize the significance of advertising early in the market life to increase sales and predictability.

Nonlinear analysis and dynamic structure in the energy market

Science.gov (United States)

Aghababa, Hajar

This research assesses the dynamic structure of the energy sector of the aggregate economy in the context of nonlinear mechanisms. Earlier studies have focused mainly on the price of the energy products when detecting nonlinearities in time series data of the energy market, and there is little mention of the production side of the market. Moreover, there is a lack of exploration about the implication of high dimensionality and time aggregation when analyzing the market's fundamentals. This research will address these gaps by including the quantity side of the market in addition to the price and by systematically incorporating various frequencies for sample sizes in three essays. The goal of this research is to provide an inclusive and exhaustive examination of the dynamics in the energy markets. The first essay begins with the application of statistical techniques, and it incorporates the most well-known univariate tests for nonlinearity with distinct power functions over alternatives and tests different null hypotheses. It utilizes the daily spot price observations on five major products in the energy market. The results suggest that the time series daily spot prices of the energy products are highly nonlinear in their nature. They demonstrate apparent evidence of general nonlinear serial dependence in each individual series, as well as nonlinearity in the first, second, and third moments of the series. The second essay examines the underlying mechanism of crude oil production and identifies the nonlinear structure of the production market by utilizing various monthly time series observations of crude oil production: the U.S. field, Organization of the Petroleum Exporting Countries (OPEC), non-OPEC, and the world production of crude oil. The finding implies that the time series data of the U.S. field, OPEC, and the world production of crude oil exhibit deep nonlinearity in their structure and are generated by nonlinear mechanisms. However, the dynamics of the non

The relationship between hospital and ehr vendor market dynamics on health information organization presence and participation.

Science.gov (United States)

Lin, Sunny C; Adler-Milstein, Julia

2018-05-08

Health Information Organizations (HIOs) are third party organizations that facilitate electronic health information exchange (HIE) between providers in a geographic area. Despite benefits from HIE, HIOs have struggled to form and subsequently gain broad provider participation. We sought to assess whether market-level hospital and EHR vendor dynamics are associated with presence and level of hospital participation in HIOs. 2014 data on 4523 hospitals and their EHR vendors were aggregated to the market level. We used multivariate OLS regression to analyze the relationship between hospital and vendor dynamics and (1) probability of HIO presence and (2) percent of hospitals participating in an HIO. 298 of 469 markets (64%) had HIO presence, and in those markets, 47% of hospitals participated in an HIO on average. In multivariate analysis, four characteristics were associated with HIO presence. Markets with more hospitals, markets with more EHR vendors, and markets with an EHR vendor-led HIE approach were more likely to have an HIO. Compared to markets with low hospital competition, markets with high hospital competition had a 25 percentage point lower probability of HIO presence. Two characteristics were associated with level of hospital HIO participation. Markets with more hospitals as well as markets with high vendor competition (compared to low competition) had lower participation. Both hospital and EHR vendor dynamics are associated with whether a market has an HIO as well as the level of hospital participation in HIOs.

Market dynamics, innovation, and transition in China's solar photovoltaic (PV) industry

DEFF Research Database (Denmark)

Zou, Hongyang; Du, Huibin; Ren, Jingzheng

2017-01-01

development from the perspective of technological innovation. By incorporating a Technological Innovation System (TIS) approach, the analysis performed here complements the previous literature, which has not provided agrounded itself in a theoretical framework for associated analyses. In addition......China’s photovoltaic (PV) industry has undergone dramatic development in recent years and is now the global market leader in terms of newly added capacity. However, market diffusion and adoption in China is not ideal. This paper examines the blocking and inducement mechanisms of China’s PV industry......, to determine the current market dynamics, we closely examine the market concentration trends as well as the vertical and horizontal integration of upstream and downstream actors and calculate the market concentration of the upstream and downstream integration (74.8% and 36.3%). The results of applying the TIS...

Termination of Dynamic Contracts in an Equilibrium Labor Market Model

OpenAIRE

Wang, Cheng

2005-01-01

I construct an equilibrium model of the labor market where workers and firms enter into dyamic contracts that can potentially last forever, but are subject to optimal terminations. Upon a termination, the firm hires a new worker, and the worker who is terminated receives a termination compensation from the firm and is then free to go back to the labor market to seek new employment opportunities and enter into new dynamic contracts. The model permits only two types of equilibrium terminations ...

Investigating the Evolution of Linkage Dynamics among Equity Markets Using Network Models and Measures: The Case of Asian Equity Market Integration

Directory of Open Access Journals (Sweden)

Biplab Bhattacharjee

2017-12-01

Full Text Available The state of cross-market linkage structures and its stability over varying time-periods play a key role in the performance of international diversified portfolios. There has been an increasing interest of global investors in emerging capital markets in the Asian region. In this setting, an investigation into the temporal dynamics of cross-market linkage structures becomes significant for the selection and optimal allocation of securities in an internationally-diversified portfolio. In the quest for this, in the current study, weighted network models along with network metrics are employed to decipher the underlying cross-market linkage structures among Asian markets. The study analyses the daily return data of fourteen major Asian indices for a period of 14 years (2002–2016. The topological properties of the network are computed using centrality measures and measures of influence strength and are investigated over temporal scales. In particular, the overall influence strengths and India-specific influence strengths are computed and examined over a temporal scale. Threshold filtering is also performed to characterize the dynamics related to the linkage structure of these networks. The impacts of the 2008 financial crisis on the linkage structural patterns of these equity networks are also investigated. The key findings of this study include: a set of central and peripheral indices, the evolution of the linkage structures over the 2002–2016 period and the linkage dynamics during times of market stress. Mainly, the set of indices possessing influence over the Asian region in general and the Indian market in particular is also identified. The findings of this study can be utilized in effective systemic risk management and for the selection of an optimally-diversified portfolio, resilient to system-level shocks.

Analysis of the long-term availability of uranium: The influence of dynamic constraints and market competition

International Nuclear Information System (INIS)

Monnet, Antoine; Gabriel, Sophie; Percebois, Jacques

2017-01-01

Abstract: The availability of natural uranium has a direct impact on the global capability to sustain the demand from nuclear power plants in the coming decades. Therefore, the expansion scenarios of nuclear power should be analysed in conjunction with long-term dynamics of the uranium market. This paper presents three forms of a partial-equilibrium model of the uranium market. All forms consider global demand as exogenous (input scenarios from the literature) and regional estimates of the quantities and the costs of ultimate resources (results obtained from previous work). The three forms differ by the market constraints and the market structure considered. Comparing them highlights the role of the market structure and the impact of some key parameters of the market dynamics on the long-term availability of uranium. An important finding is the influence of two constraints: the anticipation of demand and the significant role played by the correlation between price and exploration expenses in shaping the price trends. In addition, results from simulations highlight different long-term dynamics when the producers are allocated into a limited number of regions (to simulate an oligopoly) compared to a single region (undefined number of players to simulate perfect competition). - Highlights: • The growth rate of demand during the 21st century is a key driver of price trends. • Uncertainties on ultimate resources have a limited impact in expansion scenarios. • The price-exploration correlation is a first-order dynamic constraint. • The anticipation of demand is a strong dynamic constraint related to scarcity rent. • The uranium market is better represented by a constrained oligopoly.

Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix

Science.gov (United States)

Takaishi, Tetsuya

2016-08-01

We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, crosscorrelation matrices are calculated with a rolling window of 400 days. To quantify the volatile market stages where the potential risk is high, we apply the principal components analysis and measure the cumulative risk fraction (CRF), which is the system variance associated with the first few principal components. From the CRF, we detected three volatile market stages corresponding to the bankruptcy of Lehman Brothers, the 2011 Tohoku Region Pacific Coast Earthquake, and the FRB QE3 reduction observation in the study period. We further apply the random matrix theory for the risk analysis and find that the first eigenvector is more equally de-localized when the market is volatile.

Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix

International Nuclear Information System (INIS)

Takaishi, Tetsuya

2016-01-01

We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, crosscorrelation matrices are calculated with a rolling window of 400 days. To quantify the volatile market stages where the potential risk is high, we apply the principal components analysis and measure the cumulative risk fraction (CRF), which is the system variance associated with the first few principal components. From the CRF, we detected three volatile market stages corresponding to the bankruptcy of Lehman Brothers, the 2011 Tohoku Region Pacific Coast Earthquake, and the FRB QE3 reduction observation in the study period. We further apply the random matrix theory for the risk analysis and find that the first eigenvector is more equally de-localized when the market is volatile. (paper)

The need for speed: informed land acquisitions for conservation in a dynamic property market.

Science.gov (United States)

McDonald-Madden, Eve; Bode, Michael; Game, Edward T; Grantham, Hedley; Possingham, Hugh P

2008-11-01

Land acquisition is a common approach to biodiversity conservation but is typically subject to property availability on the public market. Consequently, conservation plans are often unable to be implemented as intended. When properties come on the market, conservation agencies must make a choice: purchase immediately, often without a detailed knowledge of its biodiversity value; survey the parcel and accept the risk that it may be removed from the market during this process; or not purchase and hope a better parcel comes on the market at a later date. We describe both an optimal method, using stochastic dynamic programming, and a simple rule of thumb for making such decisions. The solutions to this problem illustrate how optimal conservation is necessarily dynamic and requires explicit consideration of both the time period allowed for implementation and the availability of properties.

Dynamic pricing in the spanish gasoline market. A tacit collusion equilibrium

International Nuclear Information System (INIS)

Perdiguero Garcia, Jordi

2010-01-01

During the last twenty years, the Spanish petrol market has undergone an intensive restructuration process; it has changed from being a state-owned monopoly to total liberalization and privatization. This liberalization process was accompanied by measures that facilitated the creation of a 'national champion', the Repsol Group, which is a huge, vertically integrated company with a high market share in all the industry's segments. Using a dynamic model, this paper analyses whether the prices established by companies in the Spanish gasoline market, after the restructuration process, fits with a tacit collusion equilibrium. The empirical results show that a strategic behaviour of companies occurs and is compatible with a tacit collusion price strategy. So, the restructuration process does not seem to have introduced effective competition into the Spanish gasoline market. (author)

North American oriented strand board markets, arbitrage activity, and market price dynamics: A smooth transition approach

Science.gov (United States)

Barry Goodwin; Matthew Holt; Jeffrey P. Prestemon

2011-01-01

Price dynamics for North American oriented strand board markets are examined. The role of transactions costs are explored vis-à-vis the law of one price. Nonlinearities induced by unobservable transactions costs are modeled by estimating time-varying smooth transition autoregressions (TV-STARs). Results indicate that nonlinearity and structural change are important...

Optimal dispatch in dynamic security constrained open power market

International Nuclear Information System (INIS)

Singh, S.N.; David, A.K.

2002-01-01

Power system security is a new concern in the competitive power market operation, because the integration of the system controller and the generation owner has been broken. This paper presents an approach for dynamic security constrained optimal dispatch in restructured power market environment. The transient energy margin using transient energy function (TEF) approach has been used to calculate the stability margin of the system and a hybrid method is applied to calculate the approximate unstable equilibrium point (UEP) that is used to calculate the exact UEP and thus, the energy margin using TEF. The case study results illustrated on two systems shows that the operating mechanisms are compatible with the new business environment. (author)

A unifying energy-based approach to stability of power grids with market dynamics

NARCIS (Netherlands)

Stegink, Tjerk; De Persis, Claudio; van der Schaft, Arjan

2017-01-01

In this paper a unifying energy-based approach is provided to the modeling and stability analysis of power systems coupled with market dynamics. We consider a standard model of the power network with a third-order model for the synchronous generators involving voltage dynamics. By applying the

Immigration and urban housing market dynamics : the case of Haifa

NARCIS (Netherlands)

van der Vlist, Arno J.; Czamanski, Daniel; Folmer, Henk

2011-01-01

This paper addresses the interplay between demographics and housing market dynamics in Haifa, Israel. In the 1990s the city of Haifa, with a population of approximately 220,000, absorbed about 45,000 immigrants. The case of Haifa offers a typical non-controlled experiment on how demographic shocks

Real and financial market interactions in a multiplier-accelerator model: Nonlinear dynamics, multistability and stylized facts

Science.gov (United States)

Cavalli, F.; Naimzada, A.; Pecora, N.

2017-10-01

In the present paper, we investigate the dynamics of a model in which the real part of the economy, described within a multiplier-accelerator framework, interacts with a financial market with heterogeneous speculators, in order to study the channels through which the two sectors influence each other. Employing analytical and numerical tools, we investigate stability conditions as well as bifurcations and possible periodic, quasi-periodic, and chaotic dynamics, enlightening how the degree of market interaction, together with the accelerator parameter and the intervention of the fiscal authority, may affect the business cycle and the course of the financial market. In particular, we show that even if the steady state is locally stable, multistability phenomena can occur, with several and complex dynamic structures coexisting with the steady state. Finally, simulations reveal that the proposed model is able to explain several statistical properties and stylized facts observed in real financial markets, including persistent high volatility, fat-tailed return distributions, volatility clustering, and positive autocorrelation of absolute returns.

Firm expansion, size spillovers and market dominance in retail chain dynamics

OpenAIRE

Blevins, JR; Khwaja, Ahmed Wali; Yang, N

2017-01-01

We develop and estimate a dynamic game of strategic firm expansion and contraction decisions to study the role of firm size on future profitability and market dominance. Modeling firm size is important because retail chain dynamics are more richly driven by expansion and contraction than de novo entry or permanent exit. Additionally, anticipated size spillovers may influence the strategies of forward looking firms making it difficult to analyze the effects of size without explicitly accountin...

Labour Market Performance Differentials and Dynamics in EU-15 Countries and Regions

Directory of Open Access Journals (Sweden)

Cristiano Perugini

2007-09-01

Full Text Available The aim of this paper is to contribute to empirical analysis of the differentials, dynamics and determinants of labour market performance in EU-15. One innovation of the paper reflects our decision not to use a single indicator of labour market performance, but to adopt three variables: employment rate, unemployment rate, and long-term unemployment rate. In addition to national data (1997-2006, the use of data at regional NUTS-2 level (1999-2005 is a key characteristic of this study. Empirical analyses are carried out by means of various comparative statistics and econometric approaches. In the latter, a large set of explicative variables is applied to examine the potential determinants of regional (unemployment levels and dynamics.

A dynamic approach for the optimal electricity dispatch in the deregulated market

International Nuclear Information System (INIS)

Carraretto, Cristian; Lazzaretto, Andrea

2004-01-01

The electricity market has been experiencing the deregulation process in many countries. Effective approaches to the management of single power plants or groups of plants are therefore becoming crucial for the competitiveness of energy utilities. A dynamic programming approach is presented in this paper for the optimal plant management in the new Italian deregulated market. A thorough description of the method is given in cases of free or fixed production over time (e.g. when the overall production is limited by bilateral contracts or cogeneration). Analysis of market characteristics, detailed thermodynamic models of plant operation and reliable price forecasts over the time period of interest are required. The suggested approach is useful for both long-term scheduling and planning daily offers in the market

Complex dynamics and chaos control of duopoly Bertrand model in Chinese air-conditioning market

International Nuclear Information System (INIS)

Yi, Qi Guo; Zeng, Xiang Jin

2015-01-01

Highlights: •A dynamic duopoly Bertrand model with bounded rationality and quadratic cost function. •In Chinese air-conditioning market the boundary equilibrium point is locally stable. •The Lyapunov dimension of the chaos attractor is 1.9585. •The adjustment speeds may cause a market structure to behave chaotically. •The chaotic behavior can be controlled by decreasing the degree of substitutability. -- Abstract: A dynamic duopoly Bertrand model with quadratic cost function which is closer to reality and different from previous researches is discussed. The model is applied into air-conditioning market where the boundary equilibrium point is locally stable. Numerical simulations illustrate that the stability of Nash equilibrium strongly depends on the speed of adjustment of bounded rational player. The adjustment speeds and the degree of substitutability may undermine the stability of the equilibrium and cause a market structure to behave chaotically. The Lyapunov dimension of the chaos attractor is 1.9585 under some conditions. The stabilization of the chaotic behavior can be obtained by reducing the degree of substitutability. The results have an important theoretical and practical significance to Chinese air-conditioning market

Dynamic VaR Measurement of Gold Market with SV-T-MN Model

Directory of Open Access Journals (Sweden)

Fenglan Li

2017-01-01

Full Text Available VaR (Value at Risk in the gold market was measured and predicted by combining stochastic volatility (SV model with extreme value theory. Firstly, for the fat tail and volatility persistence characteristics in gold market return series, the gold price return volatility was modeled by SV-T-MN (SV-T with Mixture-of-Normal distribution model based on state space. Secondly, future sample volatility prediction was realized by using approximate filtering algorithm. Finally, extreme value theory based on generalized Pareto distribution was applied to measure dynamic risk value (VaR of gold market return. Through the proposed model on the price of gold, empirical analysis was investigated; the results show that presented combined model can measure and predict Value at Risk of the gold market reasonably and effectively and enable investors to further understand the extreme risk of gold market and take coping strategies actively.

Modeling Dynamic Effects of the Marketing Mix on Market Shares

NARCIS (Netherlands)

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

2003-01-01

textabstractTo comprehend the competitive structure of a market, it is important to understand the short-run and long-run effects of the marketing mix on market shares. A useful model to link market shares with marketing-mix variables, like price and promotion, is the market share attraction model.

3C, Internet Dynamics and Retail: Towards a new market segmentation?

NARCIS (Netherlands)

drs. Frans van den Reep; Peter van den Heuvel

2006-01-01

The Internet introduces new business choices for customer interaction. In this article we introduce two claims. Firstly, we will show that the way companies shape their customer interaction, and not their sector or size, determine the market segmentation. Secondly, Internet dynamics and its effect

Interplay Between Energy-Market Dynamics and Physical Stability of a Smart Power Grid

Science.gov (United States)

Picozzi, Sergio; Mammoli, Andrea; Sorrentino, Francesco

2013-03-01

A smart power grid is being envisioned for the future which, among other features, should enable users to play the dual role of consumers as well as producers and traders of energy, thanks to emerging renewable energy production and energy storage technologies. As a complex dynamical system, any power grid is subject to physical instabilities. With existing grids, such instabilities tend to be caused by natural disasters, human errors, or weather-related peaks in demand. In this work we analyze the impact, upon the stability of a smart grid, of the energy-market dynamics arising from users' ability to buy from and sell energy to other users. The stability analysis of the resulting dynamical system is performed assuming different proposed models for this market of the future, and the corresponding stability regions in parameter space are identified. We test our theoretical findings by comparing them with data collected from some existing prototype systems.

AN AUTOPSY OF THE SOUTH KOREAN MARKET: DYNAMICS AND CONTRADICTIONS

Directory of Open Access Journals (Sweden)

You-Il Lee

2003-01-01

Full Text Available The most dynamic feature of the South Korean economy in the late 20th century is the emergence of the country as a major destination for foreign investors. However, because the market has been closed to outsiders, for almost two decades, except for certain industries, Korea is as yet an unknown entity among the global business community. This acts as a deterrent to market entry. It is evident that among the economic and business literature there has been limited emphasis on the cultural and other complications such as the position and influence of the chaebol (a group of mostly family owned conglomerates in Korea that exists for foreign businesses in the Republic of Korea. This paper attempts to crystallize some of the key cultural issues, examine their relevance and highlight some consequences of the lack of understanding of these cultural issues for the world's leading multinational corporations wishing to enter the Korean market.

A Network-Based Dynamic Analysis in an Equity Stock Market

Directory of Open Access Journals (Sweden)

Juan Eberhard

2017-01-01

Full Text Available We study how changes in the structure of a brokers’ transaction network affect the probability with which the returns and volume of the traded financial assets change significantly. We analyze how the dynamics of the brokers’ transaction network are associated with the returns and volume observed in the Chilean stock market. To do this, we construct and validate an index that synthesizes the daily changes of the brokers’ transaction network structure of equity market transactions. We find that the changes of this structure are significantly correlated with variables that describe the local and international economic-financial environments. In addition, changes in the brokers’ transaction network structure are associated with a greater probability of positive shocks of more than two standard deviations in the stock exchange index return and total traded stock volume. These results suggest that the structure of the brokers’ trading relations plays a role in determining the returns and volume of transactions in the Chilean stock market.

n-Person Dynamic Strategic Market Games

Energy Technology Data Exchange (ETDEWEB)

Wiecek, Piotr, E-mail: Piotr.Wiecek@pwr.wroc.pl [Wroclaw University of Technology, Institute of Mathematics and Computer Science (Poland)

2012-04-15

We present a discrete n-person model of a dynamic strategic market game. We show that for some values of the discount factor the game possesses a stationary equilibrium where all the players make high bids. Within the class of all the high-bidding strategies we distinguish between two classes of more and less aggressive ones. We show that the set of discount factors for which these more aggressive strategies form equilibria shrinks as n goes to infinity. On the other hand, the analogous set for the less aggressive strategies grows to the whole interval (0,1) as n grows to infinity. Further we analyze the properties of the value function corresponding to these high-bidding equilibria. We also give some numerical examples contradicting some other properties that seem intuitive.

Poverty, Job Quality and Labor Market Dynamics in the Middle East ...

International Development Research Centre (IDRC) Digital Library (Canada)

This project will explore links between labour market dynamics and the quality of jobs in three varied settings. Egypt features low job quality and a large gender gap. Morocco conforms to Egypt to a significant degree. Jordan offers an exception, however, apparently related to greater diversification and better industrial export ...

Heterarcical market: Dynamical interplay between time and space in the continuous interaction in a market model

Science.gov (United States)

Sasai, Kazuto; Gunji, Yukio-Pegio; Kinoshita, Tetsuo

2017-07-01

Multi-agent models of robust open systems such as natural systems are the important theme in the literature of systems science. Heterarchy, which means dynamical hierarchy, is a structural model, which includes the dynamical interplay between different levels. However, it is not easy to build a formal model of a heterarchical system because the interplay between different levels lead a self-referential paradox. In this paper, we propose an continuous double auction model, which includes a formal model of conitnuous transaction. We encode the model into a restriction rule of the order submittion. The proposed model shows a critical behavior of the actual markets, and it can have the relationship with the behaviors of natural systems.

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

Science.gov (United States)

Ponta, Linda; Pastore, Stefano; Cincotti, Silvano

2018-02-01

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

Interacting gaps model, dynamics of order book, and stock-market fluctuations

Czech Academy of Sciences Publication Activity Database

Svorenčík, A.; Slanina, František

2007-01-01

Roč. 57, - (2007), s. 453-462 ISSN 1434-6028 R&D Projects: GA MŠk 1P04OCP10.001 Institutional research plan: CEZ:AV0Z10100520 Keywords : interacting gaps model * dynamics of order book * stock - market fluctuations Subject RIV: BE - Theoretical Physics Impact factor: 1.356, year: 2007

Poverty, Job Quality and Labor Market Dynamics in the Middle East ...

International Development Research Centre (IDRC) Digital Library (Canada)

Unemployment is one of the main economic, social and political problems facing governments in the Middle East and North Africa. The nature and ... This project will explore links between labour market dynamics and the quality of jobs in three varied settings. ... Effects of the new labor law on informality & job quality. 41985.

Essays on Labour Markets: Worker-Firm Dynamics, Occupational Segregation and Workplace Conditions

NARCIS (Netherlands)

I.S. Buhai (Sebastian)

2008-01-01

textabstractThe main chapters of this book, “Essays on Labour Markets”, focus on analyzing the dynamics of the employment relationship between workers and firms (chapters 2 and 3), modelling occupational segregation and labour market inequalities between social groups (chapter 4) and characterizing

Forest insurance market participants’ game behavior in China: An analysis based on tripartite dynamic game model

Directory of Open Access Journals (Sweden)

Ning Ma

2015-11-01

Full Text Available Purpose: In forest insurance market, there are three main participants including the insurance company, the forest farmer and the government. As different participant has different benefit object, there will be a complex and dynamic game relationship among all participants. The purpose of this paper is to make the game relationship among all participants in forest insurance market clear, and then to put forward some policy suggestions on the implementation of forest insurance from the view of game theory. Design/methodology/approach: Firstly, the static game model between the insurance company and the forest farmer is set up. According to the result of static game model, it’s difficult to implement forest insurance without government. Secondly, the tripartite dynamic game model among the government, the insurance company and the forest farmer is proposed, and the equilibrium solution of tripartite dynamic game model is acquired. Finally, the behavioral characteristics of all participants are analyzed according to the equilibrium solution of tripartite dynamic game model. Findings: the government’s allowance will be an important positive factor to implement forest insurance. The loss of the insurance company, which the lower insurance premium brings, can be compensated by the allowance from the government. The more the government provides allowance, the more actively the insurance company will implement forest insurance at a low insurance premium. In this situation, the forest farmer will be more likely to purchase the forest insurance, then the scope of forest insurance implementation will expend. Originality/value: There is a complex and dynamic game relationship among all participants in forest insurance market. Based on the tripartite dynamic game model, to make the game relationship between each participant clear is conducive to the implementation of forest insurance market in China.

Dynamics of a durable commodity market involving trade at disequilibrium

Science.gov (United States)

Panchuk, A.; Puu, T.

2018-05-01

The present work considers a simple model of a durable commodity market involving two agents who trade stocks of two different types. Stock commodities, in contrast to flow commodities, remain on the market from period to period and, consequently, there is neither unique demand function nor unique supply function exists. We also set up exact conditions for trade at disequilibrium, the issue being usually neglected, though a fact of reality. The induced iterative system has infinite number of fixed points and path dependent dynamics. We show that a typical orbit is either attracted to one of the fixed points or eventually sticks at a no-trade point. For the latter the stock distribution always remains the same while the price displays periodic or chaotic oscillations.

Market dynamics as a driver towards the evolution of research needs; the case of up-flow anaerobic sludge blanket seeding granules

CSIR Research Space (South Africa)

Musee, N

2013-01-01

Full Text Available Market dynamics offer positive (incentive) or negative (disincentive) feedback loops that shape the research needs for, or certain aspects of, a particular technology. Our case study results illustrate how market dynamics have influenced...

Micro-Level Adaptation, Macro-Level Selection, and the Dynamics of Market Partitioning.

Science.gov (United States)

García-Díaz, César; van Witteloostuijn, Arjen; Péli, Gábor

2015-01-01

This paper provides a micro-foundation for dual market structure formation through partitioning processes in marketplaces by developing a computational model of interacting economic agents. We propose an agent-based modeling approach, where firms are adaptive and profit-seeking agents entering into and exiting from the market according to their (lack of) profitability. Our firms are characterized by large and small sunk costs, respectively. They locate their offerings along a unimodal demand distribution over a one-dimensional product variety, with the distribution peak constituting the center and the tails standing for the peripheries. We found that large firms may first advance toward the most abundant demand spot, the market center, and release peripheral positions as predicted by extant dual market explanations. However, we also observed that large firms may then move back toward the market fringes to reduce competitive niche overlap in the center, triggering nonlinear resource occupation behavior. Novel results indicate that resource release dynamics depend on firm-level adaptive capabilities, and that a minimum scale of production for low sunk cost firms is key to the formation of the dual structure.

The co-evolutionary dynamics of directed network of spin market agents

Science.gov (United States)

Horváth, Denis; Kuscsik, Zoltán; Gmitra, Martin

2006-09-01

The spin market model [S. Bornholdt, Int. J. Mod. Phys. C 12 (2001) 667] is generalized by employing co-evolutionary principles, where strategies of the interacting and competitive traders are represented by local and global couplings between the nodes of dynamic directed stochastic network. The co-evolutionary principles are applied in the frame of Bak-Sneppen self-organized dynamics [P. Bak, K. Sneppen, Phys. Rev. Lett. 71 (1993) 4083] that includes the processes of selection and extinction actuated by the local (node) fitness. The local fitness is related to orientation of spin agent with respect to the instant magnetization. The stationary regime is formed due to the interplay of self-organization and adaptivity effects. The fat tailed distributions of log-price returns are identified numerically. The non-trivial model consequence is the evidence of the long time market memory indicated by the power-law range of the autocorrelation function of volatility with exponent smaller than one. The simulations yield network topology with broad-scale node degree distribution characterized by the range of exponents 1.3social networks.

Multiproduct Multiperiod Newsvendor Problem with Dynamic Market Efforts

Directory of Open Access Journals (Sweden)

Jianmai Shi

2016-01-01

Full Text Available We study a multiperiod multiproduct production planning problem where the production capacity and the marketing effort on demand are both considered. The accumulative impact of marketing effort on demand is captured by the Nerlove and Arrow (N-A advertising model. The problem is formulated as a discrete-time, finite-horizon dynamic optimization problem, which can be viewed as an extension to the classic newsvendor problem by integrating with the N-A model. A Lagrangian relaxation based solution approach is developed to solve the problem, in which the subgradient algorithm is used to find an upper bound of the solution and a feasibility heuristic algorithm is proposed to search for a feasible lower bound. Twelve kinds of instances with different problem size involving up to 50 products and 15 planning periods are randomly generated and used to test the Lagrangian heuristic algorithm. Computational results show that the proposed approach can obtain near optimal solutions for all the instances in very short CPU time, which is less than 90 seconds even for the largest instance.

Risk-constrained dynamic self-scheduling of a pumped-storage plant in the energy and ancillary service markets

International Nuclear Information System (INIS)

Kazempour, S. Jalal; Moghaddam, M. Parsa; Haghifam, M.R.; Yousefi, G.R.

2009-01-01

This work addresses a new framework for self-scheduling of an individual price-taker pumped-storage plant in a day-ahead (DA) market. The goal is achieving the best trade-off between the expected profit and the risks when the plant participates in DA energy, spinning reserve and regulation markets. In this paper, a set of uncertainties including price forecasting errors and also the uncertainty of power delivery requests in the ancillary service markets are contemplated. Considering these uncertainties, a new approach is proposed which is called dynamic self-scheduling (DSS). This risk-constrained dynamic self-scheduling problem is therefore formulated and solved as a mixed integer programming (MIP) problem. Numerical results for a case study are discussed. (author)

Modeling a Dynamic Portfolio for Pension Plans in Emerging Markets With Myopic and Nonmyopic Behavior

DEFF Research Database (Denmark)

Pimentel, Livia F.; Santiago, Leonardo

2015-01-01

We introduce a dynamic formulation for the problem of portfolio selection of pension funds in the absence of a risk-free asset. In emerging markets, a risk-free asset might be unavailable, and the approaches commonly used may no longer be suitable. We use a parametric approach to combine dynamic...

Future evolution of the liberalised European gas market: Simulation results with a dynamic model

Energy Technology Data Exchange (ETDEWEB)

Lise, Wietze [IBS Research and Consultancy, Aga Han, Agahamami Cadessi 1/6, Cihangir, 34433 Beyoglu, Istanbul (Turkey); Energy Markets and International Environmental Policy group, ECN Policy Studies, Energy Research Centre of the Netherlands, Amsterdam (Netherlands); Hobbs, Benjamin F. [Department of Geography and Environmental Engineering, The Johns Hopkins University, Ames Hall 313, 3400 North Charles Street, Baltimore, MD 21218 (United States)

2008-07-15

Strategic behaviour by gas producers is likely to affect future gas prices and investments in the European Union (EU). To analyse this issue, a computational game theoretic model is presented that is based on a recursive-dynamic formulation. This model addresses interactions among demand, supply, pipeline and liquefied natural gas (LNG) transport, storage and investments in the natural gas market over the period 2005-2030. Three market scenarios are formulated to study the impact of producer market power. In addition, tradeoffs among investments in pipelines, LNG liquefaction and regasification facilities, and storage are explored. The model runs indicate that LNG can effectively compete with pipelines in the near future. Further, significant decreases in Cournot prices between 2005 and 2010 indicate that near-term investments in EU gas transport capacity are likely to diminish market power by making markets more accessible. (author)

Future evolution of the liberalised European gas market: Simulation results with a dynamic model

International Nuclear Information System (INIS)

Lise, Wietze; Hobbs, Benjamin F.

2008-01-01

Strategic behaviour by gas producers is likely to affect future gas prices and investments in the European Union (EU). To analyse this issue, a computational game theoretic model is presented that is based on a recursive-dynamic formulation. This model addresses interactions among demand, supply, pipeline and liquefied natural gas (LNG) transport, storage and investments in the natural gas market over the period 2005-2030. Three market scenarios are formulated to study the impact of producer market power. In addition, tradeoffs among investments in pipelines, LNG liquefaction and regasification facilities, and storage are explored. The model runs indicate that LNG can effectively compete with pipelines in the near future. Further, significant decreases in Cournot prices between 2005 and 2010 indicate that near-term investments in EU gas transport capacity are likely to diminish market power by making markets more accessible. (author)

Interpreting the empirical evidence on illegal gun market dynamics.

Science.gov (United States)

Braga, Anthony A; Wintemute, Garen J; Pierce, Glenn L; Cook, Philip J; Ridgeway, Greg

2012-10-01

Thousands of Americans are killed by gunfire each year, and hundreds of thousands more are injured or threatened with guns in robberies and assaults. The burden of gun violence in urban areas is particularly high. Critics suggest that the results of firearm trace data and gun trafficking investigation studies cannot be used to understand the illegal supply of guns to criminals and, therefore, that regulatory and enforcement efforts designed to disrupt illegal firearms markets are futile in addressing criminal access to firearms. In this paper, we present new data to address three key arguments used by skeptics to undermine research on illegal gun market dynamics. We find that criminals rely upon a diverse set of illegal diversion pathways to acquire guns, gun traffickers usually divert small numbers of guns, newer guns are diverted through close-to-retail diversions from legal firearms commerce, and that a diverse set of gun trafficking indicators are needed to identify and shut down gun trafficking pathways.

The Dynamics of Market Insurance, Insurable Assets, and Wealth Accumulation

OpenAIRE

Koeniger, Winfried

2002-01-01

We analyze dynamic interactions between market insurance, the stock of insurable assets and liquid wealth accumulation in a model with non-durable and durable consumption. The stock of the durable is exposed to risk against which households can insure. Since the model does not have a closed form solution we first provide an analytical approximation for the case in which households own abundant liquid wealth. It turns out that precautionary motives still matter because of fluctuations of the p...

Dynamics of market structure driven by the degree of consumer’s rationality

Science.gov (United States)

Yanagita, Tatsuo; Onozaki, Tamotsu

2010-03-01

We study a simple model of market share dynamics with boundedly rational consumers and firms interacting with each other. As the number of consumers is large, we employ a statistical description to represent firms’ distribution of consumer share, which is characterized by a single parameter representing how rationally the mass of consumers pursue higher utility. As the boundedly rational firm does not know the shape of demand function it faces, it revises production and price so as to raise its profit with the aid of a simple reinforcement learning rule. Simulation results show that (1) three phases of market structure, i.e. the uniform share phase, the oligopolistic phase, and the monopolistic phase, appear depending upon how rational consumers are, and (2) in an oligopolistic phase, the market share distribution of firms follows Zipf’s law and the growth-rate distribution of firms follows Gibrat’s law, and (3) an oligopolistic phase is the best state of market in terms of consumers’ utility but brings the minimum profit to the firms because of severe competition based on the moderate rationality of consumers.

The spatiotemporal dynamic analysis of the implied market information and characteristics of the correlation coefficient matrix of the international crude oil price returns

International Nuclear Information System (INIS)

Tian, Lixin; Ding, Zhenqi; Zhen, Zaili; Wang, Minggang

2016-01-01

The international crude oil market plays a crucial role in economies, and the studies of the correlation, risk and synchronization of the international crude oil market have important implications for the security and stability of the country, avoidance of business risk and people's daily lives. We investigate the information and characteristics of the international crude oil market (1999-2015) based on the random matrix theory (RMT). Firstly, we identify richer information in the largest eigenvalues deviating from RMT predictions for the international crude oil market; the international crude oil market can be roughly divided into ten different periods by the methods of eigenvectors and characteristic combination, and the implied market information of the correlation coefficient matrix is advanced. Secondly, we study the characteristics of the international crude oil market by the methods of system risk entropy, dynamic synchronous ratio, dynamic non-synchronous ratio and dynamic clustering algorithm. The results show that the international crude oil market is full of risk. The synchronization of the international crude oil market is very strong, and WTI and Brent occupy a very important position in the international crude oil market. (orig.)

The spatiotemporal dynamic analysis of the implied market information and characteristics of the correlation coefficient matrix of the international crude oil price returns

Energy Technology Data Exchange (ETDEWEB)

Tian, Lixin [Jiangsu University, Energy Development and Environmental Protection Strategy Research Center, Zhenjiang, Jiangsu (China); Nanjing Normal University, School of Mathematical Sciences, Nanjing, Jiangsu (China); Ding, Zhenqi; Zhen, Zaili [Jiangsu University, Energy Development and Environmental Protection Strategy Research Center, Zhenjiang, Jiangsu (China); Wang, Minggang [Nanjing Normal University, School of Mathematical Sciences, Nanjing, Jiangsu (China)

2016-08-15

The international crude oil market plays a crucial role in economies, and the studies of the correlation, risk and synchronization of the international crude oil market have important implications for the security and stability of the country, avoidance of business risk and people's daily lives. We investigate the information and characteristics of the international crude oil market (1999-2015) based on the random matrix theory (RMT). Firstly, we identify richer information in the largest eigenvalues deviating from RMT predictions for the international crude oil market; the international crude oil market can be roughly divided into ten different periods by the methods of eigenvectors and characteristic combination, and the implied market information of the correlation coefficient matrix is advanced. Secondly, we study the characteristics of the international crude oil market by the methods of system risk entropy, dynamic synchronous ratio, dynamic non-synchronous ratio and dynamic clustering algorithm. The results show that the international crude oil market is full of risk. The synchronization of the international crude oil market is very strong, and WTI and Brent occupy a very important position in the international crude oil market. (orig.)

Dynamic Game Analysis of Coal Electricity Market Involving Multi-Interests

Directory of Open Access Journals (Sweden)

Yu Xiaobao

2016-01-01

Full Text Available The coal consumption of China reached 2.75 billion tons of standard coal in 2013, which accounted for 67.5% of total energy consumption and more than 50% of global coal consumption. Therefore, the impact of coal price is huge on coal market and even energy market in China. As a large consumer of coal, thermal power enterprise has a strong sensitivity to coal price. In order to balance the rising cost of enterprises due to coal price, we need to analyze the interests of multiple stakeholders. Firstly, this paper combined the Nash equilibrium and cobweb model and proposed the characteristics in different cobweb model. Then, for coal, power, and energy companies, the dynamic game analysis model is constructed. This model gives a game analysis in four scenarios and quantifies the decision of each stakeholder in different coal prices. Finally, the impact figure of different coal prices on each stakeholder has been drawn. The impacts of different coal or thermal power prices on different markets have been put forward, so relevant policy recommendations have been proposed combined with the cobweb model.

Foreign institutional investments in India: An empirical analysis of dynamic interactions with stock market return and volatility

Directory of Open Access Journals (Sweden)

Vaishali S. Dhingra

2016-12-01

Full Text Available This paper investigates interactions of foreign institutional investments with market returns and market volatility in India using both static and dynamic models based on daily data. The findings of both models show foreign investors as positive feedback traders while investing in the Indian market, and as negative feedback traders during their withdrawal. Using the impulse response functions based on vector autoregression, we find strong evidence that foreign institutional investments destabilise the market, particularly with selling activities, as they significantly increase the volatility.

Dynamic peak demand pricing under uncertainty in an agent-based retail energy market

NARCIS (Netherlands)

M. Ansarin (Mohammad); W. Ketter (Wolfgang); J. Collins (John)

2016-01-01

textabstractFor a transition to a sustainable energy future, smart grids must adapt to the mass introduction of renewable energy sources and their inherent unpredictability. The Power TAC competition is a simulation of distribution grid market dynamics with autonomous retail broker agents. It seeks

COMMODITY MARKET MATH MODELS

Directory of Open Access Journals (Sweden)

Boris V. Mednikov

2015-01-01

Full Text Available The article describes enterprise mathmodels, its interactions with environment in commodity market and quantitativeconditions for its success and the crisis in such kind of interaction. Showed: the number of commodity market successfulparticipants should be certain, regardless of market size; any size commodity market, including monopolistic, is assuccessful as producers’ average activity dynamics is balanced with consumers’average activity dynamics.

Analysis and Design of International Emission Trading Markets Applying System Dynamics Techniques

Science.gov (United States)

Hu, Bo; Pickl, Stefan

2010-11-01

The design and analysis of international emission trading markets is an important actual challenge. Time-discrete models are needed to understand and optimize these procedures. We give an introduction into this scientific area and present actual modeling approaches. Furthermore, we develop a model which is embedded in a holistic problem solution. Measures for energy efficiency are characterized. The economic time-discrete "cap-and-trade" mechanism is influenced by various underlying anticipatory effects. With a systematic dynamic approach the effects can be examined. First numerical results show that fair international emissions trading can only be conducted with the use of protective export duties. Furthermore a comparatively high price which evokes emission reduction inevitably has an inhibiting effect on economic growth according to our model. As it always has been expected it is not without difficulty to find a balance between economic growth and emission reduction. It can be anticipated using our System Dynamics model simulation that substantial changes must be taken place before international emissions trading markets can contribute to global GHG emissions mitigation.

The combination of system dynamics and game theory in analyzing oligopoly markets

Directory of Open Access Journals (Sweden)

Ali Mohammadi

2016-04-01

Full Text Available In this paper, we present a hybrid method of game theory and dynamic systems to study the behavior of firms in an oligopoly market. The aim of this study is to build a model for an oligopoly game on the basis of feedback loops and system dynamics approach and to solve the resulted problems under some special conditions where traditional game theory methods are unable to handle. The method includes a combination of qualitative methods including interviews with industry experts to prepare the model and quantitative methods of system dynamics, simulation methodologies and game theory. The results indicate that competitive behavior and the important parameters such as volume of demand, interest rates and price fluctuation will be stabilized after a transition period.

UNDERGROUND ECONOMY, GDP AND STOCK MARKET

Directory of Open Access Journals (Sweden)

Caus Vasile Aurel

2012-07-01

Full Text Available Economic growth is affected by the size and dynamics of underground economy. Determining this size is a subject of research for many authors. In this paper we present the relationship between underground economy dynamics and the dynamics of stock markets. The observations are based on regression used by Tanzi (1983 and the relationship between GDP and stock market presented in Tudor (2008. The conclusion of this paper is that the dynamics of underground economy is influenced by dynamic of financial markets. Thus, using specific stock market mathematical tools analysis, one can analyze the dynamic of underground economy

A system dynamics analysis of the Nordic electricity market: The transition from fossil fuelled toward a renewable supply within a liberalized electricity market

Energy Technology Data Exchange (ETDEWEB)

Vogstad, Klaus-Ole

2005-07-01

A system dynamic model to analyze long-term versus short-term implications of various energy policies within the context of the Nordic electricity market has been developed. The model itself provides a theory of the development of the Nordic electricity market in response to various energy policies, both in the long and the short term. The model includes generation scheduling, demand, price formation, investment decisions, resource availability and to some extent technology progress as endogenous. Thus, explanations of the model behaviour can be found from within the model. As examples of use, the model/modelling concept addresses two important questions on the energy policy agenda. First the marginal C02-emission controversy has been study, whether building gas power in Norway increase or reduce Nordic C02-emissions. The results were that in the short run, some emission reductions can be obtained due to substitution of existing coal units by operations of the market, but this effect was found to be modest. Existing gas power is also substituted, plus some bio. In the long run, there are also some investment substitutions of renewables. These effects do not appear to be significant in the short run, but in the long run, the investment rate of renewables is reduced as a consequence of reduced prices from gas. The reduced investments in renewables results in increased emissions. Some increase in demand is also to be expected from adding gas power, due to price-elasticity of demand. The net result is that gas power is likely to increase C02-emissions, which contradicts the current belief as well as results from other electricity market models that omit the long-term mechanisms such as investment decisions and technology progress. The second study analyzed the current Swedish TGC market at the time of the introduction. The purpose was to assist market design. It was found that the current Swedish TGC market design is likely to crash, due to the slow adjustment of the

A system dynamics analysis of the Nordic electricity market: The transition from fossil fuelled toward a renewable supply within a liberalized electricity market

International Nuclear Information System (INIS)

Vogstad, Klaus-Ole

2005-01-01

A system dynamic model to analyze long-term versus short-term implications of various energy policies within the context of the Nordic electricity market has been developed. The model itself provides a theory of the development of the Nordic electricity market in response to various energy policies, both in the long and the short term. The model includes generation scheduling, demand, price formation, investment decisions, resource availability and to some extent technology progress as endogenous. Thus, explanations of the model behaviour can be found from within the model. As examples of use, the model/modelling concept addresses two important questions on the energy policy agenda. First the marginal C02-emission controversy has been study, whether building gas power in Norway increase or reduce Nordic C02-emissions. The results were that in the short run, some emission reductions can be obtained due to substitution of existing coal units by operations of the market, but this effect was found to be modest. Existing gas power is also substituted, plus some bio. In the long run, there are also some investment substitutions of renewables. These effects do not appear to be significant in the short run, but in the long run, the investment rate of renewables is reduced as a consequence of reduced prices from gas. The reduced investments in renewables results in increased emissions. Some increase in demand is also to be expected from adding gas power, due to price-elasticity of demand. The net result is that gas power is likely to increase C02-emissions, which contradicts the current belief as well as results from other electricity market models that omit the long-term mechanisms such as investment decisions and technology progress. The second study analyzed the current Swedish TGC market at the time of the introduction. The purpose was to assist market design. It was found that the current Swedish TGC market design is likely to crash, due to the slow adjustment of the

Offering memorable patient experience through creative, dynamic marketing strategy

Science.gov (United States)

Raţiu, M; Purcărea, T

2008-01-01

Creative, dynamic strategies are the ones that identify new and better ways of uniquely offering the target customers what they want or need. A business can achieve competitive advantage if it chooses a marketing strategy that sets the business apart from anyone else. Healthcare services companies have to understand that the customer should be placed in the centre of all specific marketing operations. The brand message should reflect the focus on the patient. Healthcare products and services offered must represent exactly the solutions that customers expect. The touchpoints with the patients must be well mastered in order to convince them to accept the proposed solutions. Healthcare service providers must be capable to look beyond customer's behaviour or product and healthcare service aquisition. This will demand proactive and far–reaching changes, including focusing specifically on customer preference, quality, and technological interfaces; rewiring strategy to find new value from existing and unfamiliar sources; disintegrating and radically reassembling operational processes; and restructuring the organization to accommodate new typess of work and skill. PMID:20108466

Offering memorable patient experience through creative, dynamic marketing strategy.

Science.gov (United States)

Purcărea, Victor Lorín; Raţíu, Monica; Purcărea, Theodor; Davila, Carol

2008-01-01

Creative, dynamic strategies are the ones that identify new and better ways of uniquely offering the target customers what they want or need. A business can achieve competitive advantage if it chooses a marketing strategy that sets the business apart from anyone else. Healthcare services companies have to understand that the customer should be placed in the centre of all specific marketing operations. The brand message should reflect the focus on the patient. Healthcare products and services offered must represent exactly the solutions that customers expect. The touchpoints with the patients must be well mastered in order to convince them to accept the proposed solutions. Healthcare service providers must be capable to look beyond customer's behaviour or product and healthcare service aquisition. This will demand proactive and far-reaching changes, including focusing specifically on customer preference, quality, and technological interfaces; rewiring strategy to find new value from existing and unfamiliar sources: disintegrating and radically reassembling operational processes: and restructuring the organization to accommodate new types of work and skill.

Competitive Structure of U.S. Grain Exporters in the World Market: A Dynamic Panel Approach

Directory of Open Access Journals (Sweden)

Hyun J. Jin

2008-06-01

Full Text Available The objective of this study is to analyze the competitive structure of U.S. wheat, corn, and soybeans exporters in the world market. A dynamic two¡ⓒway panel estimator is utilized in the analysis in place of typically used two¡ⓒway fixed effects panel estimator. A broader (in terms of the number of destination markets and more recent data sample is analyzed in this study in comparison to previous studies in order to reflect vast changes that occurred in world grain markets during the last twenty years. Results indicate the presence of pricing¡ⓒto¡ⓒmarkets behavior by U.S. grain exporters overall, and toward some importing countries in particular.

Dynamic of Arabica Coffee Marketing Organization in Ngada District:Progress Upon Implementing of Geographical Indication

OpenAIRE

Aklimawati, Lya

2017-01-01

Farmer organization has important role on coffee agribusiness development. Organization was positioned as a driving force on farmer economic activities, especially in strengthening partnership networks. Realizing the importance of organization, the aim of this research was to identify the coffee market structure in the scheme of Geographical Indication; to analyze the dynamic of coffee marketing organization at farmers level; and to analyze added value of wet parchment bean sales at the farme...

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

Science.gov (United States)

Jin, Xin

Recent years have seen dramatic fluctuations in crude oil prices. This dissertation attempts to better understand price behavior. The first chapter studies the behavior of crude oil spot and futures prices. Oil prices, particularly spot and short-term futures prices, appear to have switched from I(0) to I(1) in early 2000s. To better understand this apparent change in persistence, a factor model of oil prices is proposed, where the prices are decomposed into long-term and short-term components. The change in the persistence behavior can be explained by changes in the relative volatility of the underlying components. Fitting the model to weekly data on WTI prices, the volatility of the persistent shocks increased substantially relative to other shocks. In addition, the risk premiums in futures prices have changed their signs and become more volatile. The estimated net marginal convenience yield using the model also shows changes in its behavior. These observations suggest that a dramatic fundamental change occurred in the period from 2002 to 2004 in the dynamics of the crude oil market. The second chapter explores the short-run price-inventory dynamics in the presence of different shocks. Classical competitive storage model states that inventory decision considers both current and future market condition, and thus interacts with spot and expected future spot prices. We study competitive storage holding in an equilibrium framework, focusing on the dynamic response of price and inventory to different shocks. We show that news shock generates response profile different from traditional contemporaneous shocks in price and inventory. The model is applied to world crude oil market, where the market expectation is estimated to experience a sharp change in early 2000s, together with a persisting constrained supply relative to demand. The expectation change has limited effect on crude oil spot price though. The world oil market structure has been studied extensively but no

Evolutionary dynamics of the cryptocurrency market.

Science.gov (United States)

ElBahrawy, Abeer; Alessandretti, Laura; Kandler, Anne; Pastor-Satorras, Romualdo; Baronchelli, Andrea

2017-11-01

The cryptocurrency market surpassed the barrier of $100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, a comprehensive analysis of the whole system is still lacking, as most studies have focused exclusively on the behaviour of one (Bitcoin) or few cryptocurrencies. Here, we consider the history of the entire market and analyse the behaviour of 1469 cryptocurrencies introduced between April 2013 and May 2017. We reveal that, while new cryptocurrencies appear and disappear continuously and their market capitalization is increasing (super-)exponentially, several statistical properties of the market have been stable for years. These include the number of active cryptocurrencies, market share distribution and the turnover of cryptocurrencies. Adopting an ecological perspective, we show that the so-called neutral model of evolution is able to reproduce a number of key empirical observations, despite its simplicity and the assumption of no selective advantage of one cryptocurrency over another. Our results shed light on the properties of the cryptocurrency market and establish a first formal link between ecological modelling and the study of this growing system. We anticipate they will spark further research in this direction.

Evolutionary dynamics of the cryptocurrency market

Science.gov (United States)

Alessandretti, Laura; Pastor-Satorras, Romualdo; Baronchelli, Andrea

2017-01-01

The cryptocurrency market surpassed the barrier of $100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, a comprehensive analysis of the whole system is still lacking, as most studies have focused exclusively on the behaviour of one (Bitcoin) or few cryptocurrencies. Here, we consider the history of the entire market and analyse the behaviour of 1469 cryptocurrencies introduced between April 2013 and May 2017. We reveal that, while new cryptocurrencies appear and disappear continuously and their market capitalization is increasing (super-)exponentially, several statistical properties of the market have been stable for years. These include the number of active cryptocurrencies, market share distribution and the turnover of cryptocurrencies. Adopting an ecological perspective, we show that the so-called neutral model of evolution is able to reproduce a number of key empirical observations, despite its simplicity and the assumption of no selective advantage of one cryptocurrency over another. Our results shed light on the properties of the cryptocurrency market and establish a first formal link between ecological modelling and the study of this growing system. We anticipate they will spark further research in this direction. PMID:29291057

A Dynamic Model of the Tragedy of the Commons in Marketing-Intensive Industries

Directory of Open Access Journals (Sweden)

Dohoon Kim

2014-01-01

Full Text Available This study provides a dynamic model and analyzes its process that may plunge the business ecosystem into ToC (the Tragedy of the Commons. When developing the model, we have in mind some industries where the marketing competition to secure a large installed base is intense. The social commerce industry is a representative example of this type of industries, but the scope of this study is not limited to the industry. We first introduce a previous study focusing on the static Nash equilibrium, and then present an extended version of the basic model in a dynamic perspective. According to our analyses on the dynamic equilibria together with their stability, there may be a unique interior equilibrium, but it is highly likely unstable. In addition, possible (near boundary equilibria are also unstable for a wide range of parameter values. We also conduct some numerical experiments and discover cycles as solutions to some particular instances. Since those cycles contain the ToC traps, a policy measure or regulation may need to be employed. Our approach and results will help to figure out a clue to escape from the ToC trap, thereby shedding new light on the sustainable growth of the business ecosystem, which is prone to excessive marketing competition.

Dynamics of a Protected Housing Market: The Case of Switzerland

DEFF Research Database (Denmark)

Borowiecki, Karol

2012-01-01

We analyze the determinants and dynamics of a highly protected housing market. Based on Swiss data for the time period 1990 to 2009 we model house prices and construction activity. We find that house prices exhibit a positive association with construction price, working age population as well...... as GDP and a negative with interest rates, whereas construction activity is positively related to working age population and GDP and negatively with construction price and interest rates. These estimates are broadly consistent with previous theoretical and empirical research....

Dynamics of heating oil market prices in Europe

International Nuclear Information System (INIS)

Indjehagopian, J.P.; Lantz, F.; Simon, V.

2000-01-01

This paper concerns the German and French heating oil market and attempts to establish long- and short-term relationships between German and French monthly heating oil prices in dollars, the Rotterdam spot price for the same product and the DM/US$ and FF/US$ exchange rates during the period from January 1987 to December 1997. To model the market over the period under consideration, incorporating the Gulf War, we have used conventional unit root tests and sequential tests allowing structural changes. Long-term relationships, with shifts in regime detected by cointegration tests taking structural breaks into consideration, are estimated. The short-term dynamics defined by a vector error correction (VEC) mechanism is derived in a classic manner when in presence of a cointegrated VAR system. The econometric results obtained are commented on from an economic point of view. Weak exogeneity tests are performed and the conditional VEC model is deduced, enabling measurement of the instantaneous impact of variations in weakly exogenous exchange rates on variations in heating oil prices in Germany and France. Lastly, a study is made of the asymmetric reaction of domestic prices to positive and negative variations in exchange rates and the Rotterdam spot quotation. 25 refs

Ageing shocks and short-run regional labour market dynamics in a spatial panel VAR approach

DEFF Research Database (Denmark)

Mitze, Timo; Schmidt, Torben Dall; Rauhut, Daniel

2018-01-01

Using a flexible spatial panel VAR model for a small-scale labour market system, we investigate the dynamic interdependences between changes in the demographic structure and the labour market performance of a regional economy. With a particular focus on ageing shocks, we describe an increase...... in the share of elderly in regional population due to exogenous changes in the institutional context, such as pension reforms. The regional labour market implications of an ageing shock are then tested with regard to the effects on employment growth, unemployment and labour participation rate. Our results...... based on a sample of 71 Scandinavian regions point to negative regional labour market effects of an ageing shock implying a reduction in employment growth and a temporarily declining labour participation rate, while the unemployment rate increases. Importantly, spatial spillovers amplify these negative...

Quantitative law describing market dynamics before and after interest-rate change

International Nuclear Information System (INIS)

Petersen, Alexander M.; Wang Fengzhong; Stanley, H. Eugene; Havlin, Shlomo

2010-01-01

We study the behavior of U.S. markets both before and after U.S. Federal Open Market Commission meetings and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analog of the Omori earthquake law. We quantify the rate n(t) of aftershocks following an interest-rate change at time T and find power-law decay which scales as n(t-T)∼(t-T) -Ω , with Ω positive. Surprisingly, we find that the same law describes the rate n ' (|t-T|) of 'preshocks' before the interest-rate change at time T. This study quantitatively relates the size of the market response to the news which caused the shock and uncovers the presence of quantifiable preshocks. We demonstrate that the news associated with interest-rate change is responsible for causing both the anticipation before the announcement and the surprise after the announcement. We estimate the magnitude of financial news using the relative difference between the U.S. Treasury Bill and the Federal Funds effective rate. Our results are consistent with the 'sign effect', in which 'bad news' has a larger impact than 'good news'. Furthermore, we observe significant volatility aftershocks, confirming a 'market under-reaction' that lasts at least one trading day.

Quantitative law describing market dynamics before and after interest-rate change.

Science.gov (United States)

Petersen, Alexander M; Wang, Fengzhong; Havlin, Shlomo; Stanley, H Eugene

2010-06-01

We study the behavior of U.S. markets both before and after U.S. Federal Open Market Commission meetings and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analog of the Omori earthquake law. We quantify the rate n(t) of aftershocks following an interest-rate change at time T and find power-law decay which scales as n(t-T)∼(t-T)(-Ω) , with Ω positive. Surprisingly, we find that the same law describes the rate n'(|t-T|) of "preshocks" before the interest-rate change at time T . This study quantitatively relates the size of the market response to the news which caused the shock and uncovers the presence of quantifiable preshocks. We demonstrate that the news associated with interest-rate change is responsible for causing both the anticipation before the announcement and the surprise after the announcement. We estimate the magnitude of financial news using the relative difference between the U.S. Treasury Bill and the Federal Funds effective rate. Our results are consistent with the "sign effect," in which "bad news" has a larger impact than "good news." Furthermore, we observe significant volatility aftershocks, confirming a "market under-reaction" that lasts at least one trading day.

Quantitative law describing market dynamics before and after interest-rate change

Science.gov (United States)

Petersen, Alexander M.; Wang, Fengzhong; Havlin, Shlomo; Stanley, H. Eugene

2010-06-01

We study the behavior of U.S. markets both before and after U.S. Federal Open Market Commission meetings and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analog of the Omori earthquake law. We quantify the rate n(t) of aftershocks following an interest-rate change at time T and find power-law decay which scales as n(t-T)˜(t-T)-Ω , with Ω positive. Surprisingly, we find that the same law describes the rate n'(|t-T|) of “preshocks” before the interest-rate change at time T . This study quantitatively relates the size of the market response to the news which caused the shock and uncovers the presence of quantifiable preshocks. We demonstrate that the news associated with interest-rate change is responsible for causing both the anticipation before the announcement and the surprise after the announcement. We estimate the magnitude of financial news using the relative difference between the U.S. Treasury Bill and the Federal Funds effective rate. Our results are consistent with the “sign effect,” in which “bad news” has a larger impact than “good news.” Furthermore, we observe significant volatility aftershocks, confirming a “market under-reaction” that lasts at least one trading day.

Intervening in global markets to improve access to HIV/AIDS treatment: an analysis of international policies and the dynamics of global antiretroviral medicines markets.

Science.gov (United States)

Waning, Brenda; Kyle, Margaret; Diedrichsen, Ellen; Soucy, Lyne; Hochstadt, Jenny; Bärnighausen, Till; Moon, Suerie

2010-05-25

Universal access to antiretroviral therapy (ART) in low- and middle-income countries faces numerous challenges: increasing numbers of people needing ART, new guidelines recommending more expensive antiretroviral (ARV) medicines, limited financing, and few fixed-dose combination (FDC) products. Global initiatives aim to promote efficient global ARV markets, yet little is known about market dynamics and the impact of global policy interventions. We utilize several data sources, including 12,958 donor-funded, adult first-line ARV purchase transactions, to describe the market from 2002-2008. We examine relationships between market trends and: World Health Organization (WHO) HIV/AIDS treatment guidelines; WHO Prequalification Programme (WHO Prequal) and United States (US) Food and Drug Administration (FDA) approvals; and procurement policies of the Global Fund to Fight AIDS, Tuberculosis, and Malaria (GFATM), US President's Emergency Plan for AIDS Relief (PEPFAR) and UNITAID. WHO recommended 7, 4, 24, and 6 first-line regimens in 2002, 2003, 2006 and 2009 guidelines, respectively. 2009 guidelines replaced a stavudine-based regimen ($88/person/year) with more expensive zidovudine- ($154-260/person/year) or tenofovir-based ($244-465/person/year) regimens. Purchase volumes for ARVs newly-recommended in 2006 (emtricitabine, tenofovir) increased >15-fold from 2006 to 2008. Twenty-four generic FDCs were quality-approved for older regimens but only four for newer regimens. Generic FDCs were available to GFATM recipients in 2004 but to PEPFAR recipients only after FDA approval in 2006. Price trends for single-component generic medicines mirrored generic FDC prices. Two large-scale purchasers, PEPFAR and UNITAID, together accounted for 53%, 84%, and 77% of market volume for abacavir, emtricitabine, and tenofovir, respectively, in 2008. PEPFAR and UNITAID purchases were often split across two manufacturers. Global initiatives facilitated the creation of fairly efficient markets

A consensus-based dynamics for market volumes

Science.gov (United States)

Sabatelli, Lorenzo; Richmond, Peter

2004-12-01

We develop a model of trading orders based on opinion dynamics. The agents may be thought as the share holders of a major mutual fund rather than as direct traders. The balance between their buy and sell orders determines the size of the fund order (volume) and has an impact on prices and indexes. We assume agents interact simultaneously to each other through a Sznajd-like interaction. Their degree of connection is determined by the probability of changing opinion independently of what their neighbours are doing. We assume that such a probability may change randomly, after each transaction, of an amount proportional to the relative difference between the volatility then measured and a benchmark that we assume to be an exponential moving average of the past volume values. We show how this simple model is compatible with some of the main statistical features observed for the asset volumes in financial markets.

Solar Thermal Technologies Dynamics and Strategies for Market Creation in Sindh

Directory of Open Access Journals (Sweden)

Asif Ali Shah

2016-04-01

Full Text Available In order to sketch Sindh's RE (Renewable Energy based scenario, it is vital to trace the dynamics of simplest RETs (Renewable Energy Technologies such as STTs (Solar Thermal Technologies. STTs are simple to operate, easy to maintain and requires low cost of fabrication. Due to these advantages, STTs possess scope for mass market creation in Sindh as can provide alternate energy solutions to meet daily fuel requirements of heating and cooking etc. The paper identifies that the low awareness creates a negative perception about the price and efficiency of these technologies in masses, which can be removed once the awareness increases. This paper consists of survey findings, which traces the trends for STTs utilization in Sindh by testing various hypotheses to identify the suitable tactics required for their market creation. Finally the key policy recommendations are provided at the end.

Financial market dynamics: superdiffusive or not?

Science.gov (United States)

Devi, Sandhya

2017-08-01

The behavior of stock market returns over a period of 1-60 d has been investigated for S&P 500 and Nasdaq within the framework of nonextensive Tsallis statistics. Even for such long terms, the distributions of the returns are non-Gaussian. They have fat tails indicating that the stock returns do not follow a random walk model. In this work, a good fit to a Tsallis q-Gaussian distribution is obtained for the distributions of all the returns using the method of Maximum Likelihood Estimate. For all the regions of data considered, the values of the scaling parameter q, estimated from 1 d returns, lie in the range 1.4-1.65. The estimated inverse mean square deviations (beta) show a power law behavior in time with exponent values between  -0.91 and  -1.1 indicating normal to mildly subdiffusive behavior. Quite often, the dynamics of market return distributions is modelled by a Fokker-Plank (FP) equation either with a linear drift and a nonlinear diffusion term or with just a nonlinear diffusion term. Both of these cases support a q-Gaussian distribution as a solution. The distributions obtained from current estimated parameters are compared with the solutions of the FP equations. For negligible drift term, the inverse mean square deviations (betaFP) from the FP model follow a power law with exponent values between  -1.25 and  -1.48 indicating superdiffusion. When the drift term is non-negligible, the corresponding betaFP do not follow a power law and become stationary after certain characteristic times that depend on the values of the drift parameter and q. Neither of these behaviors is supported by the results of the empirical fit.

Marketing Audit A Systematic and Comprehensive Marketing Examination

Directory of Open Access Journals (Sweden)

Abdullah Al Fahad

2015-07-01

Full Text Available Abstract-The growing complexity of the current market environment needs a more systematic evaluation process that how organizational marketing performance deals with the dynamic market. This paper point out the benefit of marketing audit to deals with systematic evaluation of plans objectives strategies activities and organizational structure as well as marketing staff. Recent study has portrayed a broader conceptualization of effectiveness of using marketing audit. Through this paper we want to bring into focus the broad and different aspects of marketing audit that can help the organization its strength and weakness. The paper suggests that marketing audit should use as a mechanism to evaluate the entire marketing system.

Labour Market Flexibility and Regional Unemployment Rate Dynamics: Spain (1980-1995)

OpenAIRE

Roberto Bande; Marika Karanassou

2006-01-01

This paper aims to shed light in the dynamics of Spanish regional unemployment rates and determine the driving forces of their disparities. The Spanish economy has one of the highest unemployment rates in the EU and is characterised by severe regional disparities. We apply the chain reaction theory of unemployment according to which the evolution of unemployment is driven by the interplay of lagged adjustment processes and the spillover effects within the labour market system. Our model inclu...

Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets

OpenAIRE

Nassim N. Taleb

2014-01-01

Proof that under simple assumptions, such as constraints of Put-Call Parity, the probability measure for the valuation of a European option has the mean derived from the forward price which can, but does not have to be the risk-neutral one, under any general probability distribution, bypassing the Black-Scholes-Merton dynamic hedging argument, and without the requirement of complete markets and other strong assumptions. We confirm that the heuristics used by traders for centuries are both mor...

Minimal agent based model for financial markets II. Statistical properties of the linear and multiplicative dynamics

Science.gov (United States)

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

2009-02-01

We present a detailed study of the statistical properties of the Agent Based Model introduced in paper I [Eur. Phys. J. B, DOI: 10.1140/epjb/e2009-00028-4] and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the stylized facts and their self-organization. The key elements are fundamentalist agents, chartist agents, herding dynamics and price behavior. The first two elements correspond to the competition between stability and instability tendencies in the market. The herding behavior governs the possibility of the agents to change strategy and it is a crucial element of this class of models. We consider a linear approximation for the price dynamics which permits a simple interpretation of the model dynamics and, for many properties, it is possible to derive analytical results. The generalized non linear dynamics results to be extremely more sensible to the parameter space and much more difficult to analyze and control. The main results for the nature and self-organization of the stylized facts are, however, very similar in the two cases. The main peculiarity of the non linear dynamics is an enhancement of the fluctuations and a more marked evidence of the stylized facts. We will also discuss some modifications of the model to introduce more realistic elements with respect to the real markets.

An agent-based approach equipped with game theory. Strategic collaboration among learning agents during a dynamic market change in the California electricity crisis

Energy Technology Data Exchange (ETDEWEB)

Sueyoshi, Toshiyuki [Department of Management, New Mexico Institute of Mining and Technology, Socorro, NM 87801 (United States); Department of Industrial and Information Management, National Cheng Kung University, Tainan (China)

2010-09-15

An agent-based approach is a numerical (computer-intensive) method to explore the complex characteristics and dynamics of microeconomics. Using the agent-based approach, this study investigates the learning speed of traders and their strategic collaboration in a dynamic market change of electricity. An example of such a market change can be found in the California electricity crisis (2000-2001). This study incorporates the concept of partial reinforcement learning into trading agents and finds that they have two learning components: learning from a dynamic market change and learning from collaboration with other traders. The learning speed of traders becomes slow when a large fluctuation occurs in the power exchange market. The learning speed depends upon the type of traders, their learning capabilities and the fluctuation of market fundamentals. The degree of collaboration among traders gradually reduces during the electricity crisis. The strategic collaboration among traders is examined by a large simulator equipped with multiple learning capabilities. (author)

An agent-based approach equipped with game theory. Strategic collaboration among learning agents during a dynamic market change in the California electricity crisis

International Nuclear Information System (INIS)

Sueyoshi, Toshiyuki

2010-01-01

An agent-based approach is a numerical (computer-intensive) method to explore the complex characteristics and dynamics of microeconomics. Using the agent-based approach, this study investigates the learning speed of traders and their strategic collaboration in a dynamic market change of electricity. An example of such a market change can be found in the California electricity crisis (2000-2001). This study incorporates the concept of partial reinforcement learning into trading agents and finds that they have two learning components: learning from a dynamic market change and learning from collaboration with other traders. The learning speed of traders becomes slow when a large fluctuation occurs in the power exchange market. The learning speed depends upon the type of traders, their learning capabilities and the fluctuation of market fundamentals. The degree of collaboration among traders gradually reduces during the electricity crisis. The strategic collaboration among traders is examined by a large simulator equipped with multiple learning capabilities. (author)

Market concentration and technological innovation in a dynamic model of growth and distribution

Directory of Open Access Journals (Sweden)

Gilberto Tadeu Lima

2000-12-01

Full Text Available This paper develops a post Keynesian macromodel of growth and distribution in which endogenous technological innovation plays a pivotal role. The innovationrate is made quadratic in market concentration, to capture a plausible neo-Schumpeterian non-linear influence of market structure on firms' propensity to innovate. Concentration is endogenous, though, since under neo-Schumpeterian competition the relation between market structure and technical change cuts both ways. Investment will then be non-linear in concentration, and the effect of changes in concentration on capacity utilisation, growth and distribution will depend on the level of concentration. Demand also plays a role, with capacity utilisation andgrowth rising with the wage share. The dynamic stability properties of the system will depend on the direction and relative strength of the technological innovation effects with respect to the demand ones, and on the relative bargaining power of workers and capitalists.

Temporal condensation and dynamic λ-transition within the complex network: an application to real-life market evolution

Science.gov (United States)

Wiliński, Mateusz; Szewczak, Bartłomiej; Gubiec, Tomasz; Kutner, Ryszard; Struzik, Zbigniew R.

2015-02-01

We fill a void in merging empirical and phenomenological characterisation of the dynamical phase transitions in complex networks by identifying and thoroughly characterising a triple sequence of such transitions on a real-life financial market. We extract and interpret the empirical, numerical, and analytical evidences for the existence of these dynamical phase transitions, by considering the medium size Frankfurt stock exchange (FSE), as a typical example of a financial market. By using the canonical object for the graph theory, i.e. the minimal spanning tree (MST) network, we observe: (i) the (initial) dynamical phase transition from equilibrium to non-equilibrium nucleation phase of the MST network, occurring at some critical time. Coalescence of edges on the FSE's transient leader (defined by its largest degree) is observed within the nucleation phase; (ii) subsequent acceleration of the process of nucleation and the emergence of the condensation phase (the second dynamical phase transition), forming a logarithmically diverging temporal λ-peak of the leader's degree at the second critical time; (iii) the third dynamical fragmentation phase transition (after passing the second critical time), where the λ-peak logarithmically relaxes over three quarters of the year, resulting in a few loosely connected sub-graphs. This λ-peak (comparable to that of the specific heat vs. temperature forming during the equilibrium continuous phase transition from the normal fluid I 4He to the superfluid II 4He) is considered as a prominent result of a non-equilibrium superstar-like superhub or a dragon-king's abrupt evolution over about two and a half year of market evolution. We capture and meticulously characterise a remarkable phenomenon in which a peripheral company becomes progressively promoted to become the dragon-king strongly dominating the complex network over an exceptionally long period of time containing the crash. Detailed analysis of the complete trio of the

Market efficiency in the emerging securitized real estate markets

OpenAIRE

Schindler, Felix

2010-01-01

This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential criterion in the assessment of the functionality of markets and the asset pricing process, which is of significant relevance for emerging markets in particular. The analysis is based on autocorrelation tests ...

Price and inventory dynamics in petroleum product markets

International Nuclear Information System (INIS)

Considine, T.J.; Heo, Eunnyeong

2000-01-01

Unlike many studies of commodity inventory behavior, this paper estimates a model with endogenous spot and forward prices, inventories, production, and net imports. Our application involves markets for refined petroleum products in the United States. Our model is built around the supply and demand for storage. We estimate the model using Generalized Method of Moments and perform dynamic, simultaneous simulations to estimate the impacts of supply and demand shocks. Supply curves for the industry are inelastic and upward sloping. High inventory levels depress prices. Inventories fall in response to higher sales, consistent with production smoothing. Under higher input prices, refiners reduce their stocks of crude oil but increase their product inventories, consistent with cost smoothing. In some cases, imports of products are more variable than production or inventories. 25 refs

Market integration in the crustaceans market

DEFF Research Database (Denmark)

Ankamah-Yeboah, Isaac; Bronnmann, Julia

2018-01-01

are substitutes. Price determination processes for the shrimp markets vary with the level of the value chain. The results imply that the wild and farmed crustaceans markets are interacting through substitution effects. Hence, the markets have the capability to shield volatile and rising prices that would emanate......In this paper the price dynamics and the degree of market integration in the German crustaceans market is examined using cointegration methods. The study focuses on wild caught cold water shrimp, farmed warm water shrimp as well as lobster and derives implications for the fisheries sector....... In the analysis, both the import market and the retail market price reactions are distinguished. Therefore, it is evaluated how price changes affect competing commodities within and between the value chain of a given crustaceans commodity. Evidence of partial market integration is found for all species under...

Promoting the Sustainable Building Market: an Evolution Analysis and System Dynamics Simulation on Behaviors of Real Estate Developers and Government

Directory of Open Access Journals (Sweden)

Xiuli Xie

2014-05-01

Full Text Available Purpose: The Chinese government takes measures to promote the development of green building (GB. But until 2013, there are only few green buildings in China. The real estate developers are skeptical in entering GB market, which requires theories to explain developers and government’s behaviors.Design/methodology/approach: In this study, we attempt Evolutionary game theory and System dynamics (SD into the analysis. A system dynamics model is built for studying evolutionary games between the government and developers in greening building decision making.Findings and Originality/value: The results of mixed-strategy stability analysis and SD simulation show that evolutionary equilibrium does not exist with a static government incentive. Therefore, a dynamical incentive is suggested in the SD model for promoting the green building market. The symmetric game and asymmetric game between two developers show, if the primary proportion who choose GB strategy is lower, all the group in game may finally evolve to GB strategy. In this case and in this time, the government should take measures to encourage developers to enter into the GB market. If the proportion who choose GB strategy is high enough, the government should gradually cancel or reduce those incentive measure.Research limitations/implications: an Evolution Analysis and System Dynamics Simulation on Behaviors of Real Estate Developers and Government could give some advice for the government to promote the green building market.

Effect of floating pricing policy: An application of system dynamics on oil market after liberalization

Energy Technology Data Exchange (ETDEWEB)

Wu, Jung-Hua, E-mail: hwaa@mail.ncku.edu.tw [Department of Resources Engineering, National Cheng Kung University, Tainan 701, Taiwan (China); Huang, Yi-Lung [Exploration and Development Research Institute, Chinese Petroleum Corporation, Taiwan, No. 1, Dayuan, Wenfa Road, Miaoli City, Miaoli County 36042, Taiwan (China); Liu, Chang-Chen [Department of Resources Engineering, National Cheng Kung University, Tainan 701, Taiwan (China)

2011-07-15

Upon the implementation of the floating price mechanism, Taiwan's gasoline and diesel prices returned to market mechanism, which terminated the phenomenon of the public paying for the losses of the state-owned oil company-Chinese Petroleum Corporation, Taiwan (CPC). Furthermore, the relatively low production costs of the privately owned Formosa Petrochemical Corporation (FPCC) disclosed the pricing mechanism of CPC, which inspired FPCC to adopt pricing strategy in order to increase the market share. This study aims to establish a system dynamics model to analyze the effects of the floating price mechanism on Taiwan's gasoline and diesel markets. This Model is divided into four sub-systems. The model of this study passed several validation tests, and hence, is able to provide a 'virtual laboratory' for policy-makers to conduct simulation and scenario analysis. The simulation results indicate (a) feedback mechanism of expected revenues and pricing strategy could efficiently simulate the FPCC pricing mechanism, (b) price competition strategy could increase FPCC revenues, although the effect on market share is not remarkable, and (c) FPCC has a higher gas-station growth rate. Scenario analyses found (a) lowering oil security stockpile would not change FPCC's pricing strategy and (b) FPCC prefers to follow CPC pricing when it has more gas stations. - Highlights: > System dynamics model analyzes the effects of oil markets' floating price mechanism. > Feedback mechanism of expected revenues could efficiently simulate pricing mechanism. > Price competition strategy could increase FPCC revenues. > Lowering oil security stockpile, FPCC's pricing strategy would not change. > FPCC prefers to follow CPC pricing when it has more gas stations.

Effect of floating pricing policy: An application of system dynamics on oil market after liberalization

International Nuclear Information System (INIS)

Wu, Jung-Hua; Huang, Yi-Lung; Liu, Chang-Chen

2011-01-01

Upon the implementation of the floating price mechanism, Taiwan's gasoline and diesel prices returned to market mechanism, which terminated the phenomenon of the public paying for the losses of the state-owned oil company-Chinese Petroleum Corporation, Taiwan (CPC). Furthermore, the relatively low production costs of the privately owned Formosa Petrochemical Corporation (FPCC) disclosed the pricing mechanism of CPC, which inspired FPCC to adopt pricing strategy in order to increase the market share. This study aims to establish a system dynamics model to analyze the effects of the floating price mechanism on Taiwan's gasoline and diesel markets. This Model is divided into four sub-systems. The model of this study passed several validation tests, and hence, is able to provide a 'virtual laboratory' for policy-makers to conduct simulation and scenario analysis. The simulation results indicate (a) feedback mechanism of expected revenues and pricing strategy could efficiently simulate the FPCC pricing mechanism, (b) price competition strategy could increase FPCC revenues, although the effect on market share is not remarkable, and (c) FPCC has a higher gas-station growth rate. Scenario analyses found (a) lowering oil security stockpile would not change FPCC's pricing strategy and (b) FPCC prefers to follow CPC pricing when it has more gas stations. - Highlights: → System dynamics model analyzes the effects of oil markets' floating price mechanism. → Feedback mechanism of expected revenues could efficiently simulate pricing mechanism. → Price competition strategy could increase FPCC revenues. → Lowering oil security stockpile, FPCC's pricing strategy would not change. → FPCC prefers to follow CPC pricing when it has more gas stations.

Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system

Science.gov (United States)

Lu, Yunfan; Wang, Jun; Niu, Hongli

2015-10-01

Based on the epidemic dynamical system, we construct a new agent-based financial time series model. In order to check and testify its rationality, we compare the statistical properties of the time series model with the real stock market indices, Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index. For analyzing the statistical properties, we combine the multi-parameter analysis with the tail distribution analysis, the modified rescaled range analysis, and the multifractal detrended fluctuation analysis. For a better perspective, the three-dimensional diagrams are used to present the analysis results. The empirical research in this paper indicates that the long-range dependence property and the multifractal phenomenon exist in the real returns and the proposed model. Therefore, the new agent-based financial model can recurrence some important features of real stock markets.

Market Power in Laboratory Emission Permit Markets

International Nuclear Information System (INIS)

Godby, R.

2002-01-01

Many proposals suggesting the use of markets to control pollution assume markets will be competitive. When markets do not exhibit competitive characteristics, however, should they still be expected to result in efficiency improvement relative to traditional approaches? This paper employs experimental economic methods to examine the effect of market structure on the use of marketable emissions permits. Results indicate that in a market with one dominant firm and a number of fringe firms, strategic manipulation occurs repeatedly in the laboratory as predicted by market power models, undermining the allocative and dynamic efficiency benefits such markets offer. When firms compete in a downstream product market dominated by the same single firm, market efficiency can actually be reduced with the implementation of permit markets. Final market efficiencies reflect initial endowments and are influenced by competitive conditions elsewhere in the economy, indicating that policy-makers should carefully consider whether markets are appropriate in such circumstances

Can investor sentiment be used to predict the stock price? Dynamic analysis based on China stock market

Science.gov (United States)

Guo, Kun; Sun, Yi; Qian, Xin

2017-03-01

With the development of the social network, the interaction between investors in stock market became more fast and convenient. Thus, investor sentiment which can influence their investment decisions may be quickly spread and magnified through the network, and to a certain extent the stock market can be affected. This paper collected the user comments data from a popular professional social networking site of China stock market called Xueqiu, then the investor sentiment data can be obtained through semantic analysis. The dynamic analysis on relationship between investor sentiment and stock market is proposed based on Thermal Optimal Path (TOP) method. The results show that the sentiment data was not always leading over stock market price, and it can be used to predict the stock price only when the stock has high investor attention.

Market transformation opportunities for emerging dynamic facade and dimmable lighting control systems

Energy Technology Data Exchange (ETDEWEB)

Lee, Eleanor S.; Selkowitz, Stephen E.; Hughes, Glenn D.; Thurm, David A.

2004-06-04

Automated shading and daylighting control systems have been commercially available for decades. The new challenge is to provide a fully functional and integrated fagade and lighting system that operates appropriately for all environmental conditions and meets a range of occupant subjective desires and objective performance requirements. These rigorous performance goals must be achieved with solutions that are cost effective and can operate over long periods with minimal maintenance. It will take time and effort to change the marketplace for these technologies and practices, particularly in building a series of documented success stories, and driving costs and risks to much lower levels at which their use becomes the norm. In recent years, the architectural trend toward highly-transparent all-glass buildings presents a unique challenge and opportunity to advance the market for emerging, smart, dynamic window and dimmable daylighting control technologies. We believe it is possible to accelerate product market transformation by developing projects where technical advances and the interests of motivated manufacturers and innovative owners converge. In this paper we present a case study example that explains a building owner's decision-making process to use dynamic window and dimmable daylighting controls. The case study project undertaken by a major building owner in partnership with a buildings R&D group was designed explicitly to use field test data in conjunction with the market influence of a major landmark building project in New York City to stimulate change in manufacturers' product offerings. Preliminary observations on the performance of these systems are made. A cost model that was developed with the building owner is explained.

Intervening in global markets to improve access to HIV/AIDS treatment: an analysis of international policies and the dynamics of global antiretroviral medicines markets

Directory of Open Access Journals (Sweden)

Hochstadt Jenny

2010-05-01

Full Text Available Abstract Background Universal access to antiretroviral therapy (ART in low- and middle-income countries faces numerous challenges: increasing numbers of people needing ART, new guidelines recommending more expensive antiretroviral (ARV medicines, limited financing, and few fixed-dose combination (FDC products. Global initiatives aim to promote efficient global ARV markets, yet little is known about market dynamics and the impact of global policy interventions. Methods We utilize several data sources, including 12,958 donor-funded, adult first-line ARV purchase transactions, to describe the market from 2002-2008. We examine relationships between market trends and: World Health Organization (WHO HIV/AIDS treatment guidelines; WHO Prequalification Programme (WHO Prequal and United States (US Food and Drug Administration (FDA approvals; and procurement policies of the Global Fund to Fight AIDS, Tuberculosis, and Malaria (GFATM, US President's Emergency Plan for AIDS Relief (PEPFAR and UNITAID. Results WHO recommended 7, 4, 24, and 6 first-line regimens in 2002, 2003, 2006 and 2009 guidelines, respectively. 2009 guidelines replaced a stavudine-based regimen ($88/person/year with more expensive zidovudine- ($154-260/person/year or tenofovir-based ($244-465/person/year regimens. Purchase volumes for ARVs newly-recommended in 2006 (emtricitabine, tenofovir increased >15-fold from 2006 to 2008. Twenty-four generic FDCs were quality-approved for older regimens but only four for newer regimens. Generic FDCs were available to GFATM recipients in 2004 but to PEPFAR recipients only after FDA approval in 2006. Price trends for single-component generic medicines mirrored generic FDC prices. Two large-scale purchasers, PEPFAR and UNITAID, together accounted for 53%, 84%, and 77% of market volume for abacavir, emtricitabine, and tenofovir, respectively, in 2008. PEPFAR and UNITAID purchases were often split across two manufacturers. Conclusions Global initiatives

Cointegration and causality analysis of dynamic linkage between stock market and equity mutual funds in Australia

Directory of Open Access Journals (Sweden)

Sasipa Pojanavatee

2014-12-01

Full Text Available The existing literature finds conflicting results on the magnitude of price linkages between equity mutual funds and the stock market. The study contends that in an optimal lagged model, the expectations of future prices using knowledge of past price behaviour in a particular equity mutual fund category will improve forecasts of prices of other equity mutual fund categories and the stock market index. The evidence shows that the long-run pricing of equity mutual funds is cointegrated with the stock market index. In the short run, the results indicate that some equity mutual fund categories possess both long-run and short-run exogeneity with the stock market. Therefore, the short-run dynamic indicates short-run Granger causal links running between different equity mutual fund categories.

The articulation of Mexico into the dynamics of competition of the North American natural gas market

International Nuclear Information System (INIS)

Elizalde Baltierra, A.

2002-07-01

Deregulation is at the origin of the new dynamics of competition in the natural gas industry. The United States and Canada were the pioneer countries to suffer these changes. In fact, their natural gas markets today function in a very similar way: i) the private sector takes a place as large as possible, and ii)competition is developed within the three segments of the gas value, especially at the upstream level (emergence of hubs, spot and financial markets,...). In Mexico, its downstream gas activities (transportation, storage and distribution) were liberalized in 1995 in order to attract private investments and to develop the gas sector that has historically been operated under State control. Gas upstream operations remain reserved by the Constitution to the national oil company Petroleos Mexicanos (PEMEX). This thesis develops an evaluation framework of the articulation of Mexico into the dynamics of competition of the North American natural gas market, based on the structure-conduct-performance paradigm. In the first part, all North American's natural gas industries base conditions are analyzed. We examine in the second part, the deregulation and articulation of the dynamics of competition of the American and Canadian gas industries. Finally, in the third part we analyze the main elements of the articulation of Mexico into the dynamics of competition of United States and Canada's gas industries. Furthermore, we evaluate the impact of three of these elements (the economic growth, the electric power generation sector and eventually opening to private investments of gas upstream activities) on the adjustment of gas supply and demand in Mexico to the year 2020. (author)

Strategic energy planning: Modelling and simulating energy market behaviours using system thinking and systems dynamics principles

International Nuclear Information System (INIS)

Papageorgiou, George Nathaniel

2005-01-01

In the face of limited energy reserves and the global warming phenomenon, Europe is undergoing a transition from rapidly depleting fossil fuels to renewable unconventional energy sources. During this transition period, energy shortfalls will occur and energy prices will be increasing in an oscillating manner. As a result of the turbulence and dynamicity that will accompany the transition period, energy analysts need new appropriate methods, techniques and tools in order to develop forecasts for the behaviour of energy markets, which would assist in the long term strategic energy planning and policy analysis. This paper reviews energy market behaviour as related to policy formation, and from a dynamic point of view through the use of ''systems thinking'' and ''system dynamics'' principles, provides a framework for modelling the energy production and consumption process in relation to their environment. Thereby, effective energy planning can be developed via computerised simulation using policy experimentation. In a demonstration model depicted in this paper, it is shown that disasters due to attractive policies can be avoided by using simple computer simulation. (Author)

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

International Nuclear Information System (INIS)

2000-11-01

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

Revisiting short-term price and volatility dynamics in day-ahead electricity markets with rising wind power

International Nuclear Information System (INIS)

Li, Yuanjing

2015-01-01

This paper revisits the short-term price and volatility dynamics in day-ahead electricity markets in consideration of an increasing share of wind power, using an example of the Nord Pool day-ahead market and the Danish wind generation. To do so, a GARCH process is applied, and market coupling and the counterbalance effect of hydropower in the Scandinavian countries are additionally accounted for. As results, we found that wind generation weakly dampens spot prices with an elasticity of 0.008 and also reduces price volatility with an elasticity of 0.02 in the Nordic day-ahead market. The results shed lights on the importance of market coupling and interactions between wind power and hydropower in the Nordic system through cross-border exchanges, which play an essential role in price stabilization. Additionally, an EGARCH specification confirms an asymmetric influence of the price innovations, whereby negative shocks produce larger volatility in the Nordic spot market. While considering heavy tails in error distributions can improve model fits significantly, the EGARCH model outperforms the GARCH model on forecast evaluations. (author)

State and group dynamics of world stock market by principal component analysis

Science.gov (United States)

Nobi, Ashadun; Lee, Jae Woo

2016-05-01

We study the dynamic interactions and structural changes by a principal component analysis (PCA) to cross-correlation coefficients of global financial indices in the years 1998-2012. The variances explained by the first PC increase with time and show a drastic change during the crisis. A sharp change in PC coefficient implies a transition of market state, a situation which occurs frequently in the American and Asian indices. However, the European indices remain stable over time. Using the first two PC coefficients, we identify indices that are similar and more strongly correlated than the others. We observe that the European indices form a robust group over the observation period. The dynamics of the individual indices within the group increase in similarity with time, and the dynamics of indices are more similar during the crises. Furthermore, the group formation of indices changes position in two-dimensional spaces due to crises. Finally, after a financial crisis, the difference of PCs between the European and American indices narrows.

Local and global dynamics in a duopoly with price competition and market share delegation

International Nuclear Information System (INIS)

Fanti, Luciano; Gori, Luca; Mammana, Cristiana; Michetti, Elisabetta

2014-01-01

This paper aims at studying a nonlinear dynamic duopoly model with price competition and horizontal product differentiation augmented with managerial firms, where managers behave according to market share delegation contracts. Ownership and management are then separate and managers are paid through adequate incentives in order to achieve a competitive advantage in the market. In this context, we show that complexity arises, related both to the structure of the attractors of the system and the structure of their basins, as multistability occurs. The study is conducted by combining analytical and numerical techniques, and aims at showing that slight different initial conditions may cause very different long-term outcomes

Changing Dynamics in the Voluntary Market (Presentation)

Energy Technology Data Exchange (ETDEWEB)

Heeter, J.

2014-12-01

Voluntary green power markets are those in which consumers and institutions voluntarily purchase renewable energy to match their electricity needs. This presentation, presented at the Renewable Energy Markets Conference in December 2014, outlines the voluntary market in 2013, including community choice aggregation and community solar.

Causal Dynamic Relationships between Political–Economic Factors and Export Performance in the Renewable Energy Technologies Market

Directory of Open Access Journals (Sweden)

Bongsuk Sung

2018-04-01

Full Text Available This study explores how political–economic forces could affect export performance in the renewable energy technologies market. We conduct panel framework analyses to verify the characteristics of panel data for 19 countries before establishing the panel estimator meant to test the effects of political–economic forces on export specialization. We consider the results of the panel framework analyses and develop an empirical model to test casual dynamic relationships between political–economic forces and export performance. The results from the least squares dummy variable-corrected estimation indicate that the major factors promoting the export specialization of renewable energy technologies are, in order of decreasing importance, public pressure, market size, and government demand-pull policy. However, the traditional energy industry has no significant effect on export performance. Finally, this study finds that dynamic effects exist in all estimations.

Dynamic consistency of leader/fringe models of exhaustible resource markets

International Nuclear Information System (INIS)

Pelot, R.P.

1990-01-01

A dynamic feedback pricing model is developed for a leader/fringe supply market of exhaustible resources. The discrete game optimization model includes marginal costs which may be quadratic functions of cumulative production, a linear demand curve and variable length periods. The multiperiod formulation is based on the nesting of later periods' Kuhn-Tucker conditions into earlier periods' optimizations. This procedure leads to dynamically consistent solutions where the leader's strategy is credible as he has no incentive to alter his original plan at some later stage. A static leader-fringe model may yield multiple local optima. This can result in the leader forcing the fringe to produce at their capacity constraint, which would otherwise be non-binding if it is greater than the fringe's unconstrained optimal production rate. Conditions are developed where the optimal solution occurs at a corner where constraints meet, of which limit pricing is a special case. The 2-period leader/fringe feedback model is compared to the computationally simpler open-loop model. Under certain conditions, the open-loop model yields the same result as the feedback model. A multiperiod feedback model of the world oil market with OPEC as price-leader and the remaining world oil suppliers comprising the fringe is compared with the open-loop solution. The optimal profits and prices are very similar, but large differences in production rates may occur. The exhaustion date predicted by the open-loop model may also differ from the feedback outcome. Some numerical tests result in non-contiguous production periods for a player or limit pricing phases. 85 refs., 60 figs., 30 tabs

Dynamics of Timber Market Integration in Sweden

Directory of Open Access Journals (Sweden)

Vishal Chandr Jaunky

2015-12-01

Full Text Available This paper addresses the performance of the timber markets (Scots pine, Pinus silvestris L. and Norway spruce, Picea abies (L. Karst. by evaluating the order of market integration in three Swedish regions (Central, Northern, and Southern. Quarterly data of delivery prices are employed over the period 1999Q1–2012Q4. Various unit root and cointegration tests have been computed. The results indicate that the variables are integrated of first order and co-integrated, especially after controlling for structural breaks. This supports the law-of-one-price hypothesis (LOP. However, the effects of structural shocks on forestry are arguably significant and these are controlled for while performing a vector error-correction mechanism (VECM-based Granger-causality test. Bi-directional causality between the Northern and central markets is uncovered in the short-run. In the long-run, a similar causal effect is detected between Northern and Southern markets while the central market emerges as the price leader. Further investigation is carried out using variance decompositions and impulse response functions and these approaches also tend to confirm the existence of a single market well, as price interdependence between markets.

Market structure and price adjustment in the U.S. wholesale gasoline markets

International Nuclear Information System (INIS)

Oladunjoye, Olusegun

2008-01-01

The issue of sticky prices in U.S. wholesale gasoline market is re-examined allowing for the effect of market structure due to increased market concentration caused by mergers, acquisitions and joint ventures which started in the late 1990s in the U.S. oil industry. I investigate the effects of market structure on the pattern of price adjustment based on the notion that increased market concentration leads to downward price stickiness and asymmetric short run price adjustment in the transmission of crude price changes to wholesale gasoline price. I find that market concentration has an insignificant asymmetric effect on the speed of price adjustment but a significant asymmetric effect on short run price adjustments in the response of wholesale gasoline prices to crude price shocks in three U.S. wholesale markets. Furthermore, the signs on the coefficients of market concentration effects on price dynamics in the models support the assertion that increased market concentration leads to downward price stickiness in only one of the three markets examined. Overall, the results indicate that market structure does not have a strong effect on the dynamics of price adjustment. (author)

Price dynamics among U.S. electricity spot markets

International Nuclear Information System (INIS)

Park, Haesun; Mjelde, James W.; Bessler, David A.

2006-01-01

Combining recent advances in causal flows with time series analysis, relationships among 11 U.S. spot market electricity prices are examined. Results suggest that the relationships among the markets vary by time frame. In contemporaneous time, the western markets are separated from the eastern markets and the Electricity Reliability Council of Texas. At longer time frames these separations disappear, even though electricity transmission between the regions is limited. It appears the relationships among markets are not only a function of physical assets (such as transmissions lines among markets), but by similar and dissimilar institutional arrangements among the markets. (Author)

Price dynamics in the market for Liquid Petroleum Gas transport

International Nuclear Information System (INIS)

Adland, Roar; Jia Haiying; Lu Jing

2008-01-01

The purpose of this paper is to investigate the dynamics of the spot freight rate in the Liquid Petroleum Gas (LPG) shipping market. The spot freight rate process is nonparametrically specified so that the model allows for maximal flexibility in fitting the data. The model is estimated using data for the Very Large Gas Carrier (VLGC) sector and the estimation results are compared to those of crude oil tankers available in the literature. The empirical results suggest that the LPG spot freight rate can be appropriately described by a simple linear stochastic model and does not exhibit the non-linearity found in other bulk shipping sectors

The Marketing Audit as a Method of the Evaluation of the Marketing Plan

Science.gov (United States)

Vaňa, Kamil; Černá, Ľubica

2012-12-01

The growing complexity of the current market environment needs a more systematic evaluation process of the organizational marketing performance to deal with the dynamic market. This paper deals with marketing audit as a comprehensive assessment of all angles of marketing operation in an organization and also deals with systematic evaluation of plans, objectives, strategies, activities and organizational structure as well as marketing staff.

Dynamic effects of social influence and direct marketing on the adoption of high-technology products

NARCIS (Netherlands)

Risselada, H.; Verhoef, P.C.; Bijmolt, T.H.A.

Many firms capitalize on their customers' social networks to improve the success rate of their new products. In this article, the authors analyze the dynamic effects of social influence and direct marketing on the adoption of a new high-technology product. Social influence is likely to play a role

Essays on the U.S. Housing Market and the Credit Market

OpenAIRE

Sun, Chuanlei

2012-01-01

This dissertation includes three chapters. The first two chapters focus on the U.S. housing market and the credit market and the third chapter emphasizes interest rate cycles and stock market cycles in the U.S.Chapter 2 proposes a dynamic factor model to study the U.S. housing market and the credit market separately in the last decades. The model extracts the latent unobserved state representing each market from an array of key related variables. The extracted factor from each market is compa...

Price dynamics of the financial markets using the stochastic differential equation for a potential double well

Science.gov (United States)

Lima, L. S.; Miranda, L. L. B.

2018-01-01

We have used the Itô's stochastic differential equation for the double well with additive white noise as a mathematical model for price dynamics of the financial market. We have presented a model which allows us to test within the same framework the comparative explanatory power of rational agents versus irrational agents, with respect to the facts of financial markets. We have obtained the mean price in terms of the β parameter that represents the force of the randomness term of the model.

Statistical properties and pre-hit dynamics of price limit hits in the Chinese stock markets.

Science.gov (United States)

Wan, Yu-Lei; Xie, Wen-Jie; Gu, Gao-Feng; Jiang, Zhi-Qiang; Chen, Wei; Xiong, Xiong; Zhang, Wei; Zhou, Wei-Xing

2015-01-01

Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders' short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock markets such as the US markets and most European markets do not set price limits. Here, we perform detailed analyses of the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 to investigate the statistical properties of price limit hits and the dynamical evolution of several important financial variables before stock price hits its limits. We compare the properties of up-limit hits and down-limit hits. We also divide the whole period into three bullish periods and three bearish periods to unveil possible differences during bullish and bearish market states. To uncover the impacts of stock capitalization on price limit hits, we partition all stocks into six portfolios according to their capitalizations on different trading days. We find that the price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets. We find that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits, which has potential practical values for market practitioners.

Marketing in the Emerging Markets of Latin America

DEFF Research Database (Denmark)

Marinov, Marin Alexandrov

. Addressing a broad variety of historical, political, economic, social, cultural and legal issues, the book offers unique insights into the enormous opportunities and challenges the region presents for implementing effective marketing strategies. Macro marketing issues such as regional integration, foreign......Marketing in the Emerging Markets of Latin America provides a much needed analysis of business and marketing in Latin America. The book highlights the diverse characteristics of the Latin American business and marketing environment as well as the dynamic nature of regional and country markets...... trade and direct investment are considered within the context of specific countries, as are the micro aspects of a company's marketing activities. The book is an extremely valuable resource for academics, practitioners and anyone interested in doing business in or with Latin America....

Stock market dynamics created by interacting agents

Directory of Open Access Journals (Sweden)

Mohamed Riad Remita

2006-01-01

Full Text Available We study a stock market model, consisting in a large number of agents, going eventually to infinity, and evaluate the stock price under the influence of opinions of different agents. Next we study the behavior of prices when the market is very nervous; there appear discontinuities (phase transitions which can be interpreted as stock market crashes.

Macroeconomic dynamics, job market and income distribution during the 2003-2005 period

Directory of Open Access Journals (Sweden)

Héctor Luis Adriani

2007-01-01

Full Text Available The post-devaluation period (2003-2005 introduces a combination of changes and continuities in the socio-economic and territorial dynamics with respect to the Convertibility recession and crisis. An important recovery of the socio-economic activity in various areas, branches and businesses is noticed, though it does not directly correlate with the job market and poverty social indicators; nor does it even bring about substantial change in income distribution. In Argentina, these processes are seen in the uneven distribution of investments and of benefits reception generated by economic growth. This article aims at characterising this period by analysing the main socio-economic variables, at introducing the most significant debates around the changes and continuities concerning the Convertibility regime, and at accounting for the connections with the territory dynamics.

Market Orientation Capabilities: A Study of Learning Processes in Market-Oriented Companies

OpenAIRE

Silkoset, Ragnhild

2009-01-01

The literature operates with three perspectives on market orientation. These include market orientation as behavior (Kohli and Jaworski 1990; Narver and Slater 1990), market orientation as a unique resource (Hunt and Morgan 1995) and market orientation as a dynamic learning capability (Sinkula 1994; Day 1994b). A company's level of market orientation will vary with regard to the perspectives, including factors affecting a company’s degree of market orientation and the effect...

Globalization of the art market [emerging art markets

NARCIS (Netherlands)

Velthuis, O.

2015-01-01

Since the 1980s art markets have developed rapidly outside of Europe and the USA. In the so-called BRIC countries (Brazil, Russia, India, and China) this development has been particularly dynamic. With aggregate sales estimated at €11.5 billion, China is the second largest market for art and

Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets

Science.gov (United States)

Lim, Gyuchang; Kim, SooYong; Kim, Kyungsik; Lee, Dong-In; Scalas, Enrico

2008-05-01

A recently discovered feature of financial markets, the two-phase phenomenon, is utilized to categorize a financial time series into two phases, namely equilibrium and out-of-equilibrium states. For out-of-equilibrium states, we analyze the time intervals at which the state is revisited. The power-law distribution of inter-out-of-equilibrium state intervals is shown and we present an analogy with discrete-time heat bath dynamics, similar to random Ising systems. In the mean-field approximation, this model reduces to a one-dimensional multiplicative process. By varying global and local model parameters, the relevance between volatilities in financial markets and the interaction strengths between agents in the Ising model are investigated and discussed.

Turbulent cascades in foreign exchange markets

Science.gov (United States)

Ghashghaie, S.; Breymann, W.; Peinke, J.; Talkner, P.; Dodge, Y.

1996-06-01

THE availability of high-frequency data for financial markets has made it possible to study market dynamics on timescales of less than a day1. For foreign exchange (FX) rates Müller et al.2 have shown that there is a net flow of information from long to short timescales: the behaviour of long-term traders (who watch the markets only from time to time) influences the behaviour of short-term traders (who watch the markets continuously). Motivated by this hierarchical feature, we have studied FX market dynamics in more detail, and report here an analogy between these dynamics and hydrodynamic turbulence3-8. Specifically, the relationship between the probability density of FX price changes (δx) and the time delay (δt) (Fig. la) is much the same as the relationship between the probability density of the velocity differences (δv) of two points in a turbulent flow and their spatial separation δr (Fig. 1b). Guided by this similarity we claim that there is an information cascade in FX market dynamics that corresponds to the energy cascade in hydrodynamic turbulence. On the basis of this analogy we can now rationalize the statistics of FX price differences at different time delays, which is important for, for example, option pricing. The analogy also provides a conceptual framework for understanding the short-term dynamics of speculative markets.

Market adoption of reverse factoring

NARCIS (Netherlands)

Iacono, Umberto Dello; Reindorp, Matthew; Dellaert, Nico

2015-01-01

Purpose - The purpose of this paper is to show that market dynamics can significantly influence th lifecycle and value of a supply chain finance (SCF) arrangement. Design/methodology/approach - Based on a review of scientific and trade literature, the author construct a model of market dynamics for

Effective managed care marketing strategies for evolving markets.

Science.gov (United States)

Conlon, M K

1997-11-01

In a world of increased competition and changing consumer expectations, one of the keys to a fiscally sound health plan is having a dynamic marketing strategy that takes into account the shifting attitudes of consumers as managed care markets mature. The primary goal of any health plan marketing strategy should be the acquisition and retention of members. Providing cost-efficient and convenient service for enrollees, offering low or no deductibles, having convenient office locations, and minimizing paper-work are important elements of such a marketing strategy. Factors such as brand awareness and the perceived image of a health plan also are important considerations in acquiring and retaining market share. The relative importance of these consumer satisfaction criteria change as a managed care market evolves and matures. Financial and marketing managers, thus, should ascertain their market's stage of development and respond with appropriate marketing strategies.

Retail markets. Electricity and natural gas retail markets Observatory 2. Quarter 2014

International Nuclear Information System (INIS)

2014-06-01

The retail markets Observatory aims to provide general monitoring indicators of electricity and natural gas retail markets in France. This Observatory is updated on a Quarterly basis and published on CRE's web site (www.cre.fr). The first part of the report summarises the highlights of the electricity market (situation, market shares, suppliers, sales, dynamic analysis, regulated prices). The natural gas market is detailed in the second part

Retail markets. Electricity and natural gas retail markets Observatory 1. Quarter 2015

International Nuclear Information System (INIS)

2015-03-01

The retail markets Observatory aims to provide general monitoring indicators of electricity and natural gas retail markets in France. This Observatory is updated on a Quarterly basis and published on CRE's web site (www.cre.fr). The first part of the report summarises the highlights of the electricity market (situation, market shares, suppliers, sales, dynamic analysis, regulated prices). The natural gas market is detailed in the second part

Retail markets. Electricity and natural gas retail markets Observatory 3. Quarter 2015

International Nuclear Information System (INIS)

2015-09-01

The retail markets Observatory aims to provide general monitoring indicators of electricity and natural gas retail markets in France. This Observatory is updated on a Quarterly basis and published on CRE's web site (www.cre.fr). The first part of the report summarises the highlights of the electricity market (situation, market shares, suppliers, sales, dynamic analysis, regulated prices). The natural gas market is detailed in the second part

Retail markets. Electricity and natural gas retail markets Observatory 4. Quarter 2015

International Nuclear Information System (INIS)

2015-12-01

The retail markets Observatory aims to provide general monitoring indicators of electricity and natural gas retail markets in France. This Observatory is updated on a Quarterly basis and published on CRE's web site (www.cre.fr). The first part of the report summarises the highlights of the electricity market (situation, market shares, suppliers, sales, dynamic analysis, regulated prices). The natural gas market is detailed in the second part

Retail markets. Electricity and natural gas retail markets Observatory 1. Quarter 2016

International Nuclear Information System (INIS)

2016-03-01

The retail markets Observatory aims to provide general monitoring indicators of electricity and natural gas retail markets in France. This Observatory is updated on a Quarterly basis and published on CRE's web site (www.cre.fr). The first part of the report summarises the highlights of the electricity market (situation, market shares, suppliers, sales, dynamic analysis, regulated prices). The natural gas market is detailed in the second part

Retail markets. Electricity and natural gas retail markets Observatory 2. Quarter 2015

International Nuclear Information System (INIS)

2015-06-01

The retail markets Observatory aims to provide general monitoring indicators of electricity and natural gas retail markets in France. This Observatory is updated on a Quarterly basis and published on CRE's web site (www.cre.fr). The first part of the report summarises the highlights of the electricity market (situation, market shares, suppliers, sales, dynamic analysis, regulated prices). The natural gas market is detailed in the second part

Retail markets. Electricity and natural gas retail markets Observatory 4. Quarter 2013

International Nuclear Information System (INIS)

2013-12-01

The retail markets Observatory aims to provide general monitoring indicators of electricity and natural gas retail markets in France. This Observatory is updated on a Quarterly basis and published on CRE's web site (www.cre.fr). The first part of the report summarises the highlights of the electricity market (situation, market shares, suppliers, sales, dynamic analysis, regulated prices). The natural gas market is detailed in the second part

Retail markets. Electricity and natural gas retail markets Observatory 1. Quarter 2014

International Nuclear Information System (INIS)

2014-03-01

The retail markets Observatory aims to provide general monitoring indicators of electricity and natural gas retail markets in France. This Observatory is updated on a Quarterly basis and published on CRE's web site (www.cre.fr). The first part of the report summarises the highlights of the electricity market (situation, market shares, suppliers, sales, dynamic analysis, regulated prices). The natural gas market is detailed in the second part

Retail markets. Electricity and natural gas retail markets Observatory 3. Quarter 2014

International Nuclear Information System (INIS)

2014-09-01

The retail markets Observatory aims to provide general monitoring indicators of electricity and natural gas retail markets in France. This Observatory is updated on a Quarterly basis and published on CRE's web site (www.cre.fr). The first part of the report summarises the highlights of the electricity market (situation, market shares, suppliers, sales, dynamic analysis, regulated prices). The natural gas market is detailed in the second part

Retail markets. Electricity and natural gas retail markets Observatory 3. Quarter 2013

International Nuclear Information System (INIS)

2013-09-01

The retail markets Observatory aims to provide general monitoring indicators of electricity and natural gas retail markets in France. This Observatory is updated on a Quarterly basis and published on CRE's web site (www.cre.fr). The first part of the report summarises the highlights of the electricity market (situation, market shares, suppliers, sales, dynamic analysis, regulated prices). The natural gas market is detailed in the second part

Retail markets. Electricity and natural gas retail markets Observatory 4. Quarter 2014

International Nuclear Information System (INIS)

2014-12-01

The retail markets Observatory aims to provide general monitoring indicators of electricity and natural gas retail markets in France. This Observatory is updated on a Quarterly basis and published on CRE's web site (www.cre.fr). The first part of the report summarises the highlights of the electricity market (situation, market shares, suppliers, sales, dynamic analysis, regulated prices). The natural gas market is detailed in the second part

Identifying internet marketing principles relevant to generic marketers / Ayesha Lian Bevan-Dye

OpenAIRE

Bevan-Dye, Ayesha Lian

2005-01-01

To deliver the type of marketing graduate that meets industry demand necessitates that marketing curricula content be continuously updated to keep pace with the dynamic marketing environment. One of the major trends influencing the twenty-first century marketing environment is the advent of the Internet and substantial growth in Internet usage and Internet-based commerce. Not only is the Internet driving major marketing environmental change, it is also emerging as a new marketing tool of sign...

Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets

Science.gov (United States)

Wan, Yu-Lei; Xie, Wen-Jie; Gu, Gao-Feng; Jiang, Zhi-Qiang; Chen, Wei; Xiong, Xiong; Zhang, Wei; Zhou, Wei-Xing

2015-01-01

Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders’ short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock markets such as the US markets and most European markets do not set price limits. Here, we perform detailed analyses of the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 to investigate the statistical properties of price limit hits and the dynamical evolution of several important financial variables before stock price hits its limits. We compare the properties of up-limit hits and down-limit hits. We also divide the whole period into three bullish periods and three bearish periods to unveil possible differences during bullish and bearish market states. To uncover the impacts of stock capitalization on price limit hits, we partition all stocks into six portfolios according to their capitalizations on different trading days. We find that the price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets. We find that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits, which has potential practical values for market practitioners. PMID:25874716

Do Markets Mitigate Misperceptions of Feedback?

DEFF Research Database (Denmark)

Kampmann, Christian Erik; Sterman, John D.

2014-01-01

Experimental studies of dynamic decisionmaking generally showpoor performance.Most, however, lack market mechanisms, specifically price setting, while economic theory suggests markets should mitigate individual decision errors. We develop experimental markets to explore whether different price...... rules for each actor; results reject the hypothesis of rationality at the individual level but support behavioral decision rules consistent with bounded rationality. Simulations using the estimated decision rules reproduce key features of market dynamics. Decision timing data and verbal protocols show...

Internal Migration, Regional Labour Market Dynamics and Implications for German East-West Disparities – Results from a Panel VAR

DEFF Research Database (Denmark)

Alecke, Björn; Mitze, Timo; Untiedt, Gerhard

This paper analyses the causal linkages between regional labour market variables and internal migration flows among German states between 1991–2006. We adopt a Panel VAR approach to identify the feedback effects among the variables and analyse the dynamic properties of the system through impulser......This paper analyses the causal linkages between regional labour market variables and internal migration flows among German states between 1991–2006. We adopt a Panel VAR approach to identify the feedback effects among the variables and analyse the dynamic properties of the system through...... impulseresponse functions.We also use the model to track the evolution of the particular East-West migration since re-unification aiming to shed more light on the East German “empirical puzzle”, characterized by lower migration responses than expected from the regional labour market position relative to the West......:That is, along with a second wave of East-West movements around 2001 net flows out of East Germany were much higher than expected after controlling for its weak labour market and macroeconomic performance. Since this second wave is also accompanied by a gradual fading out of economic distortions...

From market games to real-world markets

Science.gov (United States)

Jefferies, P.; Hart, M. L.; Hui, P. M.; Johnson, N. F.

2001-04-01

This paper uses the development of multi-agent market models to present a unified approach to the joint questions of how financial market movements may be simulated, predicted, and hedged against. We first present the results of agent-based market simulations in which traders equipped with simple buy/sell strategies and limited information compete in speculatory trading. We examine the effect of different market clearing mechanisms and show that implementation of a simple Walrasian auction leads to unstable market dynamics. We then show that a more realistic out-of-equilibrium clearing process leads to dynamics that closely resemble real financial movements, with fat-tailed price increments, clustered volatility and high volume autocorrelation. We then show that replacing the `synthetic' price history used by these simulations with data taken from real financial time-series leads to the remarkable result that the agents can collectively learn to identify moments in the market where profit is attainable. Hence on real financial data, the system as a whole can perform better than random. We then employ the formalism of Bouchaud in conjunction with agent based models to show that in general risk cannot be eliminated from trading with these models. We also show that, in the presence of transaction costs, the risk of option writing is greatly increased. This risk, and the costs, can however be reduced through the use of a delta-hedging strategy with modified, time-dependent volatility structure.

THE DYNAMICS OF THE TEXTILE MARKET. ANALYTICAL REFERENCES

Directory of Open Access Journals (Sweden)

Aliona CERNOVA

2013-12-01

Full Text Available During the transition to a market economy, the state of many countries’ economies and the international textile industry face considerable challenges. There are many uncertainties surrounding the global textile market, exacerbated by gloomy predictions that for a decade should have been eliminated, resulting in “free” trade flows. There is no doubt that manufacturers which have created niche markets will be better positioned to compete in the global marketplace and achieve higher margins for products while yielding greater profitability. This paper is an introduction of a reasearch that examines how some textile market niches have evolved. The goal of this paper is research and the role that textile niche markets will play by 2025. Specific objectives are: to give a broad overview of various trade theories, including classical, neo-classical, post-neo-classical, and modern, in order to determine what are the possibilities for development and protection. In particular, emphasis will be focused the special problems, due to the vector exchanges and commercial conjuncture, to illustrate how traditional marketing methods differ from market to market and to examine what role will play niche markets in the textiles industry and textile apparel industry in 2050. The results of this research study will help formulate a business strategy that can be used in market capitalization and will provide a framework for research for textile researchers at a global level.

Competitive marketing strategies: tools for enhancing value in the dynamic world of business

Directory of Open Access Journals (Sweden)

Ph. D. Kehinde Oladele Joseph

2011-05-01

Full Text Available Developing solid competitive marketing strategies in order to contribute towards long-term sustainable success, has become imperative today for every success driven organization. The paper examines a number of Competitive Strategies, whitch have become string tools for enhancing value in the Nigerian Telecommunication industry.Thr objectives of the paper among others are to (iExamine whether there is any relationship between the use ao competitive marketing strategies and business success and(ii Find out whether the various competitive marketing strategies used by Nigerian telecommunication firms have effects on rival companies, among others.The paper uses survey method with two hypotheses stated in the null form, with structured questionnaire,which were,distributed among the sampled respondents who are secondary school teachers in Lagos, Ogun, and Oyo states of Nigeria.Results were analyzed with the aid of correlation test statistics.Findings show that there is significant positive relationship between the use of competitive Marketing Strategies and Business Success.Finding also reveals that the various Competitive Strategiea used by players have effects on other competitors. The paper makesvarious policy recommendtions,which operators in the Nigerian Telecomunication Industry will find useful, if faithfully implemented. These include the need for firms to constantly engage in research to meet the changing needs of their esteemed Customers. Companies must identify where they could have competitive advantage over their Competitors and that Companies must render quality Service and try to constantly improve their offers in the face of changing market Dynamics, amongst others.

DNA fingerprinting in botany: past, present, future

OpenAIRE

Nybom, Hilde; Weising, Kurt; Rotter, Björn

2014-01-01

Almost three decades ago Alec Jeffreys published his seminal Nature papers on the use of minisatellite probes for DNA fingerprinting of humans (Jeffreys and colleagues Nature 1985, 314:67–73 and Nature 1985, 316:76–79). The new technology was soon adopted for many other organisms including plants, and when Hilde Nybom, Kurt Weising and Alec Jeffreys first met at the very First International Conference on DNA Fingerprinting in Berne, Switzerland, in 1990, everybody was enthusiastic about the n...

Stock market modeling and forecasting a system adaptation approach

CERN Document Server

Zheng, Xiaolian

2013-01-01

Stock Market Modeling translates experience in system adaptation gained in an engineering context to the modeling of financial markets with a view to improving the capture and understanding of market dynamics. The modeling process is considered as identifying a dynamic system in which a real stock market is treated as an unknown plant and the identification model proposed is tuned by feedback of the matching error. Like a physical system, a stock market exhibits fast and slow dynamics corresponding to internal (such as company value and profitability) and external forces (such as investor sentiment and commodity prices) respectively. The framework presented here, consisting of an internal model and an adaptive filter, is successful at considering both fast and slow market dynamics. A double selection method is efficacious in identifying input factors influential in market movements, revealing them to be both frequency- and market-dependent.   The authors present work on both developed and developing markets ...

Dynamics of the Asia-Pacific oil market

International Nuclear Information System (INIS)

Yamaguchi, N.D.

1996-01-01

The Asia-Pacific could become the world's largest oil market with an estimated 10 million b/d new demand by 2010. At the same time less Asian crude will be available for the world market. Refinery expansion is likely to be insufficient and imports of refined products will rise. The Asia-Pacific market could be the world's largest middle distillate importer and a major centre of trade for essentially every other petroleum product and form of commercial energy. (Author)

Long-term dynamics of investment decisions in electricity markets with variable renewables development and adequacy objectives

International Nuclear Information System (INIS)

Petitet, Marie

2016-01-01

In liberalised electricity systems, power markets are expected to ensure the long-term coordination of investments in order to guarantee security of supply, sustainability and competitiveness. In the reference energy-only market, it relies on the ability of power markets - where the hourly price is aligned with the marginal cost of the system - to provide an adequate price-signal for investors. However, in practice, questions have been raised about its ability to trigger investments in Low-Carbon Technologies (LCT) including in particular Renewable Energy Sources of Electricity (RES-E), and its ability to ensure capacity adequacy. After a characterisation of these market failures, this dissertation tackles the two research topics within a methodological framework based on a System Dynamics model developed to simulate private investment decisions in power markets. First, the results show that substituting out-of-market support mechanisms for RES-E by market-based investments helped by the sole implementation of a carbon price appears as a feasible solution to trigger RES-E development providing that there is a political commitment on a high carbon price. Second, it also appears that the energy-only market with price cap is ineffective to ensure capacity adequacy in a context of mature markets with conventional thermal power plants under transition paths which involve a stable electricity demand thank to energy efficiency efforts and the exogenous development of RES-E thanks to support mechanisms in the absence of a high and fixed carbon price. Adding a capacity market or removing the price cap both bring benefits in terms of Loss Of Load Expectation (LOLE) and social welfare. Moreover, considering two various energy transition scenarios and different assumptions about the risk aversion of private investors, the capacity market is identified as the best option for regulators among the considered market designs. (author) [fr

The Price and Volatility Dynamics in the Swedish-Norwegian Renewable Electricity Certificate MarketA Study of Spillover Effects and Regulatory changes

OpenAIRE

Finell, Philip; Hiller, Maria

2016-01-01

The market for renewable electricity certificates (REC) is the primary support system for renewable energy in Sweden and Norway. Regulatory uncertainty and equity markets have previously been proven to impact the volatility of the REC spot contract. As policy makers, renewable electricity investors and other stakeholders aim for profitability and efficient regulation, additional insights of the dynamics in the  REC market is needed. This study examines regulatory uncertainty on both REC spot ...

Intraday price dynamics in spot and derivatives markets

Science.gov (United States)

Kim, Jun Sik; Ryu, Doojin

2014-01-01

This study examines intraday relationships among the spot index, index futures, and the implied volatility index based on the VAR(1)-asymmetric BEKK-MGARCH model. Analysis of a high-frequency dataset from the Korean financial market confirms that there is a strong intraday market linkage between the spot index, KOSPI200 futures, and VKOSPI and that asymmetric volatility behaviour is clearly present in the Korean market. The empirical results indicate that the futures return shock affects the spot market more severely than the spot return shock affects the futures market, though there is a bi-directional causal relationship between the spot and futures markets. Our results, based on a high-quality intraday dataset, satisfy both the positive risk-return relationship and asymmetric volatility effect, which are not reconciled in the frameworks of previous studies.

Estimating Phenomenological Parameters in Multi-Assets Markets

Science.gov (United States)

Raffaelli, Giacomo; Marsili, Matteo

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

Profit maximization algorithms for utility companies in an oligopolistic energy market with dynamic prices and intelligent users

Directory of Open Access Journals (Sweden)

Tiansong Cui

2016-01-01

Full Text Available Dynamic energy pricing provides a promising solution for the utility companies to incentivize energy users to perform demand side management in order to minimize their electric bills. Moreover, the emerging decentralized smart grid, which is a likely infrastructure scenario for future electrical power networks, allows energy consumers to select their energy provider from among multiple utility companies in any billing period. This paper thus starts by considering an oligopolistic energy market with multiple non-cooperative (competitive utility companies, and addresses the problem of determining dynamic energy prices for every utility company in this market based on a modified Bertrand Competition Model of user behaviors. Two methods of dynamic energy pricing are proposed for a utility company to maximize its total profit. The first method finds the greatest lower bound on the total profit that can be achieved by the utility company, whereas the second method finds the best response of a utility company to dynamic pricing policies that the other companies have adopted in previous billing periods. To exploit the advantages of each method while compensating their shortcomings, an adaptive dynamic pricing policy is proposed based on a machine learning technique, which finds a good balance between invocations of the two aforesaid methods. Experimental results show that the adaptive policy results in consistently high profit for the utility company no matter what policies are employed by the other companies.

Optimal Market Design

NARCIS (Netherlands)

Boone, J.; Goeree, J.K.

2010-01-01

This paper introduces three methodological advances to study the optimal design of static and dynamic markets. First, we apply a mechanism design approach to characterize all incentive-compatible market equilibria. Second, we conduct a normative analysis, i.e. we evaluate alternative competition and

THE CHARACTERISTICS OF THE DAIRY MARKET OF UKRAINE IN TERMS OF THE MARKETING APPROACH

Directory of Open Access Journals (Sweden)

A. Masliukivska

2014-09-01

Full Text Available The paper studies the structure and the dynamics of the dairy market of Ukraine in terms of marketing. The study exposes the key players of the market, the level of competition between them and the target segments of the consumers.

FEATURES OF MARKETING POLICY OF THE COMPANIES IN THE MARKET OF CONSULTING SERVICES

Directory of Open Access Journals (Sweden)

Timur A. Tultaev

2013-01-01

Full Text Available Dynamic development of the market of consulting services against progressing competitive fight promoted strengthening of a role of marketing in the activity of the consultant companies. The given article is devoted to the analysis of marketing policy and features of its application in consulting business.

Impact of unexpected events, shocking news, and rumors on foreign exchange market dynamics

Science.gov (United States)

McDonald, Mark; Suleman, Omer; Williams, Stacy; Howison, Sam; Johnson, Neil F.

2008-04-01

The dynamical response of a population of interconnected objects, when exposed to external perturbations, is of great interest to physicists working on complex systems. Here we focus on human systems, by analyzing the dynamical response of the world’s financial community to various types of unexpected events—including the 9/11 terrorist attacks as they unfolded on a minute-by-minute basis. For the unfolding events of 9/11, our results show that there was a gradual collective understanding of what was happening, rather than an immediate realization. More generally, we find that for news items which are not simple economic statements—and hence whose implications for the market are not immediately obvious—there are periods of collective discovery during which opinions seem to vary in a remarkably synchronized way.

Market restructuring and public incentives: the Turkish case of fresh produce marketing cooperatives

OpenAIRE

Lemeilleur, Sylvaine; Bignebat, Celine; Codron, Jean Marie; Humboldt University of Berlin

2006-01-01

Faced to the fast restructuring agrofood markets in Turkey, the Turkish State set up new institutional devices to support agricultural marketing cooperatives. This article analyses the dynamics of these public incentives towards producers’ organizations on the restructuration of the Turkish fresh fruit and vegetable market. The wholesale market law enacted 1995 established brokers on wholesale market halls who collected an atomized supply and guarantee the access of small producers to large s...

Competitive Dynamics of Market Entry: Scale and Survival

Directory of Open Access Journals (Sweden)

John W. UPSON

2017-06-01

Full Text Available Market entry is the essence of strategy and is largely viewed as a dichotomous event: entry or no entry. What has not been acknowledged is the uniqueness of each market entry. Our study highlights the scale of market entry in the context of multipoint competition. We assert that entry scale varies based on the risk of market incumbent retaliation. Theory suggests that when risk associated with retaliation are low, firms enter with large scale and when associated risks are high, firms enter with low scale. Further, survival is viewed as dependent on following theory. We argue and find supporting evidence that firms behave in the opposite manner and do so to their own benefit, thereby revealing a unique discrepancy between theory and practice among 75 product market entries by 27 firms.

Quantum Bohmian model for financial market

Science.gov (United States)

Choustova, Olga Al.

2007-01-01

We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. The Hamiltonian formalism on the price/price-change phase space describes the classical-like evolution of prices. This classical dynamics of prices is determined by “hard” conditions (natural resources, industrial production, services and so on). These conditions are mathematically described by the classical financial potential V(q), where q=(q1,…,qn) is the vector of prices of various shares. But the information exchange and market psychology play important (and sometimes determining) role in price dynamics. We propose to describe such behavioral financial factors by using the pilot wave (Bohmian) model of quantum mechanics. The theory of financial behavioral waves takes into account the market psychology. The real trajectories of prices are determined (through the financial analogue of the second Newton law) by two financial potentials: classical-like V(q) (“hard” market conditions) and quantum-like U(q) (behavioral market conditions).

Value-Chain Dynamics of the West Point Foundry, 1817-1911: A Historical Case Analysis in Marketing

Science.gov (United States)

Petkus, Ed, Jr.

2013-01-01

This case provides the opportunity for students to explore marketing and value/supply-chain dynamics in a unique historical context. The West Point Foundry (WPF), located in Cold Spring, New York, was one of the most important manufacturing ventures in the United States from 1817 to 1911. The case outlines the supply-chain details of the WPF as…

First principles, market failures and endogenous obsolescence: the dynamic approach to capacity mechanisms

International Nuclear Information System (INIS)

Keppler, Jan Horst

2014-11-01

The theoretical benchmark model arguing that competitive energy-only markets with VOLL pricing can provide sufficient levels of capacity is a coherent starting point also for discussions about capacity remuneration mechanisms (CRMs). Two types of market imperfection, both stemming from the non-storability of electricity and the resultant inelasticity of demand, however require qualification of the benchmark model and can justify CRMs. The first type of market imperfection relates to the existence of security-of-supply externalities as involuntary curbs on demand under VOLL-pricing create disutility beyond the private non-consumption of electricity. In interconnected economies, utility does not only depend on individual electricity consumption but also on the smooth consumption of others. These externalities are captured in the difference between voluntary and involuntary demand response. The second type of market imperfection relates to the asymmetric incentives for investors under imperfect information. Due to the inelasticity of demand and the lumpiness of generating equipment, investors in markets for non-storable goods will err on the side of caution, under-investing at the margin rather than over-investing. There exists thus not an intrinsic, general case but a time- and context-specific case for CRMs depending on the shape of the load-curve, the elasticity of demand and the availability of flexibility resources. The choice of mechanism will depend on the number of hours of potential capacity short-falls and the resulting capital-intensity of the technologies most apt to respond to them. Most importantly, well-designed CRMs will set in motion the very structural dynamics towards more elastic demand, a development that might one day make them obsolete and render the theoretical benchmark model applicable again. CRMs thus require transparent and pre-announced review mechanisms at regular intervals. (authors)

Marketization Revisited

DEFF Research Database (Denmark)

Hansen, Morten Balle; Lindholst, Andrej Christian

2016-01-01

out; Benchmarking and yardstick competition; and Public-Private collaboration. On the basis of the review of the seven articles, it is found that all elements in all marketization models are firmly embedded but also under dynamic change within public service delivery systems. The review also......Purpose: The purpose of this introduction article to the IJPSM special issue on marketization is to clarify the conceptual foundations of marketization as a phenomenon within the public sector and to gauge current marketization trends on the basis of the seven articles in the special issue. Design....../methodology/approach: Conceptual clarification and cross-cutting review of seven articles analysing marketization in six countries in three policy areas at the level of local government. Findings: Four ideal-type models are deduced: Quasi-markets, involving both provider competition and free choice for users; Classic contracting...

On the Design of Artificial Stock Markets

NARCIS (Netherlands)

K. Boer-Sorban (Katalin); A. de Bruin (Arie); U. Kaymak (Uzay)

2005-01-01

textabstractArtificial stock markets are designed with the aim to study and understand market dynamics by representing (part of) real stock markets. Since there is a large variety of real stock markets with several partially observable elements and hidden processes, artificial markets differ

Strategic Marketing in Tourism

OpenAIRE

Silvia Muhcina; Brailoiu Liviu

2012-01-01

Tourism is a very dynamic economic sector because is very depended of environmental changes, especially now, when the global economy pass through successive crises. For the competitive organizations, the success means to transform their specific activity in a more market oriented business. The objectives of any organization must be fixed going from a better understanding of the markets. Strategic marketing means to know and analyze the consumers’ needs and the market which organization refers...

Market liquidity and financial stability.

OpenAIRE

Crockett, A.

2008-01-01

Stability in financial institutions and in financial markets are closely intertwined. Banks and other financial institutions need liquid markets through which to conduct risk management. And markets need the back-up liquidity lines provided by financial institutions. Market liquidity depends not only on objective, exogenous factors, but also on endogenous market dynamics. Central banks responsible for systemic stability need to consider how far their traditional responsibility for the health ...

Dynamics of risk management tools and auctions in the second phase of the Brazilian Electricity Market reform

International Nuclear Information System (INIS)

De Souza, Fabio Cavaliere; Legey, Luiz Fernando Loureiro

2010-01-01

In 2004, the reform of the Brazilian Electricity Market underwent a thorough revision. One of its causes was the electricity rationing that began in June 2001 and lasted until February 2002. Among other measures, the 2004 revision devised new mechanisms intended to reduce risks associated to contracts settled in electricity auctions and those related to investments in new generation plants. As 4 years have passed since the onset of the reform's revision, sufficiently enough data are now available for an analysis of the post-revision dynamics of the Brazilian Electricity Market. This is the purpose of the present paper. We focus on the dynamics of the different types of electricity auctions and on the so-called Mechanism for Compensation of Surpluses and Deficits, both created in the wake of the 2004 revision. The ultimate goal is to understand the behavior of the agents involved in auctions - notably buyers and sellers of electricity - and propose remedial actions to eliminate existing loopholes in the present regulatory framework. To achieve this goal, four steps were necessary. Firstly, a data base to support the analysis was built. Then, the main drivers of the dynamics of the risk management tools were identified. Finally, consequences of the implemented changes were discussed and corrections for observed pitfalls proposed. (author)

Carbon auctions, energy markets and market power: An experimental analysis

International Nuclear Information System (INIS)

Dormady, Noah C.

2014-01-01

This paper provides an experimental analysis of a simultaneous energy-emissions market under conditions of market power. The experimental design employs real-world institutional features; including stochastic demand, permit banking, inter-temporal (multi-round) dynamics, a tightening cap, and resale. The results suggest that dominant firms can utilize energy-emissions market linkages to simultaneously inflate the price of energy and suppress the price of emissions allowances. Whereas under prior market designs, regulators were concerned with dominant firms exercising their market power over the emissions market to exclude rivals and manipulate the permit market by hoarding permits; the results of this paper suggest that this strategy is less profitable to dominant firms in contemporary auction-based markets than strategic capacity withholding in the energy market and associated demand reduction in the emissions market. - Highlights: • Laboratory simulation of joint energy-emissions market. • Evaluates market power under collusion and real-world institutional features. • Dominant firms can exercise market power to inflate energy prices. • Dominant firms can exercise market power to suppress emissions prices. • Supply withholding is an implicit demand reduction in the emissions market

Pharmaceutical market access in emerging markets: concepts, components, and future.

Science.gov (United States)

Kumar, Anuj; Juluru, Karthaveerya; Thimmaraju, Phani Kishore; Reddy, Jayachandra; Patil, Anand

2014-01-01

This article intends to consolidate the concepts of pharmaceutical market access and highlight its growing importance in emerging markets. Market access has gained considerable attention worldwide as countries try to contain their escalating healthcare expenditures amidst the global economic slowdown. This has resulted in governments adopting stricter measures for new product approval. Thus, pharmaceutical companies are finding it increasingly difficult to successfully address the specific challenges posed by various government and regulatory agencies and stakeholders. There is an increasing need to establish market access functions, especially in emerging markets, where the complex, dynamic healthcare landscape confounds product approval and uptake. Moreover, emerging markets are the engines of growth today, and, thus, performing in these markets is critical for the majority of pharmaceutical companies. To address the challenges posed by regulatory agencies and diverse stakeholders, a customized market access strategy is the need of the hour. A market access framework with specific tools and tactics will help companies to plan, implement, and monitor stakeholder engagement activities.

Impact of the implementation of rest days in live bird markets on the dynamics of H5N1 highly pathogenic avian influenza.

Science.gov (United States)

Fournié, G; Guitian, F J; Mangtani, P; Ghani, A C

2011-08-07

Live bird markets (LBMs) act as a network 'hub' and potential reservoir of infection for domestic poultry. They may therefore be responsible for sustaining H5N1 highly pathogenic avian influenza (HPAI) virus circulation within the poultry sector, and thus a suitable target for implementing control strategies. We developed a stochastic transmission model to understand how market functioning impacts on the transmission dynamics. We then investigated the potential for rest days-periods during which markets are emptied and disinfected-to modulate the dynamics of H5N1 HPAI within the poultry sector using a stochastic meta-population model. Our results suggest that under plausible parameter scenarios, HPAI H5N1 could be sustained silently within LBMs with the time spent by poultry in markets and the frequency of introduction of new susceptible birds' dominant factors determining sustained silent spread. Compared with interventions applied in farms (i.e. stamping out, vaccination), our model shows that frequent rest days are an effective means to reduce HPAI transmission. Furthermore, our model predicts that full market closure would be only slightly more effective than rest days to reduce transmission. Strategies applied within markets could thus help to control transmission of the disease.

Marketing small animal theriogenology services--one perspective.

Science.gov (United States)

Barber, J A

2007-08-01

Once a decision is made to add small animal theriogenology services to a practice, marketing strategies must be developed and implemented to attract clients to the new services. Marketing strategies for the niche market of theriogenology include start-up marketing methods, referral programs, internal marketing, and continued marketing. Marketing theriogenology services is a dynamic, ongoing process that never ends.

The study of dynamic process of the triopoly games in chinese 3G telecommunication market

Energy Technology Data Exchange (ETDEWEB)

Chen Fang; Ma Junhai [Management Science and Project Department, School of Management, Tianjin university, Tianjin 300072 (China); Chen Xiaoqiang [Department of Agronomy, Tianjin Agricultural University, Tianjin 300384 (China)], E-mail: avonchen@126.com

2009-11-15

At first, the paper described a brief history of communication in China. In 2008, the third generation (3G) telecommunication technologies began to develop. In Chinese 3G telecommunication market, there are three oligopolistic competitors. In order to study competing process of the triopoly, the paper considered a Bertrand model with bounded rational. A triopoly game is modeled by three nonlinear difference equations. By using the theory of bifurcations of dynamical systems, the existence and stability for the equilibria of this system were obtained. Numerical simulations were used to show bifurcations diagrams, the maximum Lyapunov exponent and sensitive dependence on initial conditions. We observed that increasing the speed of adjustment of bounded rational player might change the stability of Nash equilibrium point and cause bifurcation and chaos to occur. Thus, it will be difficult to make strategy and to forecast for each enterprise. It might cause the telecom markets to be irregular. The analysis and results in this paper are important for Chinese telecommunication markets, the same to mathematics.

The study of dynamic process of the triopoly games in chinese 3G telecommunication market

International Nuclear Information System (INIS)

Chen Fang; Ma Junhai; Chen Xiaoqiang

2009-01-01

At first, the paper described a brief history of communication in China. In 2008, the third generation (3G) telecommunication technologies began to develop. In Chinese 3G telecommunication market, there are three oligopolistic competitors. In order to study competing process of the triopoly, the paper considered a Bertrand model with bounded rational. A triopoly game is modeled by three nonlinear difference equations. By using the theory of bifurcations of dynamical systems, the existence and stability for the equilibria of this system were obtained. Numerical simulations were used to show bifurcations diagrams, the maximum Lyapunov exponent and sensitive dependence on initial conditions. We observed that increasing the speed of adjustment of bounded rational player might change the stability of Nash equilibrium point and cause bifurcation and chaos to occur. Thus, it will be difficult to make strategy and to forecast for each enterprise. It might cause the telecom markets to be irregular. The analysis and results in this paper are important for Chinese telecommunication markets, the same to mathematics.

Childbearing dynamics of couples in a universalistic welfare state: The role of labor-market status, country of origin, and gender

Directory of Open Access Journals (Sweden)

Kirk Scott

2007-12-01

Full Text Available This article studies childbearing dynamics by labor-market status of co-residing parents in Sweden. We apply event-history techniques to longitudinal register data on the life histories of foreign-born mothers from ten different countries and the partners to these women, as well as to a sample of Swedish-born mothers and their partners. The context is a universalistic welfare state geared towards gender and social equality where formal social rights are largely independent of a person's civil status, citizenship, and country of origin. We investigate the extent to which the associations of parents' labor-market status with childbearing in Sweden differ between women and men and by country of origin. We find that the patterns of association are fairly similar on both of these individual dimensions. As measured by the way the labor-market activity of parents is related to their subsequent childbearing, we find evidence of equality by gender and at least some evidence of integration of immigrants into the dynamics of Swedish society.

Marketing Analysis of Public Catering Market in Russia: District, Regional, and Segment Aspects

Directory of Open Access Journals (Sweden)

Daniil Petrovich Frolov

2015-12-01

Full Text Available The market of public catering is an important element of the national economy which has been dynamically developing. As in any other country, Russian citizens spend some part of their income on eating out, however, this part is rather small (for example, according to official statistics as of 2005, the average resident of Russia spent 9.5 times less money on catering than the resident of the US, and 4 times less than the German resident. This gap as well as significant differences in the degree of individual business development in different regions, testify to the enormous prospects of this market both in quantitative and geographic, and qualitative aspect. According to the expert opinion, the current macroeconomic situation unfavorable for many sectors of the economy can become a driver for the growth of the catering market, to be exact – for the fast food segment, which in the previous crisis of 2008-2009 showed a positive dynamics and opened up new opportunities for business. In this article we investigated the dynamics of the catering market development, and evaluated the contribution of the industry to Russian GDP. We studied the regional market conditions in the context of districts, regions and socio-economic indicators, such as the turnover of catering, the number of enterprises, the number of seats, and the area of cafes. The article describes the method of classifying the catering enterprises, highlights the specific features of the Russian market and the structure of the largest network companies. We studied the expert opinions regarding the medium-term development of the industry, the market trend of eating out and the possible fundamental changes associated with an increase in the quality of business processes, service and marketing communications.

Overview of the U.S. northeast market

International Nuclear Information System (INIS)

Oliver, W.

1998-01-01

The focus of this presentation was the natural gas market in the northeastern United States. Topics addressed included: gas market requirements, gas transportation proposals, and market pricing dynamics. figs

E-Based Market Intelligence. A management information system for the market for energy-efficient buildings; E-Based Market Intelligence. Ein Managementinformationssystem zum Markt fuer energieeffizientes Bauen

Energy Technology Data Exchange (ETDEWEB)

Kaiser, Iris

2012-11-01

The dynamics of market trends is ever-increasing; in consequence, it is getting increasingly difficult to recognize market structures and forecast trends in the markets. Misinterpretations will often lead to wrong strategic decisions, and business chances will be lost if market potentials are not recognized. The publication uses the example of the market for energy-efficient buildings to show how market intellegence, i.e. relevant knowledge about markets, can be developed with free data obtained in the internet and used intelligently.

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.

Financial Symmetry and Moods in the Market

Science.gov (United States)

Savona, Roberto; Soumare, Maxence; Andersen, Jørgen Vitting

2015-01-01

This paper studies how certain speculative transitions in financial markets can be ascribed to a symmetry break that happens in the collective decision making. Investors are assumed to be bounded rational, using a limited set of information including past price history and expectation on future dividends. Investment strategies are dynamically changed based on realized returns within a game theoretical scheme with Nash equilibria. In such a setting, markets behave as complex systems whose payoff reflect an intrinsic financial symmetry that guarantees equilibrium in price dynamics (fundamentalist state) until the symmetry is broken leading to bubble or anti-bubble scenarios (speculative state). We model such two-phase transition in a micro-to-macro scheme through a Ginzburg-Landau-based power expansion leading to a market temperature parameter which modulates the state transitions in the market. Via simulations we prove that transitions in the market price dynamics can be phenomenologically explained by the number of traders, the number of strategies and amount of information used by agents, all included in our market temperature parameter. PMID:25856392

Financial symmetry and moods in the market.

Directory of Open Access Journals (Sweden)

Roberto Savona

Full Text Available This paper studies how certain speculative transitions in financial markets can be ascribed to a symmetry break that happens in the collective decision making. Investors are assumed to be bounded rational, using a limited set of information including past price history and expectation on future dividends. Investment strategies are dynamically changed based on realized returns within a game theoretical scheme with Nash equilibria. In such a setting, markets behave as complex systems whose payoff reflect an intrinsic financial symmetry that guarantees equilibrium in price dynamics (fundamentalist state until the symmetry is broken leading to bubble or anti-bubble scenarios (speculative state. We model such two-phase transition in a micro-to-macro scheme through a Ginzburg-Landau-based power expansion leading to a market temperature parameter which modulates the state transitions in the market. Via simulations we prove that transitions in the market price dynamics can be phenomenologically explained by the number of traders, the number of strategies and amount of information used by agents, all included in our market temperature parameter.

Social Media Marketing

DEFF Research Database (Denmark)

Hollensen, Svend; Raman, Anthony

2014-01-01

Social media marketing can be understood as a group of Internet-based applications that build on the foundations of Web 2.0 and that then allows the creation and exchange of ‘User Generated Content’. In the ‘Bowling’ marketing world, marketers target certain customer groups and send out...... this is a very direct one-way communication approach. In a social media marketing world, the bowling metaphor does not fit anymore. On this arena marketing can be better described as playing “Pinball”: Companies serve up a “marketing ball” (brands and brand-building messages) into a dynamic and chaotic market...... environment. The “marketing ball” is then diverted and often accelerated by social media “bumpers”, which change the ball’s course in chaotic ways. Occasionally, the marketing ball will come back to the company. At this point, the firm (brand) has to use the flippers to interact and throw it back...

Information Cost, Memory Length and Market Instability.

Science.gov (United States)

Diks, Cees; Li, Xindan; Wu, Chengyao

2018-07-01

In this article, we study the instability of a stock market with a modified version of Diks and Dindo's (2008) model where the market is characterized by nonlinear interactions between informed traders and uninformed traders. In the interaction of heterogeneous agents, we replace the replicator dynamics for the fractions by logistic strategy switching. This modification makes the model more suitable for describing realistic price dynamics, as well as more robust with respect to parameter changes. One goal of our paper is to use this model to explore if the arrival of new information (news) and investor behavior have an effect on market instability. A second, related, goal is to study the way markets absorb new information, especially when the market is unstable and the price is far from being fully informative. We find that the dynamics become locally unstable and prices may deviate far from the fundamental price, routing to chaos through bifurcation, with increasing information costs or decreasing memory length of the uninformed traders.

Age-specific labor market dynamics

NARCIS (Netherlands)

Gielen, A. C.

2008-01-01

One important finding concerns the fact that job separations for older workers constitute mostly a one-way exit out of the labor force, despite the fact that an ageing society calls for an active labor market participation from us all. Also, the allocation of labor for younger workers has shown to

Electricity and gas market observatory. 2. Quarter 2008

International Nuclear Information System (INIS)

2008-01-01

The purpose of the observatory is to provide the general public with indicators for monitoring market deregulation. It both covers the wholesale and retail electricity and gas markets in Metropolitan France. This observatory is updated every three months and data are available on CRE web site (www.cre.fr). Since the 1 of July 2007, all customers can choose their gas and electricity suppliers. Content: A - The electricity market: The retail electricity market (Introduction, Customer segments and their respective weight, Status at June 30, 2008, Dynamic analysis: 2. Quarter 2008); The wholesale electricity market (Introduction, Wholesale market activity in France, Prices on the French wholesale market and European comparison, Import and export volumes, Concentration of the French electricity market); B - The gas market: The retail gas market (Introduction, Customer segments and their respective weight, Status on June 30, 2008, Dynamic analysis: 2. Quarter 2008); The wholesale gas market (Gas pricing and gas markets in Europe, The wholesale market in France); C - Appendices: Electricity and gas market observatories combined glossary, Specific electricity market observatory glossary, Specific gas market observatory glossary

Canadian natural gas market dynamics and pricing : an update

International Nuclear Information System (INIS)

2002-10-01

This energy market assessment (EMA) report discusses natural gas price formation and describes the current functioning of regional gas markets in Canada. This EMA also describes the factors affecting the price of natural gas in Canada and examines natural gas markets on a region-by region basis. It is shown that as part of an integrated North American market, prices of natural gas in Canada reflect supply and demand factors in both Canada and the United States. During the low oil price period of 1997/1998, high demand for natural gas outpaced the supply because of low drilling and production activity by producers. In response to the increased demand and lower levels of supply, the price of natural gas increased significantly in 1999 and 2000. This was followed by a period of market adjustment. The importance of electronic trading systems for enhancing price discovery was also discussed with reference to how spot and futures markets allow market participants to manage price volatility. It was determined that Canadians have had access to natural gas on terms and conditions equal to export customers, and at equal pricing. In early November 2000, natural gas prices in North American began to rise due to low levels of natural gas in storage. The price shocks were felt unevenly across the North American market. In response to the high prices, consumers conserved energy use, and many industrial users switched to cheaper fuels. By the spring 2001, demand continued to decrease at a time when production was high. These factors contributed to the downward pressure on gas prices. This EMA discusses the structure of market transactions and market adjustment mechanisms. It is presented in the context of the approaching 2002/2003 winter season where the tightening between natural gas supply and demand is expected to result in price volatility. 28 figs

Market Integration Dynamics and Asymptotic Price Convergence in Distribution

NARCIS (Netherlands)

A. García-Hiernaux (Alfredo); D.E. Guerrero (David); M.J. McAleer (Michael)

2013-01-01

textabstractIn this paper we analyse the market integration process of the relative price distribution, develop a model to analyze market integration, and present a formal test of increasing market integration. We distinguish between the economic concepts of price convergence in mean and in

Eroding market stability by proliferation of financial instruments

Science.gov (United States)

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

2009-10-01

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

Market Integration Dynamics and Asymptotic Price Convergence in Distribution

NARCIS (Netherlands)

A. García-Hiernaux (Alfredo); D.E. Guerrero (David); M.J. McAleer (Michael)

2015-01-01

textabstractThis paper analyzes the market integration process of nominal prices, develops a model to analyze market integration, and presents a test of increasing market integration. A distinction is made between the economic concepts of price conver- gence in mean and variance. When both types of

A Two-Stage Method to Determine Optimal Product Sampling considering Dynamic Potential Market

Science.gov (United States)

Hu, Zhineng; Lu, Wei; Han, Bing

2015-01-01

This paper develops an optimization model for the diffusion effects of free samples under dynamic changes in potential market based on the characteristics of independent product and presents a two-stage method to figure out the sampling level. The impact analysis of the key factors on the sampling level shows that the increase of the external coefficient or internal coefficient has a negative influence on the sampling level. And the changing rate of the potential market has no significant influence on the sampling level whereas the repeat purchase has a positive one. Using logistic analysis and regression analysis, the global sensitivity analysis gives a whole analysis of the interaction of all parameters, which provides a two-stage method to estimate the impact of the relevant parameters in the case of inaccuracy of the parameters and to be able to construct a 95% confidence interval for the predicted sampling level. Finally, the paper provides the operational steps to improve the accuracy of the parameter estimation and an innovational way to estimate the sampling level. PMID:25821847

Dynamic simulation of combined cycle power plant cycling in the electricity market

International Nuclear Information System (INIS)

Benato, A.; Bracco, S.; Stoppato, A.; Mirandola, A.

2016-01-01

Highlights: • The flexibility of traditional power plants have become of primary importance. • Three dynamic models of the same single pressure HRSG are built. • The plant dynamic behaviour is predicted. • A lifetime calculation procedure is proposed and tested. • The drum lifetime reduction is estimated. - Abstract: The energy markets deregulation coupled with the rapid spread of unpredictable energy sources power units are stressing the necessity of improving traditional power plants flexibility. Cyclic operation guarantees high profits in the short term but, in the medium-long time, cause a lifetime reduction due to thermo-mechanical fatigue, creep and corrosion. In this context, Combined Cycle Power Plants are the most concerned in flexible operation problems. For this reason, two research groups from two Italian universities have developed a procedure to estimate the devices lifetime reduction with a particular focus on steam drums and superheaters/reheaters. To assess the lifetime reduction, it is essential to predict the thermodynamic variables trend in order to describe the plant behaviour. Therefore, the core of the procedure is the power plant dynamic model. At this purpose, in this paper, three different dynamic models of the same single pressure Combined Cycle Gas Turbine are presented. The models have been built using three different approaches and are used to simulate plant behaviour under real operating conditions. Despite these differences, the thermodynamic parameters time profiles are in good accordance as presented in the paper. At last, an evaluation of the drum lifetime reduction is performed.

The Empirical Analysis of the Dynamic Prices Relationship between Cotton Spot Market and Futures Market in Xinjiang

Institute of Scientific and Technical Information of China (English)

2011-01-01

The thesis analyzes the causal relationship between the cotton spot,and the tendency and impact of prices of futures markets in Xinjiang by using ADF test,co-integration analysis,Granger causality test and other econometric methods in order to discuss the interacted relationship between futures market prices of cotton and spot market prices since the futures of cotton in Xinjiang go public.The results of empirical analysis show that the spot market prices of cotton and the futures market prices in Xinjiang fluctuate prominently in the short run and tend to counterpoise in the long run;the futures market of cotton plays the role of leading the spot market prices of cotton in Xinjiang,while the spot market prices of cotton in Xinjiang impacts little on the futures market prices.The corresponding countermeasures are put forward.The government should continuously perfect the construction of the futures market of cotton in Xinjiang,so as to exert the function of price discovery and the function of hedging,and promote the development of cotton industry in Xinjiang.

Electricity and gas market observatory. 4. Quarter 2008

International Nuclear Information System (INIS)

2008-01-01

The purpose of the observatory is to provide the general public with indicators for monitoring market deregulation. It both covers the wholesale and retail electricity and gas markets in Metropolitan France. This observatory is updated every three months and data are available on CRE web site (www.cre.fr). Since the 1 of July 2007, all customers can choose their gas and electricity suppliers. Content: A - The electricity market: The retail electricity market (Introduction, Customer segments and their respective weight, Status on December 31, 2008, Dynamic analysis: 4. Quarter 2008); The wholesale electricity market (Introduction, Wholesale market activity in France, Prices on the French wholesale market and European comparison, Import and export volumes, Concentration of the French electricity market); B - The gas market: The retail gas market (Introduction, Customer segments and their respective weight, Status on December 31, 2008, Dynamic analysis: 4. Quarter 2008); The wholesale gas market (Gas pricing and gas markets in Europe, The wholesale market in France, Prices on the French wholesale market and European comparison, Concentration of the French gas market); C - Appendices: Electricity and gas market observatories combined glossary, Specific electricity market observatory glossary, Specific gas market observatory glossary

Collective farmers marketing inititatives, Diversity, Contextuality and Dynamics

NARCIS (Netherlands)

Renting, H.; Schermer, M.; Oostindië, H.A.

2011-01-01

Collective action by farmers has played an important role in the history of European agriculture. During the twentieth century, the foundation of agricultural marketing co-operatives contributed in many countries to better market access, increased farm incomes and rural employment. However, European

Modularity in New Market Formation

DEFF Research Database (Denmark)

Sanchez, Ron; Hang, Chang Chieh

2017-01-01

In this paper we appraise the ways in which use of closed-system proprietary product architectures versus open-system modular product architectures is likely to influence the dynamics and trajectory of new product market formation. We compare the evolutions of new markets in China for gas......-powered two-wheeled vehicles (G2WVs) based (initially) on closed-system proprietary architectures and for electric-powered two-wheeled vehicles (E2WVs) based on open-system modular architectures. We draw on this comparison to suggest ways in which the use of the two different kinds of architectures...... as the basis for new kinds of products may result in very different patterns and speeds of new market formation. We then suggest some key implications of the different dynamics of market formation associated with open-system modular architectures for both the competence-based strategic management (CBSM...

Electricity and gas market observatory. 3. Quarter 2007

International Nuclear Information System (INIS)

2007-01-01

The purpose of the observatory is to provide the general public with indicators for monitoring market deregulation. It both covers the wholesale and retail electricity and gas markets in Metropolitan France. This observatory is updated every three months and data are available on CRE web site (www.cre.fr). Since the 1 of July 2007, all customers can choose their gas and electricity suppliers. The present observatory is including residential customer's statistics. Content: A - The electricity market: The retail electricity market (Introduction, Customer segments and their respective weight, Status at September 30, 2007, Dynamic analysis: 3. Quarter 2007); The wholesale electricity market (Introduction, Wholesale market activity in France, Wholesale market activity in France, Prices on the French wholesale market and European comparison, Import and export volumes, Concentration of the French electricity market); B - The gas market: The retail gas market (Introduction, Customer segments and their respective weight, Status on September 30, 2007, Dynamic analysis: 3. Quarter 2007); The wholesale gas market (Gas pricing and gas markets in Europe, The wholesale market in France); C - Appendices: Electricity and gas market observatories combined glossary, Specific electricity market observatory glossary, Specific gas market observatory glossary

Can We Predict the Winner in a Market with Network Effects? Competition in Cryptocurrency Market

Directory of Open Access Journals (Sweden)

Neil Gandal

2016-07-01

Full Text Available We analyze how network effects affect competition in the nascent cryptocurrency market. We do so by examining early dynamics of exchange rates among different cryptocurrencies. While Bitcoin essentially dominates this market, our data suggest no evidence of a winner-take-all effect early in the market. Indeed, for a relatively long period, a few other cryptocurrencies competing with Bitcoin (the early industry leader appreciated much more quickly than Bitcoin. The data in this period are consistent with the use of cryptocurrencies as financial assets (popularized by Bitcoin, and not consistent with winner-take-all dynamics. Toward the end of our sample, however, things change dramatically. Bitcoin appreciates against the USD, while other currencies depreciate against the USD. The data in this period are consistent with strong network effects and winner-take-all dynamics. This trend continues at the time of writing.

Dynamical agents' strategies and the fractal market hypothesis

Czech Academy of Sciences Publication Activity Database

Vácha, Lukáš; Vošvrda, Miloslav

2005-01-01

Roč. 14, č. 2 (2005), s. 172-179 ISSN 1210-0455 Grant - others:GA UK(CZ) 454/2004/A EK/FSV Institutional research plan: CEZ:AV0Z10750506 Keywords : efficient market hypothesis * fractal market hypothesis * agent's investment horizons Subject RIV: AH - Economics

MODERN TRENDS OF DEVELOPMENT OF INTERNATIONAL DERIVATIVES MARKET

Directory of Open Access Journals (Sweden)

V. Shelydko

2014-09-01

Full Text Available Article is devoted to analysis of structure and peculiarities of development of the international derivatives market. The history of formation of the international derivatives market is investigated. The nature, functions and advantages of use of derivatives, and also their role in the modern international securities market are defined. Classification of financial derivatives is considered. Product lines of financial derivatives are analyzed. The regional structure of the international derivatives market and dynamics of its development are investigated. The comparative characteristic of volumes and structure of exchange and over-the-counter segments of international derivatives market are carried out. Dynamics and structure of international markets of interest-bearing derivatives and currency derivatives are analyzed. The fundamental trends of development of the modern international derivatives market are defined.

Electricity and gas market observatory. 1. Quarter 2008

International Nuclear Information System (INIS)

2008-01-01

The purpose of the observatory is to provide the general public with indicators for monitoring market deregulation. It both covers the wholesale and retail electricity and gas markets in Metropolitan France. This observatory is updated every three months and data are available on CRE web site (www.cre.fr). Since the 1. of July 2007, all customers can choose their gas and electricity suppliers. Content: A - The electricity market: The retail electricity market (Introduction, Customer segments and their respective weight, Status at March 31, 2007, Dynamic analysis: 1. Quarter 2008); The wholesale electricity market (Introduction, Wholesale market activity in France, Prices on the French wholesale market and European comparison, Import and export volumes, Concentration of the French electricity market); B - The gas market: The retail gas market (Introduction, Customer segments and their respective weight, Status on March 31, 2008, Dynamic analysis: 1. Quarter 2008); The wholesale gas market (Gas pricing and gas markets in Europe, The wholesale market in France, Striking fact of the first quarter 2008); C - Appendices: Electricity and gas market observatories combined glossary, Specific electricity market observatory glossary, Specific gas market observatory glossary

Electricity and gas market observatory. 4. Quarter 2007

International Nuclear Information System (INIS)

2007-01-01

The purpose of the observatory is to provide the general public with indicators for monitoring market deregulation. It both covers the wholesale and retail electricity and gas markets in Metropolitan France. This observatory is updated every three months and data are available on CRE web site (www.cre.fr). Since the 1. of July 2007, all customers can choose their gas and electricity suppliers. Content: A - The electricity market: The retail electricity market (Introduction, Customer segments and their respective weight, Status at December 31, 2007, Dynamic analysis: 4. Quarter 2007); The wholesale electricity market (Introduction, Wholesale market activity in France, Prices on the French wholesale market and European comparison, Import and export volumes, Concentration of the French electricity market, Striking fact of the fourth quarter 2007); B - The gas market: The retail gas market (Introduction, Customer segments and their respective weight, Status on December 31. 2007, Dynamic analysis: 4. Quarter 2007); The wholesale gas market (Gas pricing and gas markets in Europe, The wholesale market in France, Striking fact of the fourth quarter 2007); C - Appendices: Electricity and gas market observatories combined glossary, Specific electricity market observatory glossary, Specific gas market observatory glossary

Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA

Science.gov (United States)

Lu, Xinsheng; Sun, Xinxin; Ge, Jintian

2017-05-01

This paper investigates the dynamic relationship between Japanese Yen exchange rates and market anxiety during the period from January 5, 1998 to April 18, 2016. A quantitative technique of multifractal detrended cross-correlation analysis (MF-DCCA) is used to explore the multifractal features of the cross-correlations between USD/JPY, AUD/JPY exchange rates and the market anxiety gauge VIX. The investigation shows that the causal relationship between Japanese Yen exchange rates and VIX are bidirectional in general, and the cross-correlations between the two sets of time series are multifractal. Strong evidence suggests that the cross-correlation exponents tend to exhibit different volatility patterns in response to diverse external shocks such as financial distress and widening in interest rate spread, suggesting that the cross-correlated behavior between Japanese Yen exchange rates and VIX are susceptible to economic uncertainties and risks. In addition, the performances of two market anxiety gauges, the VIX and the TED spread, are compared and the sources of multifractality are also traced. Thus, this paper contributes to the literature by shedding light on the unique driving forces of the Yen exchange rate fluctuations in the international foreign exchange market.

CONDUCT RESEARCH STOCK MARKET BASED ON MODELS OF ARCH

Directory of Open Access Journals (Sweden)

Ivan Burtnyak

2016-06-01

Full Text Available The purpose of this article is to study the dynamics of the volatility of some indicators of financial market of Ukraine using the methods ARCH modeling. As indicators of the financial market we take the most aggregated variables describing profitability or market price of the portfolio, but not individual assets constituting the portfolio. An indicator of the stock market index stands First Stock Trading System (PFTS. The conditional variance of financial indicators reflecting the level of systemic risk, measures the uncertainty associated with forecasting market dynamics. Key words. Autoregression models, econometric models, stock market, financial instruments, the PFTS index, volatility time series. JEL: C 50

Electricity and gas market observatory 1. Quarter 2009

International Nuclear Information System (INIS)

2009-01-01

The purpose of the observatory is to provide the general public with indicators for monitoring market deregulation. It both covers the wholesale and retail electricity and gas markets in Metropolitan France. This observatory is updated every three months and data are available on CRE web site (www.cre.fr). Since the 1. of July 2007, all customers can choose their gas and electricity suppliers. Content: A - The electricity market: The retail electricity market (Introduction, Customer segments and their respective weight, Status on March 31, 2009, Dynamic analysis: 1. Quarter 2009), The wholesale electricity market (Introduction, Wholesale market activity in France, Prices on the French wholesale market and European comparison, Import and export volumes, Concentration of the French electricity market). B - The gas market: The retail gas market (Introduction, Customer segments and their respective weight, Status on March 31. 2009, Dynamic analysis: 1. Quarter 2009), The wholesale gas market (Main steps in the French Wholesale gas market, Gas pricing and gas markets in Europe, The wholesale market in France, Prices on the French wholesale market and European comparison, Concentration of the French gas market) C - Appendices: Electricity and gas market observatories combined glossary, Specific electricity market observatory glossary, Specific gas market observatory glossary

Dynamic Jump Intensities and Risk Premiums in Crude Oil Futures and Options Markets

DEFF Research Database (Denmark)

Christoffersen, Peter; Jacobs, Kris; Li, Bingxin

2016-01-01

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data to investigate the economic importance of jumps...... and dynamic jump intensities in these markets. Allowing for jumps is crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities. During crisis periods, jumps occur more frequently. The properties of the jump processes implied by the option data...... differ from those implied by the futures data, which may be due to improved parameter identification....

Behavioural finance perspectives on Malaysian stock market efficiency

Directory of Open Access Journals (Sweden)

Jasman Tuyon

2016-03-01

Full Text Available This paper provides historical, theoretical, and empirical syntheses in understanding the rationality of investors, stock prices, and stock market efficiency behaviour in the theoretical lenses of behavioural finance paradigm. The inquiry is guided by multidisciplinary behavioural-related theories. The analyses employed a long span of Bursa Malaysia stock market data from 1977 to 2014 along the different phases of economic development and market states. The tests confirmed the presence of asymmetric dynamic behaviour of prices predictability as well as risk and return relationships across different market states, risk states and quantiles data segments. The efficiency tests show trends of an adaptive pattern of weak market efficiency across various economic phases and market states. Collectively, these evidences lend support to bounded-adaptive rational of investors' behaviour, dynamic stock price behaviour, and accordingly forming bounded-adaptive market efficiency.

Traveler’s Diarrhea Market: Evolving market trends and dynamics

OpenAIRE

Smita Deshmukh

2016-01-01

Traveler’s Diarrhea Market: Overview Traveler’s diarrhea refers to intestinal and stomach infection and occurs due to unsanitary conditions during handling of food. This disorder is characterized by frequent abdominal cramps resulting in loose stools and is usually caused by consumption of contaminated water or food. Travelling from one place to another where the sanitary conditions, social conditions, climate and other factors are different and hence presents high risk of developin...

The Dynamics of "Market-Making" in Higher Education

Science.gov (United States)

Komljenovic, Janja; Robertson, Susan L.

2016-01-01

This paper examines what to some is a well-worked furrow; the processes and outcomes involved in what is typically referred to as "marketization" in the higher education sector. We do this through a case study of Newton University, where we reveal a rapid proliferation of market exchanges involving the administrative division of the…

An insight into airline dynamic pricing practices in emerging markets: Effects of low cost carriers' presence on routes from Belgrade 'Nikola Tesla' airport

Directory of Open Access Journals (Sweden)

Ivanov Nikola V.

2016-01-01

Full Text Available Dynamic pricing and revenue management in airline industry have been the subject of research for more than twenty years now. Building upon that massive body of research, in this paper we investigate actual dynamic pricing patterns in new and emerging markets. We specifically focus on the impact that recent entry of low cost carriers on a number of routes from Belgrade Nikola Tesla Airport might have had on pricing practices of legacy incumbents. Unlike with most of previous contributions in the field, we analyse the market characterised by relatively low frequencies and predominantly short-to-medium haul flights. In this paper, we observe and analyse pricing dynamics on two types of routes: routes where only legacy carriers operate and routes where legacy carriers face competition from low cost carriers. The effects of route competition on offered airline fares are estimated and conclusions derived.

Dynamic effects of increasing heterogeneity in financial markets

International Nuclear Information System (INIS)

Naimzada, Ahmad K.; Ricchiuti, Giorgio

2009-01-01

Despite canonical behavioural financial market models [Day R, Huang W. Bulls, bears and market sheep. J Econ Behav Org 1990;14:299-329], that use different types of agents (i.e., fundamentalist vs. chartists), we develop a model in which the source of instability is the interaction of groups that are homogeneous in the strategy they use, but have heterogeneous beliefs about the fundamental value of the asset. Specifically, heterogeneity arises among two groups of fundamentalists that follow gurus. We show that an increasing distance between beliefs (the degree of heterogeneity), leads first (i) to a pitchfork bifurcation to arise secondly (ii) it generates, together with a larger reaction to misalignment of both market maker and agents, the appearance of a periodic, or even, chaotic, price fluctuation; (iii) finally a homoclinic bifurcation [Dieci R, Bischi GI, Gardini L. From bi-stability to chaotic oscillations in a macroeconomic model. Chaos, Solitons and Fractals 2001;12:805-22] transforms a two piece chaotic set into a one piece chaotic set that generates bull and bear markets.

Trends of shipping markets development

Directory of Open Access Journals (Sweden)

Tomasz Nowosielski

2012-06-01

Full Text Available Shipping markets are dependent on international trade transactions that generate transport needs. These needs can dynamically change depending on global natural resources and commodity markets situation. The changes affecting shipping markets can also be caused by changes to the existing cargo flows and by establishing new ones in different geographies. It is anticipated that in the future shipping markets will change, visible by a decline in shipping in North America and Europe and an increase in Asia.

D-brane solutions under market panic

Science.gov (United States)

Pincak, Richard

The relativistic quantum mechanic approach is used to develop stock market dynamics. The relativistic is conceptional here as the meaning of big external volatility or volatility shock on a financial market. We used a differential geometry approach with the parallel transport of prices to obtain a direct shift of the stock price movement. The prices are represented here as electrons with different spin orientation. Up and down orientations of the spin particle are likened here to an increase or a decrease of stock prices. The parallel transport of stock prices is enriched by Riemann curvature, which describes some arbitrage opportunities in the market. To solve the stock-price dynamics, we used the Dirac equation for bispinors on the spherical brane-world. We found out that when a spherical brane is abbreviated to the disk on the equator, we converge to the ideal behavior of financial market where Black-Scholes as well as semi-classical equations are sufficient. Full spherical brane-world scenarios can describe non-equilibrium market behavior where all arbitrage opportunities as well as transaction costs are taken into account. Real application of the model to the option pricing was done. The model developed in this paper brings quantitative different results of option pricing dynamics in the case of nonzero Riemann curvature.

SEASONAL MARKETING: STRATEGIES USING THE CALENDAR

OpenAIRE

Dr Anil Sardana; Dr PoojaTalwar; Shruti Gulati

2018-01-01

In this ever-dynamic world, the only thing that is constant is change. Change when happens, applies to all; then why should marketing remain the same? Each year is a witness to various seasons, and each season requires separate marketing efforts to be carried out differently. Seasonal marketing thus helps to capitalise on the varied demand through varied marketing. Every season requires special efforts and hence leads to different sales.

Market Ecology, Pareto Wealth Distribution and Leptokurtic Returns in Microscopic Simulation of the LLS Stock Market Model

Science.gov (United States)

Solomon, Sorin; Levy, Moshe

2001-06-01

The LLS stock market model (see Levy Levy and Solomon Academic Press 2000 "Microscopic Simulation of Financial Markets; From Investor Behavior to Market Phenomena" for a review) is a model of heterogeneous quasi-rational investors operating in a complex environment about which they have incomplete information. We review the main features of this model and several of its extensions. We study the effects of investor heterogeneity and show that predation, competition, or symbiosis may occur between different investor populations. The dynamics of the LLS model lead to the empirically observed Pareto wealth distribution. Many properties observed in actual markets appear as natural consequences of the LLS dynamics: - truncated Levy distribution of short-term returns, - excess volatility, - a return autocorrelation "U-shape" pattern, and - a positive correlation between volume and absolute returns.

Market realities: new challenges and opportunities

International Nuclear Information System (INIS)

1996-01-01

The market outlook for the natural gas industry was the focus of discussion at this conference. Presentations included papers on energy and supply forecasting, natural gas supply and demand and market opportunities, growth, economics, and issues in natural gas transportation. Pricing dynamics of these energy resources and the complexities of the energy market were also addressed. tabs., figs

Customizing Prices in Online Markets

OpenAIRE

Werner Reinartz

2002-01-01

Dynamic pricing is the dynamic adjustment of prices to consumers depending on the value these customers attribute to a good. Underlying the concept of dynamic pricing is what marketers call price customization. Price customization is the charging of different prices to end consumers based on a discriminatory variable. Internet technology will serve as a great enabling tool for making dynamic pricing accessible to many industries.

Dynamics of cluster structures in a financial market network

Science.gov (United States)

Kocheturov, Anton; Batsyn, Mikhail; Pardalos, Panos M.

2014-11-01

In the course of recent fifteen years the network analysis has become a powerful tool for studying financial markets. In this work we analyze stock markets of the USA and Sweden. We study cluster structures of a market network constructed from a correlation matrix of returns of the stocks traded in each of these markets. Such cluster structures are obtained by means of the P-Median Problem (PMP) whose objective is to maximize the total correlation between a set of stocks called medians of size p and other stocks. Every cluster structure is an undirected disconnected weighted graph in which every connected component (cluster) is a star, or a tree with one central node (called a median) and several leaf nodes connected with the median by weighted edges. Our main observation is that in non-crisis periods of time cluster structures change more chaotically, while during crises they show more stable behavior and fewer changes. Thus an increasing stability of a market graph cluster structure obtained via the PMP could be used as an indicator of a coming crisis.

Is the Web Marketing Mix Sustainable in China? The Mediation Effect of Dynamic Trust

Directory of Open Access Journals (Sweden)

Yongrok Choi

2015-10-01

Full Text Available Trust plays an important role between companies and customers in the online shopping environment because of the anonymous transaction environment and the advantage of virtual property. The most rapidly developing trend in Chinese e-business may come from Guanxi, a Chinese term for social trust. In this study, we define Guanxi as the dynamic trust process in the social decisions or activities of the Chinese. With increasing global attention on the outstanding development of Chinese e-business, it would be worthwhile to analyze the dynamic trust process of social e-commerce customers in close combination with the social network. The statistical results obtained using structural equation modeling (SEM show the importance of trust in a social e-commerce context. The direct positive relationship between the components of the web marketing mix and purchase intention is partially mediated by initial trust and ongoing trust, while initial trust only partially affects purchase intention through ongoing trust.

The economic analysis of power market architectures: application to real-time market design

International Nuclear Information System (INIS)

Saguan, M.

2007-04-01

This work contributes to the economic analysis of power market architectures. A modular framework is used to separate problems of market design in different modules. The work's goal is to study real-time market design. A two-stage market equilibrium model is used to analyse the two main real-time designs: the 'market' and the 'mechanism' (with penalty). Numerical simulations show that design applied in real-time is not neutral vis-a-vis of energy markets sequence and the competition dynamic. Designs using penalty (mechanisms) cause distortions, inefficiencies and can create barriers to entry. The size of distortions is given by the temporal position of the gate that closure the forward markets. This model has also allowed us to show the key role of real-time integration between zones and the importance of good harmonization between real-time designs of each zone. (author)

The System of Indicators for the Statistical Evaluation of Market Conjuncture

Directory of Open Access Journals (Sweden)

Chernenko Daryna I.

2017-04-01

Full Text Available The article is aimed at systematizing and improving the system of statistical indicators for the market of laboratory health services (LHS and developing methods for their calculation. In the course of formation of the system of statistical indicators for the market of LHS, allocation of nine blocks has been proposed: market size; proportionality of market; market demand; market proposal; level and dynamics of prices; variation of the LHS; dynamics, development trends, and cycles of the market; market structure; level of competition and monopolization. The proposed system of statistical indicators together with methods for their calculation should ensure studying the trends and regularities in formation of the market for laboratory health services in Ukraine.

A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market

International Nuclear Information System (INIS)

Bouri, Elie

2015-01-01

Within the new developed causality-in-variance approach, this paper builds up a broad methodological framework to more accurately capture the risk spillover effects between global oil prices and Jordanian stock market returns during the period 1 March 2003–31 January 2014. The sample period is divided, on the basis of the 2008 financial crisis, into pre-crisis and post-crisis periods. Results for the pre-crisis period show a lack of risk spillovers between global oil and the Jordanian stock market. After the crisis, however, we find evidence for one-way risk spillover running from the oil market. These findings have implications for the design of appropriate asset allocation and regulatory policies to manage risk spillover effects. -- Highlights: •A broad methodological framework accurately seizes dynamic risk spillover between oil prices and Jordanian stock returns. •We find insignificant risk spillover until the start of the financial crisis. •Crude oil transmits its risk to the Jordanian stock market

Strategy Dynamics through a Demand-Based Lens: The Evolution of Market Boundaries, Resource Rents and Competitive Positions

OpenAIRE

Adner, Ron; Zemsky, Peter

2003-01-01

We develop a novel approach to the dynamics of business strategy that is grounded in an explicit treatment of consumer choice when technologies improve over time. We address the evolution of market boundaries, resource rents and competitive positions by adapting models of competition with differentiated products. Our model is consistent with the central strategy assertion that competitive interactions are governed by superior value creation and competitive advantage. More importantly, it show...

Liquidity and Impact in Fair Markets

OpenAIRE

Jaisson, Thibault

2015-01-01

We develop a theory which applies to any market dynamics that satisfy a fair market assumption on the nullity of the average profit of simple market making strategies. We show that for any such fair market, there exists a martingale fair price which corresponds to the average liquidation value (at the ask or the bid) of an infinitesimal quantity of stock. We show that this fair price is a natural reference price to compute the ex post gain of limit orders. Using only the fair market assumptio...

THE METHODOLOGY OF TESTING THE CAUSALITY BETWEEN THE ROMANIAN MUTUAL FUNDS MARKET AND THE ECONOMY’S DYNAMICS

Directory of Open Access Journals (Sweden)

Ioana RADU

2013-06-01

Full Text Available The paper tests and evaluates the causality between the dynamics of the Romanian mutual fund market and the economy. Using the Granger causality test, a regression analysis has been developed on quarterly data during 2004Q3 – 2012Q2 for the Romanian economy. Based on this relationship, we can emphasize that the controversial debate upon the economic growth and the mutual fund market has became a complex research subject. Therefore, due to its complexity, the timeliness and the continuous growth of the investment funds area, this paper complements the existing literature by identifying the causal linkage between the mutual fund market and the economy. The paper is organized as it follows. First part presents the main premises that have emphasized our research. Second part presents a brief literature review and extracts the studies that appreciate best the relationship between the analyzed variables. Next section is set on defining the potential correlation between the analyzed variables. Then, section 4 tests the causality by using the R facility. The last part concludes.

A global assessment of market accessibility and market influence for global environmental change studies

Energy Technology Data Exchange (ETDEWEB)

Verburg, Peter H [Institute for Environmental Studies, Amsterdam Global Change Institute, VU University Amsterdam, De Boelelaan 1087, 1081 HV Amsterdam (Netherlands); Ellis, Erle C [Department of Geography and Environmental Systems, University of Maryland, Baltimore County, Baltimore, MD 21250 (United States); Letourneau, Aurelien, E-mail: Peter.Verburg@ivm.vu.nl [UMR 5175 Centre d' Ecologie Fonctionnelle and Evolutive, Centre National de la Recherche Scientifique, 1919 Route de Mende, 34293 Montpellier cedex 5 (France)

2011-07-15

Markets influence the global patterns of urbanization, deforestation, agriculture and other land use systems. Yet market influence is rarely incorporated into spatially explicit global studies of environmental change, largely because consistent global data are lacking below the national level. Here we present the first high spatial resolution gridded data depicting market influence globally. The data jointly represent variations in both market strength and accessibility based on three market influence indices derived from an index of accessibility to market locations and national level gross domestic product (purchasing power parity). These indices show strong correspondence with human population density while also revealing several distinct and useful relationships with other global environmental patterns. As market influence grows, the need for high resolution global data on market influence and its dynamics will become increasingly important to understanding and forecasting global environmental change.

A global assessment of market accessibility and market influence for global environmental change studies

Science.gov (United States)

Verburg, Peter H.; Ellis, Erle C.; Letourneau, Aurelien

2011-07-01

Markets influence the global patterns of urbanization, deforestation, agriculture and other land use systems. Yet market influence is rarely incorporated into spatially explicit global studies of environmental change, largely because consistent global data are lacking below the national level. Here we present the first high spatial resolution gridded data depicting market influence globally. The data jointly represent variations in both market strength and accessibility based on three market influence indices derived from an index of accessibility to market locations and national level gross domestic product (purchasing power parity). These indices show strong correspondence with human population density while also revealing several distinct and useful relationships with other global environmental patterns. As market influence grows, the need for high resolution global data on market influence and its dynamics will become increasingly important to understanding and forecasting global environmental change.

A global assessment of market accessibility and market influence for global environmental change studies

International Nuclear Information System (INIS)

Verburg, Peter H; Ellis, Erle C; Letourneau, Aurelien

2011-01-01

Markets influence the global patterns of urbanization, deforestation, agriculture and other land use systems. Yet market influence is rarely incorporated into spatially explicit global studies of environmental change, largely because consistent global data are lacking below the national level. Here we present the first high spatial resolution gridded data depicting market influence globally. The data jointly represent variations in both market strength and accessibility based on three market influence indices derived from an index of accessibility to market locations and national level gross domestic product (purchasing power parity). These indices show strong correspondence with human population density while also revealing several distinct and useful relationships with other global environmental patterns. As market influence grows, the need for high resolution global data on market influence and its dynamics will become increasingly important to understanding and forecasting global environmental change.

Behavioral Finance and Agent-Based Artificial Markets

NARCIS (Netherlands)

M. Lovric (Milan)

2011-01-01

textabstractStudying the behavior of market participants is important due to its potential impact on asset prices and the dynamics of financial markets. The idea of individual investors who are prone to biases in judgment and who use various heuristics, which might lead to anomalies on the market

Marketing technology in macroeconomics.

Science.gov (United States)

Tamegawa, Kenichi

2012-01-01

In this paper, we incorporate a marketing technology into a dynamic stochastic general equilibrium model by assuming a matching friction for consumption. An improvement in matching can be interpreted as an increase in matching technology, which we call marketing technology because of similar properties. Using a simulation analysis, we confirm that a positive matching technology shock can increase output and consumption.

Generation capacity adequacy in interdependent electricity markets

International Nuclear Information System (INIS)

Cepeda, Mauricio; Finon, Dominique

2011-01-01

This paper deals with the practical problems related to long-term security of supply in regional electricity markets with transmission constraints. Differences between regulatory policies and market designs in terms of generation adequacy policies may distort the normal functioning of the neighboring markets, as well as the reliability of supply. We test the effect of heterogeneous regulatory design between two interdependent markets: energy-only market, price-capped market without capacity mechanisms and price-capped markets with forward capacity contracts obligation. We rely on a long-term market simulation model in system dynamics that characterizes expansion decision in a competitive regime. The results show that differences in market designs affect both price and reliability of supply in the two markets. We examine both the short and long terms effect, and how free-riding may occur where capacity adequacy policies are adopted in one market but not the other. The main finding is that the lack of harmonization between local markets in policies to ensure capacity adequacy may lead to undesirable side effects. - Research highlights: → We model the long-term dynamic of two interdependent markets. → We examine both the short and long terms effect of heterogeneous regulatory design: energy-only market, price-capped market without capacity mechanisms and price-capped markets with forward capacity contracts obligation. → Differences in market designs affect both price and reliability of supply in the two markets. → Lack of harmonization between local markets in policies to ensure capacity adequacy may lead to undesirable side effects. → Free-riding may occur where capacity adequacy policies are adopted in one market but not the other.

THE ANALYSIS OF COORDINATES SPECIFIC TO THE POTENTIAL OF A COMPANY MARKET

Directory of Open Access Journals (Sweden)

Ionel Gabriel Dobrin

2012-01-01

Full Text Available In the contemporary economy, it is easy to see that the market of a company is a dynamic market, subject to frequent changes. Across time, this market inside which companies act evolves from the point of view of its absolute and relative size, of the changes in its internal structure, as well as the change of its „physiognomy”.This dynamic evolution of the company market is mainly determined by the dynamics of the emergence and development background which characterizes the company as a whole.

Lack of competition in Italian natural gas market

International Nuclear Information System (INIS)

Bozzetto, Fabrizio

2007-01-01

This article analyses the reasons for an evident lack of competition in the Italian natural gas market, after the 2003 full liberalisation of the market. In particular, analysis focuses on dynamics which probably marks mass market and small office segments [it

Credit derivatives in emerging markets

OpenAIRE

Romain Rancière

2002-01-01

Credit Derivatives are securities that offer protection against credit or default risk of bonds or loans. The credit derivatives emerging market has grown rapidly and credit derivatives are widely used. This paper describes the emerging credit derivatives market structure. The current market activity is analyzed through elementary pricing dynamics and the study of the term structure of default risk. Focusing on the performance of credit derivatives in stress situation, including legal and mar...

MARKETING STRATEGIES OF SMARTPHONES PRODUCERS

OpenAIRE

Markova V.; Tzinlin M.; Ge C.

2017-01-01

Smartphones global market is one of the most dynamically developing markets that can be characterized by high level of competition. The growth of smartphones homogeneity, which is a reduction in difference between technical and functional parameters of smartphones produced by various manufacturers, can be considered the market’s specific feature. The unique situation of high-tech product homogeneity in a fast-growing market is scantily described in specialized literature. The article shows ch...

Modeling the Dynamics and Spillovers of the Health Labor Market: Evidence from China’s Provincial Panel Data

Directory of Open Access Journals (Sweden)

Bin Zhu

2018-01-01

Full Text Available Health workforce misdistribution is a major challenge faced by almost all countries. A more profound understanding of the dynamics of the health labor market provides evidence for policy makers to balance health workforce distribution with solid evidence. However, one major deficit of existing theoretical and empirical studies is that they often ignore the intra-regional spillovers of the health labor market. This study builds a theoretical “supply–demand–spillover” model that considers both intra-regional supply and demand-side factors, and inter-regional spillovers, hence providing a theoretical reference point for further in-depth studies. Using spatial econometric panel models, the effect of all determinants and spillovers were empirically measured based on a Chinese panel data set, shedding light on health workforce policies in China.

Using the Spatial Distribution of Installers to Define Solar Photovoltaic Markets

Energy Technology Data Exchange (ETDEWEB)

O' Shaughnessy, Eric [National Renewable Energy Lab. (NREL), Golden, CO (United States); Nemet, Gregory F. [Univ. of Wisconsin, Madison, WI (United States); Darghouth, Naim [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

2016-09-01

Solar PV market research to date has largely relied on arbitrary jurisdictional boundaries, such as counties, to study solar PV market dynamics. This paper seeks to improve solar PV market research by developing a methodology to define solar PV markets. The methodology is based on the spatial distribution of solar PV installers. An algorithm is developed and applied to a rich dataset of solar PV installations to study the outcomes of the installer-based market definitions. The installer-based approach exhibits several desirable properties. Specifically, the higher market granularity of the installer-based approach will allow future PV market research to study the relationship between market dynamics and pricing with more precision.

Dynamic competition and enterprising discovery: Kirzner’s market process theory

Directory of Open Access Journals (Sweden)

Ahmet İhsan KAYA

2011-12-01

Full Text Available Market process theory is designed by the followers of Austrian School tradition as an alternative to neo-classic price theory in order to explain perceptible markets. Contrary to neo-classic economy which focuses on the concept of equilibrium, market process theory seeks to explore unequilibrium and direction to equilibrium. While doing so, the role of enterprenuer in dealing with limited information which is not taken into consideration in the price theory of neo-classic economy, uncertainty because of time and uncertainty which occurs in market underpins Israel Kirzner's analyses. In the study, Kirzner's competition and enterpreneurship theory is discussed with the contributions of Mises and Hayek. The study constitutes an introduction to market process theory of Kirzner.

A market-based optimization approach to sensor and resource management

Science.gov (United States)

Schrage, Dan; Farnham, Christopher; Gonsalves, Paul G.

2006-05-01

Dynamic resource allocation for sensor management is a problem that demands solutions beyond traditional approaches to optimization. Market-based optimization applies solutions from economic theory, particularly game theory, to the resource allocation problem by creating an artificial market for sensor information and computational resources. Intelligent agents are the buyers and sellers in this market, and they represent all the elements of the sensor network, from sensors to sensor platforms to computational resources. These agents interact based on a negotiation mechanism that determines their bidding strategies. This negotiation mechanism and the agents' bidding strategies are based on game theory, and they are designed so that the aggregate result of the multi-agent negotiation process is a market in competitive equilibrium, which guarantees an optimal allocation of resources throughout the sensor network. This paper makes two contributions to the field of market-based optimization: First, we develop a market protocol to handle heterogeneous goods in a dynamic setting. Second, we develop arbitrage agents to improve the efficiency in the market in light of its dynamic nature.

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

International Nuclear Information System (INIS)

Ankirchner, Stefan; Dermoune, Azzouz

2011-01-01

The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem.

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

Energy Technology Data Exchange (ETDEWEB)

Ankirchner, Stefan, E-mail: ankirchner@hcm.uni-bonn.de [Rheinische Friedrich-Wilhelms-Universitaet Bonn, Institut fuer Angewandte Mathematik, Hausdorff Center for Mathematics (Germany); Dermoune, Azzouz, E-mail: Azzouz.Dermoune@math.univ-lille1.fr [Universite des Sciences et Technologies de Lille, Laboratoire Paul Painleve UMR CNRS 8524 (France)

2011-08-15

The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem.

Understanding Financial Market States Using an Artificial Double Auction Market.

Science.gov (United States)

Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

2016-01-01

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

Understanding Financial Market States Using an Artificial Double Auction Market.

Directory of Open Access Journals (Sweden)

Kyubin Yim

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

Pooling data for the analysis of dynamic marketing systems

NARCIS (Netherlands)

Horvath, C.; Wieringa, J.E.

Vector autoregressive (VAR) models have become popular in marketing literature for analyzing the behavior of competitive marketing systems. One drawback of these models is that the number of parameters can become very large, potentially leading to estimation problems. Pooling data for multiple

Marketing Communications Effectiveness in Small and Medium Enterprises (SMEs in Bandung

Directory of Open Access Journals (Sweden)

Asep Suryana

2001-12-01

Full Text Available The objectives of the study were: (1 To know the dynamics of Small and middle Scale Industry (SMSI in Kabupaten Bandun; (2 Individual effectivity on SMSI in KabupatenBandung; (3 Marketing communication management effectivity on SMSI in Kabupaten Bandung; (4 The correlation between organization dynamics level and individual effectivity on SMSI organization in Kabupaten Bandung; (5 The correlation between organization dynamics level and effectivity of marketing communication management on SMSI in Kabupaten Bandung; and (6 The correlation between individual effectivity level and effectivity of marketing communication management on SMSI in Kabupaten Bandung. The methodology used in this study was Survey Methods, to conducted the manager and workers of Small Scale Industry in Kabupaten Bandung as population target. The sample size was 60 respondents selected randomly based on sampling Random sample, technique. The results of the study showed that: (1 The dynamics of SMSI organization concerning on anatomy, structure, and process organization was effective; (2 the individual on SMSI organization concerning on motivation, attitude, aptitude, temperament, and role perception was effective; (3 The effectivity of marketing communication management on SMSI in Kabupaten Bandung concerning on planning, actuating, controlling, and marketing communication mix was effective; (4 The correlation between the dynamics organization level and individual effectivity on organization SMSI was significan; (5 The correlation between the dynamics organization level and effectivity of marketing communication management on SMSI in Kabupaten Bandung, was significan; and (6 The correlaton between individual effectivity on organization and effectivity of marketing communication managementon SMSI in Kabupaten Bandung was significant.

Marketing’s Contribution from the Perspective of Marketing Executives

DEFF Research Database (Denmark)

Tollin, Karin; Schmidt, Marcus

2015-01-01

Purpose – The purpose of this paper is to determine the impact that chief marketing executives’ (CMEs) mindsets about important marketing capabilities have on company performance. Design/methodology/approach – The authors propose a structural model for analysing specialised, cross......-functional and dynamic capabilities at the functional level of marketing. The model is tested by using a quantitative survey among CMEs. Additionally the authors conducted a cluster analysis with the purpose of identifying differences in CMEs’ mindsets about important marketing capabilities and the impact...... performance. Hence, companies that have a CME who prioritises both brand management, product development and customer relationship management as well as a set of specialised and dynamic marketing capabilities will outperform companies that have a CME who focuses on only one area of cross-functional marketing...

Investigating the impact of unanticipated market and construction delays on the development of a meshed HVDC grid using dynamic transmission planning

NARCIS (Netherlands)

Shariat Torbaghan, S.; Gibescu, M.; Rawn, B.G.; Müller, H.; Roggenkamp, M.; vd Meijden, M.A.M.M.

2015-01-01

This study presents a market-based dynamic transmission planning framework for the construction of a meshed offshore voltage source converter-high voltage direct current (VSC-HVDC) grid. Such a grid is foreseen for integrating offshore wind and electricity trade functions among the North Sea

Dynamics of Investment for Market-Oriented Farmers in Chile

NARCIS (Netherlands)

Reyes, A.; Kuyvenhoven, A.; Lensink, R.; Moll, H.A.J.

2012-01-01

Using panel data from a survey conducted in 2006 and 2008 of 177 market-oriented farmers in central Chile, we investigate investment under imperfect capital markets. Specifically we determine the impact of formal credit constraints on fixed investment. By controlling for endogeneity problems, we

Price discovery in European natural gas markets

International Nuclear Information System (INIS)

Schultz, Emma; Swieringa, John

2013-01-01

We provide the first high-frequency investigation of price discovery within the physical and financial layers of Europe's natural gas markets. Testing not only looks at short-term return dynamics, but also considers each security's contribution to price equilibrium in the longer-term. Results show that UK natural gas futures traded on the Intercontinental Exchange display greater price discovery than physical trading at various hubs throughout Europe. - Highlights: • We use intraday data to gauge price discovery in European natural gas markets. • We explore short and long-term dynamics in physical and financial market layers. • Results show ICE's UK natural gas futures are the main venue for price discovery

SECURITIES MARKET AS AN INDICATOR OF INNOVATION

OpenAIRE

Victor M. Askinadze

2014-01-01

The article presents a potential possibility to use stock market Indices as an indicator of emerging innovative economy. The focal point is the significance of taking into account the stock market Indices’ dynamics and volatility.

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

Science.gov (United States)

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

2018-05-01

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

MARKETING STRATEGIES OF SMARTPHONES PRODUCERS

Directory of Open Access Journals (Sweden)

Markova V.

2017-12-01

Full Text Available Smartphones global market is one of the most dynamically developing markets that can be characterized by high level of competition. The growth of smartphones homogeneity, which is a reduction in difference between technical and functional parameters of smartphones produced by various manufacturers, can be considered the market’s specific feature. The unique situation of high-tech product homogeneity in a fast-growing market is scantily described in specialized literature. The article shows changeability of smartphones global market leaders and explains that the key success factor in such a mature market is marketing. Based on secondary information, marketing strategies of long standing market leader in sales Samsung and overtaking Apple companies are determined as well as strategies of contenders for leadership - Chinese companies Huawei and Lenovo. It is shown on Lenovo case that inexplicit positioning leads to a loss of the growing market share due to offensive marketing strategies of other Chinese companies. The research results broaden the knowledge of methodical potential of marketing strategies in companies’ activities in competitive markets of homogeneous high-tech products.

Medium-Term Oil Market Report 2012: Market Trends and Projections to 2017

Energy Technology Data Exchange (ETDEWEB)

NONE

2012-07-01

Supply shortfalls – from the Libyan civil war in 2011 and international sanctions on Iran in 2012 to a swathe of unplanned non-OPEC output stoppages – have buffeted the oil market, sending prices near 2008 highs and rekindling debate on the role of speculation in fuelling volatility. There have also been success stories. Growth in North American light, tight oil and non-conventional supply has reached game-changing levels. Iraqi production has scaled new heights, the Libyan production recovery in 2012 defied expectations and Saudi output surged to 30-year highs. On the demand front, the economic recovery has lost momentum. Market share continues to shift from mature to newly industrialised economies, but amid persistent concerns about the health of the former; China, the leading engine of oil demand growth of the last 15 years, is giving signs of slowdown. Those developments have challenged earlier assumptions and significantly changed the oil market outlook for the next five years. The IEA Medium-Term Oil Market Report (MTOMR) – companion to the monthly OMR – draws their implications for the future. It provides detailed projections for oil supply at field level, crude quality trends, demand by product, refined product output and oil investments through 2017. It examines oil price formation, regulatory changes, OPEC dynamics and the future of spare capacity – while also reviewing the contribution of new supplies from deepwater, light tight oil, biofuel and natural gas liquids. It explores how market changes are reshaping the refining industry – and what that means for trade flows. At a time of heightened economic and geopolitical risk, MTOMR is essential reading for anyone interested in oil market dynamics and in understanding the oil market context in which these risks are playing out.

Russia at GHG Market

International Nuclear Information System (INIS)

Golub, A.; Strukova, E.

2004-01-01

In the first Kyoto commitment period Russia could be the major supplier for the greenhouse gases (GHG) emissions market. Potential Russian supply depends on the ability of Russia to keep GHG emissions lower than the Kyoto target. In the literature there is no common understanding of the total trading potential of Russia at the international carbon market. In this paper we focus on CO2 emission, which constituted nearly 80% of Russian GHG emission. We compare different projections of Russian CO2 emission and analyze the most important factors, which predetermine the CO2 emission growth. In a transition economy these factors are: Gross Domestic Product (GDP) dynamic, changes of GDP structure, innovation activity, transformation of export-import flows and response to the market signals. The input-output macroeconomic model with the two different input-output tables representing old and new production technologies has been applied for the analysis to simulate technological innovations and structural changes in the Russian economy during transition period. The Russian supply at the international GHG market without forest sector may be up to 3 billion metric ton of CO2 equivalent. Earlier actions to reduce CO2 emission are critical to insure the Russian supply at the international carbon market. With regard to the current status of the Russian capital market, the forward trading with OECD countries is only the possibility to raise initial investments to roll no-regret and low-cost GHG reduction. This paper discusses uncertainties of Russian CO2 emission dynamics and analyzes the different incentives to lower the emission pathway

Development of a virtual power market model to investigate strategic and collusive behavior of market players

International Nuclear Information System (INIS)

Shafie-khah, Miadreza; Parsa Moghaddam, Mohsen; Sheikh-El-Eslami, Mohamad Kazem

2013-01-01

In this paper, a virtual power market model is proposed to investigate the behavior of power market players from regulator's point of view. In this approach, strategic players are modeled in a multi-agent environment. These agents which are virtual representative of actual players forecast the prices and participate in the markets, exactly the same as real world situation. In addition, the role of ISO is encountered by using security constraint unit commitment (SCUC) and security constraint economic dispatch (SCED) solutions. Moreover, the interaction between market players is modeled using a heuristic dynamic game theory algorithm based on the supply function equilibria (SFE). In addition to the collusive behavior, using the proposed model, the short-term strategic behavior of players, which their effects will appear in long-term, can be simulated. The proposed model enables the market regulators to make decision before implementing new market rules with the confidence of their results. To represent the effectiveness of the proposed method, a case study including wind power plants is considered and the impact of various market rules on players’ behavior is simulated and discussed. Numerical studies indicate that simulating the strategic and collusive behavior prior to any change in the market rules is necessary. - Highlights: • A virtual power market model is proposed using a heuristic dynamic game theory. • The proposed model can simulate the behavior of market players in a certain period. • This model can evaluate the oligopoly, collusive and strategic behavior of players. • The price uncertainty and security constraint are considered. • Neglecting strategic behavior of players can cause adverse consequences

Study of trends in the trucking market in modern conditions

Directory of Open Access Journals (Sweden)

P.Popovych

2016-08-01

Full Text Available The article analyzes the features of the transport services market in accordance with its segmentation from the position of statistics on the field of automotive freight. The tendencies of development dynamics and road trucking transport market structure, and particularly the impact of transportation logistics market, including foreign trade cargo traffic of road transport, on the basic trends and the impact of logistics infrastructure development for aggregate indicators of development of transport communications, the size and dynamics of development, market compatibility on investment attractiveness. Balance of consumer, wholesale and logistics market in Ukraine, having similar development trends are established. Market logistics of trucking transport services have a steady trend of development in an objective decline in growth. The necessity of modernization policies in the transport sector at the state level as a software-oriented transport sector investment resources of the economy, taking into account that the share of road transport in the transport system of the country demonstrates the dynamic development with a positive trend in demand for transportation of goods.

Investor attention and FX market volatility

OpenAIRE

Goddard, John; Kita, Arben; Wang, Qingwei

2015-01-01

We study the relationship between investors’ active attention, measured by a Google search volume index (SVI), and the dynamics of currency prices. Investor attention is correlated with the trading activities of large FX market participants. Investor attention comoves with comtemporaneous FX market volatility and predicts subsequent FX market volatility, after controlling for macroeconomic fundamentals. In addition, investor attention is related to the currency risk premium. Our results sugge...

Electronic trade effect of marketing channels

OpenAIRE

Lovreta Stipe; Stojković Dragan

2009-01-01

E-commerce has caused many significant changes in marketing channels. Consumers had obtained multiple benefits from e-commerce. In addition, it has increased the level of competition in marketing channels. However, the focus of this paper is multichannel strategy and integration of physical (store) and electronic marketing channels. E-commerce has induced dynamic development of multichannel strategy. This strategy has evolved as a consequence of multichannel consumer orientation. In developed...

SECURITIES MARKET AS AN INDICATOR OF INNOVATION

Directory of Open Access Journals (Sweden)

Victor M. Askinadze

2014-01-01

Full Text Available The article presents a potential possibility to use stock market Indices as an indicator of emerging innovative economy. The focal point is the significance of taking into account the stock market Indices’ dynamics and volatility.

The complexity of an investment competition dynamical model with imperfect information in a security market

International Nuclear Information System (INIS)

Xin Baogui; Ma Junhai; Gao Qin

2009-01-01

We present a nonlinear discrete dynamical model of investment competition with imperfect information for N heterogeneous oligopolists in a security market. In this paper, our focus is on a given three-dimensional model which exhibits highly rich dynamical behaviors. Based on Wen's Hopf bifurcation criterion [Wen GL. Criterion to identify Hopf bifurcations in maps of arbitrary dimension. Phys Rev E 2005;72:026201-3; Wen GL, Xu DL, Han X. On creation of Hopf bifurcations in discrete-time nonlinear systems. Chaos 2002;12(2):350-5] and Kuznetsov's normal form theory [Kuznetsov YA. Elements of applied bifurcation theory. New York: Springer-Verlag; 1998. p. 125-37], we study the model's stability, criterion and direction of Neimark-Sacker bifurcation. Moreover, we numerically simulate a complexity evolution route: fixed point, closed invariant curve, double closed invariant curves, fourfold closed invariant curves, strange attractor, period-3 closed invariant curve, period-3 2-tours, period-4 closed invariant curve, period-4 2-tours.

Empirical dynamics of emerging financial markets during the global mortgage crisis

Directory of Open Access Journals (Sweden)

Rahmi Erdem Aktuğ

2015-03-01

Full Text Available Focusing on five major emerging markets, I investigate the interactions between credit default swap premiums, foreign exchange rates, local currency government bond spreads, and national stock market returns over the period 4/2/2007 to 8/27/2009. Empirical analysis indicates that bond markets, along with foreign exchange markets, were very dominant in the price discovery process during a common distressed period.

Inefficiency in Latin-American market indices

Science.gov (United States)

Zunino, L.; Tabak, B. M.; Pérez, D. G.; Garavaglia, M.; Rosso, O. A.

2007-11-01

We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stock market indices under analysis. On the other hand, the Tsallis q entropic index is measured in order to take into account the deviations from the Gaussian hypothesis. Different dynamic rankings of inefficieny are obtained, each of them contemplates a different source of inefficiency. Comparing with the results obtained for a developed country (US), we confirm a similar degree of long-range dependence for our emerging markets. Moreover, we show that the inefficiency in the Latin-American countries comes principally from the non-Gaussian form of the probability distributions.

European Integration, Labour Market Dynamics and Migration Flows

Directory of Open Access Journals (Sweden)

Martinoia, Michela

2011-06-01

Full Text Available The paper has two objectives. Firstly, we wish to evaluate whether a greater economic integration has effects, and of what type, on migration flows from Central and Eastern Europe (New Member States of the EU, NMS towards the fifteen countries of the European Union (EU-15. Secondly, we wish to understand what effect the migration flows from the NMS have on the labour market of the receiving countries in the EU-15. The most suitable theoretical context that seems to summarise European labour market characteristics is that of the insider/outsider model by Layard, Nickell and Jackman (Layard et al., 1991. We have modified the above mentioned model by introducing two innovations. Firstly, we constructed three measures that act as a proxy for economic integration: the Intra Regional Trade Index (IRTI, Global Trade Index (GTI and Financial Market Integration (FMI. Then we placed the three indicators into the insider/outsider model to arrive at a modified version of Layard, Nickell and Jackman (Layard et al., 1991. The second innovative contribution was the introduction of an equation modelling migration flows. The creation of this equation is inspired by the neo-classical approach to migration theory (Harris-Todaro, 1970. The theoretical model, based on rational expectations, has been solved to find the equilibrium solution and the impact multipliers. We then carried out an empirical analysis, which involved estimating a Structural Vector Autoregression Model (SVAR. The aim of this estimation was to evaluate, on the one hand, the effect that greater European integration (a positive shock to the integration indicators has on migration flows, and, on the other, to measure the type of effect that migration flows could have on the labour market of the EU-15 countries, considered as a single entity. The results of our empirical evidence show that economic integration does generate significant effects on migration flows from the enlargement countries

The grounds for time dependent market potentials from dealers' dynamics

Science.gov (United States)

Yamada, K.; Takayasu, H.; Takayasu, M.

2008-06-01

We apply the potential force estimation method to artificial time series of market price produced by a deterministic dealer model. We find that dealers’ feedback of linear prediction of market price based on the latest mean price changes plays the central role in the market’s potential force. When markets are dominated by dealers with positive feedback the resulting potential force is repulsive, while the effect of negative feedback enhances the attractive potential force.

Electronic trade effect of marketing channels

Directory of Open Access Journals (Sweden)

Lovreta Stipe

2009-01-01

Full Text Available E-commerce has caused many significant changes in marketing channels. Consumers had obtained multiple benefits from e-commerce. In addition, it has increased the level of competition in marketing channels. However, the focus of this paper is multichannel strategy and integration of physical (store and electronic marketing channels. E-commerce has induced dynamic development of multichannel strategy. This strategy has evolved as a consequence of multichannel consumer orientation. In developed economies, consumers are multichannel entities and active marketers aim to meet their requirements by creating multichannel offer.

Market Hydraulics and Subjectivities in the "Wild": Circulations of the Flea Market

Directory of Open Access Journals (Sweden)

Niklas Hansson

2015-03-01

Full Text Available Since consumer researchers started paying attention to flea markets they represent common consumer and market research objects. Arguably, in the "natural laboratory" of the flea market, researchers can observe and theorize market and consumer processes "in the wild", as forms of direct marketing and consumption. We build on existing flea market research through adopting a circulatory approach, inspired by actor-network theory (ANT. Rather than presenting a theory of (flea markets, ANT is useful for studying markets from the perspective of grounded market-making processes. Consumption is understood as the interplay of consumers, marketers, retailers, and a wide array of artifacts and market mediators like products, economic theories and ideas, packaging, market space (in the physical sense and furniture, etc. Our results point out that not only does such an approach enable analysis of features commonly studied within consumer research such as calculative action and social interaction, but also issues more rarely in focus in such research, such as cognitive patterns of consumer curiosity, emotions, senses, and affect. Furthermore, even though flea markets foremost are places of commerce and exchange of second hand goods, there is a large variety of other forms of flows or circulations going on "backstage" that enable the surface phenomena of second hand consumption to come into being. Many of these circulations, we argue, are material rather than immaterial Vendor and buyer subjectivities are thus understood as outcomes of circulatory dynamism that involves a range of material and immaterial flows.

Moving average rules as a source of market instability

NARCIS (Netherlands)

Chiarella, C.; He, X.Z.; Hommes, C.H.

2006-01-01

Despite the pervasiveness of the efficient markets paradigm in the academic finance literature, the use of various moving average (MA) trading rules remains popular with financial market practitioners. This paper proposes a stochastic dynamic financial market model in which demand for traded assets

Dynamic Customer Management and the Value of One-to-One Marketing

OpenAIRE

Romana Khan; Michael Lewis; Vishal Singh

2009-01-01

The concept of one-to-one marketing is intuitively appealing, but there is little research that investigates the value of individual-level marketing relative to segment-level or mass marketing. In this paper, we investigate the financial benefits of and computational challenges involved in one-to-one marketing. The analysis uses data from an online grocery and drug retailer. Like many retailers, this firm uses multiple promotional instruments including discount coupons, free shipping offers, ...

Heterogeneity, Bounded Rationality and Market Dysfunctionality

OpenAIRE

Xue-Zhong He; Lei Shi

2008-01-01

As the main building blocks of the modern finance theory, homogeneity and rational expectation have faced difficulty in explaining many market anomalies, stylized factors, and market inefficiency in empirical studies. As a result, heterogeneity and bounded rationality have been used as an alterative paradigm of asset price dynamics and this paradigm has been widely recognized recently in both academic and financial market practitioners. Within the framework of Chiarella, Dieci and He (2006a, ...

The Dynamics in the Structure of Sugarcane Job Market

Directory of Open Access Journals (Sweden)

Roselis Natalina Mazzuchetti

2015-12-01

Full Text Available Esta pesquisa teve como propósito averiguar a estrutura do mercado de trabalho na atividade de cultivo de cana-de-açúcar, à luz das mudanças recentes ocorridas no setor sucroalcooleiro, levando-se em conta os principais estados produtores de cana. Para tanto, realizou-se uma análise estatística descritiva e uma análise de regressão linear simples, com base nos dados da PNAD, de 1997 a 2009. Como corolário, constatou-se que houve uma redução da informalidade no mercado de trabalho em questão, sendo que esta redução foi mais expressiva em Alagoas. Confirmou-se, também, mudanças recentes nas ocupações do setor, com acréscimos nas atividades técnicas, representadas por tratoristas e operadores de máquinas. Evidenciou-se que o mercado de trabalho do setor em questão tem sua dinâmica diretamente ligada aos fatores que ocorrem na cadeia produtiva do setor sucroalcooleiro como um todo. Palavras-Chave: Mercado de Trabalho, Tecnologia, Agronegócios e Produção de cana-de-açúcar. *** Abstract: This research aims to verify the structure of sugarcane cultivation’s job market, considering the recent changes in this sector and the states with the major production. For that, descriptive and statistical analysis were made, as well as a simplified line regression analysis, based on the Pesquisa Nacional por Amostra de Domicílios - PNAD data, for the 1997-2009 period. As corollary, it was stated that there was a reduction in the informal jobs in the sugarcane production market, showing more expressivity in the state of Alagoas. Recent changes in the sector occupation were confirmed, as an increase in technical activities, represented by tractors and machinery operators. It was evidenced that this sector’s job market has its dynamics closely linked to the sugarcane production chain as a whole. Keywords: Job Market, Agribusiness, Technology, Sugarcane production. *** Sumario: Esta investigación tuvo como objetivo investigar la

Methodology for forecasting in the Swedish–Norwegian market for el-certificates

International Nuclear Information System (INIS)

Wolfgang, Ove; Jaehnert, Stefan; Mo, Birger

2015-01-01

In this paper we describe a novel methodology for forecasting in the Swedish–Norwegian el-certificate market, which is a variant of a tradable green certificate scheme. For the forecasting, the el-certificate market is integrated in the electricity-market model EMPS, which has weekly to hourly time-step length, whereas the planning horizon can be several years. Strategies for the certificate inventory are calculated by stochastic dynamic programming, whereas penalty-rates for non-compliance during the annual settlement of certificates are determined endogenously. In the paper the methodology is described, and we show the performance of the model under different cases that can occur in the el-certificate market. The general results correspond to theoretical findings in previous studies for tradable green certificate markets, in particular that price-scenarios spread out in such a way that the unconditional expected value of certificates is relatively stable throughout the planning period. In addition the presented methodologies allows to assess the actual dynamics of the certificate price due to climatic uncertainty. Finally, special cases are indentified where the certificate price becomes excessively high respectively zero, due the design-specific dynamics of the penalty rate. - Highlights: • A method for forecasting in the Swedish–Norwegian el-certificate market is proposed. • The developed model integrates the el-certificate and the power market. • Banking of certificates and the endogenously calculated penalty rate are included. • The certificate value is calculated using Stochastic-Dynamic-Programming. • Price dynamics due to climatic weather uncertainties are assessed and illustrated

Rethinking exchange market models as optimization algorithms

Science.gov (United States)

Luquini, Evandro; Omar, Nizam

2018-02-01

The exchange market model has mainly been used to study the inequality problem. Although the human society inequality problem is very important, the exchange market models dynamics until stationary state and its capability of ranking individuals is interesting in itself. This study considers the hypothesis that the exchange market model could be understood as an optimization procedure. We present herein the implications for algorithmic optimization and also the possibility of a new family of exchange market models

Improved Methods for Predicting Property Prices in Hazard Prone Dynamic Markets

NARCIS (Netherlands)

de Koning, Koen; Filatova, Tatiana; Bin, Okmyung

Property prices are affected by changing market conditions, incomes and preferences of people. Price trends in natural hazard zones may shift significantly and abruptly after a disaster signalling structural systemic changes in property markets. It challenges accurate market assessments of property

Market response to external events and interventions in spherical minority games

International Nuclear Information System (INIS)

Papadopoulos, P; Coolen, A C C

2008-01-01

We solve the dynamics of large spherical minority games (MG) in the presence of non-negligible time-dependent external contributions to the overall market bid. The latter represent the actions of market regulators or other major natural or political events that impact on the market. In contrast to non-spherical MGs, the spherical formulation allows one to derive closed dynamical order parameter equations in an explicit form and work out the market's response to such events fully analytically. We focus on a comparison between the response to stationary versus oscillating market interventions, and reveal profound and partially unexpected differences in terms of transition lines and the volatility

Elements of decisional dynamics: An agent-based approach applied to artificial financial market

Science.gov (United States)

Lucas, Iris; Cotsaftis, Michel; Bertelle, Cyrille

2018-02-01

This paper introduces an original mathematical description for describing agents' decision-making process in the case of problems affected by both individual and collective behaviors in systems characterized by nonlinear, path dependent, and self-organizing interactions. An application to artificial financial markets is proposed by designing a multi-agent system based on the proposed formalization. In this application, agents' decision-making process is based on fuzzy logic rules and the price dynamics is purely deterministic according to the basic matching rules of a central order book. Finally, while putting most parameters under evolutionary control, the computational agent-based system is able to replicate several stylized facts of financial time series (distributions of stock returns showing a heavy tail with positive excess kurtosis, absence of autocorrelations in stock returns, and volatility clustering phenomenon).

The Interval Stability of an Electricity Market Model

Directory of Open Access Journals (Sweden)

Weijuan Wang

2014-01-01

Full Text Available Combined with the electric power market dynamic model put forward by Alvarado, an interval model of electricity markets is established and investigated in this paper pertaining to the range of demand elasticity with suppliers and consumers. The stability of an electricity market framework with demand elasticity interval is analyzed. The conclusions characterizing the interval model provided are derived by constructing a suitable Lyapunov function and using the theory of interval dynamical system in differential equations and matrix inequality theory and so forth. Applying the corollary obtained can judge the system stability by available data about demand elasticity. The obtained results are validated and illustrated by a case example.

ECONOMIC ANALYSIS ON MARKET POTENTIAL OF ETHIOPIAN RURAL MARKET

Directory of Open Access Journals (Sweden)

Shiferaw-Mitiku T.

2014-08-01

Full Text Available Ethiopia has taken great strides to reduce poverty and increase the welfare of its largely rural, agricultural-based population. Ethiopia, a country with rural based economy mainly from Agriculture sector which contributed with the range of 42.5 percent to 67.25 percent of the GDP for the past two decades (1990-2012. Similarly, the percentage of Rural population against the total population of the country accounts a larger coverage; with 87.38 percent for the year 1990, 85.26percent during 2000 and 82.46 percent for the year 2013. There is a steadfast growth in the total rural population from 41 million in 1990 and reached to 77.59 million in 2013 with average annual percentage growth rate of 2.8 for the past twenty three years. Very importantly, the major exportable products of the country is generated from the marketing of Agricultural produce such as coffee, khat, live animals, oilseeds, flowers, sesame, and also leather products. Above all, the consumption pattern and preference of rural consumer is changing due to the dynamic nature of marketing. However, marketers are failing to reach this largest target market of the population. This is mainly because, marketers are focusing on designing a product for urban market and when it becomes obsolete, it moves to the rural market. Indeed, it is unethical to override the marketing preference of the rural consumer. Recognizing the marketing requirements of the majority of the population would helps to bring a vibrant economic impact in the development of the nation. The present paper highlighted the major challenges and opportunities of Rural Marketing in Ethiopia, identified ways to explore the untapped Ethiopian Rural Market and identified possible recommendations and policy implications that would help to bring an improved development in the rural Ethiopia. Accordingly, the present article seeks the attention of Policy makers, Investors, Higher education curriculum developers and marketers to

A dynamic model of the marriage market-Part 2: simulation of marital states and application to empirical data.

Science.gov (United States)

Matthews, A P; Garenne, M L

2013-09-01

A dynamic, two-sex, age-structured marriage model is presented. Part 1 focused on first marriage only and described a marriage market matching algorithm. In Part 2 the model is extended to include divorce, widowing, and remarriage. The model produces a self-consistent set of marital states distributed by age and sex in a stable population by means of a gender-symmetric numerical method. The model is compared with empirical data for the case of Zambia. Furthermore, a dynamic marriage function for a changing population is demonstrated in simulations of three hypothetical scenarios of elevated mortality in young to middle adulthood. The marriage model has its primary application to simulation of HIV-AIDS epidemics in African countries. Copyright © 2013 Elsevier Inc. All rights reserved.

Relationship Marketing and Customer Satisfaction: A Conceptual Perspective

OpenAIRE

Deborah O. Aka; Oladele J. Kehinde; Olaleke O. Ogunnaike

2016-01-01

This article examined the existing body of literature on transaction and relationship marketing. The specific objectives were to develop a conceptual framework to establish the relationship between relationship marketing and customer satisfaction and to examine the components of relationship marketing on the present ever dynamic world of business. The study identified relationship marketing variables and their impact on customer satisfaction. The framework aimed to provide insights into the s...

Using the decentralized and liberalized electricity market microworld (LEMM) as an educational tool

International Nuclear Information System (INIS)

Pasaoglu, Guezay

2011-01-01

Decentralized and liberalized electricity market involves a great deal of interdisciplinary concepts, including economic, commercial, environmental and technological issues. Consequently, the system is complicated. Accordingly, nowadays introductory courses focusing on the electricity market dynamics have been added to the curriculum at many universities. However, as the electricity market dynamics are complicated, it is not straightforward for students to understand. A teaching tool to assist students to better understand strategic behaviors in the market is thus in high demand. Due to these reasons, Liberalized Electricity Market Microworld (LEMM), incorporating a system dynamics based simulation model, is developed. The LEMM's contribution to the students learning and understanding of the decentralized and liberalized electricity market dynamics have been explored by organizing game sessions with the LEMM for totally 49 students who participated in 'Energy Policy and Planning' course in Bogazici University. The findings obtained from the exploratory study reveal that the students improved their understanding of the liberalized and decentralized electricity market through the game session with the LEMM. In this paper, the general characteristics of the LEMM and the underlying model are presented, the microworlds', particularly the LEMM's potential contribution to learning and teaching is discussed. - Research highlights: → LEMM describes realistically the dynamics of liberalized and decentralized electricity markets. → LEMM is a system dynamics based microworld used as a teaching tool in universities. → The study reveals that student's learning and understanding improves significantly using LEMM. → Future target groups of the LEMM are energy policy makers and decision makers. → To improve the performance of the training, microworld based game sessions should be used.

The dynamics of risk premiums in Nord Pool's futures market

International Nuclear Information System (INIS)

Mork, E.

2006-01-01

Premiums in futures prices are usually considered through the use of 2 models: a no-arbitrage model; and the equilibrium approach or theory of normal backwardation. The no-arbitrage approach equates futures prices with spot prices, storage costs and convenience yields, and is difficult to apply to electricity markets. This paper investigated future electricity prices in Nord Pool's futures market using an equilibrium approach, which split futures prices into an expected spot price component and a risk premium component. Three main hypotheses were used: (1) that risk premiums were present in the Nord Pool futures market during the period 1997-2004; that risk premiums in the Nord Pool futures market were smaller or absent during the period of 2000 to 2002; and, that there was a significant change in risk premiums in Nord Pool's futures market after the winter of 2002-2003 due to a change in consumer hedging behaviour. Futures prices were compared to realized spot prices in their delivery periods in order to test the hypotheses. In order to estimate the futures premiums, a 1-sample test was performed on the entire period for 1, 30, 60, and 90 days before delivery of the block or month contract. The test employed the null hypothesis that the futures premiums were 0. Premiums were positive and varied between 3.7 per cent and 9.3 per cent. The purpose of the study was to determine whether risk premiums were present. Results showed that risk premiums varied over time. Two additional hypotheses were then investigated to examine whether the presence of outside speculators reduced risk premiums, and to see if a period of high prices and volatility caused more buyers to hedge in the futures market. Results showed that in the face of volatility and higher prices, consumers do not purchase fixed-price contracts which would ultimately increase futures premiums in the market. It was concluded that premiums are an important element in the pricing of Nord Pool futures and forwards

Market dynamics of biomass fuel in California

International Nuclear Information System (INIS)

Delaney, W.F.; Zane, G.A.

1991-01-01

The California market for biomass fuel purchased by independent power producers has grown substantially since 1980. The PURPA legislation that based power purchase rates upon the 'avoided cost' of public utilities resulted in construction of nearly 900 Megawatts of capacity coming online by 1991. Until 1987, most powerplants were co-sited at sawmills and burned sawmill residue. By 1990 the installed capacity of stand-alone powerplants exceeded the capacity co-sited at wood products industry facilities. The 1991 demand for biomass fuel is estimated as 6,400,000 BDT. The 1991 market value of most biomass fuel delivered to powerplants is from $34 to $47 per BDT. Biomass fuel is now obtained from forest chips, agriculture residue and urban wood waste. The proportion of biomass fuel from the wood products industry is expected to decline and non-traditional fuels are expected to increase in availability

Evolution of FX Markets via Globalization of Capital

Science.gov (United States)

McCauley, Joseph L.

This paper is about money, and why today's foreign exchange (FX) markets are unstable. According to the literature [1], FX markets were fundamentally different before and after WW I. Any attempt to discuss this topic within standard economic theory necessarily fails because money/liquidity/uncertainty is completely excluded from that theory [2]. Fortunately, our market dynamics models adequately serve our purpose. Eichengreen [1] has presented a stimulating history of the evolution of FX markets from the gold standard of the late nineteenth century through the Bretton Woods Agreement (post WWII-1971) and later the floating currencies of our present market deregulation era (1971-present). He asserts a change from stability to instability over the time interval of WWI. Making his argument precise, we describe how speculators could have made money systematically from a market in statistical equilibrium. The present era normal liquid FX markets are in contrast very hard, to a first approximation impossible, to beat, and consequently are described as `martingales'. The ideas of martingales and options/hedging were irrelevant in the pre-WWI era. I end my historical discussion with the empirical evidence for the stochastic model that describes FX market dynamics quantitatively accurately during the last 7-17 years [3].

Universality of measurements on quantum markets

Science.gov (United States)

Pakuła, Ireneusz; Piotrowski, Edward W.; Sładkowski, Jan

2007-11-01

Two of the authors have recently discussed financial markets operated by quantum computers-quantum market games. These “new markets” cannot by themselves create opportunity of making extraordinary profits or multiplying goods, but they may cause the dynamism of transaction which would result in more effective markets and capital flow into hands of the most efficient traders. Here we focus upon the problem of universality of measurement in quantum market games offering a possible method of implementation if the necessary technologies would be available. It can be also used to analyse material commitments that elude description in orthodox game-theoretic terms.

Regional labour market dynamics in the Netherlands

NARCIS (Netherlands)

Broersma, Lourens; van Dijk, J.

This article analyzes the response of regional labor markets in the Netherlands to region-specific labor demand shocks. Previous studies show remarkable differences in response between regions in European countries and regions in the United States. The analysis shows that, in Dutch regions, the

Effect of repeat purchase and dynamic market size on diffusion of an innovative technological consumer product in a segmented market

DEFF Research Database (Denmark)

Aggarwal, S.; Gupta, A.; Govindan, K.

2014-01-01

creates a spectrum effect in market with an aim to create wider product awareness and influence the market size. Whereas the differentiated promotion strategy plays major role in external influence component in the respective segment and target for adoption by the current potential segment. Previous......This study develops diffusion models for technological consumer products under the marketing environment when a product is marketed in a segmented market and observes two distinctive promotional strategies of mass and differentiated promotion; an under explored study area. Mass promotion strategy...... studies on segmented diffusion models assumed only first time purchase and constant market size which may yield underestimated results and fail to give appropriate insight of the diffusion process. The study develops and validates generalized diffusion models for segmented market incorporating...

Coupled effects of market impact and asymmetric sensitivity in financial markets

Science.gov (United States)

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

2013-05-01

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

Novel indexes based on network structure to indicate financial market

Science.gov (United States)

Zhong, Tao; Peng, Qinke; Wang, Xiao; Zhang, Jing

2016-02-01

There have been various achievements to understand and to analyze the financial market by complex network model. However, current studies analyze the financial network model but seldom present quantified indexes to indicate or forecast the price action of market. In this paper, the stock market is modeled as a dynamic network, in which the vertices refer to listed companies and edges refer to their rank-based correlation based on price series. Characteristics of the network are analyzed and then novel indexes are introduced into market analysis, which are calculated from maximum and fully-connected subnets. The indexes are compared with existing ones and the results confirm that our indexes perform better to indicate the daily trend of market composite index in advance. Via investment simulation, the performance of our indexes is analyzed in detail. The results indicate that the dynamic complex network model could not only serve as a structural description of the financial market, but also work to predict the market and guide investment by indexes.

MARKETING CONCEPT - MODERN VISION FOR TOURISM DEVELOPMENT

OpenAIRE

Marius BOIŢĂ

2014-01-01

Nowadays marketing appears to be the result of long efforts of generalization and reflection of economical theory regarding marketing practice that has emerged and developed as a consequence of contemporary social and economic dynamism. Through the implementation of an effective marketing system and modern Romanian tourism, constantly improving quality performance of products or services will be provided towards achieving a performing tourism. The recent ongoing development of touris...

Using the Process of Disruption to Find New Markets and to Develop New Marketing Programs for Management Education

Science.gov (United States)

Somers, Mark John

2009-01-01

The market for management education has grown rapidly over the past 40 years. However, increasing competition stemming from new entrants such as for-profit universities and from the globalization of management education have changed the dynamics of the market thereby presenting business schools with difficult challenges. The process of disruption…

Herding, minority game, market clearing and efficient markets in a simple spin model framework

Science.gov (United States)

Kristoufek, Ladislav; Vosvrda, Miloslav

2018-01-01

We present a novel approach towards the financial Ising model. Most studies utilize the model to find settings which generate returns closely mimicking the financial stylized facts such as fat tails, volatility clustering and persistence, and others. We tackle the model utility from the other side and look for the combination of parameters which yields return dynamics of the efficient market in the view of the efficient market hypothesis. Working with the Ising model, we are able to present nicely interpretable results as the model is based on only two parameters. Apart from showing the results of our simulation study, we offer a new interpretation of the Ising model parameters via inverse temperature and entropy. We show that in fact market frictions (to a certain level) and herding behavior of the market participants do not go against market efficiency but what is more, they are needed for the markets to be efficient.

Rethinking Marketing for Sustainable Competitive Advantages

Directory of Open Access Journals (Sweden)

Akın KOÇAK

2012-12-01

Full Text Available When formal marketing thought developed in the early 1900s, dominant perspective of marketing was about taking things “to market”. After 1950 marketing thought moved to a “market to” orientation. This orientation reflects “product dominant logic”. After radical changes in information technology, knowledge asymmetry between firm and customer is decreased and customer becomes operant resource instead of a resource to be acted on. Therefore, new marketing paradigm has been emerged and main focus moved from “value in exchange” to “value in use” and customer becomes collaborative partner. Firm can only provide value proposition. New definition of marketing comprises “customer relationship”, “share holders”, and “value creation”. Apart from evolving of marketing thought, theories of competitive advantages have been also change form industry perspective to internal resource and dynamic capabilities.

From Market Uncertainty to Policy Uncertainty for Investment in Power Generation: Real Options for NPP on Electricity Market

International Nuclear Information System (INIS)

Tomsic, Zeljko

2014-01-01

In the electricity sector, market participants must make decisions about capacity choice in a situation of radical uncertainty about future market conditions. Sector is normally characterised by non-storability and periodic and stochastic demand fluctuations. In these cases capacity determination is a decision for the long term, whereas production is adjusted in the short run. Capacities need to be installed well in advance (decision for investment even earlier because of long construction time and even longer in case of NPP to prepare all needed legal, financial and physical infrastructure), at times when firms face considerable demand and cost uncertainty when choosing their capacity. Paper looks on the main contributions in investment planning under uncertainty, in particular in the electricity market for capital intensive investments like NPP. The relationship between market and non-market factors (recent UK policy example) in determining investment signals in competitive electricity markets was analysed. Paper analyse the ability of competitive electricity markets to deliver the desired quantity and type of generation capacity and also investigates the variety of market imperfections operating in electricity generation and their impact on long-term dynamics for generation capacity, the most capital-intensive of the liberalised functions in the electricity supply industry. Paper analyses how price formation influences investment signals. Today, investment decisions are made by several operators that act independently. Number of factors (including market power, wholesale price volatility, lack of liquidity in the wholesale and financial market, policy and regulatory risks etc.) contribute to polluting the price signal and generating sub-optimal behaviour. Climate change policies can easily distort market signals, insulating renewables generation from market dynamics. This in turn reduces the proportion of the market that is effectively opened to competitive

East Asian Capital Markets: Integration and Convergence

Directory of Open Access Journals (Sweden)

Yana Valeryevna Dyomina

2016-09-01

Full Text Available The article examines the interdependence of East Asian stock and bond markets. Hierarchical cluster analysis of bond markets of ten regional countries shows that the most similar ones are the following: Indonesia, Malaysia, the Philippines and Singapore. In 2006-2009 Thailand also belonged with this group, however, since 2010 it is a separate cluster. The second cluster includes Hong Kong, the Republic of Korea and China, the third one - Japan, the fourth one - Vietnam. As for regional equity markets, the study shows that regional stock indices respond to the dynamics of American ones to a greater extent than to the dynamics of each other. In addition, Asian indices’ interconnection is chiefly negative. To assess stock indices’ convergence the author employs cluster analysis which divides 16 studied stock exchanges in 7 different groups. According to the obtained results, the author concludes that integration of regional capital markets is the long-term goal. Besides, markets’ integration will be easier and faster within clusters; inter-cluster mergers will be the next step. The basic problem here arises from the Japanese market, which, in the case of forced or ill-conceived program of events, will absorb all other markets or end up outside the integration processes

MARKETING CONCEPT - MODERN VISION FOR TOURISM DEVELOPMENT

Directory of Open Access Journals (Sweden)

Marius BOIŢĂ

2014-12-01

Full Text Available Nowadays marketing appears to be the result of long efforts of generalization and reflection of economical theory regarding marketing practice that has emerged and developed as a consequence of contemporary social and economic dynamism. Through the implementation of an effective marketing system and modern Romanian tourism, constantly improving quality performance of products or services will be provided towards achieving a performing tourism. The recent ongoing development of tourism, vast global expansion, the development of tourism in tourist reception structures by applying a suitable marketing will increase the tourism potential consumer’s satisfaction. In order to obtain a sustainable position in the tourism market and tourism companies must address complex marketing plan strategies.

Spanish generation market: structure, design and results

International Nuclear Information System (INIS)

Agosti, L.; Padilla, A. J.; Requejo, A.

2007-01-01

This paper provides an overview of the structure, design and outcome of the Spanish generation market from 1998, when the market was liberalised, to date. More precisely, this paper reviews the history of the liberalisation process; describes the structure of the generation market and its evolution over time; analyses the existence of market power; and evaluates the outcome of the liberalisation process from the viewpoint of its impact on al locative efficiency, productive efficiency and dynamic efficiency. The paper concludes with a brief summary of recent regulatory reforms. (Author)

Ising model of financial markets with many assets

Science.gov (United States)

Eckrot, A.; Jurczyk, J.; Morgenstern, I.

2016-11-01

Many models of financial markets exist, but most of them simulate single asset markets. We study a multi asset Ising model of a financial market. Each agent has two possible actions (buy/sell) for every asset. The agents dynamically adjust their coupling coefficients according to past market returns and external news. This leads to fat tails and volatility clustering independent of the number of assets. We find that a separation of news into different channels leads to sector structures in the cross correlations, similar to those found in real markets.

The Market Myth

Directory of Open Access Journals (Sweden)

Tomas Björkman

2016-05-01

Full Text Available The Market can be understood as a self-organizing system that is constantly evolving. Like all social institutions, it is governed by principles and rules created by society, not by any universal laws of nature. If it does not work the way we want it to, we have the power and freedom to change its rules. However, prevailing notions about the market are veiled in myth. Many have argued that there is a vast gap between economic models of how the market is assumed to work and how it actually functions, but there is also a gap between the way it now functions and alternative possible ways it could be structured to more effectively promote social welfare and equity. ‘Unveiling the myth’ is therefore necessary to alter its enduring influence on us, for the betterment of humanity. Some have referred to this myth as ‘neoliberalism’, but this is not the emphasis here. The point, rather, is to show that understanding theories and models of the market in terms of the seven myths discussed in this article allows us to change the constitutive rules of the market and radically improve the pre-distribution of social benefits while preserving the dynamic freedom of the market, thus limiting the need for regulating rules.

Consumer Online Search and New-Product Marketing

Science.gov (United States)

Kim, Ho

2013-01-01

This dissertation contains three essays that study the implications of online search activity for new-product marketing. Using the U.S. motion picture industry as a test case, the first essay examines the dynamic causal relationship between traditional media, consumers' media generation activity, media consumption activity, and market demand…

Switching between Domestic Market Activity, Export and FDI

DEFF Research Database (Denmark)

Hiller, Sanne; Yalcin, Erdal

-concentration trade-off with a stochastic productivity evolution, we analyze the transition dynamics between domestic market serving, exporting and FDI. We find that a stochastic productivity development generates hysteresis, and thereby confirm a general real option result. Market serving mode switching is driven...

Long-range correlations and asymmetry in the Bitcoin market

Science.gov (United States)

Alvarez-Ramirez, J.; Rodriguez, E.; Ibarra-Valdez, C.

2018-02-01

This work studies long-range correlations and informational efficiency of the Bitcoin market for the period from June 30, 2013 to June 3rd, 2017. To this end, the detrended fluctuation analysis (DFA) was implemented over sliding windows to estimate long-range correlations for price returns. It was found that the Bitcoin market exhibits periods of efficiency alternating with periods where the price dynamics are driven by anti-persistence. The pattern is replicated by prices samples at day, hour and second frequencies. The Bitcoin market also presents asymmetric correlations with respect to increasing and decreasing price trending, with the former trend linked to anti-persistence of returns dynamics.

Supply based on demand dynamical model

Science.gov (United States)

Levi, Asaf; Sabuco, Juan; Sanjuán, Miguel A. F.

2018-04-01

We propose and numerically analyze a simple dynamical model that describes the firm behaviors under uncertainty of demand. Iterating this simple model and varying some parameter values, we observe a wide variety of market dynamics such as equilibria, periodic, and chaotic behaviors. Interestingly, the model is also able to reproduce market collapses.

Self-consistency in Capital Markets

Science.gov (United States)

Benbrahim, Hamid

2013-03-01

Capital Markets are considered, at least in theory, information engines whereby traders contribute to price formation with their diverse perspectives. Regardless whether one believes in efficient market theory on not, actions by individual traders influence prices of securities, which in turn influence actions by other traders. This influence is exerted through a number of mechanisms including portfolio balancing, margin maintenance, trend following, and sentiment. As a result market behaviors emerge from a number of mechanisms ranging from self-consistency due to wisdom of the crowds and self-fulfilling prophecies, to more chaotic behavior resulting from dynamics similar to the three body system, namely the interplay between equities, options, and futures. This talk will address questions and findings regarding the search for self-consistency in capital markets.

Socioeconomic dynamic in market practices of family farmers Chapecó (SC

Directory of Open Access Journals (Sweden)

Hieda Maria Pagliosa Corona

2018-01-01

Full Text Available In this article the central objective is to understand the fair as a strategic space for the survival of family farming, going beyond the issue of market integration. Field research was conducted in two main fairs in the city of Chapeco/SC, divided into two stages: a study of the characteristics of the market traders, through the interview based on a form with open and closed questions 63 hawkers responsible posts; and interviews from semi-structured questions with 28 families, who met the exigencies of family farmers and are marketer Chapecó residents. The collected data are presented in tabular summaries and analysis followed the content analysis parameters. The results demonstrate the importance of local farmers market vendors not only as a space for marketing of products, but as a social construction of space that are current interconhecimento relations, reciprocity and the relative autonomy of the food hegemonic system.

Creating markets for efficient technologies by establishment of strategic niche markets

International Nuclear Information System (INIS)

Wene, Clas-Otto; Nilsson, Hans

2003-01-01

Creation of markets for more efficient technologies requires careful targeting of actors that have an interest in driving the process further. Such will both reduce the resources needed and make use of the actors self-interest for development and thus uphold the learning process. This is done by identification of strategic niche markets (SNM) where those suppliers and users, that have the biggest interest and benefit of the change will act. Both the identification and the development is a dynamic process that is better designed and operated by use of a triangulation method introduced by the IEA in its recent work

Policy interactions, risk and price formation in carbon markets

International Nuclear Information System (INIS)

Blyth, William; Bunn, Derek; Kettunen, Janne; Wilson, Tom

2009-01-01

Carbon pricing is an important mechanism for providing companies with incentives to invest in carbon abatement. Price formation in carbon markets involves a complex interplay between policy targets, dynamic technology costs, and market rules. Carbon pricing may under-deliver investment due to R and D externalities, requiring additional policies which themselves affect market prices. Also, abatement costs depend on the extent of technology deployment due to learning-by-doing. This paper introduces an analytical framework based on marginal abatement cost (MAC) curves with the aim of providing an intuitive understanding of the key dynamics and risk factors in carbon markets. The framework extends the usual static MAC representation of the market to incorporate policy interactions and some technology cost dynamics. The analysis indicates that supporting large-scale deployment of mature abatement technologies suppresses the marginal cost of abatement, sometimes to zero, whilst increasing total abatement costs. However, support for early stage R and D may reduce both total abatement cost and carbon price risk. An important aspect of the analysis is in elevating risk management considerations into energy policy formation, as the results of the stochastic modelling indicate wide distributions for the emergence of carbon prices and public costs around the policy expectations. (author)

Style investing: behavioral explanations of stock market anomalies

OpenAIRE

Wouters, T.

2006-01-01

Abstract PhD-project The aim of this thesis is to explore the mechanisms of style investing. My project consists of two parts, each with an individual goal: 1. The first objective will be to analyze the implications of the dynamics of value and growth strategies for the US stock market. 2. The second objective will be to find explanations for stock returns by introducing the effects of collective preferences of investors into the dynamics of stock markets. We introduce style popularity as an ...

Scaling Exponents in Financial Markets

Science.gov (United States)

Kim, Kyungsik; Kim, Cheol-Hyun; Kim, Soo Yong

2007-03-01

We study the dynamical behavior of four exchange rates in foreign exchange markets. A detrended fluctuation analysis (DFA) is applied to detect the long-range correlation embedded in the non-stationary time series. It is for our case found that there exists a persistent long-range correlation in volatilities, which implies the deviation from the efficient market hypothesis. Particularly, the crossover is shown to exist in the scaling behaviors of the volatilities.

Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets

International Nuclear Information System (INIS)

Lu, Fengbin; Qiao, Han; Wang, Shouyang; Lai, Kin Keung; Li, Yuze

2017-01-01

This paper proposes a new time-varying coefficient vector autoregressions (VAR) model, in which the coefficient is a linear function of dynamic lagged correlation. The proposed model allows for flexibility in choices of dynamic correlation models (e.g. dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (GARCH) models, Markov-switching GARCH models and multivariate stochastic volatility models), which indicates that it can describe many types of time-varying causal effects. Time-varying causal relations between West Texas Intermediate (WTI) crude oil and the US Standard and Poor’s 500 (S&P 500) stock markets are examined by the proposed model. The empirical results show that their causal relations evolve with time and display complex characters. Both positive and negative causal effects of the WTI on the S&P 500 in the subperiods have been found and confirmed by the traditional VAR models. Similar results have been obtained in the causal effects of S&P 500 on WTI. In addition, the proposed model outperforms the traditional VAR model.

Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets

Energy Technology Data Exchange (ETDEWEB)

Lu, Fengbin, E-mail: fblu@amss.ac.cn [Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190 (China); Qiao, Han, E-mail: qiaohan@ucas.ac.cn [School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190 (China); Wang, Shouyang, E-mail: sywang@amss.ac.cn [School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190 (China); Lai, Kin Keung, E-mail: mskklai@cityu.edu.hk [Department of Management Sciences, City University of Hong Kong (Hong Kong); Li, Yuze, E-mail: richardyz.li@mail.utoronto.ca [Department of Industrial Engineering, University of Toronto (Canada)

2017-01-15

This paper proposes a new time-varying coefficient vector autoregressions (VAR) model, in which the coefficient is a linear function of dynamic lagged correlation. The proposed model allows for flexibility in choices of dynamic correlation models (e.g. dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (GARCH) models, Markov-switching GARCH models and multivariate stochastic volatility models), which indicates that it can describe many types of time-varying causal effects. Time-varying causal relations between West Texas Intermediate (WTI) crude oil and the US Standard and Poor’s 500 (S&P 500) stock markets are examined by the proposed model. The empirical results show that their causal relations evolve with time and display complex characters. Both positive and negative causal effects of the WTI on the S&P 500 in the subperiods have been found and confirmed by the traditional VAR models. Similar results have been obtained in the causal effects of S&P 500 on WTI. In addition, the proposed model outperforms the traditional VAR model.

Incomplete Financial Markets and Jumps in Asset Prices

DEFF Research Database (Denmark)

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

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

Are Foreign Institutional Investors Good for Emerging Markets?

OpenAIRE

Frenkel, Michael; Menkhoff, Lukas

2003-01-01

Portfolio flows channeled via institutional investors were the most dynamic capital flows to emerging markets in the 1990s. We use an asymmetric information framework to derive five propositions, to integrate empirical evidence and to suggest policy implications. Opaque information in emerging markets hinders foreign market entrants. Moreover, following financial opening, institutional investors can worsen the position of local investors due to unintentionally creating unbalanced diversificat...

Advanced Modeling of Renewable Energy Market Dynamics: May 2006

Energy Technology Data Exchange (ETDEWEB)

Evans, M.; Little, R.; Lloyd, K.; Malikov, G.; Passolt, G.; Arent, D.; Swezey, B.; Mosey, G.

2007-08-01

This report documents a year-long academic project, presenting selected techniques for analysis of market growth, penetration, and forecasting applicable to renewable energy technologies. Existing mathematical models were modified to incorporate the effects of fiscal policies and were evaluated using available data. The modifications were made based on research and classification of current mathematical models used for predicting market penetration. An analysis of the results was carried out, based on available data. MATLAB versions of existing and new models were developed for research and policy analysis.

HCA Richmond Hospitals' new marketing strategy a winning plan.

Science.gov (United States)

Rees, Tom

2003-01-01

HCA Richmond Hospitals, a five-hospital system in Richmond, Va., is positioning itself as a winner in a highly competitive, healthcare-saturated market since overhauling is marketing strategy a little over a year ago. The marketing strategy enables individual hospital to target their own unique constituencies. "Understanding the intricate marketing dynamics of hospital systems is today of critical importance and equal complexity," said Tony Bejamin, principal of Oxygen Advertising Inc., New York, the agency that remodeled HCA Richmond Hospitals' marketing strategy.