WorldWideScience

Sample records for market price spike

  1. Market News Price Dataset

    Data.gov (United States)

    National Oceanic and Atmospheric Administration, Department of Commerce — Real-time price data collected by the Boston Market News Reporter. The NOAA Fisheries' "Fishery Market News" began operations in New York City on February 14, 1938....

  2. Understanding Price Formation in Electricity Markets

    Science.gov (United States)

    Kadoya, Toshihisa; Sasaki, Tetsuo; Yokoyama, Akihiko; Ihara, Satoru

    The electricity price will influence the future growth and mix of generation capacity that will in turn influence the future electricity price, and therefore, it is important to understand how electricity price is formed as well as its short-term and long-term impacts on the economy. This paper describes evaluation of PJM day-ahead market bidding data and comparison of various electricity markets in terms of the market clearing price and volatility. The objective is to find critical factors and mechanisms determining the movements of electricity price. It was found that speculation by a small number of bidders can cause price spikes, that a Nash equilibrium may exist during a delayed response of the electricity price to a decline of the fuel price, and that the hydro generation with storage capability effectively stabilizes the electricity price.

  3. The Influence of Temperature on Spike Probability in Day-Ahead Power Prices

    NARCIS (Netherlands)

    R. Huisman (Ronald)

    2007-01-01

    textabstractIt is well known that day-ahead prices in power markets exhibit spikes. These spikes are sudden increases in the day-ahead price that occur because power production is not flexible enough to respond to demand and/or supply shocks in the short term. This paper focuses on how temperature i

  4. Customizing Prices in Online Markets

    OpenAIRE

    Reinartz, Werner

    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.

  5. TOURISM MARKET: PRICING ISSUES

    Directory of Open Access Journals (Sweden)

    Irina A. Kiseleva

    2016-01-01

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

  6. Grain price spikes and beggar-thy-neighbor policy responses

    DEFF Research Database (Denmark)

    Boysen, Ole; Jensen, Hans Grinsted

    Upward spikes in the international price of food in recent years led some countries to raise export barriers, thereby exacerbating both the price spike and reducing the terms of trade for food-importing countries (beggaring their neighbors). At the same time, and for similar political......-economy reasons, numerous food-importing countries reduced or suspended their import tariffs, and some even provided food import subsidies -- which also exacerbated the international price spike, thus turning the terms of trade even further against food-importing countries. This issue became a major item...... on the agenda of various international policy fora, including the annual meetings of G20 countries in recent years. For that reason, recent studies have attempted to quantify the extent to which such policy actions contributed to the rise in food prices. A study by Jensen & Anderson (2014) uses the global AGE...

  7. Price Strategies in Banking Marketing

    Directory of Open Access Journals (Sweden)

    Iuliana Cetina

    2007-01-01

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

  8. Option price and market instability

    Science.gov (United States)

    Baaquie, Belal E.; Yu, Miao

    2017-04-01

    An option pricing formula, for which the price of an option depends on both the value of the underlying security as well as the velocity of the security, has been proposed in Baaquie and Yang (2014). The FX (foreign exchange) options price was empirically studied in Baaquie et al., (2014), and it was found that the model in general provides an excellent fit for all strike prices with a fixed model parameters-unlike the Black-Scholes option price Hull and White (1987) that requires the empirically determined implied volatility surface to fit the option data. The option price proposed in Baaquie and Cao Yang (2014) did not fit the data during the crisis of 2007-2008. We make a hypothesis that the failure of the option price to fit data is an indication of the market's large deviation from its near equilibrium behavior due to the market's instability. Furthermore, our indicator of market's instability is shown to be more accurate than the option's observed volatility. The market prices of the FX option for various currencies are studied in the light of our hypothesis.

  9. Modeling spot markets for electricity and pricing electricity derivatives

    Science.gov (United States)

    Ning, Yumei

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

  10. Distributional impacts of the 2008 global food price spike in Vietnam

    DEFF Research Database (Denmark)

    McKay, Andy; Tarp, Finn

    Agriculture and food cultivation production remains a key sector in the Vietnamese economy in terms of productive activities, income generation, and national export earnings. Higher world market prices should therefore in principle have a beneficial impact on rural farmers. This is based however...... on the assumption that world prices are transmitted and that farmers have the capacity to respond. In addition, many poorer farm households may be net consumers. Using data from the Vietnam Access to Resources Household Survey (VARHS) and the Vietnam Household Living Standard Survey (VHLSS) combined with available...... macro-data, this paper investigates how global price changes appear to have impacted on rural welfare in Vietnam during 2006-12. In this paper we study the case of rice in Vietnam, in the context of the 2008 food price spike. We analyse the responses of domestic producer and consumer prices, and discuss...

  11. Capture market share, raise prices

    Directory of Open Access Journals (Sweden)

    Robbins RA

    2015-08-01

    Full Text Available No abstract available. Article truncated after 150 words. Two principles in medical economics central to the Affordable Care Act (ACA were dealt blows by recently published studies. The first principle is the belief that economies of scale will result in lower prices. The theory is that larger insurers will have lower prices because they are more administratively efficient. The second principle is that provider-owned health plans, usually hospitals, will reduce premiums. The theory is that by controlling doctors over charging health plans in a fee-for-service model will lower prices. The first study published in Technology Science found that the largest insurer in each of the states served by HealthCare.gov raised their prices in 2015 by an average of over 10 per cent compared to smaller competitors in the same market (1. Those steeper price hikes for monthly premiums did not seem warranted by the level of health claims which did not significantly differ as a percentage of premiums ...

  12. Considerations regarding price in oligopolistic structured markets

    Directory of Open Access Journals (Sweden)

    Ciobanu, R.

    2011-01-01

    Full Text Available Economists report price rigidity in markets with oligopolistic structures, while explaining the phenomenon. If an oligopolistic firm raises prices, other prices will remain stable in oligopolistic firms, so we will see a significant decrease in sales volume in the firm which increased prices. To avoid this situation an oligopolistic company will not initiate price increases. If oligopolistic firms lower prices, other oligopolistic firms will reduce prices promptly and the result will be that of lower volume of sales - will sell the same physical volume of goods but at a lower price. To avoid this situation, the company will not initiate oligopolistic price decreases.

  13. Pricing General Insurance in a Competitive Market

    OpenAIRE

    Burcã Ana-Maria; Bãtrînca Ghiorghe

    2012-01-01

    In insurance industry, the lack of a proper pricing policy will generate suboptimal results. The price has to be competitive and actuarially adequate in order to reflect the dimension of risk. In a competitive market, the pricing policy of insurance companies acquires the capacities of a dynamic process. In this pricing war, the insurance company must analyze each component of pricing. Insurance companies use various statistical methods to set prices, taking in consideration the interaction b...

  14. Grain price spikes and beggar-thy-neighbor policy responses

    DEFF Research Database (Denmark)

    Jensen, Hans Grinsted; Anderson, Kym

    have assessed the extent to which those policies contributed to the 2006-08 international price rise, but only by focusing on one commodity or using a back-of-the envelope (BOTE) method. This paper provides a more-comprehensive analysis using a global economy-wide model that is able to take account...... of the interactions between markets for farm products that are closely related in production and/or consumption, and able to estimate the impacts of those insulating policies on grain prices and on the grain trade and economic welfare of the world’s various countries. Our results support the conclusion from earlier...

  15. Price volatility in wind dominant electricity markets

    DEFF Research Database (Denmark)

    Farashbashi-Astaneh, Seyed-Mostafa; Chen, Zhe

    2013-01-01

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

  16. Competitive electricity markets, prices and generator entry and exit

    Science.gov (United States)

    Ethier, Robert George

    regime model is preferred to a single regime model, providing an explanation for the observed price spikes in electricity markets. The Markov specification is also supported by econometric tests, suggesting that price spikes persist. The two-regime model produces option values that differ markedly from those generated by a conventional mean reverting model with no stochastic jumps.

  17. PRICE ON THE ORGANIC FOOD MARKET

    Directory of Open Access Journals (Sweden)

    GEORGE ATANASOAIE

    2012-12-01

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

  18. THE PRICE ON THE ORGANIC PRODUCT MARKET

    Directory of Open Access Journals (Sweden)

    ATĂNĂSOAIE GEORGE SEBASTIAN

    2013-08-01

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

  19. U.S. Virgin Islands Petroleum Price-Spike Preparation

    Energy Technology Data Exchange (ETDEWEB)

    Johnson, C.

    2012-06-01

    This NREL technical report details a plan for the U.S. Virgin Islands (USVI) to minimize the economic damage caused by major petroleum price increases. The assumptions for this plan are that the USVI will have very little time and money to implement it and that the population will be highly motivated to follow it because of high fuel prices. The plan's success, therefore, is highly dependent on behavior change. This plan was derived largely from a review of the actions taken and behavior changes made by companies and commuters throughout the United States in response to the oil price spike of 2008. Many of these solutions were coordinated by or reported through the 88 local representatives of the U.S. Department of Energy's Clean Cities program. The National Renewable Energy Laboratory provides technical and communications support for the Clean Cities program and therefore serves as a de facto repository of these solutions. This plan is the first publication that has tapped this repository.

  20. Marketing aspects of consumer price perception

    OpenAIRE

    Tsiligiannis, Georgios

    2009-01-01

    This thesis focuses on two theoretical approaches from the marketing literature: first, the degree to which consumers tend to associate a higher product price with a higher quality (price-perceived quality relationship) and second, the assumption that odd prices (prices set just below the nearest round figure) generate higher than expected demand at that level. The thesis concludes that there seems to exist an overall positive weak correlation between product price and perceived quality, whic...

  1. Interpreting Prediction Market Prices as Probabilities

    OpenAIRE

    Wolfers, Justin; Zitzewitz, Eric

    2006-01-01

    While most empirical analysis of prediction markets treats prices of binary options as predictions of the probability of future events, Manski (2004) has recently argued that there is little existing theory supporting this practice. We provide relevant analytic foundations, describing sufficient conditions under which prediction markets prices correspond with mean beliefs. Beyond these specific sufficient conditions, we show that for a broad class of models prediction market prices are usuall...

  2. Distributions of Nodal Prices in PJM Market

    Science.gov (United States)

    Kunio, Matsumoto; Yoshio, Ichida; Michiko, Makino; Hiroaki, Tanaka

    As the deregulation of electric business proceeds, it is important to analyze the distributions of prices in the power market. In this paper, we analyze the nodal prices of the PJM market, which is representative of power markets in the US. First, we verify Weibull’s property of the distribution of nodal prices. Then we verify Poisson’s property of the interval of loss process.

  3. PRICE TRANSMISSION IN SELECTED MALAYSIAN FRUITS MARKETS

    Directory of Open Access Journals (Sweden)

    Fatimah Mohamed Arshad

    2014-01-01

    Full Text Available The market for fresh produce such as fruits in Malaysia is alleged to be inefficient due to poor flow of information between market levels and uncompetitive market particularly at the wholesale and retail levels. Due to these structural problems, pricing efficiency is questionable, in that they are not integrated. This study intends to examine the cointegration and causality relationships between the farm and retail prices in the Malaysian market of fruits. To that end, the bivariate cointegration approach, using Granger causality tests, is applied. The study uses monthly data from January 2000 through December 2010. The results show that there is evidence of long run bidirectional causal relationship between farm and retail prices for banana and watermelon. However, the analysis revealed a long run unidirectional relationship from farm prices to retail prices with no evidence of reverse or feedback causality running from farm price to retail prices for jackfruit and durian.

  4. From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes

    Science.gov (United States)

    Henkel, Christof

    2017-03-01

    We present an agent behavior based microscopic model that induces jumps, spikes and high volatility phases in the price process of a traded asset. We transfer dynamics of thermally activated jumps of an unexcited/excited two state system discussed in the context of quantum mechanics to agent socio-economic behavior and provide microfoundations. After we link the endogenous agent behavior to price dynamics we establish the circumstances under which the dynamics converge to an Itô-diffusion price processes in the large market limit.

  5. Price Transmission Analysis in Iran Chicken Market

    Directory of Open Access Journals (Sweden)

    Seyed Safdar Hosseini

    2012-12-01

    Full Text Available Over the past three decades vertical price transmissionanalysis has been the subject of considerable attention inapplied agricultural economics. It has been argued that theexistence of asymmetric price transmission generates rents formarketing and processing agents. Retail prices allegedly movefaster upwards than downwards in response to farm level pricemovements. This is an important issue for many agriculturalmarkets, including the Iranian chicken market. Chicken is animportant source of nutrition in Iranian society and many ruralhouseholds depend on this commodity market as a source of income.The purpose of this paper is to analyze the extent, if any,of asymmetric price transmission in Iran chicken market usingthe Houck, Error Correction and Threshold models. The analysisis based on weekly chicken price data at farm and retail levelsover the period October 2002 to March 2006. The results oftests on all three models show that price transmission in Iranianchicken market is long-run symmetric, but short-run asymmetric.Increases in the farm price transmit immediately to the retaillevel, while decreases in farm price transmit relatively moreslowly to the retail level. We conjecture the asymmetric pricetransmission in this market is the result of high inflation ratesthat lead the consumers to expect continual price increases anda different adjustment costs in the upwards direction comparedto the downwards direction for the marketing agents and a noncompetitiveslaughtering industry and that looking for ways tomake this sector of the chicken supply chain more competitivewill foster greater price transmission symmetry and lead towelfare gains for both consumers and agricultural producers.

  6. Changing Prices in a Weak Housing Market

    Institute of Scientific and Technical Information of China (English)

    Xu Dianqing

    2008-01-01

    @@ First, the adjustment in housing prices are in some cases just a regular marketing strategy. Speculation is restrained by macrocontrol policies, which naturally slows down a price increase.It is also predictable that some unreasonably high prices will need to be readjusted.

  7. Constructing forward price curves in electricity markets

    DEFF Research Database (Denmark)

    Fleten, S.-E.; Lemming, Jørgen Kjærgaard

    2003-01-01

    We present and analyze a method for constructing approximated high-resolution forward price curves in electricity markets. Because a limited number of forward or futures contracts are traded in the market, only a limited picture of the theoretical continuous forward price curve is available...

  8. Edgeworth Price Cycles, Cost-based Pricing and Sticky Pricing in Retail Gasoline Markets

    OpenAIRE

    Noel, Michael

    2004-01-01

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

  9. Global Phosphorus Fertilizer Market and National Policies: A Case Study Revisiting the 2008 Price Peak.

    Science.gov (United States)

    Khabarov, Nikolay; Obersteiner, Michael

    2017-01-01

    The commodity market super-cycle and food price crisis have been associated with rampant food insecurity and the Arab spring. A multitude of factors were identified as culprits for excessive volatility on the commodity markets. However, as it regards fertilizers, a clear attribution of market drivers explaining the emergence of extreme price events is still missing. In this paper, we provide a quantitative assessment of the price spike of the global phosphorus fertilizer market in 2008 focusing on diammonium phosphate (DAP). We find that fertilizer market policies in India, the largest global importer of phosphorus fertilizers and phosphate rock, turned out to be a major contributor to the global price spike. India doubled its import of P-fertilizer in 2008 at a time when prices doubled. The analysis of a wide set of factors pertinent to the 2008 price spike in phosphorus fertilizer market leads us to the discovery of a price spike magnification and triggering mechanisms. We find that the price spike was magnified on the one hand by protective trade measures of fertilizer suppliers leading to a 19% drop in global phosphate fertilizer export. On the other hand, the Indian fertilizer subsidy scheme led to farmers not adjusting their demand for fertilizer. The triggering mechanism appeared to be the Indian production outage of P-fertilizer resulting in the additional import demand for DAP in size of about 20% of annual global supply. The main conclusion is that these three factors have jointly caused the spike, underscoring the need for ex ante improvements in fertilizer market regulation on both national and international levels.

  10. DEVELOPMENT OF A MARKET BENCHMARK PRICE FOR AGMAS PERFORMANCE EVALUATIONS

    OpenAIRE

    Good, Darrel L.; Irwin, Scott H.; Jackson, Thomas E.

    1998-01-01

    The purpose of this research report is to identify the appropriate market benchmark price to use to evaluate the pricing performance of market advisory services that are included in the annual AgMAS pricing performance evaluations. Five desirable properties of market benchmark prices are identified. Three potential specifications of the market benchmark price are considered: the average price received by Illinois farmers, the harvest cash price, and the average cash price over a two-year crop...

  11. Pricing Strategy versus Heterogeneous Shopping Behavior under Market Price Dispersion

    Directory of Open Access Journals (Sweden)

    Francisco Álvarez

    2016-01-01

    Full Text Available We consider the ubiquitous problem of a seller competing in a market of a product with dispersed prices and having limited information about both his competitors’ prices and the shopping behavior of his potential customers. Given the distribution of market prices, the distribution of consumers’ shopping behavior, and the seller’s cost as inputs, we find the computational solution for the pricing strategy that maximizes his expected profits. We analyze the seller’s solution with respect to different exogenous perturbations of parametric and functional inputs. For that purpose, we produce synthetic price data using the family of Generalized Error Distributions that includes normal and quasiuniform distributions as particular cases, and we also generate consumers’ shopping data from different behavioral assumptions. Our analysis shows that, beyond price mean and dispersion, the shape of the price distribution plays a significant role in the seller’s pricing solution. We focus on the seller’s response to an increasing diversity in consumers’ shopping behavior. We show that increasing heterogeneity in the shopping distribution typically lowers seller’s prices and expected profits.

  12. Real-time Pricing in Power Markets

    DEFF Research Database (Denmark)

    Boom, Anette; Schwenen, Sebastian

    We examine welfare eects of real-time pricing in electricity markets. Before stochastic energy demand is known, competitive retailers contract with nal consumers who exogenously do not have real-time meters. After demand is realized, two electricity generators compete in a uniform price auction...... to satisfy demand from retailers acting on behalf of subscribed customers and from consumers with real-time meters. Increasing the number of consumers on real-time pricing does not always increase welfare since risk-averse consumers dislike uncertain and high prices arising through market power...

  13. Real-time Pricing in Power Markets

    DEFF Research Database (Denmark)

    Boom, Anette; Schwenen, Sebastian

    We examine welfare e ects of real-time pricing in electricity markets. Before stochastic energy demand is known, competitive retailers contract with nal consumers who exogenously do not have real-time meters. After demand is realized, two electricity generators compete in a uniform price auction...... to satisfy demand from retailers acting on behalf of subscribed customers and from consumers with real-time meters. Increasing the number of consumers on real-time pricing does not always increase welfare since risk-averse consumers dislike uncertain and high prices arising through market power...

  14. Pricing the Innovation for Market Introduction

    Directory of Open Access Journals (Sweden)

    Dănut Tiberius Epure

    2006-10-01

    Full Text Available The factors that influence pricing strategy change over the life of a product concept. The market defined by a product concept passes through four phases: development, growth, maturity, and decline. Briefly, the changes in the strategic environment over those phases are as follows: Market development. Buyers are price insensitive because they knowledge of the product’s benefits. Both production and not a threat since the potential gains from market development exceed those from competitive rivalry. Pricing strategy signals the product’s value to potential buyers, but buyer education remains the key to sales growth.

  15. Pricing Mechanism in Power Market Construction

    Institute of Scientific and Technical Information of China (English)

    2005-01-01

    The reform on electricity pricing mechanism is a critical problem in power market construction in China, and is in mutual supplementation and promotion with the latter. In particular, the pricing mechanism for electricity fed into network and that for electricity transmission and distribution as well as the relationship between coal and electricity prices, etc. Have to be studied in depth. This paper presents several solutions and suggestions to these problems.

  16. The volatility of stock market prices.

    Science.gov (United States)

    Shiller, R J

    1987-01-02

    If the volatility of stock market prices is to be understood in terms of the efficient markets hypothesis, then there should be evidence that true investment value changes through time sufficiently to justify the price changes. Three indicators of change in true investment value of the aggregate stock market in the United States from 1871 to 1986 are considered: changes in dividends, in real interest rates, and in a direct measure of intertemporal marginal rates of substitution. Although there are some ambiguities in interpreting the evidence, dividend changes appear to contribute very little toward justifying the observed historical volatility of stock prices. The other indicators contribute some, but still most of the volatility of stock market prices appears unexplained.

  17. Real-time Pricing in Power Markets

    DEFF Research Database (Denmark)

    Boom, Anette; Schwenen, Sebastian

    to satisfy demand from retailers acting on behalf of subscribed customers and from consumers with real-time meters. Increasing the number of consumers on real-time pricing does not always increase welfare since risk-averse consumers dislike uncertain and high prices arising through market power...

  18. Decomposition of Market Clearing Price in Electricity Markets

    Science.gov (United States)

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

    This paper aims to develop a novel methodology to decompose MCP (market clearing price) in a single price auction market with AC transmission network. Specifically, we first formulate the auction market as a nonlinear optimization problem, and then propose an algorithm to decompose MCP into various factors, such as bidding curves, generations, transmission congestion, voltage limitations and other constraints. Several numerical simulations have been used to demonstrate the effectiveness of our approach.

  19. Price jumps on European stock markets

    Directory of Open Access Journals (Sweden)

    Jan Hanousek

    2014-03-01

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

  20. Oil Market and Prices Prospects for 2014

    Directory of Open Access Journals (Sweden)

    Mariana Papatulica

    2013-10-01

    Full Text Available The international crude oil prices started the year 2014 within parameters comparable to those of the precedent year: WTI (USA recorded 92 $/barrel, on the American spot market, considered a minimum value for the last 5 weeks, while Brent (Great Britain had a more stable evolution, on the spot Rotterdam market, staying around a value of 107,50 $/barrel. Despite analysts’ forecasts, which during the last 3 years staked on a lower oil price, as a consequence of the spectacular increase in non-OPEC oil production, namely of shale oil, the international oil price, namely that of Brent, closed each of the last 3 years around the same level, of 108 $/barrel. As for 2014, the great majority of oil analysts estimates again a decline of oil prices, as a result of a significant rise of oil offer globally, which will greatly surpass the demand rise.

  1. Price Drops on the Domestic Ferroalloy Market

    Institute of Scientific and Technical Information of China (English)

    2004-01-01

    <正> Recently,the prices of most ferroalloy productshave drawn a down curve from the sharp risingtrend of last year.The major factors that havedriven down the market prices of ferroalloyproducts are summarized as follows:The growth of national economy may slowdown.Experts predict that the growth rate ofChina’s economy will be reduced to 8.5 percentthis year from the 9.1 percent last year.The

  2. 7 CFR 1220.115 - Net market price.

    Science.gov (United States)

    2010-01-01

    ... CONSUMER INFORMATION Soybean Promotion and Research Order Definitions § 1220.115 Net market price. The term net market price means— (a) except as provided in paragraph (b) of this section, the sales price, or... 7 Agriculture 10 2010-01-01 2010-01-01 false Net market price. 1220.115 Section 1220.115...

  3. Nonlinear Pricing in Energy and Environmental Markets

    Science.gov (United States)

    Ito, Koichiro

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

  4. MIXED HEDGING UNDER ADDITIVE MARKET PRICE INFORMATION

    Institute of Scientific and Technical Information of China (English)

    Haifeng YAN; Jianqi YANG; Limin LIU

    2008-01-01

    Assume that there is additional market information in the financial market, which is represented by n given T-contingent claims. The special claims with observed prices at time 0 can only be traded at time 0. Hence, investment opportunities increase. By means of the techniques developed by Gourierout et al. (1998), the mixed hedging problem is considered, especially, the price of contingent claim and the optimal hedging strategy are obtained. An explicit description of the mean-variance efficient solution is given after arguing mean-variance efficient frontier problem.

  5. The price of fixed income market volatility

    CERN Document Server

    Mele, Antonio

    2015-01-01

    Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous methodologies for pricing various fixed income volatilities. This book fills this gap and provides a unified evaluation framework of fixed income volatility while dealing with disparate markets such as interest-rate swaps, government bonds, time-deposits and credit. It develops model-free, forward looking indexes of fixed-income volatility that match different quoting conventions across various markets, and uncovers subtle yet important pitfalls arising from naïve superimpositions of the standard equity volatility methodology when pricing various fixed income volatilities. The ultimate goal of the authors´ efforts is to make interest rate volatility standardization a valuable...

  6. A Price Hedging Model in Dynamic Market

    Directory of Open Access Journals (Sweden)

    Kuo-Wei Lin

    2012-01-01

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

  7. Price discovery in restructured electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Dempster, Gregory [Hampden-Sydney College, Box 132, Hampden-Sydney, VA 23943 (United States); Isaacs, Justin [Hampden-Sydney College, Hampden-Sydney, VA 23943 (United States); Smith, Narin [Southern Company (United States)

    2008-05-15

    We empirically investigate the degree of integration that existed prior to the cost increases that caused emergency conditions in the Western Systems Coordinating Council (WSCC), particularly California, during the summer of 2000. Evidence from Granger causality tests and common features analysis over the period from December 1994 to September 1999 indicates a moderate degree of integration among these markets. However, price effects throughout the region were often only unidirectional, did not exhibit the characteristics of perfect substitutability, and were significantly influenced by institutional changes in the California market. Most importantly, our research suggests that these markets were not as highly integrated as earlier research had indicated. (author)

  8. Testing of Market Price Direction Dependence on US Stock Market

    Directory of Open Access Journals (Sweden)

    Bohumil Stádník

    2012-12-01

    Full Text Available The correct model of a liquid financial market is very important for all market activities including for example a stock or bond portfolio management or an asset valuation. Dynamic Financial Market Model is a comprehensive model with a detailed interpretation. The model considers also feedback processes which cause price development direction dependence on the previous development. This is why it is also able to explain departures from normality as leptokurtic deformations with fat tails and sharpness, extreme values or skewness in the returns’ probability distributions. These departures are commonly explained using a wide range of models with volatility dependence. The question is then arising, whether the volatility or direction dependence is more in accordance with reality. Price Inertia Feedback is one of the most important and has a direct impact on probability distribution and also on a price forecasting. Empirical measurement of this feedback is the core of the paper.

  9. THE EFFECTS OF SWINGS IN GLOBAL WHEAT PRICES ON THE DOMESTIC MARKETS IN AFGHANISTAN

    Directory of Open Access Journals (Sweden)

    Najibullah Hassanzoy

    2016-10-01

    Full Text Available The recent shocks in global prices of cereals and the spillover effects of trade restrictive policies adversely affected domestic markets, particularly in the net food importing countries such as Afghanistan. This paper investigates the effects of 2007–2008 spikes in global wheat prices on the dynamics of price transmission and long-run equilibrium relationship between global and domestic wheat markets. The findings indicate that domestic and global wheat markets may be cointegrated in Regime-I (pre-break, Regime-II (post-break and the overall sample period. Moreover, the elasticity of price transmission and speed of adjustment towards the long-run equilibrium are substantially different between the two regimes, i.e., they appear to be larger in Regime-I as compared to Regime-II. Similarly, the effect of a shock in global wheat prices on domestic wheat markets might be long-lasting in Regime-I but transitory in Regime-II. This research underlines the need for mitigating the adverse effect of spikes in global wheat prices on domestic wheat markets in the context of a landlocked net food importing country.

  10. Grain price spikes and beggar-thy-neighbor policy responses

    DEFF Research Database (Denmark)

    Jensen, Hans Grinsted; Anderson, Kym

    2016-01-01

    have assessed the extent to which those policies contributed to the 2006–08 international price rises but only by focusing on one commodity or by using a back-of-the envelope (BOTE) method. The present more comprehensive analysis uses a global, economy-wide model that is able to take account...... studies that there is a need for stronger WTO disciplines on export restrictions....

  11. Grain price spikes and beggar-thy-neighbor policy responses

    DEFF Research Database (Denmark)

    Jensen, Hans Grinsted; Anderson, Kym

    have assessed the extent to which those policies contributed to the 2006-08 international price rise, but only by focusing on one commodity or using a back-of-the envelope (BOTE) method. This paper provides a more-comprehensive analysis using a global economy-wide model that is able to take account...... studies that there is a need for stronger WTO disciplines on export restrictions....

  12. Forward and Spot Prices in Multi-Settlement Wholesale Electricity Markets

    Science.gov (United States)

    Larrieu, Jeremy

    In organized wholesale electricity markets, power is sold competitively in a multi-unit multi-settlement single-price auction comprised of a forward and a spot market. This dissertation attempts to understand the structure of the forward premium in these markets, and to identify the factors that may lead forward and spot prices to converge or diverge. These markets are unique in that the forward demand is price-sensitive, while spot residual demand is perfectly inelastic and must be met in full, a crucial design feature the literature often glosses over. An important contribution of this dissertation is the explicit modeling of each market separately in order to understand how generation and load choose to act in each one, and the consequences of these actions on equilibrium prices and quantities given that firms maximize joint profits over both markets. In the first essay, I construct a two-settlement model of electricity prices in which firms that own asymmetric capacity-constrained units facing convex costs compete to meet demand from consumers, first in quantities, then in prices. I show that the forward premium depends on the costliness of spot production relative to firms' ability to exercise market power by setting quantities in the forward market. In the second essay, I test the model from the first essay with unit-level capacity and marginal cost data from the California Independent System Operator (CAISO). I show that the model closely replicates observed price formation in the CAISO. In the third essay, I estimate a time series model of the CAISO forward premium in order to measure the impact that virtual bidding has had on forward and spot price convergence in California between April 2009 and March 2014. I find virtual bidding to have caused forward and spot prices to diverge due to the large number of market participants looking to hedge against - or speculate on - the occurrence of infrequent but large spot price spikes by placing virtual demand bids.

  13. Finance Market Dynamics with Option Pricing

    CERN Document Server

    McCauley, J L; Bassler, K E

    2006-01-01

    We show how finance markets can be modeled empirically faithfully by using scaling solutions for Markov processes. Classes of exact scaling solutions are presented. We then show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price. Previously, this was proven for the case of the Gaussian logarithmic returns model by Harrison and Kreps, but we prove it for much a much larger class of returns models where the diffusion coefficient depends on both returns x and time t. That option prices blow up if fat tails in logarithmic returns x are included in the market dynamics is also explained.

  14. Marketing and pricing strategies of online pharmacies.

    Science.gov (United States)

    Levaggi, Rosella; Orizio, Grazia; Domenighini, Serena; Bressanelli, Maura; Schulz, Peter J; Zani, Claudia; Caimi, Luigi; Gelatti, Umberto

    2009-10-01

    Internet and e-commerce have profoundly changed society, the economy, and the world of health care. The web offers opportunities to improve health, but it may also represent a big health hazard since it is a basically unregulated market with very low consumer protection. In this paper we analyze marketing and pricing strategies of online pharmacies (OPs). Our analysis shows that OPs use strategies that would be more suitable for a commodity market than for drugs. These strategies differentiate according to variety (brand or generic), quality, quantity, and target group. OPs are well aware that the vacuum in the legislation allows them to reach a target of consumers that pharmacies cannot normally reach, such as those who would like to use the drug without consulting a physician (or, even worse, against the physician's advice). In this case, they usually charge a higher price, reassure the users by minimizing on the side effects, and induce them to bulk purchase through sensible price discounts. This analysis suggests that the selling of drugs via the Internet can turn into a "public health risk", as has been pointed out by the US Food and Drug Administration.

  15. Carbon pricing, nuclear power and electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Cameron, R.; Keppler, J. H. [OECD Nuclear Energy Agency, 12, boulevard des Iles, 92130 Issy-les-Moulineaux (France)

    2012-07-01

    In 2010, the NEA in conjunction with the International Energy Agency produced an analysis of the Projected Costs of Electricity for almost 200 power plants, covering nuclear, fossil fuel and renewable electricity generation. That analysis used lifetime costs to consider the merits of each technology. However, the lifetime cost analysis is less applicable in liberalised markets and does not look specifically at the viewpoint of the private investor. A follow-up NEA assessment of the competitiveness of nuclear energy against coal- and gas-fired generation under carbon pricing has considered just this question. The economic competition in electricity markets is today between nuclear energy and gas-fired power generation, with coal-fired power generation not being competitive as soon as even modest carbon pricing is introduced. Whether nuclear energy or natural gas comes out ahead in their competition depends on a number of assumptions, which, while all entirely reasonable, yield very different outcomes. The analysis in this study has been developed on the basis of daily data from European power markets over the last five-year period. Three different methodologies, a Profit Analysis looking at historic returns over the past five years, an Investment Analysis projecting the conditions of the past five years over the lifetime of plants and a Carbon Tax Analysis (differentiating the Investment Analysis for different carbon prices) look at the issue of competitiveness from different angles. They show that the competitiveness of nuclear energy depends on a number of variables which in different configurations determine whether electricity produced from nuclear power or from CCGTs generates higher profits for its investors. These are overnight costs, financing costs, gas prices, carbon prices, profit margins (or mark-ups), the amount of coal with carbon capture and electricity prices. This paper will present the outcomes of the analysis in the context of a liberalised

  16. 48 CFR 19.807 - Estimating the fair market price.

    Science.gov (United States)

    2010-10-01

    ... 48 Federal Acquisition Regulations System 1 2010-10-01 2010-10-01 false Estimating the fair market...) Program) 19.807 Estimating the fair market price. (a) The contracting officer shall estimate the fair market price of the work to be performed by the 8(a) contractor. (b) In estimating the fair market...

  17. Prices and Market Shares in a Menu Cost Model

    OpenAIRE

    Burstein, Ariel Tomas; Hellwig, Christian

    2007-01-01

    Pricing complementarities play a key role in determining the propagation of monetary disturbances in sticky price models. We propose a procedure to infer the degree of firm-level pricing complementarities in the context of a menu cost model of price adjustment using data on prices and market shares at the level of individual varieties. We then apply this procedure by calibrating our model (in which pricing complementarities are based on decreasing returns to scale at the variety level) using ...

  18. Food Price Spikes Are Associated with Increased Malnutrition among Children in Andhra Pradesh, India 1 2 3

    OpenAIRE

    Vellakkal, S; Fledderjohann, J; Basu, S.; Agrawal, S; Ebrahim, S; Campbell, O.; Doyle, P; Stuckler, D

    2015-01-01

    BACKGROUND: Global food prices have risen sharply since 2007. The impact of food price spikes on the risk of malnutrition in children is not well understood. OBJECTIVE: We investigated the associations between food price spikes and childhood malnutrition in Andhra Pradesh, one of India's largest states, with >85 million people. Because wasting (thinness) indicates in most cases a recent and severe process of weight loss that is often associated with acute food shortage, we tested the hypothes...

  19. Price responsive load programs: U.S. experience in creating markets for peak demand reductions

    Energy Technology Data Exchange (ETDEWEB)

    Goldberg, Miriam L.; Michelman, Thomas [KEMA-XENERGY Inc., Madison, WE (United States); Rosenberg, Mitchell [KEMA-XENERGY Inc., Arnheim (Netherlands)

    2003-07-01

    Demand response programs use a variety of pricing mechanisms to induce end-use customers to reduce demand at specified periods. U.S. distribution utilities, regional market operators, and their regulators have implemented demand response programs with the objectives of improving electric system reliability, avoiding price spikes, and relieving local transmission congestion. This paper reviews the design and performance of market-linked demand response programs operated in 2001 and 2002, focusing on the relationship between program design and customer participation and the development of accurate and feasible methods to measure demand response at the facility level.

  20. The Combination Forecasting of Electricity Price Based on Price Spikes Processing: A Case Study in South Australia

    Directory of Open Access Journals (Sweden)

    Jianzhou Wang

    2014-01-01

    Full Text Available Electricity price forecasting holds very important position in the electricity market. Inaccurate price forecasting may cause energy waste and management chaos in the electricity market. However, electricity price forecasting has always been regarded as one of the largest challenges in the electricity market because it shows high volatility, which makes electricity price forecasting difficult. This paper proposes the use of artificial intelligence optimization combination forecasting models based on preprocessing data, called “chaos particles optimization (CPSO weight-determined combination models.” These models allow for the weight of the combined model to take values of [-1,1]. In the proposed models, the density-based spatial clustering of applications with noise (DBSCAN algorithm is used to identify outliers, and the outliers are replaced by a new data-produced linear interpolation function. The proposed CPSO weight-determined combination models are then used to forecast the projected future electricity price. In this case study, the electricity price data of South Australia are simulated. The results indicate that, while the weight of the combined model takes values of [-1,1], the proposed combination model can always provide adaptive, reliable, and comparatively accurate forecast results in comparison to traditional combination models.

  1. Price-Value Potential for Near-Perfectly Competitive Markets

    Directory of Open Access Journals (Sweden)

    Sergey K. Aityan

    2011-01-01

    Full Text Available This study introduces price-value potential to be used instead of price for market analysis by analogy with free energy or thermodynamic potential in physics. A conservation principle is proposed for price-value potential. It is shown that price-value potential provides a constructive way for market analysis by identifying variation of equilibrium prices and quantities for different products in market equilibrium. A perturbation theory for a group of products with small differentiations on near-perfectly competitive markets was developed for illustration of the approach. The concept of price-value potential is illustrated in a simple example of a near-perfectly competitive market. It is shown that the equilibrium prices and quantities for products differ due to product differentiation that makes such an approach a constructive enhancement to the classical model of perfect competition.

  2. Option Pricing Method in a Market Involving Interval Number Factors

    Institute of Scientific and Technical Information of China (English)

    2005-01-01

    The method for pricing the option in a market with interval number factors is proposed. The no-arbitrage principle in the interval number valued market and the rule to judge the reasonability of a price interval are given. Using the method, the price interval where the riskless interest and the volatility under B-S setting is given. The price interval from binomial tree model when the key factors u, d, R are all interval numbers is also discussed.

  3. European bond markets: do illiquidity and concentration aggravate price shocks?

    NARCIS (Netherlands)

    Boermans, M.A.; Frost, Jon; Steins Bisschop, Sophie

    2016-01-01

    We study the effects of market liquidity and ownership concentration of European bonds on price volatility during periods of market stress. Specifically, using security-by-security data from euro area investors we examine if market illiquidity and concentrated holdings explain the large price shocks

  4. 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

  5. Market Efficiency and Price Formation When Dealers are Asymmetrically Informed

    NARCIS (Netherlands)

    Calcagno, R.; Lovo, S.M.

    2002-01-01

    We consider the effect of asymmetric information on the price formation process in a quote-driven market where one market maker receives a private signal on the security fundamental.A model is presented where market makers repeatedly compete in prices: at each stage a bid-ask auction occurs and the

  6. Market Efficiency and Price Formation When Dealers are Asymmetrically Informed

    NARCIS (Netherlands)

    Calcagno, R.; Lovo, S.M.

    2002-01-01

    We consider the effect of asymmetric information on the price formation process in a quote-driven market where one market maker receives a private signal on the security fundamental.A model is presented where market makers repeatedly compete in prices: at each stage a bid-ask auction occurs and the

  7. 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

  8. 7 CFR 760.640 - National average market price.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 7 2010-01-01 2010-01-01 false National average market price. 760.640 Section 760.640....640 National average market price. (a) The Deputy Administrator will establish the National Average... average quality loss factors that are reflected in the market by county or part of a county. (c)...

  9. Performance Targets and External Market Prices

    DEFF Research Database (Denmark)

    Hansen, Allan; Friis, Ivar; Vámosi, Tamás S.

    In this paper we explore the processes of ‘bringing the market inside the firm’ to set performance targets and benchmark production workers productivity. We analyze attempts to use external suppliers’ bids in target setting in a Danish manufacturing company. The case study illustrates how...... the implementation of external market information in target setting – well known in transfer pricing, relative performance evaluation, beyond budgeting, target costing, piece rates systems and value based management – relate to challenging motivation and information problem. The analysis and discussion of those...... problems, in particular those related to accounting for the internal performance (that are going to be compared with the external target), calculating the ‘inside’ costs and defining controllability, contributes to the management accounting as well as the piece-rate literature....

  10. Price formation of the salmon aquaculture futures market

    DEFF Research Database (Denmark)

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

    2017-01-01

    , the 3-, 4-, 5-, 9- and 12-months futures contracts provide the expected leadership role in the price discovery function, a case that supports a matured market that can be considered a necessary price risk management tool. The mixed finding is an indication of a maturing or near matured futures market......This study examines price formation of the internationally traded salmon futures exchange. Analyzing data from 2006 to 2015, the study identifies the co-integration relationship between the spot market price and 1–6-, 9- and 12-month futures contract prices. With exception of the 12-month maturity...

  11. 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....

  12. Analysis of electricity price in Danish competitive electricity market

    DEFF Research Database (Denmark)

    Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte

    2012-01-01

    electricity markets in some ways, is chosen as the studied power system. 10 year actual data from the Danish competitive electricity market are collected and analyzed. The relationship among the electricity price (both the spot price and the regulation price), the consumption and the wind power generation...... in an electricity market is investigated in this paper. The spot price and the regulation price generally decrease when the wind power penetration in the power system increases or the consumption of the power system decreases. The statistical characteristics of the spot price and the regulation price for different...... consumption periods and wind power penetration are analyzed. Simulation results show that the findings of this paper are useful for wind power generation companies to make the optimal bidding strategy so that the imbalance cost of trading wind power on the electricity market could be reduced....

  13. [Competition and prices in the Mexican pharmaceutical market].

    Science.gov (United States)

    Molina-Salazar, Raúl E; González-Marín, Eloy; Carbajal-de Nova, Carolina

    2008-01-01

    The forms of market competition define prices. The pharmaceutical market contains submarkets with different levels of competition; on the one hand are the innovating products with patents, and on the other, generic products with or without trade names. Innovating medicines generally have monopolistic prices, but when the patents expire prices drop because of competition from therapeutic alternatives. The trade name makes it easier to maintain monopolistic prices. In Mexico, medicine prices in the private market are high--according to aggregated estimates and prices for specific medicines--which reflect the limitations of pharmaceutical market competition and the power of the trade name. The public segment enjoys competitive prices using the WHO strategy for essential medicines on the basis of the Essential List.

  14. Price-elastic demand in deregulated electricity markets

    Energy Technology Data Exchange (ETDEWEB)

    Siddiqui, Afzal S.

    2003-05-01

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

  15. The Minimum Wage, Restaurant Prices, and Labor Market Structure

    Science.gov (United States)

    Aaronson, Daniel; French, Eric; MacDonald, James

    2008-01-01

    Using store-level and aggregated Consumer Price Index data, we show that restaurant prices rise in response to minimum wage increases under several sources of identifying variation. We introduce a general model of employment determination that implies minimum wage hikes cause prices to rise in competitive labor markets but potentially fall in…

  16. On the Pricing of Options in Incomplete Markets

    NARCIS (Netherlands)

    Melenberg, B.; Werker, B.J.M.

    1996-01-01

    In this paper we reconsider the pricing of options in incomplete continuous time markets.We first discuss option pricing with idiosyncratic stochastic volatility.This leads, of course, to an averaged Black-Scholes price formula.Our proof of this result uses a new formalization of idiosyncraticy whic

  17. On the Effects of Suggested Prices in Gasoline Markets

    NARCIS (Netherlands)

    R.P. Faber (Riemer); M.C.W. Janssen (Maarten)

    2008-01-01

    textabstractThis article analyzes the role of suggested prices in the Dutch retail market for gasoline. Suggested prices are announced by large oil companies with the suggestion that retailers follow them. There are at least two competing rationales for the existence of suggested prices: they may ei

  18. Price assymetry in the Dutch retail gasoline market

    NARCIS (Netherlands)

    L.J.H. Bettendorf (Leon); S.A. van der Geest (Stéphanie); M. Varkevisser (Marco)

    2003-01-01

    textabstractThis paper analyses retail price adjustments in the Dutch gasoline market. We estimate an asymmetric error correction model on weekly price changes for the years 1996 to 2001. We construct five datasets, one for each working day. The conclusions on asymmetric pricing are shown to differ

  19. Marketing Theory Applied to Price Discrimination in Journals.

    Science.gov (United States)

    Talaga, James; Haley, Jean Walstrom

    1991-01-01

    Discussion of discriminatory pricing by journal publishers and its effects on libraries focuses on six prerequisites for successful discriminatory pricing that are based on marketing theory. Strategies to eliminate some of these prerequisites--and therefore eliminate discriminatory pricing--are suggested, including the need to change the attitudes…

  20. Study of Copper Substitute in High Copper Price Market Environment

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    <正>The high price of copper drives up industry cost,also it is difficult for terminal products to raise price to transfer the cost pressure brought by increase in copper price,as a result downstream consumption markets instead try to seek

  1. The Pricing of British Journals for the North American Market.

    Science.gov (United States)

    Tuttle, Marcia

    1986-01-01

    Presents an informal report of seminar entitled "Learned Journals: The Problem of Pricing and Buying Round," held in London on March 22, 1985, in attempt to answer charges of discriminatory pricing. Price differential of British scholarly journals, costs, marketing, and role of subscription agent are discussed. Seven sources are given.…

  2. Price dependence in the principal EU olive oil markets

    Energy Technology Data Exchange (ETDEWEB)

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

    2014-06-01

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

  3. Price dependence in the principal EU olive oil markets

    Directory of Open Access Journals (Sweden)

    Christos Emmanouilides

    2013-12-01

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

  4. Price transmission in hog and feed markets of China

    Institute of Scientific and Technical Information of China (English)

    ZHOU De; Dieter Koemle

    2015-01-01

    There is an increasing demand for feed as the industrialization of hog production in China. Land scarcity limits China’s ability to continue increasing its hog production without feed imports, particularly soybean, and the feed markets are increasingly integrated into the global market. This study performs an analysis of price transmission between the hog price in China and feed prices, speciifcal y domestic maize price and international soybean price, from January 2000 to April 2014. We identiifed a long-term stable equilibrium relationship between the three markets. However, further analyses show that there is no signiifcant Granger causality between hog and feed market, and the long-run equilibrium partial y results from Granger causality between the international soybean market and domestic maize market. This suggests that the domestic hog market has been distorted by different policies. The results also indicate that the efifciency of price transmission is very low and it takes about 11 months to correct one-half of any long-run disequilibrium for the hog market in China. Therefore, to stabilize hog price in China, only market intervention to regulate the maize and soybean markets would be insufifcient and comprehensive measures need to be taken into account such as hog production modernization, agricultural insurance, epidemic surveil ance etc.

  5. Determinants Of Equity Prices In The Stock Market

    Directory of Open Access Journals (Sweden)

    Muhammad Usman Javaid

    2010-12-01

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

  6. Best Practices for New Product Pricing: Impact on Market Performance and Price Level under Different Conditions

    NARCIS (Netherlands)

    Ingenbleek, P.T.M.; Frambach, R.T.; Verhallen, Th.M.M.

    2013-01-01

    To date, research on new product pricing has predominantly been approached as a choice between market skimming and penetration pricing. Despite calls for research that addresses other complexities in new product pricing, empirical research responding to these calls remains scarce. This paper examine

  7. Best Practices for New Product Pricing: Impact on Market Performance and Price Level under Different Conditions

    NARCIS (Netherlands)

    Ingenbleek, P.T.M.; Frambach, R.T.; Verhallen, Th.M.M.

    2013-01-01

    To date, research on new product pricing has predominantly been approached as a choice between market skimming and penetration pricing. Despite calls for research that addresses other complexities in new product pricing, empirical research responding to these calls remains scarce. This paper

  8. 7 CFR 1221.16 - Net market price.

    Science.gov (United States)

    2010-01-01

    ... AND ORDERS; MISCELLANEOUS COMMODITIES), DEPARTMENT OF AGRICULTURE SORGHUM PROMOTION, RESEARCH, AND INFORMATION ORDER Sorghum Promotion, Research, and Information Order Definitions § 1221.16 Net market price... 7 Agriculture 10 2010-01-01 2010-01-01 false Net market price. 1221.16 Section 1221.16...

  9. PRICE DISCRIMINATION AND MARKET POWER: A THEORETICAL ANALYSIS

    Directory of Open Access Journals (Sweden)

    Olga Smirnova

    2015-07-01

    Full Text Available This paper analyzes the contemporary theoretical and empirical research in the field of impact assessment of market power and conclusions about the possibilities of the company to implement price discrimination in different market structures. The results of the analysis allow to evaluate current approaches to antitrust regulation of price discrimination.

  10. Upward Pricing Pressure in Two-Sided Markets

    NARCIS (Netherlands)

    Affeldt, P.; Filistrucchi, L.; Klein, T.J.

    2012-01-01

    Abstract: Pricing pressure indices have recently been proposed as alternative screening devices for horizontal mergers involving differentiated products. We extend the concept of Upward Pricing Pressure (UPP) proposed by Farrell and Shapiro (2010) to two-sided markets. Examples of such markets are t

  11. Price vs. quantity competition in a vertically related market

    OpenAIRE

    Alipranti, Maria; Milliou, Chrysovalantou; Petrakis, Emmanuel

    2014-01-01

    This paper demonstrates that the standard conclusions regarding the comparison of Cournot and Bertrand competition are reversed in a vertically related market with upstream monopoly and trading via two-part tariffs. In such a market, downstream Cournot competition yields higher output, lower wholesale prices, lower final prices, higher consumers' surplus, and higher total welfare than Bertrand competition.

  12. Price regulation and generic competition in the pharmaceutical market.

    Science.gov (United States)

    Dalen, Dag Morten; Strøm, Steinar; Haabeth, Tonje

    2006-09-01

    In March 2003 the Norwegian government implemented yardstick-based price regulation schemes on a selection of drugs subjected to generic competition. The retail price cap, termed the "index price," on a drug (chemical substance) was set equal to the average of the three lowest producer prices on that drug, plus a fixed wholesale and retail margin. This is supposed to lower barriers of entry for generic drugs and to trigger price competition. Using monthly data over the period 1998-2004 for the six drugs (chemical entities) included in the index price system, we estimate a structural model enabling us to examine the impact of the reform on both demand and market power. Our results suggest that the index price helped to increase the market shares of generic drugs and succeeded in triggering price competition.

  13. Price Relationships in the Petroleum Market: An Analysis of Crude Oil and Refined Product Prices

    Energy Technology Data Exchange (ETDEWEB)

    Asche, Frank; Gjoelberg, Ole; Voelker, Teresa

    2001-08-01

    In this paper the relationships between crude oil and refined product prices are investigated in a multivariate framework. This allows us to test several (partly competing) assumptions of earlier studies. In particular, we find that the crude oil price is weakly exogenous and that the spread is constant in some but not all relationships. Moreover, the multivariate analysis shows that the link between crude oil prices and several refined product prices implies market integration for these refined products. This is an example of supply driven market integration and producers will change the output mix in response to price changes. (author)

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

    OpenAIRE

    Sushil Mohan

    2007-01-01

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

  15. Price volatility and banking in green certificate markets

    DEFF Research Database (Denmark)

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

    2006-01-01

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

  16. Can higher prices increase market share? Average wholesale prices and Medicaid drug procurement

    National Research Council Canada - National Science Library

    Fitzgerald, Jay

    2014-01-01

    ..., generic drug manufacturers have an incentive to compete for pharmacy market share by driving up the prices paid to pharmacies by Medicaid. The authors report that a federal government crackdown on Medicaid pricing practices in 2000 led to a 45 percent decrease in the Medicaid market share of the drugs tar geted by the crackdown, which were generic...

  17. Oil price shocks and stock market activity

    Energy Technology Data Exchange (ETDEWEB)

    Sadorsky, P. [Schulich School of Business, York University, Toronto, ON (Canada)

    1999-10-01

    Results from a vector autoregression show that oil prices and oil price volatility both play important roles in affecting real stock returns. There is evidence that oil price dynamics have changed. After 1986, oil price movements explain a larger fraction of the forecast error variance in real stock returns than do interest rates. There is also evidence that oil price volatility shocks have asymmetric effects on the economy. 29 refs.

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

    Directory of Open Access Journals (Sweden)

    Mihaela Nicolau

    2012-10-01

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

  19. Why are product prices in online markets not converging?

    Directory of Open Access Journals (Sweden)

    Takayuki Mizuno

    Full Text Available Why are product prices in online markets dispersed in spite of very small search costs? To address this question, we construct a unique dataset from a Japanese price comparison site, which records price quotes offered by e-retailers as well as customers' clicks on products, which occur when they proceed to purchase the product. The novelty of our approach is that we seek to extract useful information on the source of price dispersion from the shape of price distributions rather than focusing merely on the standard deviation or the coefficient of variation of prices, as previous studies have done. We find that the distribution of prices retailers quote for a particular product at a particular point in time (divided by the lowest price follows an exponential distribution, showing the presence of substantial price dispersion. For example, 20 percent of all retailers quote prices that are more than 50 percent higher than the lowest price. Next, comparing the probability that customers click on a retailer with a particular rank and the probability that retailers post prices at a particular rank, we show that both decline exponentially with price rank and that the exponents associated with the probabilities are quite close. This suggests that the reason why some retailers set prices at a level substantially higher than the lowest price is that they know that some customers will choose them even at that high price. Based on these findings, we hypothesize that price dispersion in online markets stems from heterogeneity in customers' preferences over retailers; that is, customers choose a set of candidate retailers based on their preferences, which are heterogeneous across customers, and then pick a particular retailer among the candidates based on the price ranking.

  20. Assessment of emission trading impacts on competitive electricity market price

    DEFF Research Database (Denmark)

    Singh, S.N.; Saxena, D.; Østergaard, Jacob

    2011-01-01

    analyzes the impact of electricity prices in the competitive electricity markets having a uniform market clearing price mechanism. Findings - It is found that the electricity prices depend on the system loading, generation mix, etc. at a particular hour. Various emission trading instruments are discussed...... side emission trading impact on electricity prices in the competitive power market. Design/methodology/approach - Various schemes are suggested and are being implemented to achieve this objective. It is expected that electricity price will increase due to imposition of emission taxes. This paper...... with a special emphasis on the European market. Research limitations/implications - Block bidding of the suppliers is considered whereas the demand is assumed to be inelastic. Originality/value - The emission trading impacts are analyzed on a simple example....

  1. Market Confidence Predicts Stock Price: Beyond Supply and Demand

    Science.gov (United States)

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

    2016-01-01

    Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price. PMID:27391816

  2. Market Confidence Predicts Stock Price: Beyond Supply and Demand.

    Science.gov (United States)

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

    2016-01-01

    Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price.

  3. Market Confidence Predicts Stock Price: Beyond Supply and Demand.

    Directory of Open Access Journals (Sweden)

    Xiao-Qian Sun

    Full Text Available Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price.

  4. Implicit price of mussel characteristics in the auction market

    DEFF Research Database (Denmark)

    Nguyen, Thong Tien

    2012-01-01

    This study explores desired and undesired characteristics of mussels in wholesale market by applying hedonic price analysis. Transaction data in auction market in Yerseke, the Netherlands, was used to estimate linear and semi-log price models. Meat content and size count, which are measured...... as the ratio of the weight of cooked meat to the total weight and the number of mussel per kg of raw mussels, respectively, are the most important characteristics determining the price. At the sample mean, if the meat content increases by 1%, farmers can get a premium price of 5.5 eurocents kg−1 of raw mussel...

  5. Collusion in Markets with Imperfect Price Information on Both Sides

    DEFF Research Database (Denmark)

    Schultz, Christian

    The paper considers tacit collusion in markets which are not fully transparent on both sides. Consumers only detect prices with some probability before deciding which firm to purchase from, and each firm only detects the other firm's price with some probability. Increasing transparency on the pro......The paper considers tacit collusion in markets which are not fully transparent on both sides. Consumers only detect prices with some probability before deciding which firm to purchase from, and each firm only detects the other firm's price with some probability. Increasing transparency...

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

    Energy Technology Data Exchange (ETDEWEB)

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

    2012-06-15

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

  7. Market Entry, Product Quality And Price Competition

    Directory of Open Access Journals (Sweden)

    Mathur Sameer

    2015-08-01

    Full Text Available We study an entrant firm’s product quality choice and the price competition arising between the entrant and the incumbent firm. We show that the entrant firm should introduce a relatively higher (lower quality than the incumbent firm when the consumers’ valuation for quality is sufficiently large (small. We also study how the incumbent firm modifies its price in response to the ensuing price competition. We find that the incumbent firm should decrease its price. We also profile how the incumbent firm’s price non-linearly depends on consumers’ valuation for quality.

  8. TRADING ACTIVITY AND PRICES IN ENERGY FUTURES MARKET

    Directory of Open Access Journals (Sweden)

    Aysegul Ates

    2016-04-01

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

  9. Rice quality in relation to market prices in Yunnan Province

    Institute of Scientific and Technical Information of China (English)

    CHENLijuan; FANXingming

    1996-01-01

    Factors affecting rice quality and their impacts on market price were investigated in this study. On-farm survey and market survey was undertaken in three selected sites namely Kunruing, Dali, and Xishuangbanna in Yunnan Province, China. Market sampling was conducted to determine important rice quality characteristics.

  10. Fish market prices drive overfishing of the 'big ones'.

    Science.gov (United States)

    Tsikliras, Athanassios C; Polymeros, Konstantinos

    2014-01-01

    The relationship between fish market price and body size has not been explored much in fisheries science. Here, the mean market prices and fish body size were collected in order to examine the hypothesis that large fish, both among- and within-species, are being selectively targeted by fisheries because they may yield greater profit. Trophic levels, vulnerability to fishing and global landings were also collected because these variables may also be related to the market fish price. These relationships were examined using generalized additive models (GAM), which showed that, among species, fish market price was positively dependent on maximum total length (P = 0.0024) and negatively on landings (P = 0.0006), whereas it was independent of trophic level (P > 0.05) and vulnerability to fishing (P > 0.05). When the fish price vs. size relationship was tested within-species, large individuals were consistently attaining higher market prices compared to their medium and small-sized counterparts. We conclude that the selective removal of the larger fish, which is driven by their market price and to a lesser extent by their availability, may contribute to their overfishing.

  11. Duopoly price competition on markets with agricultural products

    Directory of Open Access Journals (Sweden)

    Marie Prášilová

    2011-01-01

    Full Text Available A situation, in which two firms compete, is in the economic theory described by duopoly models. Market equilibrium on the duopoly market is formed in a reciprocal adjustment process of market prices and materialized market opportunities. The goal of the analysis is to find out whether the agricultural products market is significantly influenced by appearance of duopolies, what form they have and if they can fundamentally influence the price level of food. That food chain stores endeavour to mutually adapt food product prices is generally known; it is set especially by the inelastic demand for the mentioned goods on the side of consumers, i.e., by the need to demand basic food. Duopoly reactions to price competition in food chain stores are particularly strong in the case of commodities of milk and tomatoes, where the reactions and approximation of prices can be clearly seen. Based on statistical research it is obvious that the reactions are most reflected on sales of the food chain stores Billa and Albert. To identify specific reactions of price duopoly at retail chains the ANOVA statistical method was used. The firm’s duopoly behaviour as such on the food market need not be a subject for applying punishment from the antimonopoly bureau, if it does not have the cartel agreement character. An example can be the identical potato prices inquiry in the supermarkets of food chain stores.

  12. Wood fuel markets in Northern Europe. Price formation and internationalization

    Energy Technology Data Exchange (ETDEWEB)

    Olsson, Olle

    2012-07-01

    High fossil fuel prices and ambitions to reduce greenhouse gas emissions have increased demand for renewable energy and are changing wood fuel market structures. Wood fuels are to a rapidly growing degree used in industrial proportions and traded in commercial markets. Wood fuels are seen as a key component to achieve policy goals related to climate change, especially in the EU. In the six papers that form the basis for this thesis, prices of wood fuels in Northern Europe are analyzed by means of time series analysis to increase understanding about the factors that govern market development. In Paper I, it is found that whereas the Austrian and German residential-quality wood pellet markets are integrated, Sweden is a separate market. The conclusion from Paper II is that despite a long history of trade in wood fuels between Estonia and Sweden, the two markets cannot be considered integrated. The results from Paper III indicate that refined and unrefined wood fuels should be seen as two separate markets, and that forest chips prices follow different trajectories depending on whether they are used in district heating or in forest industries. In Paper IV, it is acknowledged that although high and volatile oil prices are an important driver for the growth in demand for wood fuels, no significant spillover from oil price developments into Swedish wood fuel prices could be discerned in the time period 1993-2010. In Paper V, the conclusion is that prices of industrial roundwood and unrefined wood fuels followed a common trend in Sweden in the first decade of the 21st century. Paper VI shows that there is a significantly higher level of market maturity and internationalization in the Danish wood pellet market compared to the wood chip market in the country. In conclusion, this thesis uncovers some of the mechanisms that affect wood fuel markets, including the differences between unrefined wood fuels - such as wood chips - and the dynamic market for wood pellets. Whereas

  13. ANALYSIS OF PRICE BUBBLES ON THE CZECH REAL ESTATE MARKET

    Directory of Open Access Journals (Sweden)

    Gevorgyan Kristine

    2015-12-01

    Full Text Available This thesis deals with the issue of price bubbles on the Czech real estate market. The theoretical part explains the price bubble in terms of behavioural finance, and describes the relationship between monetary policy and asset prices from the perspective of the Austrian school and representatives of traditional economics. In the empirical part, it presents ways of identifying bubbles on the property market using relative indicators and econometric models. By means of econometric methods, this thesis analyses specific factors that influence housing prices in the Czech Republic. It puts a particular emphasis on the impact of interest rates on asset prices, because low inflation and expansionary monetary policy can create conditions for the formation of price bubbles.

  14. Research of factors of marketing pricing at domestic industrial enterprises

    OpenAIRE

    V.V. Bozhkova; I.M. Ryabchenko

    2013-01-01

    The aim of the article. The purpose of the article is research and systematization of factors of marketing pricing, which affect on realization of products of industrial enterprises.Works of domestic and foreign scientists on this issue were analysed. Traditionally pricing factors are classified into two groups: internal (controlled) and external (uncontrolled). Such division of factors is the first stage of pricing system analysis. On the second stage of analysis each of these groups is divi...

  15. Price Differentials in the U.K. Audit Services Market

    OpenAIRE

    Song, Yue

    2009-01-01

    The purpose of this dissertation is to consider whether there are price differentials in the U.K. audit services market under different situations. The empirical studies cover four aspects: Big Four premium; price differentials among accounting firms with different sizes; audit fee differentials within Big Four; audit fee differentials between different industries. The empirical results reveal that audit prices of Big Four differ from Non-Big Four accounting firms. The higher level of au...

  16. On the Pricing of Options in Incomplete Markets

    OpenAIRE

    Melenberg, B.; Werker, B.J.M.

    1996-01-01

    In this paper we reconsider the pricing of options in incomplete continuous time markets.We first discuss option pricing with idiosyncratic stochastic volatility.This leads, of course, to an averaged Black-Scholes price formula.Our proof of this result uses a new formalization of idiosyncraticy which encapsulates other definitions in the literature.Our method of proof is subsequently generalized to other forms of incompleteness and systematic (i.e. non-idiosyncratic) information.Generally thi...

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

    Science.gov (United States)

    Herr, Annika; Suppliet, Moritz

    2017-09-15

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

  18. Facing Price Risks in Internet-of-Services Markets

    Science.gov (United States)

    Matros, Raimund; Streitberger, Werner; Koenig, Stefan; Eymann, Torsten

    Internet-of-Services markets allow companies to procure computational resources and application services externally and thus to save both internal capital expenditures and operational costs. Despite the advantages of this new paradigm only few work has been done in the field of risk management concerning Internet-of-Services markets. We simulate such a market using a Grid simulator. The results show that market participants are exposed to price risk. Based on our results we identify and assess technical failures which could lead to loss on service consumer's side. We also show that technical failures influence service prices which lead to volatile prices. Both, service provider and service consumer are exposed to this uncertainty and need a way to face it. Therefore we apply a financial option model to overcome price risk.

  19. Pricing to Market: Chinese Export Pricing to the USA after the Peg

    Institute of Scientific and Technical Information of China (English)

    Mark David Witte

    2009-01-01

    In July 2005, the Chinese Govermnent unpegged the RMB from the US dollar. As the RMB has followed a remarkably predictable appreciation over time, I examine the price of Chinese exports to the USA after unpegging the exchange rate. Results suggest that the Chinese industries with greater import market share were able to raise their prices after the removal of the pegged exchange rate regime; however, over time there is a significant deflationary trend Chinese export prices tended to decrease under an unanticipated RMB appreciation; this effect was more pronounced for industries with more pricing flexibility. This suggests that Chinese exporters are consistently "pricing to market" and thus creating a significant foreign exchange policy implication. Specifically, a more flexible exchange rate regime will likely have little impact on the prices of Chinese exports to the USA but might increase the profit volatility of Chinese firms.

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

    NARCIS (Netherlands)

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

    2014-01-01

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

  1. Pareto Improving Price Regulation when the Asset Market is Incomplete

    NARCIS (Netherlands)

    Herings, P.J.J.; Polemarchakis, H.M.

    1999-01-01

    When the asset market is incomplete, competitive equilibria are constrained suboptimal, which provides a scope for pareto improving interventions. Price regulation can be such a pareto improving policy, even when the welfare effects of rationing are taken into account. An appealing aspect of price r

  2. Collusion in Markets with Imperfect Price Information on Both Sides

    DEFF Research Database (Denmark)

    Schultz, Christian

    2017-01-01

    The paper considers tacit collusion in markets that are not fully transparent on both sides. Consumers only detect prices with some probability before deciding which firm to purchase from, and each firm only detects the other firm’s price with some probability. Increasing transparency on the prod...

  3. Technology for Price Management in Industrial Differential Product Market

    Directory of Open Access Journals (Sweden)

    E. V. Orlova

    2015-01-01

    Full Text Available The article studies price behavior of oligopolies in industrial market where price competition is replaced by non-price competition. There is a developed technology for pricing management of the products of industrial enterprises, which, unlike the existing ones, takes into account the dynamics of changes in consumer preferences and changes in the pricing policy of the enterprise competitor and is based on usage of system dynamics models to simulate the financial and economic performance of enterprises and the fuzzy model for situational analysis and decisionmaking on changes in prices for the products. A pricing simulation model is offered. It is based on system-dynamic modeling method, which takes into account the complex cause-to-effect concatenation of factors on price such as product quality, cost, price competition, price elasticity of economic demand, competitors’ quantity of output and estimates the impact of changing factors of internal and external enterprise environment on the effectiveness of its activities.The simulation model allows us to conduct diverse experiments and analyze the impact of management decisions on the efficiency of the enterprise. Based on the fuzzy approach a price decision-making model is developed. It operates not only precise (numeric values, but also qualitative assessments of variables and provides an adequate use of logical relationships and the laws of the mutual influence of market and production and economic factors. Qualitative dependences, which establish the influence of external and internal factors on the price change, are identified as a result of the study of economic laws and legal conformity that are in the context of rapid economic change and market turbulence may not be strictly formalized and take the form of linguistic statements, which express the conditional relationship between the qualitative assessments of initial factors and changes in the relative price.

  4. Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis

    Energy Technology Data Exchange (ETDEWEB)

    Worthington, A.; Kay-Spratley, A.; Higgs, H. [Queensland University of Technology, Brisbane (Australia). School of Economics and Finance

    2005-03-01

    This paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the Australian National Electricity Market: namely, New South Wales, Queensland, South Australia, the Snowy Mountains Hydroelectric Scheme and Victoria. A multivariate generalised autoregressive conditional heteroskedasticity model is used to identify the source and magnitude of price and price volatility spillovers. The results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets. This appears to be directly related to the physical transfer limitations of the present system of regional interconnection. Nevertheless, the large number of significant own-volatility and cross-volatility spillovers in all five markets indicates the presence of strong autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity effects. This indicates that shocks in some markets will affect price volatility in others. Finally, and contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot prices are stationary. (author)

  5. Transmission of prices and price volatility in Australian electricity spot markets. A multivariate GARCH analysis

    Energy Technology Data Exchange (ETDEWEB)

    Worthington, Andrew; Kay-Spratley, Adam; Higgs, Helen [School of Economics and Finance, Queensland University of Technology, G.P.O. Box 2434, Brisbane, Qld 4001 (Australia)

    2005-03-15

    This paper examines the transmission of spot electricity prices and price volatility among the five regional electricity markets in the Australian National Electricity Market: namely, New South Wales, Queensland, South Australia, the Snowy Mountains Hydroelectric Scheme and Victoria. A multivariate generalised autoregressive conditional heteroskedasticity model is used to identify the source and magnitude of price and price volatility spillovers. The results indicate the presence of positive own mean spillovers in only a small number of markets and no mean spillovers between any of the markets. This appears to be directly related to the physical transfer limitations of the present system of regional interconnection. Nevertheless, the large number of significant own-volatility and cross-volatility spillovers in all five markets indicates the presence of strong autoregressive conditional heteroskedasticity and generalised autoregressive conditional heteroskedasticity effects. This indicates that shocks in some markets will affect price volatility in others. Finally, and contrary to evidence from studies in North American electricity markets, the results also indicate that Australian electricity spot prices are stationary.

  6. An Intraday Pricing Model of Foreign Exchange Markets

    OpenAIRE

    Rafael Romeu

    2003-01-01

    Market makers learn about asset values as they set intraday prices and absorb portfolio flows. Absorbing these flows causes inventory imbalances. Previous work has argued that market makers change prices to manage incoming flows and offset inventory imbalances. This study argues that they have multiple instruments, or ways to manage inventory imbalances and learn about evolving asset values. Hence, they smooth inventory levels and update prior information about assets using multiple instrumen...

  7. A multilayer approach for price dynamics in financial markets

    CERN Document Server

    Biondo, Alessio Emanuele; Rapisarda, Andrea

    2016-01-01

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

  8. Intraday Price Discovery in Fragmented Markets

    NARCIS (Netherlands)

    S.R. Ozturk (Sait); M. van der Wel (Michel); D.J.C. van Dijk (Dick)

    2014-01-01

    textabstractFor many assets, trading is fragmented across multiple exchanges. Price discovery measures summarize the informativeness of trading on each venue for discovering the asset’s true underlying value. We explore intraday variation in price discovery using a structural model with

  9. Managing risks of market price uncertainty for a microgrid operation

    Science.gov (United States)

    Raghavan, Sriram

    After deregulation of electricity in the United States, the day-ahead and real-time markets allow load serving entities and generation companies to bid and purchase/sell energy under the supervision of the independent system operator (ISO). The electricity market prices are inherently uncertain, and can be highly volatile. The main objective of this thesis is to hedge against the risk from the uncertainty of the market prices when purchasing/selling energy from/to the market. The energy manager can also schedule distributed generators (DGs) and storage of the microgrid to meet the demand, in addition to energy transactions from the market. The risk measure used in this work is the variance of the uncertain market purchase/sale cost/revenue, assuming the price following a Gaussian distribution. Using Markowitz optimization, the risk is minimized to find the optimal mix of purchase from the markets. The problem is formulated as a mixed integer quadratic program. The microgrid at Illinois Institute of Technology (IIT) in Chicago, IL was used as a case study. The result of this work reveals the tradeoff faced by the microgrid energy manager between minimizing the risk and minimizing the mean of the total operating cost (TOC) of the microgrid. With this information, the microgrid energy manager can make decisions in the day-ahead and real-time markets according to their risk aversion preference. The assumption of market prices following Gaussian distribution is also verified to be reasonable for the purpose of hedging against their risks. This is done by comparing the result of the proposed formulation with that obtained from the sample market prices randomly generated using the distribution of actual historic market price data.

  10. Pricing local distribution services in a competitive market

    Energy Technology Data Exchange (ETDEWEB)

    Duann, D.J.

    1995-12-01

    Unbundling and restructuring of local distribution services is the focus of the natural gas industry. As a result of regulatory reforms, a competitive local distribution market has emerged, and the validity of traditional cost-based regulation is being questioned. One alternative is to completely unbundle local distribution services and transform the local distribution company into a common carrier for intrastate transportation services. Three kinds of alternative pricing mechanisms are examined. For firm intrastate transportation services, cost-based pricing is the preferred method unless it can be shown that a competitive secondary market can be established and maintained. Pricing interruptible transportation capacity is discussed.

  11. Price manipulation in a market impact model with dark pool

    OpenAIRE

    Florian Kl\\"ock; Alexander Schied; Yuemeng Sun

    2012-01-01

    For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus on a class of dark-pool models whose market impact at the exchange is described by an Almgren--Chriss model. Conditions for the absence of price manipulation for all Almgren--C...

  12. A measure of marketing price transmission in the rice market of Taiwan

    Directory of Open Access Journals (Sweden)

    Yuan-Ming Lee

    2009-12-01

    Full Text Available The goal of this paper is to test whether changes in the marketing margin betweenthe farm and the retail prices can result in an asymmetric relationship between the farm and the retail prices in the rice market of Taiwan. By separating the transaction cost variation into two regimes, this paper utilizes a two-regime TVECM with the error correction term serving as the threshold variable to create a non-linear threshold model. The empirical results show that when the marketing margin is lower than the threshold value, the market system operates freely and there is feedback between the farm and retail prices. However, when the marketing margin is higher than the threshold value, the government intervenes in the market and the causality between the farm and retail prices no longer exists. The conclusions are as follows. Changes in the marketing margin can cause the asymmetric price transmission between the farm and retail prices in Taiwan’s rice markets; therefore, ignoring the effect of the marketing margin could lead to errors in the models. When the marketing margin is higher than the threshold value, the government intervenes in the market and the causality between the two prices is broken.

  13. Real prices from spot foreign exchange market

    Science.gov (United States)

    Petroni, Filippo; Serva, Maurizio

    2004-12-01

    In this work we discuss the problem of price definition when using high frequency foreign exchange data. If one uses the spot mid price a strong autocorrelation of returns, at one lag, is found which is only due to microstructure effect and does not capture the real behavior of price dynamics. This autocorrelation increases the intraday volatility estimated from this type of data. To solve this problem we introduce an algorithm which is able, by using the no-arbitrage principle, of eliminating every microstructure effects.

  14. Basic Studies on Chaotic Characteristics of Electric Power Market Price

    Science.gov (United States)

    Takeuchi, Yuya; Miyauchi, Hajime; Kita, Toshihiro

    Recently, deregulation and reform of electric power utilities have been progressing in many parts of the world. In Japan, partial deregulation has been started from generation sector since 1995 and partial deregulation of retail sector is executed through twice law revisions. Through the deregulation, because electric power is traded in the market and its price is always fluctuated, it is important for the electric power business to analyze and predict the price. Although the price data of the electric power market is time series data, it is not always proper to analyze by the linear model such as ARMA because the price sometimes changes suddenly. Therefore, in this paper, we apply the methods of chaotic time series analysis, one of non-linear analysis methods, and investigate the chaotic characteristics of the system price of JEPX.

  15. Implicit price of mussel characteristics in the auction market

    DEFF Research Database (Denmark)

    Nguyen, Thong Tien

    2012-01-01

    as the ratio of the weight of cooked meat to the total weight and the number of mussel per kg of raw mussels, respectively, are the most important characteristics determining the price. At the sample mean, if the meat content increases by 1%, farmers can get a premium price of 5.5 eurocents kg−1 of raw mussel......This study explores desired and undesired characteristics of mussels in wholesale market by applying hedonic price analysis. Transaction data in auction market in Yerseke, the Netherlands, was used to estimate linear and semi-log price models. Meat content and size count, which are measured....... Mussel lots with size counts below 50 pieces kg−1 can command the highest implicit price of size. Processors prefer mussel lots in which the size of mussels is more or less heterogeneous. The impurity of mussel lots, which is measured by the percentage of tare, the amount of barnacles and limpets per kg...

  16. Market Power in Power Markets: Evidence from Forward Prices of Electricity

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Jensen, Thomas Elgaard; Mølgaard, Rune

    Council (the regulatory government agency) has ruled that Elsam has used its dominant position to obtain excessive spot prices over a period from July 2003 through December 2006. We show that significant forward premia exist, and that they are related both to spot market volatility and misuse of market......We examine the forward market for electricity for indications of misuse of market power, using a unique data set on OTC price indications posted by Elsam A/S, the dominant producer in Western Denmark, which is one of the price areas under the Nordic power exchange Nord Pool. The Danish Competition...... power in the spot market, indicating that misuse of market power in the forward market accompanied that which took place in the spot market, according to this ruling. This is consistent with the hypothesis that Elsam used the forward market to disguise its spot market manipulation. The findings...

  17. Market Power and Risk of Price Uncertainty (A Case Study of Date Market

    Directory of Open Access Journals (Sweden)

    mohammad nabi shahiki tash

    2016-09-01

    Full Text Available Date is as one of the important items of the agricultural production in Iran as Iran's share of global production was 14.1% in 2012 and rank of production increased to second in the world too. In recent years, price uncertainty in date market has increased due to changes in government policies on date prices pattern, from a guaranteed buying pattern to negotiated price pattern. According to the importance of this industry in the country and issues that are always in marketing and market making of agricultural products in developing countries, This paper seeks to measure marketing margins in the industry due to the product's market power and price volatility, and to achieve this goal, the main idea of this paper based on the study Brorsen et al (11. This paper provides a conceptual and empirical framework for analyzing marketing margins in a date market facing output price uncertainty in Iran. Present study evaluated marketing margins into component reflecting the marginal cost of the processing industry, oligopoly price distortions, and an output risk component. The empirical finding is that, while marketing margin is about 33%, the coefficient for oligopoly is more than the coefficient for oligopsony. In the other words, there is an asymmetric monopoly power among buyers and sellers, Also the estimated coefficient for price risk based on exponential GARCH approach indicates, this factor would affect the marketing margin about 7 percent, if all other factors remain constant.

  18. A Price Earnings Index for the Danish Stock Market

    DEFF Research Database (Denmark)

    Risager, Ole

    2004-01-01

    Price-earnings ratios are part of the toolkit that is used for assessing the valuation ofindividual firms on the stock market as well as the entire market itself. This paperpresents consistent P/E series for the liquid Danish shares adjusted for share buybacks.The results show that over the period...

  19. Hourly Electricity Prices in Day-Ahead Markets

    NARCIS (Netherlands)

    R. Huisman (Ronald); C. Huurman; R.J. Mahieu (Ronald)

    2007-01-01

    textabstractThis paper focuses on the characteristics of hourly electricity prices in day-ahead markets. In these markets, quotes for day-ahead delivery of electricity are submitted simultaneously for all hours in the next day. The same information set is used for quoting all hours of the day. The d

  20. Asset prices, traders’ behavior and market design

    NARCIS (Netherlands)

    M. Anufriev; V. Panchenko

    2009-01-01

    The dynamics of a financial market with heterogeneous agents are analyzed under different market architectures. We start with a tractable behavioral model under Walrasian market clearing and simulate it under different trading protocols. The key behavioral feature of the model is the switching by ag

  1. Asset prices, traders' behavior, and market design

    NARCIS (Netherlands)

    M. Anufriev; V. Panchenko

    2007-01-01

    The dynamics in a financial market with heterogeneous agents is analyzed under different market architectures. We start with a tractable behavioral model under Walrasian market clearing and simulate it under more realistic trading protocols. The key behavioral feature of the model is the switching o

  2. Price and Volume Dynamics in the Japanese Stock Market

    Science.gov (United States)

    Yamashita, Hirofumi; Takayasu, Hideki; Takayasu, Misako

    We investigated data of stocks listed on Tokyo Stock Exchange. Although the data we used contains limited number of limit orders around the best prices in the ask and bid sides, we could confirm some issues of the layered structure which is similar to that in FX markets. We show time series of a market impact index, which is made using high correlation between dynamics of price and volume of limit orders. In the last section, we remark differences in our observations comparing with the FX market case.

  3. Price dynamics of crude oil and the regional ethylene markets

    Energy Technology Data Exchange (ETDEWEB)

    Masih, Mansur [Department of Finance and Economics, Center of Research Excellence in Renewable Energy, King Fahd University of Petroleum and Minerals, Dhahran (Saudi Arabia); Algahtani, Ibrahim [Department of Finance and Economics, King Fahd University of Petroleum and Minerals, Dhahran (Saudi Arabia); De Mello, Lurion [Faculty of Business and Economics, Macquarie University, Sydney (Australia)

    2010-11-15

    This paper is the first attempt to investigate: (1) is the crude oil (WTI) price significantly related to the regional ethylene prices in the Naphtha intensive ethylene markets of the Far East, North West Europe, and the Mediterranean? (2) What drives the regional ethylene prices? The paper is motivated by the recent and growing debate on the lead-lag relationship between crude oil and ethylene prices. Our findings, based on the long-run structural modelling approach of Pesaran and Shin, and subject to the limitations of the study, tend to suggest: (1) crude oil (WTI) price is cointegrated with the regional ethylene prices (2) our within-sample error-correction model results tend to indicate that although the ethylene prices in North West Europe and the Mediterranean were weakly endogenous, the Far East ethylene price was weakly exogenous both in the short and long term. These results are consistent, during most of the period under review (2000.1-2006.4) with the surge in demand for ethylene throughout the Far East, particularly in China and South Korea. However, during the post-sample forecast period as evidenced in our variance decompositions analysis, the emergence of WTI as a leading player as well, is consistent with the recent surge in WTI price (fuelled mainly, among others, by the strong hedging activities in the WTI futures/options and refining tightness) reflecting the growing importance of input cost in determining the dynamic interactions of input and product prices. (author)

  4. An analysis of strategic price setting in retail gasoline markets

    Science.gov (United States)

    Jaureguiberry, Florencia

    This dissertation studies price-setting behavior in the retail gasoline industry. The main questions addressed are: How important is a retail station's brand and proximity to competitors when retail stations set price? How do retailers adjust their pricing when they cater to consumers who are less aware of competing options or have less discretion over where they purchase gasoline? These questions are explored in two separate analyses using a unique datasets containing retail pricing behavior of stations in California and in 24 different metropolitan areas. The evidence suggests that brand and location generate local market power for gasoline stations. After controlling for market and station characteristics, the analysis finds a spread of 11 cents per gallon between the highest and the lowest priced retail gasoline brands. The analysis also indicates that when the nearest competitor is located over 2 miles away as opposed to next door, consumers will pay an additional 1 cent per gallon of gasoline. In order to quantify the significance of local market power, data for stations located near major airport rental car locations are utilized. The presumption here is that rental car users are less aware or less sensitive to fueling options near the rental car return location and are to some extent "captured consumers". Retailers located near rental car locations have incentives to adjust their pricing strategies to exploit this. The analysis of pricing near rental car locations indicates that retailers charge prices that are 4 cent per gallon higher than other stations in the same metropolitan area. This analysis is of interest to regulators who are concerned with issues of consolidation, market power, and pricing in the retail gasoline industry. This dissertation concludes with a discussion of the policy implications of the empirical analysis.

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

    OpenAIRE

    Covas, Francisco; Zhang, Yahong

    2010-01-01

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

  6. Collective behavior of stock price movements in an emerging market.

    Science.gov (United States)

    Pan, Raj Kumar; Sinha, Sitabhra

    2007-10-01

    To investigate the universality of the structure of interactions in different markets, we analyze the cross-correlation matrix C of stock price fluctuations in the National Stock Exchange (NSE) of India. We find that this emerging market exhibits strong correlations in the movement of stock prices compared to developed markets, such as the New York Stock Exchange (NYSE). This is shown to be due to the dominant influence of a common market mode on the stock prices. By comparison, interactions between related stocks, e.g., those belonging to the same business sector, are much weaker. This lack of distinct sector identity in emerging markets is explicitly shown by reconstructing the network of mutually interacting stocks. Spectral analysis of C for NSE reveals that, the few largest eigenvalues deviate from the bulk of the spectrum predicted by random matrix theory, but they are far fewer in number compared to, e.g., NYSE. We show this to be due to the relative weakness of intrasector interactions between stocks, compared to the market mode, by modeling stock price dynamics with a two-factor model. Our results suggest that the emergence of an internal structure comprising multiple groups of strongly coupled components is a signature of market development.

  7. Collective behavior of stock price movements in an emerging market

    Science.gov (United States)

    Pan, Raj Kumar; Sinha, Sitabhra

    2007-10-01

    To investigate the universality of the structure of interactions in different markets, we analyze the cross-correlation matrix C of stock price fluctuations in the National Stock Exchange (NSE) of India. We find that this emerging market exhibits strong correlations in the movement of stock prices compared to developed markets, such as the New York Stock Exchange (NYSE). This is shown to be due to the dominant influence of a common market mode on the stock prices. By comparison, interactions between related stocks, e.g., those belonging to the same business sector, are much weaker. This lack of distinct sector identity in emerging markets is explicitly shown by reconstructing the network of mutually interacting stocks. Spectral analysis of C for NSE reveals that, the few largest eigenvalues deviate from the bulk of the spectrum predicted by random matrix theory, but they are far fewer in number compared to, e.g., NYSE. We show this to be due to the relative weakness of intrasector interactions between stocks, compared to the market mode, by modeling stock price dynamics with a two-factor model. Our results suggest that the emergence of an internal structure comprising multiple groups of strongly coupled components is a signature of market development.

  8. Flow-based market coupling. Stepping stone towards nodal pricing?

    Energy Technology Data Exchange (ETDEWEB)

    Van der Welle, A.J. [ECN Policy Studies, Petten (Netherlands)

    2012-07-15

    For achieving one internal energy market for electricity by 2014, market coupling is deployed to integrate national markets into regional markets and ultimately one European electricity market. The extent to which markets can be coupled depends on the available transmission capacities between countries. Since interconnections are congested from time to time, congestion management methods are deployed to divide the scarce available transmission capacities over market participants. For further optimization of the use of available transmission capacities while maintaining current security of supply levels, flow-based market coupling (FBMC) will be implemented in the CWE region by 2013. Although this is an important step forward, important hurdles for efficient congestion management remain. Hence, flow based market coupling is compared to nodal pricing, which is often considered as the most optimal solution from theoretical perspective. In the context of decarbonised power systems it is concluded that advantages of nodal pricing are likely to exceed its disadvantages, warranting further development of FBMC in the direction of nodal pricing.

  9. GLOBAL TO DOMESTIC PRICE TRANSMISSION BETWEEN THE SEGMENTED CEREALS MARKETS: A STUDY OF AFGHAN RICE MARKETS

    Directory of Open Access Journals (Sweden)

    Najibullah Hassanzoy

    2015-10-01

    Full Text Available This paper examines cointegration and the difference in the extent of price transmission, and speed of adjustment between global and domestic prices of high and low quality rice. Unit root tests, cointegration tests and error correction models are employed in the analysis. While there are no comparable studies in the literature, the findings of this study indicate that the dynamics of price transmission may be different between high and low quality rice markets. That is, the extent of price transmission appears to be larger for the global prices of low quality rice whereas the speed of adjustment to the long-run equilibrium may be faster for domestic prices of high quality rice. Moreover, a shock in the global prices of low quality rice may have a long-lasting effect on domestic prices of low quality rice as compared to their high quality counterparts affecting domestic prices of high quality rice.

  10. 78 FR 70080 - Market Dominant Price Adjustment

    Science.gov (United States)

    2013-11-22

    .... EDDM Coupon Program March-December 2014. Premium Advertising Promotion.. April-June 2014. Earned Value..., and Bound Printed Matter Flats that destinate in FSS zones. These proposed prices are designed to... product (%) Alaska Bypass Service 2.440 Bound Printed Matter Flats 0.314 Bound Printed Matter Parcels...

  11. Collusion in Markets with Imperfect Price Information on Both Sides

    DEFF Research Database (Denmark)

    Schultz, Christian

    The paper considers tacit collusion in markets which are not fully transparent on both sides. Consumers only detect prices with some probability before deciding which firm to purchase from, and each firm only detects the other firm's price with some probability. Increasing transparency on the pro......The paper considers tacit collusion in markets which are not fully transparent on both sides. Consumers only detect prices with some probability before deciding which firm to purchase from, and each firm only detects the other firm's price with some probability. Increasing transparency...... on the producer side facilitates collusion, while increasing transparency on the consumer side makes collusion more difficult. Conditions are given under which increases in a common factor, affecting transparency positively on both sides, are pro-competitive. With two standard information technologies, this is so...

  12. Cement Industry Overview and Market Price Forecasting In Azerbaijan

    Directory of Open Access Journals (Sweden)

    Latafat Gardashova

    2016-10-01

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

  13. Pricing Decision Support System for Generation Companies in Electricity Market

    Institute of Scientific and Technical Information of China (English)

    FangDebin; WangXianjia

    2005-01-01

    In order to meet the requirement of separating power plants from power network and that of the competition based power transaction in power market, the pricing decision support system for generation companies (GCPDSS) is built in electricity market. This paper introduces the conception of intelligent decision support system (IDSS) and puts emphasis on the systematical structural framework,work process, design principal, and fundamental function of GCPDSS. The system has the module to analyze the cost, to forecast the demand of power, to construct the pricing strategies, to manage the pricing risk, and to dispatch giving the pricing strategies.The case study illustrates that the friendly window-based user interface of the system enables the user to take full advantage of the capabilities of the system in order to make effective real-time decisions.

  14. Research of factors of marketing pricing at domestic industrial enterprises

    Directory of Open Access Journals (Sweden)

    V.V. Bozhkova

    2013-06-01

    Full Text Available The aim of the article. The purpose of the article is research and systematization of factors of marketing pricing, which affect on realization of products of industrial enterprises.Works of domestic and foreign scientists on this issue were analysed. Traditionally pricing factors are classified into two groups: internal (controlled and external (uncontrolled. Such division of factors is the first stage of pricing system analysis. On the second stage of analysis each of these groups is divided by certain criterion.The results of the analysis. There are such basic internal factors of pricing: the current condition of the enterprise, production factors, pricing principles, image of enterprise and personnel, marketing strategy of enterprise, product policy, sale policy, communication policy, etc. We can distinguish such basic external factors of pricing: supply factors, government policy, competition factors, impact of participants goods of movement, influence of contact audiences, macroenvironment factors, etc.Some authors suggest selecting factors of direct and mediated influence among the external factors of pricing. We propose to divide them into factors which are partially controlled by enterprises and factors which are uncontrolled by enterprises. In our opinion, factors of direct influence include influence of participants of goods movement and influence of contact audiences. Factors of proposal and demand, market state of affairs are uncontrolled by enterprises.Generally price policy has determined character and it is affected by the influence of competitive factors which are called competitive environment. We suggest to examine factors of mediated influence and uncontrolled factors. Those factors can be divided into five groups economic, socio-cultural, geographical, technological, political and legal aspects of environment.Conclusions and directions of further researches. We propose such reccomendations for price policy improvement at

  15. Pricing road safety into the market.

    NARCIS (Netherlands)

    Wittink, R.D.

    1997-01-01

    The author considers the opportunities offered by marketing in the field of road safety. Marketing is defined as an approach which takes into account social, cultural, economic, political and legal developments and offers a solution. Examples are given in the transport field where the needs of the u

  16. The Economics of Bitcoins - Market Characteristics and Price Jumps

    OpenAIRE

    Gronwald, Marc

    2014-01-01

    This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second, the paper empirically analyses Bitcoin prices using an autoregressive jump-intensity GARCH model; a model tested and proven by the empirical finance community. Results suggest that Bitcoin price are pa...

  17. Quantifying price fluctuations in the Brazilian stock market

    Science.gov (United States)

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

    2009-01-01

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

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

    KAUST Repository

    Markowich, Peter A.

    2016-10-04

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

  19. Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective.

    Science.gov (United States)

    Xiong, Xiong; Nan, Ding; Yang, Yang; Yongjie, Zhang

    2015-01-01

    This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market) as a platform on which to simulate the operation of the CSI 300 futures market by changing the settings of price limits. After comparing the market stability under different price limits by appropriate liquidity and volatility indicators, we find that enhancing price limits or removing price limits both play a negative impact on market stability. In contrast, a positive impact exists on market stability if the existing price limit is maintained (increase of limit by10%, down by 10%) or it is broadened to a proper extent. Our study provides reasonable advice for a price limit setting and risk management for CSI 300 futures.

  20. Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective.

    Directory of Open Access Journals (Sweden)

    Xiong Xiong

    Full Text Available This paper explores a method of managing the risk of the stock index futures market and the cross-market through analyzing the effectiveness of price limits on the Chinese Stock Index 300 futures market. We adopt a cross-market artificial financial market (include the stock market and the stock index futures market as a platform on which to simulate the operation of the CSI 300 futures market by changing the settings of price limits. After comparing the market stability under different price limits by appropriate liquidity and volatility indicators, we find that enhancing price limits or removing price limits both play a negative impact on market stability. In contrast, a positive impact exists on market stability if the existing price limit is maintained (increase of limit by10%, down by 10% or it is broadened to a proper extent. Our study provides reasonable advice for a price limit setting and risk management for CSI 300 futures.

  1. Green Pricing Program Marketing Expenditures: Finding the Right Balance

    Energy Technology Data Exchange (ETDEWEB)

    Friedman, B.; Miller, M.

    2009-09-01

    In practice, it is difficult to determine the optimal amount to spend on marketing and administering a green pricing program. Budgets for marketing and administration of green pricing programs are a function of several factors: the region of the country; the size of the utility service area; the customer base and media markets encompassed within that service area; the point or stage in the lifespan of the program; and certainly, not least, the utility's commitment to and goals for the program. All of these factors vary significantly among programs. This report presents data on programs that have funded both marketing and program administration. The National Renewable Energy Laboratory (NREL) gathers the data annually from utility green pricing program managers. Programs reporting data to NREL spent a median of 18.8% of program revenues on marketing their programs in 2008 and 16.6% in 2007. The smallest utilities (those with less than 25,000 in their eligible customer base) spent 49% of revenues on marketing, significantly more than the overall median. This report addresses the role of renewable energy credit (REC) marketers and start-up costs--and the role of marketing, generally, in achieving program objectives, including expansion of renewable energy.

  2. A futures market response to oil price volatility

    Energy Technology Data Exchange (ETDEWEB)

    Levine, A.H. (Shearson Lehman Brothers Inc., Bethseda, MD (US))

    1991-01-01

    The volatility of oil prices has expanded dramatically over the past twenty years. New mechanisms, including futures and forward contracts, options on futures and ''over the counter'' options have been developed to deal with the uncertainty of buying or selling of petroleum in the highly competitive markets that now characterize the oil situation. Futures contracts - agreements to buy or sell at a particular time in the future - are the core of the new mechanisms. Since futures market prices move in concert with cash (''wet'') market prices, futures can be an effective substitute for wet barrel transactions. Buyers of options gain the advantage of futures trading - the right to buy without the obligation to do so -for a fee. (author).

  3. Price and distribution policies in healthcare marketing in Romania.

    Science.gov (United States)

    Coculescu, B I; Coculescu, E C; Purcărea, V L

    2017-01-01

    There is a principle similar to the theory of exchange in the marketing of health services, meaning that what is delivered to the target market (i.e. the beneficiaries) must be equal to or greater than what is to be received (i.e. the price). The price level in the marketing mix is influenced by how the consumer perceives the respective medical service and is quantified in the profit and the turnover of the organization respectively. The cost of the medical act as a whole is the value of all the tangible and intangible variables associated with it, and the planning, distribution and promotion of the product must be taken into account in the price setting.

  4. Price discovery in dual-class shares across multiple markets

    DEFF Research Database (Denmark)

    Fernandes, Marcelo; Scherrer, Cristina

    We extend the standard price discovery analysis to estimate the information share of dual-class shares across domestic and foreign markets. By examining both common and preferred shares, we aim to extract information not only about the fundamental value of the firm, but also about the dual...... the innovations, the standard information share measure depends heavily on the ordering we attribute to prices in the system. To remain agnostic about which are the leading share class and market, one could for instance compute some weighted average information share across all possible orderings...... or trading platform conveys more information about shocks in the fundamental price. As such, our procedure yields a single measure of information share, which is invariant to the ordering of the variables in the system. Simulations of a simple market microstructure model show that our information share...

  5. Spillover effects of oil price shocks across stock markets

    Science.gov (United States)

    Ng, Zhan Jian; Sek, Siok Kun

    2014-12-01

    Oil price shock can impose detrimental effects to an economy. In this study, we empirically study the spillover effects of oil price shock on determining volatilities of stock markets across the main oil importing and oil producing countries. In particular, we are interested to compare the relative impact of oil price shock on the volatilities of stock markets and how each stock market reacts to oil price shock for oil importing and oil producing countries. We focus the study in four main oil importer and four oil producers respectively using the daily data starting from January 2009 to December 2013. The multivariate GARCH(1,1) model is applied for the purpose of this study. The results of the study suggest that there exist spillover effect between crude oil price and stock returns for all the countries. The short run persistency of spillover effect in oil-exporting countries is lower than oil-importing countries but the long run persistency of spillover effect in oil-exporting countries is higher than oil-importing countries. In general the short run persistency is smaller and the long run persistency is very high. The results hold for volatility of oil price and stock returns and also spillover volatility in all countries.

  6. Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic

    Energy Technology Data Exchange (ETDEWEB)

    Lim, Kian-Ping [Labuan School of International Business and Finance, Universiti Malaysia Sabah (Malaysia); Department of Econometrics and Business Statistics, Monash University, P.O. Box 1071, Narre Warren, Victoria 3805 (Australia); Brooks, Robert D. [Department of Econometrics and Business Statistics, Monash University, P.O. Box 1071, Narre Warren, Victoria 3805 (Australia)], E-mail: Robert.brooks@buseco.monash.edu.au

    2009-05-15

    Using the rolling bicorrelation test statistic, the present paper compares the efficiency of stock markets from China, Korea and Taiwan in selected sub-periods with different price limits regimes. The statistical results do not support the claims that restrictive price limits and price limits per se are jeopardizing market efficiency. However, the evidence does not imply that price limits have no effect on the price discovery process but rather suggesting that market efficiency is not merely determined by price limits.

  7. THE LOW PRICE EFFECT ON THE POLISH MARKET

    Directory of Open Access Journals (Sweden)

    Adam Zaremba

    2014-06-01

    Full Text Available In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market. Secondly, we analyze the interdependence between the low price effect and other return factors: value, size and liquidity. Thirdly, we investigate whether the low price effect is present after accounting for liquidity. Fourthly, we check to see whether the low price effect is robust to transaction costs. The paper is composed of three main sections. In the beginning, we review the existing literature. Next, we present the data sources and research methods employed. Finally, we discuss our research findings. Our computations are based on all the stocks listed on the Warsaw Stock Exchange (WSE in the years 2003-2013. We have concluded that the low price effect is present on the Polish market, although the statistical significance is very weak and it disappears entirely after accounting for transaction costs and liquidity.

  8. Oil Price and Stock Market: Empirical Evidence from Nigeria

    Directory of Open Access Journals (Sweden)

    Olayinka Olufisayo Akinlo

    2014-06-01

    Full Text Available This paper examined the relationship between changes in oil prices and stock market growth over the period 1981-2011 using vector error correction modeling approach. The results suggest a long run relationship between oil price, exchange rate and stock market growth. A unidirectional causality runs from oil price change to stock market development. The impulse response function shows that oil price has a temporary positive impact on stock market. The VDC shows that stock market development to be very much dependent on shock on oil price change. Keywords: oil price, stock market, VECM, Nigeria Normal 0 14 false false false IT X-NONE X-NONE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Tabella normale"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-qformat:yes; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin:0cm; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-fareast-font-family:"Times New Roman"; mso-fareast-theme-font:minor-fareast; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin; mso-bidi-font-family:"Times New Roman"; mso-bidi-theme-font:minor-bidi;}

  9. A Market Pricing Method for Spectrum Allocation.

    Science.gov (United States)

    1980-03-01

    74-42, July 1974. 3. Baumol, W. and Bradford, "Optimal Departures from Marginal Cost Pricing," American Economic Review , Vol. 60, June 1970, pp. 265...Vol. XII, October 1964, pp. 11-26. 16. Demsetz, H., "Toward a Theory of Property Rights," American Economic Review , Papers and Proceedings, Vol. LVII...34New Technology and Old Regulation in Radio Spectrum Management," American Economic Review , Papers and Proceedings, Vol. 56, May 1966, pp. 339-349

  10. Exchange rates and transition economies' export prices: Is there evidence for pricing-to-market behavior?

    OpenAIRE

    Penkova, Emilia

    2005-01-01

    The paper tests for potential pricing-to-market for a wide range of export industries in selected transition economies, namely Poland, Hungary and Bulgaria, at the four-digit level over the period 1990-1998. Panel estimation is undertaken and a fixed-effects linear model is estimated. The empirical evidence reported here offers new evidence for transition economies that have not been investigated before. Given the industries sampled, more price discrimination across destination is observed in...

  11. Market Structure and Price Transmission of Eggs Commodity

    Directory of Open Access Journals (Sweden)

    Abdul Aziz Ahmad

    2016-10-01

    Full Text Available Purposes of this research are to determine some characteristics of distribution channel, market structure, and price maker transmission in purebred chicken egg commodity in Banyumas District, Central Java Province. Primary data applied on this research is from all channel distribution levels; from producers to final consumers. Meanwhile secondary data is collected from government official sources, such as BPS-Statistic of Banyumas Disrict, Banyumas Department of Industry, Trading and Cooperation, and previous researches which has been made by researcher team. Sample determining is directed by proportional random sampling methods. Some measurements are applied to this research, including to; Herfindahl Index (HI, Concentration Ratio (CF, and Minimum Efficiency Scale (MES to investigate market structure; and Asymmetric Price Transmission (APT to determine price transmission mechanism model. This research finds that (1 the distribution channel of egg commodity is spitted to different channel, the first channel: egg producer – retail traders – final consumers, and second channel: egg producers – whole seller – retail traders – final consumers; (2 market structure which is created to this farming specific commodity is perfect market; (3 price transmission mechanism analysis statistically shows that there is almost no existence of dominant power in price formation.

  12. Pricing European Options in Realistic Markets

    CERN Document Server

    Schaden, M

    2002-01-01

    We investigate the relation between the fair price for European-style vanilla options and the distribution of short-term returns on the underlying asset ignoring transaction and other costs. We compute the risk-neutral probability density conditional on the total variance of the asset's returns when the option expires. If the asset's future price has finite expectation, the option's fair value satisfies a parabolic partial differential equation of the Black-Scholes type in which the variance of the asset's returns rather than a trading time is the evolution parameter. By immunizing the portfolio against large-scale price fluctuations of the asset, the valuation of options is extended to the realistic case\\cite{St99} of assets whose short-term returns have finite variance but very large, or even infinite, higher moments. A dynamic Delta-hedged portfolio that is statically insured against exceptionally large fluctuations includes at least two different options on the asset. The fair value of an option in this c...

  13. From price theory to marketing management

    DEFF Research Database (Denmark)

    Madsen, Erik Kloppenborg; Pedersen, Kurt

    2013-01-01

    Purpose – The purpose of this article is to show how a particular marketing paradigm developed in Denmark from the 1920s through the 1960s. It peaked in the mid-1950s and faded out with one major publication in the early 1970s. The article provides a relatively detailed study of the initial phases...... of the school and its key ideas. Design/methodology/approach – The study is based on primary sources, i.e. the writings of the scholars who shaped and developed the school. A significant part of the sources are available in Danish only. Findings – While American marketing theory developed from the German...... Historical School, an essential precondition for the Copenhagen approach was the second wave of microeconomic theory of the 1930s. The article argues that it was a marketing management school, and that it offered early contributions to the development of marketing theory. Originality/value – Relatively...

  14. DECOMPOSING PRODUCER PRICE RISK: A POLICY ANALYSIS TOOL WITH AN APPLICATION TO NORTHERN KENYAN LIVESTOCK MARKETS

    OpenAIRE

    2002-01-01

    This paper introduces a simple method of price risk decomposition that determines the extent to which producer price risk is attributable to volatile inter-market margins, intra-day variation, intra-week (day of week) variation, or terminal market price variability. We apply the method to livestock markets in northern Kenya, a setting of dramatic price volatility where price stabilization is a live policy issue. In this particular application, we find that large, variable inter-market basis i...

  15. The price of liquidity: bank characteristics and market conditions

    OpenAIRE

    Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg

    2008-01-01

    We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the overnight index swap. We have price data at the individual bank level and, unique to this paper, data on individual banks' reserve requirements and actual reserve holdings, thus allowing us to gauge the extent to which a bank is short or long liquidity. We f...

  16. Pricing and Hedging Quanto Options in Energy Markets

    DEFF Research Database (Denmark)

    Benth, Fred Espen; Lange, Nina; Myklebust, Tor Åge

    2015-01-01

    In energy markets, the use of quanto options has increased significantly in recent years. The payoff from such options are typically written on an underlying energy index and a measure of temperature. They are suited to managing the joint price and volume risk in energy markets. Using a Heath–Jar...... expressions for hedging. Further, we illustrate the use of our model by an empirical pricing exercise using NewYork Mercantile Exchange-traded natural gas futures and Chicago Mercantile Exchange-traded heating degree days futures for NewYork....

  17. Pricing Strategies in the Remanufacturing Market for the Uncertain Market Size in the Second Period

    OpenAIRE

    Liurui Deng; Shenggang Yang

    2016-01-01

    Our main endeavor is to investigate the effect of the uncertain market size in the second period on the pricing strategies in the remanufacturing market. Observing the previous research, we find that the market size in the second period is always supposed to be certain. However, there is substantial empirical and experimental evidence that the market size in reality deviates from this assumption. In fact, though the market size in the first period is definitized, it is difficult to confirm th...

  18. Petroleum marketing in Africa. Issues in pricing, taxation and investment

    Energy Technology Data Exchange (ETDEWEB)

    Bhagavan, M.R. [ed.

    1999-07-01

    This four part book examines and compares the liberalised petroleum marketing in Kenya with petroleum marketing in Ethiopia which has just begun the transition from state control to liberalisation. The petroleum sub-sector in both countries is put into context, and petroleum pricing and taxation issues, financing, marketing issues and policy are reviewed, and policy recommendations for both countries are given. The comparative analysis of the Ethiopian and Kenyan situations presented highlights some lessons for sub-Saharan Africa. Information and statistics on petroleum, marketing, and investment in sub-Saharan Africa are given in the appendix. (UK)

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

    Science.gov (United States)

    Pan, R. K.; Sinha, S.

    2007-03-01

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

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

    Directory of Open Access Journals (Sweden)

    Muhammad Mansoor Baig

    2013-10-01

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

  1. Effects of reference pricing in pharmaceutical markets: a review.

    Science.gov (United States)

    Galizzi, Matteo Maria; Ghislandi, Simone; Miraldo, Marisa

    2011-01-01

    This work aims to provide a systematic and updated survey of original scientific studies on the effect of the introduction of reference pricing (RP) policies in Organisation for Economic Co-operation and Development (OECD) countries. We searched PubMed, EconLit and Web of Knowledge for articles on RP. We reviewed studies that met the inclusion criteria established in the search strategy. From a total of 468 references, we selected the 35 that met all of the inclusion criteria. Some common themes emerged in the literature. The first was that RP was generally associated with a decrease in the prices of the drugs subject to the policy. In particular, price drops seem to have been experienced in virtually every country that implemented a generic RP (GRP) policy. A GRP policy applies only to products with expired patents and generic competition, and clusters drugs according to chemical equivalence (same form and active compound). More significant price decreases were observed in the sub-markets in which drugs were already facing generic competition prior to RP. Price drops varied widely according to the amount of generic competition and industrial strategies: brand-named drugs originally priced above RP values decreased their prices to a greater extent. A second common theme was that both therapeutic RP (TRP) and GRP have been associated with significant and consistent savings in the first years of application. A third general result is that generic market shares significantly increased whenever the firms producing brand-named drugs did not adopt one of the following strategies: lowering prices to RP values; launching new dosages and/or formulations; or marketing substitute drugs still under patent protection. Finally, concerning TRP, although more evidence is needed, studies based on a large number of patient-level observations showed no association between the RP policy and health outcomes.

  2. Estimating Price Elasticity using Market-Level Appliance Data

    Energy Technology Data Exchange (ETDEWEB)

    Fujita, K. Sydny [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2015-08-04

    This report provides and update to and expansion upon our 2008 LBNL report “An Analysis of the Price Elasticity of Demand for Appliances,” in which we estimated an average relative price elasticity of -0.34 for major household appliances (Dale and Fujita 2008). Consumer responsiveness to price change is a key component of energy efficiency policy analysis; these policies influence consumer purchases through price both explicitly and implicitly. However, few studies address appliance demand elasticity in the U.S. market and public data sources are generally insufficient for rigorous estimation. Therefore, analysts have relied on a small set of outdated papers focused on limited appliance types, assuming long-term elasticities estimated for other durables (e.g., vehicles) decades ago are applicable to current and future appliance purchasing behavior. We aim to partially rectify this problem in the context of appliance efficiency standards by revisiting our previous analysis, utilizing data released over the last ten years and identifying additional estimates of durable goods price elasticities in the literature. Reviewing the literature, we find the following ranges of market-level price elasticities: -0.14 to -0.42 for appliances; -0.30 to -1.28 for automobiles; -0.47 to -2.55 for other durable goods. Brand price elasticities are substantially higher for these product groups, with most estimates -2.0 or more elastic. Using market-level shipments, sales value, and efficiency level data for 1989-2009, we run various iterations of a log-log regression model, arriving at a recommended range of short run appliance price elasticity between -0.4 and -0.5, with a default value of -0.45.

  3. Market Power in a GIS-based Hedonic Price Model of Local Farmland Markets

    NARCIS (Netherlands)

    Cotteleer, G.; Gardebroek, C.; Luijt, J.

    2008-01-01

    Buyers of farmland are usually interested in parcels for sale that are close to their own farms. With a limited number of parcels for sale, this may lead to market power in local farmland markets. The objective of this paper is to investigate whether market power affects farmland prices. Hedonic pri

  4. Daily Market News Sentiment and Stock Prices

    NARCIS (Netherlands)

    D.E. Allen (David); M.J. McAleer (Michael); A.K. Singh (Abhay)

    2015-01-01

    textabstractIn recent years there has been a tremendous growth in the influx of news related to traded assets in international financial markets. This financial news is now available via print media but also through real-time online sources such as internet news and social media sources. The increas

  5. Market making, prices, and quantity limits

    NARCIS (Netherlands)

    Dupont, Dominique

    2000-01-01

    This article develops a model of spread and depth setting under asymmetric information where the equilibrium depth is proportionally more sensitive than the spread to changes in the degree of information asymmetry. The analysis uses a one-period model in which a risk-neutral, monopolistic market mak

  6. Do structural oil-market shocks affect stock prices?

    Energy Technology Data Exchange (ETDEWEB)

    Apergis, Nicholas [Department of Banking and Financial Management, University of Piraeus, 80 Karaoli and Dimitriou Str, 18534 Piraeus (Greece); Miller, Stephen M. [Department of Economics, University of Nevada, Las Vegas, Nevada (United States)

    2009-07-15

    This paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock-market returns in a sample of eight countries - Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. For each country, the analysis proceeds in two steps. First, modifying the procedure of Kilian [Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review.], we employ a vector error-correction or vector autoregressive model to decompose oil-price changes into three components: oil-supply shocks, global aggregate-demand shocks, and global oil-demand shocks. The last component relates to specific idiosyncratic features of the oil market, such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies. Second, recovering the oil-supply shocks, global aggregate-demand shocks, and global oil-demand shocks from the first analysis, we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries. We find that international stock market returns do not respond in a large way to oil market shocks. That is, the significant effects that exist prove small in magnitude. (author)

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

    CERN Document Server

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

    2006-01-01

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

  8. Essays on pricing electricity and electricity derivatives in deregulated markets

    Science.gov (United States)

    Popova, Julia

    2008-10-01

    This dissertation is composed of four essays on the behavior of wholesale electricity prices and their derivatives. The first essay provides an empirical model that takes into account the spatial features of a transmission network on the electricity market. The spatial structure of the transmission grid plays a key role in determining electricity prices, but it has not been incorporated into previous empirical models. The econometric model in this essay incorporates a simple representation of the transmission system into a spatial panel data model of electricity prices, and also accounts for the effect of dynamic transmission system constraints on electricity market integration. Empirical results using PJM data confirm the existence of spatial patterns in electricity prices and show that spatial correlation diminishes as transmission lines become more congested. The second essay develops and empirically tests a model of the influence of natural gas storage inventories on the electricity forward premium. I link a model of the effect of gas storage constraints on the higher moments of the distribution of electricity prices to a model of the effect of those moments on the forward premium. Empirical results using PJM data support the model's predictions that gas storage inventories sharply reduce the electricity forward premium when demand for electricity is high and space-heating demand for gas is low. The third essay examines the efficiency of PJM electricity markets. A market is efficient if prices reflect all relevant information, so that prices follow a random walk. The hypothesis of random walk is examined using empirical tests, including the Portmanteau, Augmented Dickey-Fuller, KPSS, and multiple variance ratio tests. The results are mixed though evidence of some level of market efficiency is found. The last essay investigates the possibility that previous researchers have drawn spurious conclusions based on classical unit root tests incorrectly applied to

  9. Market power and price structure in the electricity market; Markedsmakt og prisstruktur i kraftmarkedet

    Energy Technology Data Exchange (ETDEWEB)

    Halseth, Arve

    1998-12-01

    This report evaluates the importance of market power on price formation and price structure in the Norwegian electricity market. A simple oligopoly model is used to show how the equilibrium is affected by demand, distribution of capacity between two major suppliers, and marginal production costs, given that the suppliers do not cooperate. Two important conclusions can be drawn from the calculations: (1) a high concentration on the supply side does not necessarily lead to essential market power, and (2) market power may contribute to increased stability and predictability. The main conclusion is that market power can be positive for society and it is not uniquely associated with a high concentration on the supply side. If emphasis is placed on stability and predictability, market power should not be defined as deviation from prices under free competition but rather should be related to the requirement that the suppliers should not obtain unreasonably high profit with unreasonably little utilization of capacity. 10 refs., 11 figs.

  10. Market Equilibrium and Impact of Market Mechanism Parameters on the Electricity Price in Yunnan’s Electricity Market

    Directory of Open Access Journals (Sweden)

    Chuntian Cheng

    2016-06-01

    Full Text Available In this paper, a two-dimensional Cournot model is proposed to study generation companies’ (GENCO’s strategic quantity-setting behaviors in the newly established Yunnan’s electricity market. A hybrid pricing mechanism is introduced to Yunnan’s electricity market with the aim to stimulate electricity demand. Market equilibrium is obtained by iteratively solving each GENCO’s profit maximization problem and finding their optimal bidding outputs. As the market mechanism is a key element of the electricity market, impacts of different market mechanism parameters on electricity price and power generation in market equilibrium state should be fully assessed. Therefore, based on the proposed model, we precisely explore the impacts on market equilibrium of varying parameters such as the number of GENCOs, the quantity of ex-ante obligatory-use electricity contracts (EOECs and the elasticity of demand. Numerical analysis results of Yunnan’s electricity market show that these parameters have notable but different effects on electricity price. A larger number of GENCOs or less EOEC contracted with GENCOs will have positive effects on reducing the price. With the increase of demand elasticity, the price falls first and then rises. Comparison of different mechanisms and relationship between different parameters are also analyzed. These results should be of practical interest to market participants or market designers in Yunnan’s or other similar markets.

  11. Buying Beauty : On Prices and Returns in the Art Market

    NARCIS (Netherlands)

    Renneboog, L.D.R.; Spaenjers, C.

    2009-01-01

    This paper investigates the evolution of prices and returns in the art market since the middle of the previous century. We first compile a comprehensive list of more than 10,000 artists and then build a dataset that contains information on more than 1.1 million auction sales of paintings, prints, an

  12. Creating successful price and placement strategies for social marketing.

    Science.gov (United States)

    Thackeray, Rosemary; Brown, Kelli R McCormack

    2010-03-01

    A successful marketing strategy includes the design of a marketing mix with the right combination of products, offered at the right price, in the right place, and then promoted in such a way that makes it easy and rewarding for the individual to change his or her behavior. A price is incurred in exchange for receiving a bundle of benefits. The social marketer can use various pricing tactics to make the desired behavior appear to have fewer costs and more benefits while making the undesired behavior to have less benefit and greater cost. Place is where and when the target population will perform the desired behavior, purchase or obtain a tangible product, and/or receive associated services. Involving partners in the placement strategy can make products more accessible and increase opportunities for people to perform a behavior. Strategies for making the product available at a desirable price and in places that are convenient are integral to the overall social marketing plan to facilitate behavior change.

  13. MODELING REAL ESTATE MARKET: FORECASTING THE PRICE OF A SQUARE

    Directory of Open Access Journals (Sweden)

    Natalya V. Kontsevaya

    2016-01-01

    Full Text Available The possibility of forecasting indicators of the real estate market. An approach based on the use of lag variables, where the lag time is determined by analyzing the dynamics of relative error. The result is a leading indicator. Forecasted assessment of the near future the price per square meter in Moscow.

  14. Endogenous Market-Clearing Prices and Reference Point Adaptation

    Science.gov (United States)

    Dragicevic, Arnaud Z.

    When prices depend on the submitted bids, i.e. with endogenous market-clearing prices in repeated-round auction mechanisms, the assumption of independent private values that underlines the property of incentive-compatibility is to be brought into question; even if these mechanisms provide active involvement and market learning. In its orthodox view, adaptive bidding behavior imperils incentive-compatibility. We relax the assumption of private values' independence in the repeated-round auctions, when the market-clearing prices are made public at the end of each round. Instead of using game-theory learning models, we introduce a behavioral model that shows that bidders bid according to the anchoring-and-adjustment heuristic, which neither ignores the rationality and incentive-compatibility constraints, nor rejects the posted prices issued from others' bids. Bidders simply weight information at their disposal and adjust their discovered value using reference points encoded in the sequential price weighting function. Our model says that bidders and offerers are sincere boundedly rational utility maximizers. It lies between evolutionary dynamics and adaptive heuristics and we model the concept of inertia as high weighting of the anchor, which stands for truthful bidding and high regard to freshly discovered preferences. Adjustment means adaptive rule based on adaptation of the reference point in the direction of the posted price. It helps a bidder to maximize her expected payoff, which is after all the only purpose that matters to rationality. The two components simply suggest that sincere bidders are boundedly rational. Furthermore, by deviating from their anchor in the direction of the public signal, bidders operate in a correlated equilibrium. The correlation between bids comes from the commonly observed history of play and each bidder's actions are determined by the history. Bidders are sincere if they have limited memory and confine their reference point adaptation

  15. Price Analysis of Railway Freight Transport under Marketing Mechanism

    Science.gov (United States)

    Shi, Ying; Fang, Xiaoping; Chen, Zhiya

    Regarding the problems in the reform of the railway tariff system and the pricing of the transport, by means of assaying the influence of the price elasticity on the artifice used for price, this article proposed multiple regressive model which analyzed price elasticity quantitatively. This model conclude multi-factors which influences on the price elasticity, such as the averagely railway freight charge, the averagely freight haulage of proximate supersede transportation mode, the GDP per capita in the point of origin, and a series of dummy variable which can reflect the features of some productive and consume demesne. It can calculate the price elasticity of different classes in different domains, and predict the freight traffic volume on different rate levels. It can calculate confidence-level, and evaluate the relevance of each parameter to get rid of irrelevant or little relevant variables. It supplied a good theoretical basis for directing the pricing of transport enterprises in market economic conditions, which is suitable for railway freight, passenger traffic and other transportation manner as well. SPSS (Statistical Package for the Social Science) software was used to calculate and analysis the example. This article realized the calculation by HYFX system(Ministry of Railways fund).

  16. 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...

  17. World market integration of Vietnamese rice markets during the 2008 food price crisis

    NARCIS (Netherlands)

    Luckmann, J.; Ihle, R.; Kleinwechter, U.; Grethe, H.

    2015-01-01

    World market prices of rice have been subject to large fluctuations in recent years. In mid 2008, prices reached levels never seen before. Vietnam is a major exporter of rice and rice is also the main staple food of the country. Given the importance of rice for domestic food security, the Vietnamese

  18. World market integration of Vietnamese rice markets during the 2008 food price crisis

    NARCIS (Netherlands)

    Luckmann, J.; Ihle, R.; Kleinwechter, U.; Grethe, H.

    2015-01-01

    World market prices of rice have been subject to large fluctuations in recent years. In mid 2008, prices reached levels never seen before. Vietnam is a major exporter of rice and rice is also the main staple food of the country. Given the importance of rice for domestic food security, the Vietnamese

  19. Marketing Planning, Pricing strategies, and The Use of Online Social Networks for Marketing in A SME

    OpenAIRE

    Bruno, Andrea

    2013-01-01

    The objectives of this dissertation are threefold. The dissertation is firstly aimed at recommending a practically useful marketing plan for Betterlanguages, a Nottingham based SME operating in the language services market. The recommendations for the internal and external analysis of the company are based on the academic tools outlined in the literature review. Second, the dissertation aims at offering suggestions concerning pricing strategy for Betterlanguages, by exploring the pricing l...

  20. DECOMPOSING PRODUCER PRICE RISK: AN ANALYSIS OF LIVESTOCK MARKETS IN NORTHERN KENYA

    OpenAIRE

    2001-01-01

    This paper introduces a simple method of price risk decomposition that determines the extent to which producer price risk is attributable to volatile inter-market margins, intra-day variation, intra-week (day of week) variation, or seasonality. We apply the method to livestock markets in northern Kenya, a setting of dramatic price volatility where price stabilization is a live policy issue. Large, variable inter-market basis is the single most important factor in explaining producer price ris...

  1. Market Power in Power Markets: Evidence from Forward Prices of Electricity

    DEFF Research Database (Denmark)

    Christensen, Bent Jesper; Jensen, Thomas Elgaard; Mølgaard, Rune

    We examine the forward market for electricity for indications of misuse of market power, using a unique data set on OTC price indications posted by Elsam A/S, the dominant producer in Western Denmark, which is one of the price areas under the Nordic power exchange Nord Pool. The Danish Competitio...... are consistent across forward premium regressions and structural forward pricing models.......We examine the forward market for electricity for indications of misuse of market power, using a unique data set on OTC price indications posted by Elsam A/S, the dominant producer in Western Denmark, which is one of the price areas under the Nordic power exchange Nord Pool. The Danish Competition...... Council (the regulatory government agency) has ruled that Elsam has used its dominant position to obtain excessive spot prices over a period from July 2003 through December 2006. We show that significant forward premia exist, and that they are related both to spot market volatility and misuse of market...

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

    OpenAIRE

    Behmiri, Niaz Badhiri

    2013-01-01

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

  3. Comprehensive tobacco marketing restrictions: promotion, packaging, price and place.

    Science.gov (United States)

    Henriksen, Lisa

    2012-03-01

    Evidence of the causal role of marketing in the tobacco epidemic and the advent of the WHO Framework Convention on Tobacco Control have inspired more than half the countries in the world to ban some forms of tobacco marketing. This paper briefly describes the ways in which cigarette marketing is restricted and the tobacco industry's efforts to subvert restrictions. It reviews what is known about the impact of marketing regulations on smoking by adults and adolescents. It also addresses what little is known about the impact of marketing bans in relation to concurrent population-level interventions, such as price controls, anti-tobacco media campaigns and smoke-free laws. Point of sale is the least regulated channel and research is needed to address the immediate and long-term consequences of policies to ban retail advertising and pack displays. Comprehensive marketing restrictions require a global ban on all forms of promotion, elimination of packaging and price as marketing tools, and limitations on the quantity, type and location of tobacco retailers.

  4. An Empirical Analysis of the Price Discovery Function of Shanghai Fuel Oil Futures Market

    Institute of Scientific and Technical Information of China (English)

    Wang Zhen; Liu Zhenhai; Chen Chao

    2007-01-01

    This paper analyzes the role of price discovery of Shanghai fuel oil futures market by using methods, such as unit root test, co-integration test, error correction model, Granger causality test, impulse-response function and variance decomposition. The results showed that there exists a strong relationship between the spot price of Huangpu fuel oil spot market and the futures price of Shanghai fuel oil futures market. In addition, the Shanghai fuel oil futures market exhibits a highly effective price discovery function.

  5. Direct Marketing of Specialty Crops by Producers: A Price-Comparison between Farmers' Markets and Grocery Stores

    OpenAIRE

    Watson, Jonathan Adam; Gunderson, Michael A.

    2010-01-01

    Oftentimes, prices at farmers' markets are much cheaper than those at grocery stores. However, little is known about the pricing relationship between farmers' markets and nearby grocery stores. Only by further analyzing this relationship can we gain a better understanding of these pricing trends. Although this trend is seemingly consistent, further research is necessary to test this assumption. Through the collection of prices at both locales, farmers' markets and grocery stores, producers as...

  6. Power systems locational marginal pricing in deregulated markets

    Science.gov (United States)

    Wang, Hui-Fung Francis

    Since the beginning of the 1990s, the electricity business is transforming from a vertical integrating business to a competitive market operations. The generation, transmission, distribution subsystem of an electricity utility are operated independently as Genco (generation subsystem), Transco (transmission subsystem), and Distco (distribution subsystem). This trend promotes more economical inter- and intra regional transactions to be made by the participating companies and the users of electricity to achieve the intended objectives of deregulation. There are various types of electricity markets that are implemented in the North America in the past few years. However, transmission congestion management becomes a key issue in the electricity market design as more bilateral transactions are traded across long distances competing for scarce transmission resources. It directly alters the traditional concept of energy pricing and impacts the bottom line, revenue and cost of electricity, of both suppliers and buyers. In this research, transmission congestion problem in a deregulated market environment is elucidated by implementing by the Locational Marginal Pricing (LMP) method. With a comprehensive understanding of the LMP method, new mathematical tools will aid electric utilities in exploring new business opportunities are developed and presented in this dissertation. The dissertation focuses on the development of concept of (LMP) forecasting and its implication to the market participants in deregulated market. Specifically, we explore methods of developing fast LMP calculation techniques that are differ from existing LMPs. We also explore and document the usefulness of the proposed LMP in determining electricity pricing of a large scale power system. The developed mathematical tools use of well-known optimization techniques such as linear programming that are support by several flow charts. The fast and practical security constrained unit commitment methods are the

  7. Modeling Tiered Pricing in the Internet Transit Market

    CERN Document Server

    Valancius, Vytautas; Feamster, Nick; Johari, Ramesh; Vazirani, Vijay V

    2011-01-01

    ISPs are increasingly selling "tiered" contracts, which offer Internet connectivity to wholesale customers in bundles, at rates based on the cost of the links that the traffic in the bundle is traversing. Although providers have already begun to implement and deploy tiered pricing contracts, little is known about how such pricing affects ISPs and their customers. While contracts that sell connectivity on finer granularities improve market efficiency, they are also more costly for ISPs to implement and more difficult for customers to understand. In this work we present two contributions: (1) we develop a novel way of mapping traffic and topology data to a demand and cost model; and (2) we fit this model on three large real-world networks: an European transit ISP, a content distribution network, and an academic research network, and run counterfactuals to evaluate the effects of different pricing strategies on both the ISP profit and the consumer surplus. We highlight three core findings. First, ISPs gain most ...

  8. Bandwidth allocation and pricing problem for a duopoly market

    Directory of Open Access Journals (Sweden)

    You Peng-Sheng

    2011-01-01

    Full Text Available This research discusses the Internet service provider (ISP bandwidth allocation and pricing problems for a duopoly bandwidth market with two competitive ISPs. According to the contracts between Internet subscribers and ISPs, Internet subscribers can enjoy their services up to their contracted bandwidth limits. However, in reality, many subscribers may experience the facts that their on-line requests are denied or their connection speeds are far below their contracted speed limits. One of the reasons is that ISPs accept too many subscribers as their subscribers. To avoid this problem, ISPs can set limits for their subscribers to enhance their service qualities. This paper develops constrained nonlinear programming to deal with this problem for two competitive ISPs. The condition for reaching the equilibrium between the two competitive firms is derived. The market equilibrium price and bandwidth resource allocations are derived as closed form solutions.

  9. Empirical investigation of stock price dynamics in an emerging market

    Science.gov (United States)

    Palágyi, Zoltán; Mantegna, Rosario N.

    1999-07-01

    We study the development of an emerging market - the Budapest Stock Exchange - by investigating the time evolution of some statistical properties of heavily traded stocks. Moving quarter by quarter over a period of two and a half years we analyze the scaling properties of the standard deviation of intra-day log-price changes. We observe scaling using both seconds and ticks as units of time. For the investigated stocks a Levy shape is a good approximation to the probability density function of tick-by-tick log-price changes in each quarter: the index of the distribution follows an increasing trend, suggesting it could be used as a measure of market efficiency.

  10. Optimal pricing and marketing planning for deteriorating items

    Science.gov (United States)

    Moosavi Tabatabaei, Seyed Reza; Sadjadi, Seyed Jafar; Makui, Ahmad

    2017-01-01

    Optimal pricing and marketing planning plays an essential role in production decisions on deteriorating items. This paper presents a mathematical model for a three-level supply chain, which includes one producer, one distributor and one retailer. The proposed study considers the production of a deteriorating item where demand is influenced by price, marketing expenditure, quality of product and after-sales service expenditures. The proposed model is formulated as a geometric programming with 5 degrees of difficulty and the problem is solved using the recent advances in optimization techniques. The study is supported by several numerical examples and sensitivity analysis is performed to analyze the effects of the changes in different parameters on the optimal solution. The preliminary results indicate that with the change in parameters influencing on demand, inventory holding, inventory deteriorating and set-up costs change and also significantly affect total revenue. PMID:28306750

  11. Optimal pricing and marketing planning for deteriorating items.

    Science.gov (United States)

    Moosavi Tabatabaei, Seyed Reza; Sadjadi, Seyed Jafar; Makui, Ahmad

    2017-01-01

    Optimal pricing and marketing planning plays an essential role in production decisions on deteriorating items. This paper presents a mathematical model for a three-level supply chain, which includes one producer, one distributor and one retailer. The proposed study considers the production of a deteriorating item where demand is influenced by price, marketing expenditure, quality of product and after-sales service expenditures. The proposed model is formulated as a geometric programming with 5 degrees of difficulty and the problem is solved using the recent advances in optimization techniques. The study is supported by several numerical examples and sensitivity analysis is performed to analyze the effects of the changes in different parameters on the optimal solution. The preliminary results indicate that with the change in parameters influencing on demand, inventory holding, inventory deteriorating and set-up costs change and also significantly affect total revenue.

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

    DEFF Research Database (Denmark)

    Knapik, Oskar

    extreme prices and forecasting of the price jumps is crucial for risk management and market design. In this paper, we consider the problem of the impact of fundamental price drivers on forecasting of price jumps in NordPool intraday market. We develop categorical time series models which take into account...... i) price drivers, ii) persistence, iii) seasonality of electricity prices. The models are shown to outperform commonly-used benchmark. The paper shows how crucial for price jumps forecasting is to incorporate additional knowledge on price drivers like loads, temperature and water reservoir level...

  13. Food Price Policy in an Era of Market Instability: A Political Economy Analysis

    OpenAIRE

    Pinstrup-Andersen, Per

    2016-01-01

    Food price volatility is one of the major challenges facing the global agricultural system today. This was most vividly illustrated during the global food crisis of 2007–9 when price spikes occurred for key staple food commodities—such as wheat, rice, maize, and soybeans. Given the variety of reactions by governments of countries experiencing similar food price shocks, the 2007–9 crisis offered an excellent natural experiment for generating knowledge on responses to price volatility in partic...

  14. Design of a pulse oximeter for price sensitive emerging markets.

    Science.gov (United States)

    Jones, Z; Woods, E; Nielson, D; Mahadevan, S V

    2010-01-01

    While the global market for medical devices is located primarily in developed countries, price sensitive emerging markets comprise an attractive, underserved segment in which products need a unique set of value propositions to be competitive. A pulse oximeter was designed expressly for emerging markets, and a novel feature set was implemented to reduce the cost of ownership and improve the usability of the device. Innovations included the ability of the device to generate its own electricity, a built in sensor which cuts down on operating costs, and a graphical, symbolic user interface. These features yield an average reduction of over 75% in the device cost of ownership versus comparable pulse oximeters already on the market.

  15. Mapping of selected markets with Nodal pricing or similar systems. Australia, New Zealand and North American power markets

    Energy Technology Data Exchange (ETDEWEB)

    Mathiesen, Vivi (ed.)

    2011-07-01

    This report shows that the principals of nodal pricing can be implemented in different ways. A common denominator for markets with nodal pricing is a central market based nodal dispatch, where prices and flows are determined simultaneously close to real time. This stands apart from the European market design, which is based on a highly simplified version of the grid, and a physical point auction day ahead. Congestion management is handled by the TSO during the operational hour and not through the market as is the case in nodal pricing systems. Nodal pricing yields optimal dispatch and congestion management through the market, and as such an optimal utilisation of energy generation and network. However, whether this short term optimisation delivers the highest overall efficiency for the market in terms of competition in the wholesale and retail market, price discovery, possibilities for hedging, long term price signals etc. is difficult to determine. The markets investigated handle issues such as market power, risk management, investment signals and retail markets in very different ways. New Zealand and PJM are examples of markets with full nodal pricing, i.e. both generators and the demand side are exposed to nodal prices. The PJM market has more 'additional features' than the New Zealand market. Examples of these are separate capacity market to trigger investments in generation and generator price caps to deal with situations of market power. In addition PJM offers liquid and mature markets for risk management, such as aggregates of nodes where market participant can chose to be settled (rather than to be settled directly at the node). A general finding though, seems to be that risk management at peripheral nodes is challenging in nodal markets, particularly for independent retailers. In New Zealand generators and retailers were permitted to 'reintegrate' in order to cope with the nodal prices. The Australian market has central market based

  16. Creditor Protection, Contagion, and Stock Market Price Volatility

    OpenAIRE

    Hale, Galina B; Razin, Assaf; Tong, Hui

    2008-01-01

    We study a mechanism through which strong creditor protection affect positively the level, and negatively the volatility, of the aggregate stock market price. In a Tobin-q model with liquidity and productivity shocks, two channels are at work: (1) Creditor protection raises the stock value in a credit-constraint regime; (2) Creditor protection lowers the probability of the credit crunch. We confront the key predictions of the model to a panel of 40 countries over the period from 1984 to 2004....

  17. Is the corporate loan market globally integrated? a pricing puzzle

    OpenAIRE

    Carey, Mark S.; Gregory P. Nini

    2004-01-01

    We offer evidence that interest rate spreads on syndicated loans to corporate borrowers are economically significantly smaller in Europe than in the U.S., other things equal. Differences in borrower, loan and lender characteristics associated with equilibrium mechanisms suggested in the literature do not appear to explain the phenomenon. Borrowers overwhelmingly issue in their natural home market and bank portfolios display significant home "bias." This may explain why pricing discrepancies a...

  18. Market Equilibrium and Impact of Market Mechanism Parameters on the Electricity Price in Yunnan’s Electricity Market

    OpenAIRE

    Chuntian Cheng; Fu Chen; Gang Li; Qiyu Tu

    2016-01-01

    In this paper, a two-dimensional Cournot model is proposed to study generation companies’ (GENCO’s) strategic quantity-setting behaviors in the newly established Yunnan’s electricity market. A hybrid pricing mechanism is introduced to Yunnan’s electricity market with the aim to stimulate electricity demand. Market equilibrium is obtained by iteratively solving each GENCO’s profit maximization problem and finding their optimal bidding outputs. As the market mechanism is a key element of the el...

  19. High and varying prices for privately insured patients underscore hospital market power.

    Science.gov (United States)

    White, Chapin; Bond, Amelia M; Reschovsky, James D

    2013-09-01

    Across 13 selected U.S. metropolitan areas, hospital prices for privately insured patients are much higher than Medicare payment rates and vary widely across and within markets, according to a study by the Center for Studying Health System Change (HSC) based on claims data for about 590,000 active and retired nonelderly autoworkers and their dependents. Across the 13 communities, aver­age hospital prices for privately insured patients are about one-and-a-half times Medicare rates for inpatient care and two times what Medicare pays for outpa­tient care. Within individual communities, prices vary widely, with the highest-priced hospital typically paid 60 percent more for inpatient services than the lowest-priced hospital. The price gap within markets is even greater for hospital outpatient care, with the highest-priced hospital typically paid nearly double the lowest-priced hospital. In contrast to the wide variation in hospital prices for pri­vately insured patients across and within markets, prices for primary care physi­cian services generally are close to Medicare rates and vary little within markets. Prices for specialist physician services, however, are higher relative to Medicare and vary more across and within markets. Of the 13 markets, five are in Michigan, which has an unusually concentrated private insurance market, with one insurer commanding a 70-percent market share. Despite the presence of a dominant insurer, almost all Michigan hospi­tals command prices that are higher than Medicare, and some hospitals com­mand prices that are twice what Medicare pays. In the eight markets outside of Michigan, private insurers generally pay even higher hospital prices, with even wider gaps between high- and low-priced hospitals. The variation in hospital and specialist physician prices within communities underscores that some hospitals and physicians have significant market power to command high prices, even in markets with a dominant insurer.

  20. Equilibrium pricing in electricity markets with wind power

    Science.gov (United States)

    Rubin, Ofir David

    Estimates from the World Wind Energy Association assert that world total wind power installed capacity climbed from 18 Gigawatt (GW) to 152 GW from 2000 to 2009. Moreover, according to their predictions, by the end of 2010 global wind power capacity will reach 190 GW. Since electricity is a unique commodity, this remarkable expansion brings forward several key economic questions regarding the integration of significant amount of wind power capacity into deregulated electricity markets. The overall dissertation objective is to develop a comprehensive theoretical framework that enables the modeling of the performance and outcome of wind-integrated electricity markets. This is relevant because the state of knowledge of modeling electricity markets is insufficient for the purpose of wind power considerations. First, there is a need to decide about a consistent representation of deregulated electricity markets. Surprisingly, the related body of literature does not agree on the very economic basics of modeling electricity markets. That is important since we need to capture the fundamentals of electricity markets before we introduce wind power to our study. For example, the structure of the electric industry is a key. If market power is present, the integration of wind power has large consequences on welfare distribution. Since wind power uncertainty changes the dynamics of information it also impacts the ability to manipulate market prices. This is because the quantity supplied by wind energy is not a decision variable. Second, the intermittent spatial nature of wind over a geographical region is important because the market value of wind power capacity is derived from its statistical properties. Once integrated into the market, the distribution of wind will impact the price of electricity produced from conventional sources of energy. Third, although wind power forecasting has improved in recent years, at the time of trading short-term electricity forwards, forecasting

  1. Analyzing Developing Country Market Integration using Incomplete Price Data and Cluster Analysis

    NARCIS (Netherlands)

    Ansah, I.G.; Gardebroek, Koos; Ihle, R.; Jaletac, M.

    2015-01-01

    Recent global food price developments have spurred renewed interest in analyzing integration of local markets to global markets. A popular approach to quantify market integration is cointegration analysis. However, local market price data often has missing values, outliers, or short and incomplete s

  2. 77 FR 38553 - Proposed Modification to Regulation Concerning the Use of Market Economy Input Prices in...

    Science.gov (United States)

    2012-06-28

    ... Market Economy Input Prices in Nonmarket Economy Proceedings AGENCY: Import Administration, International... normally will use the price that a nonmarket economy (``NME'') producer pays to a market economy supplier when a factor of production is purchased from a market economy supplier and paid for in market economy...

  3. Market power in electric power markets: Indications of competitiveness in spatial prices for wholesale electricity

    Science.gov (United States)

    Denton, Michael John

    The issue of market delineation and power in the wholesale electric energy market is explored using three separate approaches: two of these are analyses of spatial pricing data to explore the functional size of the markets, and the third is a series of experimental tests of the effects of different cost structures and market mechanisms on oligopoly strength in those markets. An equilibrium model of spatial network competition is shown to yield linear relationships between spatial prices. A data set comprising two years of spatial weekly peak and off-peak prices and weather for 6 locations in the Western States Coordinating Council and the Southwest Power Pool is subjected to a pairwise cointegration analysis. The use of dummy variables to account the the flow directions is found to significantly improve model performance. The second analytical technique utilizes the extraction of principal components from a spatial price correlation matrix to identify the extent of natural markets. One year of daily price observations for eleven locations within the WSCC is compiled and eigenvectors are extracted and subjected to oblique rotation, each of which is then interpreted as representing a separate geographic market. The results show that two distinct natural markets, correlated at 84%, account for over 96% of the variation in the spatial prices in the WSSC. Together, the findings support the assertion that the wholesale electricity market in the Western U.S. is large and highly competitive. The experimental analysis utilizes a radial three node network in which suppliers located at the outer nodes sell to buyers located at the central node. The parameterization captures the salient characteristics of the existing bulk power markets, and includes cyclical demand, transmission losses, as well as fixed and avoidable fixed costs for all agents. Treatments varied the number of sellers, the avoidable fixed cost structures, and the trading mechanism. Results indicated that

  4. 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

  5. Price Limit, Superior Information and Investor Behavior: Evidence from China Stock Market

    Institute of Scientific and Technical Information of China (English)

    FAN Li-min; LONG Zheng-ping; ZHU Bao-jun

    2007-01-01

    The mechanism of price limit impacts on informed traders' behavior. To find out what effects related to price limit, three hypotheses caused by price limit are analyzed.Comprehensive method of event study and comparative grouping is used to test the performance of price limit in Chinese stock market. The result of test indicates that price limit policy impedes fulfillment of traders and delays the discovery of stock price so it should be abolished.

  6. Kinetic market models with single commodity having price fluctuations

    CERN Document Server

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

    2006-01-01

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

  7. The crucial relationship among energy commodity prices: Evidence from the Spanish electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Moutinho, Victor, E-mail: vmoutinho@ua.pt [Department of Economics, Management and Industrial Engineering, University of Aveiro, Campus universitario de Santiago, 3810-193 Aveiro (Portugal); Vieira, Joel, E-mail: jmv@ua.pt [Department of Economics, Management and Industrial Engineering, University of Aveiro, Campus universitario de Santiago, 3810-193 Aveiro (Portugal); Carrizo Moreira, Antonio, E-mail: amoreira@ua.pt [Department of Economics, Management and Industrial Engineering, GOVCOPP, University of Aveiro, Campus universitario de Santiago, 3810-193 Aveiro (Portugal)

    2011-10-15

    The main purpose of this article is twofold to analyze: (a) the long-term relation among the commodities prices and between spot electricity market price and commodity prices, and (b) the short-term dynamics among commodity prices and between electricity prices and commodity prices. Data between 2002 and 2005 from the Spanish electricity market was used. Econometric methods were used in the analysis of the commodity spot price, namely the vector autoregression model, the vector error correction model and the granger causality test. The co-integration approach was used to analyze the long-term relationship between the common stochastic trends of four fossil fuel prices. One of the findings in the long-term relation is that the prices of fuel and the prices of Brent are intertwined, though the prices of Brent ten to 'move' to reestablish the price equilibrium. Another finding is that the price of electricity is explained by the evolution of the natural gas series. - Highlights: > We model energy commodity prices in the Spanish electricity market. > We examine the short and long-term relationships among commodities prices. > We examine short and long-term relationships using co-integration techniques. > We found that in the long run the prices of fuel and Brent are intertwined. > The evolution of price of electricity is explained by the evolution of price of gas.

  8. Collusion and seasonality of market price - A case of fixed market shares

    Directory of Open Access Journals (Sweden)

    Sylwester Bejger

    2010-07-01

    Full Text Available The paper develops a simple supergame model of collusion that focuses on the role of fixed(exogenous to game played system of quantity market shares. Conclusions implied by the modelcould be used to motivate data - saving markers of collusion based on market price behavior.Following conclusions of the theoretical model we propose marker of collusion based ondetecting changes in seasonal parameters of prices in periods of possible collusion. An empiricalapplication of method has been done on well known data of Lysine cartel case.

  9. Price adjustment in world wine markets: A cointegration analysis

    Directory of Open Access Journals (Sweden)

    Juan Sebastián Castillo-Valero

    2015-12-01

    Full Text Available World wine trade has undergone an exponential dynamic in recent years because of the fall in domestic demand of the main traditional producing countries. This study aims to measure the degree of price integration in the international wine market, within a framework where review and re-adaptation of strategies and behaviors is continuous in a scenario of increasing globalization. Prices from the principal Old World exporting countries have been taken into account, and those from New World exporters. The methodology adopted is based on estimating the Error Correction Vectors, linear and with thresholds. Results obtained show that export prices of Old World countries in the EU are homogenous and seek equilibrium within the same cointegration space; and, on the other hand, that New World exporters do not share a common behavior in their exporting dynamics. France appears as the “leader” of Old World countries, although its leadership and trend is not followed or shared by the New World exporters. However, Italy and particularly Spain are the ones cointegrated, linearly and non-linearly, with markets from New World countries, USA and Argentina. Therefore, France is reference within the EU, while New World exporters countries take Italy and Spain as reference competitors.

  10. Electricity spot price forecasting in free power market

    Energy Technology Data Exchange (ETDEWEB)

    Lilleberg, J.; Laitinen, E.K. [Vaasa Univ. (Finland)

    1998-08-01

    Deregulation has brought many changes to the electricity market. Freedom of choice has been granted to both the consumers and the utilities. Consumers may choose the seller of their energy. Utilities have a wider array of sources to acquire their electricity from. Also the types of sales contracts used are changing to fill the needs of this new situation. The consumers` right to choose has introduced a new risk uncertainty of volume, which was not true during the times of monopoly. As sold volume is unsure and the energy is not sold on same terms as it is bought, a price risk has to be dealt with also. The electric utility has to realize this, select a risk level that suits its business strategy and optimize its actions according to the selected risk level. The number of participants will grow as the electricity market integrates into a common market for Scandinavia and even Europe. Big customers are also taking a more active role in the market, further increasing the number of participants. This makes old bilateral arrangements outdated. New tools are needed to control the new business environment. The goal of this project has been to develop a theoretical model to predict the price in the Finnish electricity exchange, El-Ex Oy. An extensive literature review was conducted in order to (1) examine the solutions in deregulation of electricity markets in other countries, esp. in Norway and UK, (2) find similarities and differences in electricity exchange and exchanges generally and (3) find major sources of problems and inefficiency in the market

  11. 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.

  12. Examining Specialty Crop Price Relationships between Farmers Markets and Grocery Stores

    OpenAIRE

    Gunderson, Michael A.; Earl, Ashley N.

    2010-01-01

    Farmers markets across the state of Florida have been increasing in popularity over the past two years. Very little information is available regarding the price relationship between farmers markets and nearby grocery stores. Further investigation of this relationship is necessary and could yield vital infor­mation to support further understanding of pricing trends among these two sources. By obtaining prices from both farmers markets and grocery stores that are closest to each of the markets...

  13. Pricing Strategies for Viral Marketing on Social Networks

    KAUST Repository

    Arthur, David

    2009-01-01

    We study the use of viral marketing strategies on social networks that seek to maximize revenue from the sale of a single product. We propose a model in which the decision of a buyer to buy the product is influenced by friends that own the product and the price at which the product is offered. The influence model we analyze is quite general, naturally extending both the Linear Threshold model and the Independent Cascade model, while also incorporating price information. We consider sales proceeding in a cascading manner through the network, i.e. a buyer is offered the product via recommendations from its neighbors who own the product. In this setting, the seller influences events by offering a cashback to recommenders and by setting prices (via coupons or discounts) for each buyer in the social network. This choice of prices for the buyers is termed as the seller\\'s strategy. Finding a seller strategy which maximizes the expected revenue in this setting turns out to be NP-hard. However, we propose a seller strategy that generates revenue guaranteed to be within a constant factor of the optimal strategy in a wide variety of models. The strategy is based on an influence-and-exploit idea, and it consists of finding the right trade-off at each time step between: generating revenue from the current user versus offering the product for free and using the influence generated from this sale later in the process. © 2009 Springer-Verlag Berlin Heidelberg.

  14. 7 CFR 1437.11 - Average market price and payment factors.

    Science.gov (United States)

    2010-01-01

    ... 7 Agriculture 10 2010-01-01 2010-01-01 false Average market price and payment factors. 1437.11... ASSISTANCE PROGRAM General Provisions § 1437.11 Average market price and payment factors. (a) An average... Animal-unit-days (AUD) value will be based on the national average price of corn and the...

  15. Forward Volatility Contract Pricing in the Brazilian Market

    Directory of Open Access Journals (Sweden)

    Sandro Magalhães Manteiga

    2004-06-01

    Full Text Available In this work we consider the pricing of a special class of volatility derivatives, the so-called variance swaps. The fair value of a variance swap is equal to the expected value of the realized variance of the underlying of the swap during the lifetime of the contract. It is shown how this expected value can be computed by means of an exotic option with logarithmic pay-off. We show how to statically replicate this pay-off in terms of a basket of synthetic vanilla call and put options. We apply this construction to the TNLP4 ticker of BOVESPA and synthetize a basket with pure exposure to volatility using actual market prices.

  16. Competition and quality in a physiotherapy market with fixed prices.

    Science.gov (United States)

    Pekola, Piia; Linnosmaa, Ismo; Mikkola, Hennamari

    2017-01-01

    Our study focuses on competition and quality in physiotherapy organized and regulated by the Social Insurance Institution of Finland (Kela). We first derive a hypothesis with a theoretical model and then perform empirical analyses of the data. Within the physiotherapy market, prices are regulated by Kela, and after registration eligible firms are accepted to join a pool of firms from which patients choose service providers based on their individual preferences. By using 2SLS estimation techniques, we analyzed the relationship among quality, competition and regulated price. According to the results, competition has a statistically significant (yet weak) negative effect (p = 0.019) on quality. The outcome for quality is likely caused by imperfect information. It seems that Kela has provided too little information for patients about the quality of the service.

  17. Market Prices in a Power Market with more than 50% Wind Power

    DEFF Research Database (Denmark)

    Skytte, Klaus; Grohnheit, Poul Erik

    2017-01-01

    of wind power production and that it would be hard to get good and stable prices. However, analyses in this chapter show that the Nordic power market works, extreme events have been few, and the current infrastructure and market organization has been able to handle the amount of wind power installed so......Denmark has the highest proportion of wind power in the world. Wind power provided a world record of 39.1% of the total annual Danish electricity consumption in 2014 with as much as 51.7% in Western Denmark. Many would argue that the present power markets are not designed for such high shares...... far. It is found that geographical bidding areas for the wholesale electricity market reflect external transmission constraints caused by wind power. The analyses in this chapter use hourly data from West Denmark—which has the highest share of wind energy in Denmark and which is a separate price area...

  18. Fundamentals of Cattle Marketing in Southwest, Nigeria: Analyzing Market Intermediaries, Price Formation and Yield Performance

    OpenAIRE

    Mafimisebi, Taiwo Ejiola; Bobola, O.M.; Mafimisebi, O.E.

    2013-01-01

    An understanding of how cattle markets work is a desideratum for sustainable commercialization of cattle production aimed at increasing accessibility to and affordability of cattle meat. This study examined the fundamentals of cattle marketing in Southwest, Nigeria using primary data collected from 120 respondents selected through multi-stage sampling technique. Data analytical tools included descriptive statistics, budgeting and price formation strategy models. Empirical results showed the m...

  19. Essays on microgrids, asymmetric pricing and market power in electricity markets

    Science.gov (United States)

    Lo Prete, Chiara

    This dissertation presents four studies of the electricity industry. The first and second essays use economic-engineering models to assess different aspects of microgrid penetration in regional electricity markets, while the last two studies contain empirical analyses aimed at evaluating the performance of wholesale electricity markets. Chapter 2 develops a framework to quantify economic, environmental, efficiency and reliability impacts of different power production scenarios in a regional system, focusing on the interaction of microgrids with the existing transmission and distribution grid. The setting is the regional network formed by Belgium, France, Germany and the Netherlands. The study presents simulations of power market outcomes under various policies and levels of microgrid penetration, and evaluates them using a diverse set of metrics. Chapter 3 studies the interaction between a microgrid and a regulated electric utility in a regional electricity market. I consider the interaction among the utility, the microgrid developer and consumers in the framework of cooperative game theory (assuming exchangeable utility), and use regional market models to simulate scenarios in which microgrid introduction may or may not be socially beneficial. Under the assumptions of this chapter, customer participation is essential to the development of socially beneficial microgrids, while the utility has little or no gain from it. Discussed incentives to avoid that utilities block microgrid entry include additional revenue drivers related to microgrid connection, decoupling and performance-based mechanisms targeted at service quality. When prices are below marginal costs of utility provided power, microgrid development may be socially beneficial, but unprofitable for microgrid customers and its developer. By imposing lower charges and higher remuneration for its services, the regulator could ensure that microgrid value is positive, without adversely impacting the utility

  20. Effect of market factors on the short-time pricing of stock-exchange metals

    Science.gov (United States)

    Bogdanov, S. V.; Shevelev, I. M.; Chernyi, S. A.

    2016-12-01

    The open trade on the world market is estimated using information of one-day exchange prices of nonferrous and precious metals, oil, reduced crude, and gasoline and the main world stock indices in the time period from January 1, 2009 to December 31, 2015. It is found that the short-term changes in the prices of nonferrous metals are determined by the prices on the metal market. The changes in the prices of energy carriers and the stock trade on the stock market weakly influence the pricing of nonferrous and precious metals. The prices of metals depend on the situation during trade on commodity exchanges, and the stock market indirectly influences the exchange prices of metals through changes in the share prices of the companies that produce copper, aluminum, and zinc.

  1. Are Price Limits Effective? An Examination of an Artificial Stock Market.

    Science.gov (United States)

    Zhang, Xiaotao; Ping, Jing; Zhu, Tao; Li, Yuelei; Xiong, Xiong

    2016-01-01

    We investigated the inter-day effects of price limits policies that are employed in agent-based simulations. To isolate the impact of price limits from the impact of other factors, we built an artificial stock market with higher frequency price limits hitting. The trading mechanisms in this market are the same as the trading mechanisms in China's stock market. Then, we designed a series of simulations with and without price limits policy. The results of these simulations demonstrate that both upper and lower price limits can cause a volatility spillover effect and a trading interference effect. The process of price discovery will be delayed if upper price limits are imposed on a stock market; however, this phenomenon does not occur when lower price limits are imposed.

  2. Do higher oil prices push the stock market into bear territory?

    Energy Technology Data Exchange (ETDEWEB)

    Chen, Shiu-Sheng [Department of Economics, National Taiwan University, No. 21, Hsu-Chow Road, Taipei (China)

    2010-03-15

    This paper investigates whether a higher oil price pushes the stock market into bear territory, by using time-varying transition-probability Markov-switching models. It examines different measures of oil price shocks. Empirical evidence from monthly returns on the Standard and Poor's S and P 500 price index suggests that an increase in oil prices leads to a higher probability of a bear market emerging. (author)

  3. On the No-arbitrage Principle and Option Pricing in a Fuzzy Market

    Institute of Scientific and Technical Information of China (English)

    YOU Su-rong

    2006-01-01

    Discuss the no-arbitrage principle in a fuzzy market and present a model for pricing an option. Get a fuzzy price for the contingent claim in a market involving fuzzy elements,whose level set can be seen as the possible price level interval with given belief degree. Use fuzzy density function and fuzzy mean as evidence for such model. Also give an example for comparing the result of the model in this article and that of another pricing method.

  4. Horticultural auctions in The Netherlands: A transition from 'price discovery' institution to 'marketing' institution

    NARCIS (Netherlands)

    Meulenberg, M.T.G.

    1989-01-01

    This paper depicts the evolution of Dutch auctions during the past hundred years from a "price discovery" institution to a "marketing" institution, focusing on price discovery. A conceptual framework is proposed to assess the suitablility of marketing management by agricultural marketing institution

  5. Market Based Criteria for Congestion Management and Transmission Pricing

    Directory of Open Access Journals (Sweden)

    Miss. Archana Jaisisngpure

    2014-07-01

    Full Text Available -Congestion Management is one of the major tasks performed by system operator to ensure the operation of transmission system within operating limits. In the emerging electric power market, the congestion management becomes extremely important and it can impose a barrier to the electricity trading. In the present paper, a concept of transmission congestion penalty factors is developed and implemented to control power overflows in transmission lines for congestion management. Here we presents a Re-dispatch methodology for cost of transmission network to its user. The transmission price computation considers the physical impact caused by the market agents in the transmission network. The paper includes case study for IEEE 5 bus power system.

  6. FINANCIAL RATIOS AND STOCK PRICES ON DEVELOPED CAPITAL MARKETS

    Directory of Open Access Journals (Sweden)

    BOGDAN DIMA

    2013-03-01

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

  7. Near-term world oil markets : economics, politics and prices

    Energy Technology Data Exchange (ETDEWEB)

    Dwarkin, J. [Canadian Energy Research Inst., Calgary, AB (Canada)

    2002-07-01

    This paper discusses the three main factors that will determine how OPEC oil production will impact on energy markets. OPEC reassured the market in September 2001, following the terrorist attack in New York that it would not cut oil production, but by December 2001, OPEC was threatening that it would cut production unless many key non-OPEC producers collaborated to shore up prices. On January 1, 2002, OPEC members went ahead with a quota reduction, based on pledges of cuts from the non-OPEC oil exporting countries. World economies, oil demand, and the path which the U.S. economy will take during 2002 is critical in determining what happens next in terms of oil production from OPEC. Another important factor is knowing whether non-OPEC producers will actually cut output to a significant extent. The most critical factor will be the response by OPEC members if non-OPEC exporting countries do not keep their promise.

  8. Pricing in health care organizations. A key component of the marketing mix.

    Science.gov (United States)

    Marlowe, D

    1989-01-01

    Pricing is one of the key components of a successful marketing mix. Pricing objectives, strategies, and tactics cannot stand alone, however. To be effective, price must work in harmony with other marketing and management activities. Despite its importance, use of pricing as a management tool is limited in health care compared to other industries. Many factors contribute to this situation, including the structure of the health-care exchange process, limited consumer knowledge, and a limited ability to measure costs. I will provide an overview of pricing information, both within and outside health care. Specifically, we will explore the definition of pricing, nonmonetary pricing, price elasticity, classical pricing theory, and the role of pricing in a health-care setting.

  9. Pricing strategies for viral marketing on Social Networks

    CERN Document Server

    Arthur, David; Sharma, Aneesh; Xu, Ying

    2009-01-01

    We study the use of viral marketing strategies on social networks to maximize revenue from the sale of a single product. We propose a model in which the decision of a buyer to buy the product is influenced by friends that own the product and the price at which the product is offered. The influence model we analyze is quite general, naturally extending both the Linear Threshold model and the Independent Cascade model, while also incorporating price information. We consider sales proceeding in a cascading manner through the network, i.e. a buyer is offered the product via recommendations from its neighbors who own the product. In this setting, the seller influences events by offering a cashback to recommenders and by setting prices (via coupons or discounts) for each buyer in the social network. Finding a seller strategy which maximizes the expected revenue in this setting turns out to be NP-hard. However, we propose a seller strategy that generates revenue guaranteed to be within a constant factor of the optim...

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

    Energy Technology Data Exchange (ETDEWEB)

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

    2007-04-15

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

  11. Relationships between oil price shocks and stock market: An empirical analysis from China

    Energy Technology Data Exchange (ETDEWEB)

    Cong Ronggang [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China); Graduate School of the Chinese Academy of Sciences, Beijing 100080 (China); Wei Yiming [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China)], E-mail: ymwei@deas.harvard.edu; Jiao Jianlin [Hefei University of Science and Technology, Hefei 230009 (China); Fan Ying [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China)

    2008-09-15

    This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing index and some oil companies. Some 'important' oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain much more than interest rates for manufacturing index.

  12. Relationships between oil price shocks and stock market: An empirical analysis from China

    Energy Technology Data Exchange (ETDEWEB)

    Cong, Rong-Gang [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China); Graduate School of the Chinese Academy of Sciences, Beijing 100080 (China); Wei, Yi-Ming; Fan, Ying [Center for Energy and Environmental Policy Research, Institute of Policy and Management (IPM), Chinese Academy of Sciences (CAS), P.O. Box 8712, Beijing 100080 (China); Jiao, Jian-Lin [Hefei University of Science and Technology, Hefei 230009 (China)

    2008-09-15

    This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing index and some oil companies. Some 'important' oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain much more than interest rates for manufacturing index. (author)

  13. Relationships between oil price shocks and stock market: An empirical analysis from China

    DEFF Research Database (Denmark)

    Cong, Ronggang; Wei, Yi-Ming; Jiao, Jian-Ling

    2008-01-01

    This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing...... index and some oil companies. Some “important” oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain...

  14. Macroeconomic Forces and Stock Prices:Evidence from the Bangladesh Stock Market

    OpenAIRE

    Khan, Mashrur Mustaque; Yousuf, Ahmed Sadek

    2013-01-01

    The study examines the influence of a selective set of macroeconomic forces on stock market prices in Bangladesh. The Dhaka Stock Exchange All-Share Price Index (DSI) is used to represent the prices in the stock market while deposit interest rates, exchange rates, consumer price index (CPI), crude oil prices and broad money supply (M2) are selected to represent the macroeconomic variables affecting the stock prices. Using monthly data from 1992m1-2011m6, several time-series techniques were us...

  15. The Effect of Drug Prohibition on Drug Prices: Evidence from the Markets for Cocaine and Heroin

    OpenAIRE

    Jeffrey A. Miron

    2003-01-01

    This paper examines the effect of drug prohibition on the black market prices of cocaine and heroin. The paper examines the ratio of retail to farmgate price for cocaine, heroin, and several legal goods, and it compares legal versus black market prices for cocaine and heroin. The results suggest that cocaine and heroin are substantially more expensive than they would be in a legalized market, but to a lesser degree than suggested in previous research.

  16. Collective Behavior of Market Participants during Abrupt Stock Price Changes.

    Science.gov (United States)

    Maskawa, Jun-Ichi

    2016-01-01

    Under uncertainty, human and animal collectives often respond stochastically to events they encounter. Human or animal individuals behave depending on others' actions, and sometimes follow choices that are sub-optimal for individuals. Such mimetic behaviors are enhanced during emergencies, creating collective behavior of a group. A stock market that is about to crash, as markets did immediately after the Lehman Brothers bankruptcy, provides illustrative examples of such behaviors. We provide empirical evidence proving the existence of collective behavior among stock market participants in emergent situations. We investigated the resolution of extreme supply-and-demand order imbalances by increased balancing counter orders: buy and sell orders for excess supply and demand respectively, during times of price adjustment, so-called special quotes on the Tokyo Stock Exchange. Counter orders increase positively depending on the quantity of revealed counter orders: the accumulated orders in the book until then. Statistics of the coming counter order are well described using a logistic regression model with the ratio of revealed orders until then to the finally revealed orders as the explanatory variable. Results given here show that the market participants make Bayesian estimations of optimal choices to ascertain whether to order using information about orders of other participants.

  17. Inter ISO Market Coordination by Calculating Border Locational Marginal Prices

    Directory of Open Access Journals (Sweden)

    BABIC, A. B.

    2013-05-01

    Full Text Available In this paper the methodology for solving Locational Marginal Price (LMP differences (inconsistency of LMPs that arise at the boundary buses between separate power markets is proposed. The algorithm developed enables us to obtain consistent LMP values at the boundary buses between interconnected ISOs. A Primal-Dual Interior Point based optimal power flow (OPF is applied, with complete set of power system physical limit constraints, to solve a regional spot market. The OPF is implemented such that producer and consumer behaviors are modeled simultaneously, while the welfare is maximized. In this paper a generalized methodology for multiple ISOs case is proposed and later it is practically applied on two interconnected independent entities. The algorithm for approximation of cost coefficients of generators and dispatchable loads for neighboring ISOs is proposed. The developed algorithm enables participating ISOs to obtain LMPs at the boundary buses with other interconnected ISOs. By controlling interchange of electric power at the scheduled level, regional spot markets are resolved eliminating possible exercise of market power by individual interconnected ISOs. Results of proposed methodology are tested on the IEEE 118-bus power system.

  18. Energy prices, volatility, and the stock market. Evidence from the Eurozone

    Energy Technology Data Exchange (ETDEWEB)

    Oberndorfer, Ulrich [Federal Ministry of Economics and Technology, Scharnhorststr. 34-37, 10115 Berlin (Germany)

    2009-12-15

    This paper constitutes a first analysis on stock returns of energy corporations from the Eurozone. It focuses on the relationship between energy market developments and the pricing of European energy stocks. According to our results, oil price hikes negatively impact on stock returns of European utilities. However, they lead to an appreciation of oil and gas stocks. Interestingly, forecastable oil market volatility negatively affects European oil and gas stocks, implying profit opportunities for strategic investors. In contrast, the gas market does not play a role for the pricing of Eurozone energy stocks. Coal price developments affect the stock returns of European utilities. However, this effect is small compared to oil price impacts, although oil is barely used for electricity generation in Europe. This suggests that for the European stock market, the oil price is the main indicator for energy price developments as a whole. (author)

  19. Energy prices, volatility, and the stock market: Evidence from the Eurozone

    Energy Technology Data Exchange (ETDEWEB)

    Oberndorfer, Ulrich, E-mail: ulrich.oberndorfer@bmwi.bund.d [Federal Ministry of Economics and Technology, Scharnhorststr. 34-37, 10115 Berlin (Germany)

    2009-12-15

    This paper constitutes a first analysis on stock returns of energy corporations from the Eurozone. It focuses on the relationship between energy market developments and the pricing of European energy stocks. According to our results, oil price hikes negatively impact on stock returns of European utilities. However, they lead to an appreciation of oil and gas stocks. Interestingly, forecastable oil market volatility negatively affects European oil and gas stocks, implying profit opportunities for strategic investors. In contrast, the gas market does not play a role for the pricing of Eurozone energy stocks. Coal price developments affect the stock returns of European utilities. However, this effect is small compared to oil price impacts, although oil is barely used for electricity generation in Europe. This suggests that for the European stock market, the oil price is the main indicator for energy price developments as a whole.

  20. Does the market share of generic medicines influence the price level?: a European analysis.

    Science.gov (United States)

    Dylst, Pieter; Simoens, Steven

    2011-10-01

    After the expiry of patents for originator medicines, generic medicines can enter the market, and price competition may occur. This process generates savings to the healthcare payer and to patients, but knowledge about the factors affecting price competition in the pharmaceutical market following patent expiry is still limited. This study aimed to investigate the relationship between the market share of generic medicines and the change of the medicine price level in European off-patent markets. Data on medicine volumes and values for 35 active substances were purchased from IMS Health. Ex-manufacturer prices were used, and the analysis was limited to medicines in immediate-release, oral, solid dosage forms. Countries included were Austria, Belgium, Denmark, Germany, France, Italy, the Netherlands, Spain, Sweden and the UK, which constitute a mix of countries with low and high generic medicines market shares. Data were available from June 2002 until March 2007. Market volume has risen in both high and low generic market share countries (+29.27% and +27.40%, respectively), but the cause of the rise is different for the two markets. In low generic market share countries, the rise was caused by the increased use of generic medicines, while in high market share countries, the rise was driven by the increased use of generic medicines and a shift of use from originator to generic medicines. Market value was substantially decreased in high generic market share countries (-26.6%), while the decrease in low generic market share countries was limited (-0.06%). In high generic market share countries, medicine prices dropped by -43.18% versus -21.56% in low market share countries. The extent to which price competition from generic medicines leads to price reductions appears to vary according to the market share of generic medicines. High generic market share countries have seen a larger decrease in medicine prices than low market share countries.

  1. Speculation on commodities futures markets and destabilization of global food prices: exploring the connections.

    Science.gov (United States)

    Ghosh, Jayati; Heintz, James; Pollin, Robert

    2012-01-01

    In December 2010, the United Nations Food and Agriculture Organization's Food Price Index surpassed its previous peak of June 2008, and prices remained at this level through September 2011. This pattern is creating justified fears of a renewal or intensification of the global food crisis. This paper reviews arguments and evidence to inform debates on how to regulate commodity futures markets in the face of such price volatility and sustained high prices. We focus on the relationship between market liquidity and price patterns in asset markets in general and in commodities futures markets in particular, as well as the relationship between spot and futures market prices for food. We find strong evidence supporting the need to limit huge increases in trading volume on futures markets through regulations. We find that arguments opposing regulation are not supported. We find no support for the claim that liquidity in futures markets stabilizes prices at "fundamental" values or that spot market prices are free of any significant influence from futures markets. Given these results, the most appropriate position for regulators is precautionary: they should enact and enforce policies capable of effectively dampening excessive speculative trading on the commodities markets for food.

  2. Hospital prices and market structure in the hospital and insurance industries.

    Science.gov (United States)

    Moriya, Asako S; Vogt, William B; Gaynor, Martin

    2010-10-01

    There has been substantial consolidation among health insurers and hospitals, recently, raising questions about the effects of this consolidation on the exercise of market power. We analyze the relationship between insurer and hospital market concentration and the prices of hospital services. We use a national US dataset containing transaction prices for health care services for over 11 million privately insured Americans. Using three years of panel data, we estimate how insurer and hospital market concentration are related to hospital prices, while controlling for unobserved market effects. We find that increases in insurance market concentration are significantly associated with decreases in hospital prices, whereas increases in hospital concentration are non-significantly associated with increases in prices. A hypothetical merger between two of five equally sized insurers is estimated to decrease hospital prices by 6.7%.

  3. The Variation Law of the Market Price of Pork in Beijing City

    Institute of Scientific and Technical Information of China (English)

    GE Xue-song; HUANG Ti-ran; WANG Xiao-dong; ZHAO You-sen

    2012-01-01

    In order to research the fluctuation law of price of pork in Beijing City and determine its fluctuation cycle,we use level indicator analysis,speed indicator analysis,the coefficient of variation,the seasonal adjustment model and the HP filter method,to analyze the data on the market price of pork in 8 wholesale markets in Beijing City during the period 2002-2011.The results show that the annual price of pork in wholesale markets in Beijing City shows a gradual upward trend;during the period 2002-2011,the price of pork in Beijing City experienced three full fluctuation cycle,and each fluctuation cycle was roughly 38 months;the price of pork within the year shows a trend of " one trough,one crest",and the interval of high prices is mainly concentrated in June-december;the amount of pork for sale within the year is basically inversely correlated with the price.Therefore,we should strengthen the monitoring of pig production information and market information,to ensure the sufficient supply of pork,and stabilize the market price of pork.In addition,according to the variation law of the market price of pork,improving the purchasing,storage and allocation work mechanism of the reserve meat is also necessary to stabilizing the market price of pork.

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

    OpenAIRE

    Tröster, Bernhard; Staritz, Cornelia

    2015-01-01

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

  5. Price Transmission Process in Vertical Markets: an Empirical Analysis of Onion Markets in Tamil Nadu State (India

    Directory of Open Access Journals (Sweden)

    Srinivasulu Rajendran

    2015-02-01

    Full Text Available The objective of the paper is to examine price transmission process between wholesale and retail markets by adopting Asymmetric Price Transmission (APT Model.  The paper has taken a case of Onion ((Allium cepa L. wholesale and retail markets in Tamil Nadu state, India.   The paper used wholesale and retail prices data from secondary sources.  The results show that high margin at retail and wholesale levels of prices points to possibility of distortion in prices which may lead to an asymmetric process in the vertical market. The speed and magnitude of price changes and also the type of asymmetry in the vertical market system has identified the presence of both positive and negative asymmetry. With respect to speed, where the markets have shown negative asymmetry, there is evidence of retail prices responding much faster to decrease in wholesale prices than to increases in wholesale prices. Where a positive asymmetry holds, the result is the opposite. Keywords: Vegetables, Asymmetry, Efficiency, Market Integration and Symmetry 

  6. Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market

    Directory of Open Access Journals (Sweden)

    Rongquan Bai

    2013-01-01

    Full Text Available This paper proposes an estimation method of time-varying beta of price limits. It uses China stock market trading data to estimate time-varying beta and researches on systemic risk in China stock market. By comparing prediction errors of market model, SS market model, and Censored-SS market model, it verifies the effectiveness of Censored-SS market model. Furthermore it has some meaningful conclusions in China stock market.

  7. Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market

    OpenAIRE

    Rongquan Bai; Zuoquan Zhang; Menggang Li

    2013-01-01

    This paper proposes an estimation method of time-varying beta of price limits. It uses China stock market trading data to estimate time-varying beta and researches on systemic risk in China stock market. By comparing prediction errors of market model, SS market model, and Censored-SS market model, it verifies the effectiveness of Censored-SS market model. Furthermore it has some meaningful conclusions in China stock market.

  8. The Impact of Market Reform Programmes on Coffee Prices in ...

    African Journals Online (AJOL)

    To mitigate these problems there is a need to: improve coffee quality through harnessing the ... possible through commodity agreements adapted to stabilize prices of ... during this period and it resulted into low prices as well as high price ...

  9. PRICE AND PRICING STRATEGIES

    OpenAIRE

    Titus SUCIU

    2013-01-01

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

  10. PRICE AND PRICING STRATEGIES

    OpenAIRE

    Titus SUCIU

    2013-01-01

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

  11. Effects of Policy Reforms on Price Transmission in Coffee Markets: Evidence from Zambia and Tanzania

    OpenAIRE

    Mofya-Mukuka, Rhoda; Abdulai, Awudu

    2013-01-01

    In the late 1990s, several governments in Sub-Saharan Africa (SSA) embarked on various market reforms to improve commodity market performance. The success of such market reforms depends partly on the strength of the transmission of price signals between spatially separated markets and between different levels of commodity value chains. This study takes a look at these issues through an analysis of coffee producer prices for Zambia and Tanzania.

  12. Microstructure And Market Maker Price Strategies: Study Of A Tunisian Market Maker Activity

    Directory of Open Access Journals (Sweden)

    Saida GTIFA

    2010-05-01

    Full Text Available This paper provides evidence on market making behaviour of FX dealer in the Tunisian FX. It uses a complete data set that includes intra-day trades for the euro and US dollar. The sample period is 1 January 2007 to 31 December 2007. The results are consistent with the findings of the literature that used trades and inventories data. I find evidence that customer order flow has information effect on USD/TND. However, I do not find evidence that customer order flow has information effect on EUR/TND. Moreover, inter-dealer order flow has a positive effect on the market maker price strategy. I also find that the central bank intervention has positive and significant effect on dealer’s behaviour and price formation process. My study also suggests that dealer is risk aversion and his quotes flows the references quotes tendency.

  13. Threshold Pricing: A Strategy for the Marketing of Adult Education Courses.

    Science.gov (United States)

    Lamoureux, Marvin E.

    Because threshold pricing's scope for course price development had a good potential for application to the marketing of services by nonprofit organizations, this study's purpose was to determine the existence and applicability of course price thresholds or ranges to the decisionmaking framework of adult educators, with special reference to…

  14. Analysis of price variation amongst different formulations of anxiolytic drugs available in Indian market

    Directory of Open Access Journals (Sweden)

    Vihang S. Chawan

    2016-06-01

    Conclusions: There is a wide variation in the price of different brands of anxiolytic drugs available in Indian market. Government of India should reduce the pricing of drugs by bringing them under drug pricing control order (DPCO. [Int J Res Med Sci 2016; 4(6.000: 2398-2401

  15. The Relationship Between Electricity Price and Wind Power Generation in Danish Electricity Markets

    DEFF Research Database (Denmark)

    Hu, Weihao; Chen, Zhe; Bak-Jensen, Birgitte

    2010-01-01

    The western Danish power system is currently the grid area in the world that has the largest share of wind power in its generation profiles, with more than 20% of its annual consumption generated by wind turbines. In this paper, the western Danish power system, which may represent the future...... of competitive electricity markets in some ways, is chosen as the studied power system. The relationship between the electricity price (both the spot price and the regulation price) and the wind power generation in an electricity market is investigated in this paper. The spot price, the down regulation price...

  16. Asset price and trade volume relation in artificial market impacted by value investors

    Science.gov (United States)

    Tangmongkollert, K.; Suwanna, S.

    2016-05-01

    The relationship between return and trade volume has been of great interests in a financial market. The appearance of asymmetry in the price-volume relation in the bull and bear market is still unsettled. We present a model of the value investor traders (VIs) in the double auction system, in which agents make trading decision based on the pseudo fundamental price modelled by sawtooth oscillations. We investigate the system by two different time series for the asset fundamental price: one corresponds to the fundamental price in a growing phase; and the other corresponds to that in a declining phase. The simulation results show that the trade volume is proportional to the difference between the market price and the fundamental price, and that there is asymmetry between the buying and selling phases. Furthermore, the selling phase has more significant impact of price on the trade volume than the buying phase.

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

    DEFF Research Database (Denmark)

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

    2013-01-01

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

  18. The behavior of hake prices in Chile: is the world market leading?

    Directory of Open Access Journals (Sweden)

    Felipe Quezada

    2014-11-01

    Full Text Available In this study we analyzed price determination throughout the Chilean hake market chain. To analyze the relationship between different prices participating in this chain, a VECM model was successfully estimated. One cointegration vector was identified. Tests for weak exogenous variables, causality, and significance of different variables were performed, and a parsimonious version of the model was selected. The results obtained in this paper outline a price determination process that, in the end, is governed by world market conditions. Moreover, the diverse links in the hake market chain seem to be well integrated, which implies that there is little room for domestic price determination.

  19. Market price of risk implied by Asian-style electricity options and futures

    Energy Technology Data Exchange (ETDEWEB)

    Weron, Rafal [Hugo Steinhaus Center for Stochastic Methods, Institute of Mathematics and Computer Science, Wroclaw University of Technology, 50-370 Wroclaw (Poland)

    2008-05-15

    In this paper we propose a jump-diffusion type model which recovers the main characteristics of electricity spot price dynamics in the Nordic market, including seasonality, mean-reversion and spiky behavior. We show how the calibration of the market price of risk to actively traded futures contracts allows for efficient valuation of Nord Pool's Asian-style options written on the spot electricity price. Furthermore, we study the evolution of the market price of risk (and the risk premium) over a three year time period and compare the obtained results with those reported in the literature. (author)

  20. Modeling House Pricing in the Real Estate Market of São Paulo City

    Directory of Open Access Journals (Sweden)

    Carla Jucá Amrein

    2011-06-01

    Full Text Available edonic modeling has become a benchmark for pricing real assets with several intrinsic characteristics. This work tests also others dimensions for asset pricing: the quality of life in the housing neighborhood and macroeconomic variables. The data is about the real estate market in São Paulo city from January 2001 to March 2008. The main results were: the longer the maturity of mortgage financing, the larger the housing price, but decreasing interest rate spread stimulate the real estate market, and the interactions between the dummy for the boom period and either housing characteristics or bank interest rates spread show that the hedonic model loses its relative importance for pricing, while market risk variables become much more relevant. Thus, these new findings suggests that for modeling a house price index it is not sufficient to consider only average prices or a hedonic approach, but both the market and credit risks as well.

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

    NARCIS (Netherlands)

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

    2000-01-01

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

  2. The process of short- and long-term price integration in the Benin maize market.

    NARCIS (Netherlands)

    Lutz, C.; Tilburg, van A.; Kamp, van der B.J.

    1995-01-01

    This paper reviews the methodology used to study the price integration process in spatially separated spot markets, and applies it to the Benin maize market. An autoregressive distributed lag model is derived to take into account the sluggishness of price adjustments. Hypothesis testing concerns sta

  3. The Clustering of Bid/Ask Prices and the Spread in the Foreign Exchange Market

    OpenAIRE

    Riccardo Curcio; Charles Goodhart

    1991-01-01

    Following Lawrence Harris (1989b) study of price clustering in stock prices, we examine the smae phenomenon in the forex market. The pattern of clustering in the final digit of bid/ask prices depends on the desired degree of price resolution. The selection of spreads also involves clustering, but this is driven by a different behavioural pattern, consistent with the pure attraction hypothesis. The combination of the two patterns can explain the differing frequencies of final digits in the bid...

  4. THEORY AND MISBEHAVIOR OF FIRST-PRICE AUCTIONS: THE IMPORTANCE OF INFORMATION FEEDBACK IN EXPERIMENTAL MARKETS

    OpenAIRE

    Tibor Neugebauer; Javier Perote

    2005-01-01

    This article reports the results of a market experiment designed to test the predictions of the constant relative risk aversion model and to study the importance of information feedback in repeated first-price sealed-bid auctions. The data reveal that introduction of price information feedback implies a significant change of individual behavior. Without price information feedback, the data support the risk neutral Nash equilibrium prediction; with price information feedback, on the other hand...

  5. ASYMMETRY IN PRICE TRANSMISSION MECHANISM: THE CASE OF SLOVAK POTATO MARKET

    OpenAIRE

    Miroslava Rajcaniova; Jan Pokrivcak

    2013-01-01

    This paper examines price transmission mechanism between farm and retail levels in vertical chain of potatoes. Time series analysis starting with cointegration approach is used to study price linkages between producer and consumer prices in potato market in Slovakia. We test for an existence of structural break in time series data (Gregory - Hansen test) in the observed period and allow for an existence of non-linear relationship between prices at various levels of vertical chain by using...

  6. Analyzing millet price regimes and market performance in Niger with remote sensing data

    Science.gov (United States)

    Essam, Timothy Michael

    This dissertation concerns the analysis of staple food prices and market performance in Niger using remotely sensed vegetation indices in the form of normalized differenced vegetation index (NDVI). By exploiting the link between weather-related vegetation production conditions, which serve as a proxy for spatially explicit millet yields and thus millet availability, this study analyzes the potential causal links between NDVI outcomes and millet market performance and presents an empirical approach for predicting changes in market performance based on NDVI outcomes. Overall, the thesis finds that inter-market price spreads and levels of market integration can be reasonably explained by deviations in vegetation index outcomes from the growing season. Negative (positive) NDVI shocks are associated with better (worse) than expected market performance as measured by converging inter-market price spreads. As the number of markets affected by negatively abnormal vegetation production conditions in the same month of the growing season increases, inter-market price dispersion declines. Positive NDVI shocks, however, do not mirror this pattern in terms of the magnitude of inter-market price divergence. Market integration is also found to be linked to vegetation index outcomes as below (above) average NDVI outcomes result in more integrated (segmented) markets. Climate change and food security policies and interventions should be guided by these findings and account for dynamic relationships among market structures and vegetation production outcomes.

  7. PREDICTABLE AND PRICE VOLATILITY RISK IN THE BRAZILIAN MARKET INTEGRATION OF SHRIMP

    Directory of Open Access Journals (Sweden)

    Israel José dos Santos Felipe

    2015-12-01

    Full Text Available The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. It´s presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Society of General Warehouses of São Paulo (CEAGESP.The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of "One Step Ahead" with 12 periods horizon , proved to be statistically more robust. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread.

  8. Ethanol, Corn, and Soybean Price Relations in a Volatile Vehicle-Fuels Market

    Directory of Open Access Journals (Sweden)

    Cesar Escalante

    2009-06-01

    Full Text Available The rapid upward shift in ethanol demand has raised concerns about ethanol’s impact on the price level and volatility of agricultural commodities. The popular press attributes much of this volatility in commodity prices to a price bubble in ethanol fuel and recent deflation. Market economics predicts not only a softening of demand to high commodity prices but also a positive supply response. This volatility in ethanol and commodity prices are investigated using cointegration, vector error corrections (VECM, and multivariate generalized autoregressive conditional heteroskedascity (MGARCH models. In terms of derived demand theory, results support ethanol and oil demands as derived demands from vehicle-fuel production. Gasoline prices directly influence the prices of ethanol and oil. However, of greater significance for the fuel versus food security issue, results support the effect of agricultural commodity prices as market signals which restore commodity markets to their equilibriums after a demand or supply event (shock. Such shocks may in the short-run increase agricultural commodity prices, but decentralized freely operating markets will mitigate the persistence of these shocks. Results indicate in recent years there are no long-run relations among fuel (ethanol, oil and gasoline prices and agricultural commodity (corn and soybean prices.

  9. Cost-Sharing and Drug Pricing Strategies : Introducing Tiered Co-Payments in Reference Price Markets

    NARCIS (Netherlands)

    Suppliet, Moritz; Herr, Annika

    2016-01-01

    Health insurances curb price insensitive behavior and moral hazard of insureds through different types of cost-sharing, such as tiered co-payments or reference pricing. This paper evaluates the effect of newly introduced price limits below which drugs are exempt from co-payments on the pricing

  10. Cost-Sharing and Drug Pricing Strategies : Introducing Tiered Co-Payments in Reference Price Markets

    NARCIS (Netherlands)

    Herr, Annika; Suppliet, Moritz

    2016-01-01

    Health insurances curb price insensitive behavior and moral hazard of insureds through different types of cost-sharing, such as tiered co-payments or reference pricing. This paper evaluates the effect of newly introduced price limits below which drugs are exempt from co-payments on the pricing strat

  11. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets

    OpenAIRE

    Asger Lunde; Allan Timmermann

    2003-01-01

    This paper investigates the presence of bull and bear market states in stock price dynamics. A new definition of bull and bear market states based on sequences of stopping times tracing local peaks and troughs in stock prices is proposed. Duration dependence in stock prices is investigated through posterior mode estimates of the hazard function in bull and bear markets. We find that the longer a bull market has lasted, the lower is the probability that it will come to a termination. In contra...

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

    Science.gov (United States)

    Sun, Mei; Wang, Yaqi; Gao, Cuixia

    2016-11-01

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

  13. A comparison of pay-as-bid and marginal pricing in electricity markets

    Science.gov (United States)

    Ren, Yongjun

    This thesis investigates the behaviour of electricity markets under marginal and pay-as-bid pricing. Marginal pricing is believed to yield the maximum social welfare and is currently implemented by most electricity markets. However, in view of recent electricity market failures, pay-as-bid has been extensively discussed as a possible alternative to marginal pricing. In this research, marginal and pay-as-bid pricing have been analyzed in electricity markets with both perfect and imperfect competition. The perfect competition case is studied under both exact and uncertain system marginal cost prediction. The comparison of the two pricing methods is conducted through two steps: (i) identify the best offer strategy of the generating companies (gencos); (ii) analyze the market performance under these optimum genco strategies. The analysis results together with numerical simulations show that pay-as-bid and marginal pricing are equivalent in a perfect market with exact system marginal cost prediction. In perfect markets with uncertain demand prediction, the two pricing methods are also equivalent but in an expected value sense. If we compare from the perspective of second order statistics, all market performance measures exhibit much lower values under pay-as-bid than under marginal pricing. The risk of deviating from the mean is therefore much higher under marginal pricing than under pay-as-bid. In an imperfect competition market with exact demand prediction, the research shows that pay-as-bid pricing yields lower consumer payments and lower genco profits. This research provides quantitative evidence that challenges some common claims about pay-as-bid pricing. One is that under pay-as-bid, participants would soon learn how to offer so as to obtain the same or higher profits than what they would have obtained under marginal pricing. This research however shows that, under pay-as-bid, participants can at best earn the same profit or expected profit as under marginal

  14. Trends in prices to commercial energy consumers in the competitive Texas electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Zarnikau, Jay [University of Texas at Austin (United States); Frontier Associates LLC, Austin, TX (United States); Fox, Marilyn; Smolen, Paul [Fox, Smolen and Associates, Inc., Austin, TX (United States)

    2007-08-15

    To date, the price of electricity to commercial or business energy consumers has generally increased at greater rates in the areas of Texas where retail competition has been introduced than in areas that do not enjoy competition. Trends in commercial competitive prices have largely mirrored trends in residential prices. Market restructuring has tended to increase the sensitivity of retail electricity prices to changes in the price of natural gas, the marginal fuel used for generation in Texas. Consequently, the rapid increases in the commodity price of natural gas following restructuring led to increases in competitive electric rates which exceeded the increases in areas not exposed to restructuring, where the fuel component of electric rates tend to reflect a weighted average of the utilities' fuel costs. There is some evidence that pricing behavior by competitive retailers changed when the retailers affiliated with the incumbent utilities were permitted some pricing flexibility, resulting in a reduction in prices. (author)

  15. Relationships among energy price shocks, stock market, and the macroeconomy: evidence from China.

    Science.gov (United States)

    Cong, Rong-Gang; Shen, Shaochuan

    2013-01-01

    This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation and have a 5-month lag effect on stock market, which may result in the stock market "underreacting." The energy price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should pay greater attention to the long-term effect of energy on the stock market.

  16. Relationships among Energy Price Shocks, Stock Market, and the Macroeconomy: Evidence from China

    Directory of Open Access Journals (Sweden)

    Rong-Gang Cong

    2013-01-01

    Full Text Available This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation and have a 5-month lag effect on stock market, which may result in the stock market “underreacting.” The energy price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should pay greater attention to the long-term effect of energy on the stock market.

  17. The Price-Concentration Relationship in Early Residential Solar Third-Party Markets

    Energy Technology Data Exchange (ETDEWEB)

    Pless, Jacquelyn [Univ. of Oxford (United Kingdom); Langheim, Ria [Center for Sustainable Energy, San Francisco, CA (United States); Machak, Christina [Center for Sustainable Energy, San Francisco, CA (United States); Hellow, Henar [Center for Sustainable Energy, San Francisco, CA (United States); Sigrin, Ben [National Renewable Energy Lab. (NREL), Golden, CO (United States)

    2017-01-01

    The market for residential solar photovoltaic (PV) systems in the United States has experienced tremendous growth over the past decade, with installed capacity more than doubling between 2014 and 2016 alone (SEIA, 2016). As the residential market continues to grow, it prompts new questions about the nature of competition between solar installers and how this competition, or lack thereof, affects the prices consumers are paying. It is often assumed that more competition leads to lower prices, but this is not universally true. For example, some studies have shown that factors such as brand loyalty could lead to a negative relationship between concentration and price in imperfectly competitive markets (Borenstein, 1985; Holmes, 1989). As such, the relationship between prices and market concentration is an open empirical question since theory could predict either a positive or negative relationship. Determining a relationship between prices and market concentration is challenging for several reasons. Most significantly, prices and market structure are simultaneously determined by each other -- the amount of competition a seller faces influences the price they can command, and prices determine a seller's market share. Previous studies have examined recent PV pricing trends over time and between markets (Davidson et al., 2015a; Davidson and Margolis 2015b; Nemet et al., 2016; Gillingham et al., 2014; Barbose and Darghouth 2015). While these studies of solar PV pricing are able to determine correlations between prices and market factors, they have not satisfactorily proven causation. Thus, to the best of our knowledge, there is little work to date that focuses on identifying the causal relationship between market structure and the prices paid by consumers. We use a unique dataset on third-party owned contract terms for the residential solar PV market in the San Diego Gas and Electricity service territory to better understand this relationship. Surprisingly, we find

  18. The Turkish stock market integration with oil prices: Cointegration analysis with unknown regime shifts

    Directory of Open Access Journals (Sweden)

    Halaç Umut

    2013-01-01

    Full Text Available Oil prices are often considered as a vital economic factor due to the dependence of the world economy on oil. The goal of this paper is to contribute to the literature on the dynamic relationship between oil prices and stock prices under the presence of possible structural breaks in an emerging market, Turkey. The empirical evidence suggests that the oil prices are important in explaining the stock market movements. Stock prices, oil prices and nominal exchange rates are found as cointegrated after taking structural breaks into account. Moreover, results of parameter stability test are consistent with our findings indicating that relationship between series is strong in the long-run. The results are important in the way that they show the global factors are also dominant on the Turkish stock market.

  19. Linear Clearing Prices in Non-Convex European Day-Ahead Electricity Markets

    CERN Document Server

    Martin, Alexander; Pokutta, Sebastian

    2012-01-01

    The European power grid can be divided into several market areas where the price of electricity is determined in a day-ahead auction. Market participants can provide continuous hourly bid curves and combinatorial bids with associated quantities given the prices. The goal of our auction is to maximize the economic surplus of all participants subject to transmission constraints and the existence of linear prices. In general strict linear prices do not exist in non-convex markets. Therefore we enforce the existence of linear prices where no one incurs a loss and only combinatorial bids might see a not realized gain. The resulting optimization problem is an MPEC that can not be solved efficiently by a standard solver. We present an exact algorithm and a fast heuristic for this type of problem. Both algorithms decompose the MPEC into a master MIP and price subproblems (LPs). The modeling technique and the algorithms are applicable to all MIP based combinatorial auctions.

  20. Diversified Price Dynamics in some Sub-Segments of the Housing Market

    Directory of Open Access Journals (Sweden)

    Kokot Sebastian G.

    2015-06-01

    Full Text Available The observation of price movements on the real estate market is an extremely difficult task as we have to face problems belonging to two spheres. The first of them is the specific nature of real estate as marketable objects and of the real estate market itself. The second one is the character and quality of data on real estate transaction prices. In this article the author, based on an empirical study, attempts to prove that even in a single segment of a local real estate market the prices in individual sub-segments can fluctuate with different intensity. The range of price movements can be so vast that it seems pointless to apply a single averaged price index for the whole segment, and usually that is what analysts do.

  1. Dual-market Equilibrium of China’s Residential Housing Price

    Institute of Scientific and Technical Information of China (English)

    JIANHUA; GANG

    2013-01-01

    This paper constructs a structural dynamic equilibrium model based on a dual market system,which includes China’s residential housing market and the property rental market in China’s first-tier urban cities.The paper analyzes dual-market general equilibria under different scenarios as perceived since 200.An open-economy Gordon growth model is also introduced to examine fair housing prices based on the assumption of no arbitrage.Empirical results indicate significant(but time-varying)price deviations from the equilibrium level since2005 which are mostly driven by contingent demand and property investors.The paper concludes that the contingent purchasing demand supports China’s recent residential price hike and that speculation does not dominate the price boom.The recent quota policy has a theoretical downward pressure on the housing price in the short run but it also lifts property rents dramatically in the middle and long run.

  2. INTER-MARKET AND SEASONAL VARIATION IN PRICES: AN ...

    African Journals Online (AJOL)

    iya beji

    agricultural products vary from month to month and even from day to day. Prices also ... Therefore, the product in demand by the consumer at the retail level is a ... price behaviour. ..... grain quality characteristics of three field corn varieties.

  3. Association of Price and Dividend in the Nigerian Capital Market

    African Journals Online (AJOL)

    Nneka Umera-Okeke

    and attracting greater competitive stock pricing fortunes, they should ... earnings ratio, book value per share, net assets per share, and dividend cover. ... model expresses stock price as a function of earnings per share and book value per.

  4. On the distribution of prices in market real estate and «offset» estimations of market value

    Directory of Open Access Journals (Sweden)

    N. P. Barinov

    2016-01-01

    Full Text Available The published results of stochastic modeling and experimental studies on the distribution of prices of real estate markets, accompanied by the conclusions of a systematic overestimation of the market value of the consultants-valuers are stated in the article. Displaying the fundamental difference between the distributions of prices on different objects observed in the real estate market and the distribution of possible prices for the estimated object. The conclusion about the absence of grounds for the allegations of a systematic overestimation of the market value as a result of these differences is fixed. Formation unbiased valuations based on the properties of the distribution  of the adjusted average prices of the sample analogs are also explained.

  5. Price leadership within a marketing channel: A cointegration study

    NARCIS (Netherlands)

    Kuiper, W.E.; Meulenberg, M.T.G.

    2004-01-01

    Building upon a multiple-product channel structure, this paper develops a model to test channel price leadership on the basis of time series observations on retail and wholesale prices and using absence of double marginalisation as a criterion for channel price leadership. The model studies

  6. Price leadership within a marketing channel: A cointegration study

    NARCIS (Netherlands)

    Kuiper, W.E.; Meulenberg, M.T.G.

    2004-01-01

    Building upon a multiple-product channel structure, this paper develops a model to test channel price leadership on the basis of time series observations on retail and wholesale prices and using absence of double marginalisation as a criterion for channel price leadership. The model studies strategi

  7. Price leadership within a marketing channel: A cointegration study

    NARCIS (Netherlands)

    Kuiper, W.E.; Meulenberg, M.T.G.

    2004-01-01

    Building upon a multiple-product channel structure, this paper develops a model to test channel price leadership on the basis of time series observations on retail and wholesale prices and using absence of double marginalisation as a criterion for channel price leadership. The model studies strategi

  8. Limits to Arbitrage in Sovereign Bonds Price and Liquidity Discovery in High Frequency Quote Driven Markets

    DEFF Research Database (Denmark)

    Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide

    The progressively stronger linkages across markets, due to faster access to information and trade execution, cause market liquidity to be rapidly transmitted across markets. In contrast to the resultant commonality of liquidity across markets that are affected by common market-wide factors......, the transmission of liquidity between markets linked to each other through arbitrage, such as cash bond and futures markets, which we term liquidity discovery, is likely to be even stronger. This paper investigates the microstructure of the relationship between price discovery, the transmission of price shocks...... between markets, and liquidity discovery, the transmission of liquidity shocks, through changes in the quotes posted by market makers and the reactions of arbitrageurs. Our analysis is in the context of the Italian sovereign bond cash and future markets, during the recent Euro-zone sovereign bond crisis...

  9. Assessment of Rice Market Competiveness Using Horizontal Price Transmission: Empirical Evidence from Southern Region of Nigeria

    Directory of Open Access Journals (Sweden)

    S. B. Akpan

    2016-06-01

    Full Text Available The study examined the horizontal price transmission and market integration between the local and foreign rice market in the Southern region of Nigeria. The study used average monthly prices of local and foreign rice in the rural and urban markets from January 2005 to June 2014. The findings show that, prices of local and foreign rice in the rural and urban markets have constant exponential growth rate of 0.60%. The Pearson correlation coefficient revealed a strong positive relationship between prices of local and foreign rice in both rural and urban markets. The cross-product Granger causality test revealed bidirectional relationship between prices of local and foreign rice in the region. The results of the cross co-integration test revealed the presence of co-integration between prices of the two products. The coefficients of the price variable in the cross co-integration equations for the local and foreign rice markets converge to the law of one price which connotes instantaneous price adjustment and competitiveness. The result of the cross - product error correction model also confirmed the existence of the short run market integration between the two markets. The study established the fact that, price of local rice competes favorably with its foreign counter part and thus a perfect substitute especially in the rural area. Based on the finding, it is recommended that, short term policies should be used to intervene in the rice sub sector in the region. Policies aimed at boosting local production of rice should be encouraged, while value additions in the domestic produced rice should be pursuit vigorously.

  10. Market Share Matters: Evidence Of Insurer And Provider Bargaining Over Prices.

    Science.gov (United States)

    Roberts, Eric T; Chernew, Michael E; McWilliams, J Michael

    2017-01-01

    Proposed mergers among large US health insurers and growing consolidation among providers have renewed concerns about the effects of market concentration on commercial health care prices. Using multipayer claims for physician services provided in office settings, we estimated that-within the same provider groups-insurers with market shares of 15 percent or more (average: 24.5 percent), for example, negotiated prices for office visits that were 21 percent lower than prices negotiated by insurers with shares of less than 5 percent. Analyses stratified by provider market share suggested that insurers require greater market shares to negotiate lower prices from large provider groups than they do when negotiating with smaller provider groups. For example, office visit prices for small practices were $88, $72, and $70, for insurers with market shares of market-share categories. These results suggest that mergers of health insurers could lower the prices paid to providers, particularly providers large enough to obtain higher prices from insurers with modest market shares. Continued monitoring will be important for determining the net effects of the countervailing trends of insurer and provider consolidation on the affordability of health care.

  11. Market competition and price of disease management programmes: an observational study.

    Science.gov (United States)

    van Dijk, Christel E; Venema, Bob; de Jong, Judith D; de Bakker, Dinny H

    2014-10-30

    Managed competition was introduced into the health care system in several countries including the Netherlands, although effects of competition of both providers and health insurers on the price of health care are inconclusive. We investigated the association between competition of both providers (care groups) and health insurers and the price of disease management programmes (DMPs). Data from 76 DMP contractual agreements for type II diabetes mellitus in 2008, 2009 and 2010 were used to analyse the association between market competition and the price of DMPs. Market competition was calculated per municipal health services region (GGD). Insurer market competition was measured by the Herfindahl-Hirschman Index (HHI), care group competition by the number of care groups and the care group market share of GPs. The effect of competition was cross-sectionally studied with linear regression analyses. Insurer market concentration (HHI) and care group market share were not associated with the price of DMPs. The number of care groups in a GGD region was associated with a lower price (-€4.68; 95% CI: -8.36 - -1.00). The mean difference in the price of DMPs between health insurers was €58. The price of DMPs seems to be more dependent on the particular health insurer than on market conditions. For competition among health insurers and provider groups to develop, preconditions such as selective contracting and option for patient to change provider should be in place.

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

    Science.gov (United States)

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

    2003-03-01

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

  13. An Econometric Model for SINOPEC Stock Price Tendency on Domestic Securities Market

    Institute of Scientific and Technical Information of China (English)

    2006-01-01

    A time series analysis method was used to establish an econometric model for SINOPEC'S stock price tendency on the domestic securities market under the background of sharp oil price rises in recent years. The model was proven to be a non-stationary time series and unit root process, as tested with the Dickey-Fuller method, and the result of a practical case showed that this model could well reflect SINOPEC stock price tendency on the securities market of China. It would be a guide for research and prediction of stock price tendency.

  14. Predictability and Market Efficiency in Agricultural Futures Markets: a Perspective from Price-Volume Correlation Based on Wavelet Coherency Analysis

    Science.gov (United States)

    He, Ling-Yun; Wen, Xing-Chun

    2015-12-01

    In this paper, we use a time-frequency domain technique, namely, wavelet squared coherency, to examine the associations between the trading volumes of three agricultural futures and three different forms of these futures' daily closing prices, i.e. prices, returns and volatilities, over the past several years. These agricultural futures markets are selected from China as a typical case of the emerging countries, and from the US as a representative of the developed economies. We investigate correlations and lead-lag relationships between the trading volumes and the prices to detect the predictability and efficiency of these futures markets. The results suggest that the information contained in the trading volumes of the three agricultural futures markets in China can be applied to predict the prices or returns, while that in US has extremely weak predictive power for prices or returns. We also conduct the wavelet analysis on the relationships between the volumes and returns or volatilities to examine the existence of the two "stylized facts" proposed by Karpoff [J. M. Karpoff, The relation between price changes and trading volume: A survey, J. Financ. Quant. Anal.22(1) (1987) 109-126]. Different markets in the two countries perform differently in reproducing the two stylized facts. As the wavelet tools can decode nonlinear regularities and hidden patterns behind price-volume relationship in time-frequency space, different from the conventional econometric framework, this paper offers a new perspective into the market predictability and efficiency.

  15. 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.

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

    Directory of Open Access Journals (Sweden)

    Yu-Lei Wan

    Full Text Available 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.

  17. 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

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

    Science.gov (United States)

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

    2004-06-01

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

  19. Influence of China’s Grain Industrial Market Structure over Grain Pricing Power

    Institute of Scientific and Technical Information of China (English)

    2011-01-01

    From the point of view of industrial market structure,we analyze the influence of market structure on grain production,circulation,and processing,and on the grain pricing power of entities along China’s grain industrial chain.Through analysis,it is indicated that different features of market structure play a significant role in pricing power of such microeconomic entities as farmers and grain enterprises in grain production and transaction.And the market structure determines welfare distribution model of consumers’ surplus and producers’ surplus at the market.

  20. Price Discovery and Asymmetric Volatility Spillovers in Indian Spot-Futures Gold Markets

    Directory of Open Access Journals (Sweden)

    P. Srinivasan

    2012-12-01

    Full Text Available This study attempts to examine the price discovery process and volatility spillovers in Goldfutures and spot markets of National Commodity Derivatives Exchange (NCDEX by employingJohansen’s Vector Error Correction Model (VECM and the Bivariate ECM-EGARCH(1,1model. The empirical result confirms that the spot market of Gold plays a dominant role andserves as effective price discovery vehicle. Besides the study results show that the spillovers ofcertain information take place from spot market to futures market and the spot market of goldhave the capability to expose the all new information through the channel of its new innovation.

  1. Crude oil price shocks and stock returns. Evidence from Turkish stock market under global liquidity conditions

    Energy Technology Data Exchange (ETDEWEB)

    Berk, Istemi [Koeln Univ. (Germany). Energiewirtschaftliches Inst.; Aydogan, Berna [Izmir Univ. of Economics (Turkey). Dept. of International Trade and Finance

    2012-09-15

    The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression (V AR) model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index (ISE- 1 00) returns for the period between January 2, 1990 and November 1, 2011. We have also tested the relationship between oil prices and stock market returns under global liquidity conditions by incorporating a liquidity proxy variable, Chicago Board of Exchange's (CBOE) S and P 500 market volatility index (VIX), into the model. Variance decomposition test results suggest little empirical evidence that crude oil price shocks have been rationally evaluated in the Turkish stock market. Rather, it was global liquidity conditions that were found to account for the greatest amount of variation in stock market returns.

  2. FORECASTING ELECTRICITY PRICES IN DEREGULATED WHOLESALE SPOT ELECTRICITY MARKET - A REVIEW

    Directory of Open Access Journals (Sweden)

    Girish Godekere Panchakshara Murthy,

    2014-01-01

    Full Text Available In the new framework of competitive electricity markets, all power market participants need accurate price forecasting tools. Electricity price forecasts characterize significant information that can help captive power producer, independent power producer, power generation companies, power distribution companies or open access consumers in careful planning of their bidding strategies for maximizing their profits, benefits and utilities from long term, medium term and short term perspective. Short term spot electricity price forecasting techniques are either inspired from electrical engineering literature (i.e. load forecasting or from economics literature (i.e. game theory models and the time-series econometric models. In this study we investigate the emergence of spot electricity markets with particular emphasis on Indian electricity market which has never been done before and review selected finance and econometrics inspired literature and models for forecasting electricity spot prices in deregulated wholesale spot electricity markets.

  3. Testing the Power of Technical Analysis for Forecasting the Market Trend and Future Price in FOREX Market

    OpenAIRE

    Kermanshahi, Shahrad

    2014-01-01

    ABSTRACT: According to the Bank for International Settlements, the preliminary global trading in foreign exchange markets averaged $5.3 trillion per day in April 2013. However, there is always volatility and uncertainty in FOREX market. In accordance with this issue, predicting the future prices and market movements are crucial for traders. In order to understand FOREX market better, the study is assisted by one of the most famous and popular methods which is technical analysis. The aim of th...

  4. Estimating temporary and permanent stock price innovations on Croatian capital market

    Directory of Open Access Journals (Sweden)

    Tihana Škrinjarić

    2014-03-01

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

  5. Price Responsive Demand in New York Wholesale Electricity Market using OpenADR

    Energy Technology Data Exchange (ETDEWEB)

    Kim, Joyce Jihyun [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Kiliccote, Sila [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States)

    2012-06-01

    In New York State, the default electricity pricing for large customers is Mandatory Hourly Pricing (MHP), which is charged based on zonal day-ahead market price for energy. With MHP, retail customers can adjust their building load to an economically optimal level according to hourly electricity prices. Yet, many customers seek alternative pricing options such as fixed rates through retail access for their electricity supply. Open Automated Demand Response (OpenADR) is an XML (eXtensible Markup Language) based information exchange model that communicates price and reliability information. It allows customers to evaluate hourly prices and provide demand response in an automated fashion to minimize electricity costs. This document shows how OpenADR can support MHP and facilitate price responsive demand for large commercial customers in New York City.

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

    Science.gov (United States)

    Yang, Xiaoxiang; Zhao, Conan; Mazilu, Irina

    2015-03-01

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

  7. Vertical Price Transmission in Local Rice Markets in Cote d'Ivoire: Are Consumers Really Right?

    Directory of Open Access Journals (Sweden)

    Yaya KEHO

    2012-12-01

    Full Text Available This paper analyses vertical relationships between wholesale and retail prices in three local rice markets in Côte d’Ivoire. The aim of the paper is to ascertain whether the popular complaint of consumers about the asymmetric price transmission holds true. Our empirical analysis makes use of threshold cointegration and error correction models and monthly data for the period 1990-1999. We found that wholesale and retail prices are cointegrated and increases in wholesale prices are passed on to retail prices more quickly than decreases.

  8. ASYMMETRY IN PRICE TRANSMISSION MECHANISM: THE CASE OF SLOVAK POTATO MARKET

    Directory of Open Access Journals (Sweden)

    Miroslava Rajcaniova

    2013-09-01

    Full Text Available This paper examines price transmission mechanism between farm and retail levels in vertical chain of potatoes. Time series analysis starting with cointegration approach is used to study price linkages between producer and consumer prices in potato market in Slovakia. We test for an existence of structural break in time series data (Gregory - Hansen test in the observed period and allow for an existence of non-linear relationship between prices at various levels of vertical chain by using threshold autoregressive models. We found an evidence of structural break and existence of asymmetry in price transmission along the potato supply chain.

  9. Price impact of informed trades in the U.S. treasury markets

    Directory of Open Access Journals (Sweden)

    Onem Ozocak

    2015-06-01

    Full Text Available According to a review of the literature, there is no study that examines how the price impact of informed trades is related to liquidity levels in the U.S. Treasury markets. Using variance decomposition and regime-switching methodologies, we find that the price impact of informed trades is higher in more liquid markets. In the case of on-the-run and off-the-run spot markets, the price impact of informed trades is higher in 2-year and 5-year T-notes markets. In the case of T-notes futures markets, the price impact of informed trades is higher in 10-year futures market. We find that the price impact of uninformed (informed individual trades decreases (increases as the time scale increases. The results indicate that the price impact of informed trades is greater between 8:00 am and 3:00 pm when the market is more liquid, and smaller between 3:00 pm and 5:00 pm when the market is less liquid.

  10. Competition, regulation, and pricing behaviour in the Spanish retail gasoline market

    Energy Technology Data Exchange (ETDEWEB)

    Contin-Pilart, Ignacio [Departamento de Gestion de Empresas, Universidad Publica de Navarra, Campus de Arrosadia, 31006 Pamplona (Spain); Correlje, Aad F. [Section Economics of Infrastructures, Faculty of Technology, Policy and Management, Delft University of Technology, P.O. Box 5015, 2600 GA Delft (Netherlands); Clingendael International Energy Programme (Netherlands); Blanca Palacios, M. [Departamento de Estadistica e Investigacion Operativa, Universidad Publica de Navarra, Campus de Arrosadia, 31006 Pamplona (Spain)

    2009-01-15

    The restructuring of the Spanish oil industry produced a highly concentrated oligopoly in the retail gasoline market. In June 1990, the Spanish government introduced a system of ceiling price regulation in order to ensure that 'liberalization' was accompanied by adequate consumer protection. By 1998, prices were left to the 'free' market. This paper examines the pricing behaviour of the retail gasoline market using multivariate error correction models over the period January 1993 (abolishment of the state monopoly)-December 2004. The results suggest that gasoline retail prices respond symmetrically to increases as well as to decreases in the spot price of gasoline both over the period of price regulation (January 1993-September 1998) and over the period of free market (October 1998-December 2004). However, once the ceiling price regulation was abolished, cooperation emerged between the government and the major operators, Repsol-YPF and Cepsa-Elf, to control the inflation rate. This resulted in a slower rate of adjustment of gasoline retail prices when gasoline spot prices went up, as compared with the European pattern. Finally, the Spanish retail margin was by the end of our timing period of analysis, as in the starting years after the abolishment of the state monopoly, above the European average. This pattern confirms our political economic hypothesis, which suggests that the Spanish government and the oil companies were working together in reducing the inflation, in periods of rising oil and gasoline prices. It is also inferred that explaining the pricing pattern in energy markets may require different hypothesis than the classical perspective, involving just firms taking advantage of market power. (author)

  11. The Role of Value-Informed Pricing in Market-Oriented Product Innovation Management

    NARCIS (Netherlands)

    Ingenbleek, P.T.M.; Frambach, R.T.; Verhallen, Th.M.M.

    2010-01-01

    Although the positive effect of a market orientation on new product success is widely accepted and the market orientation literature has increased its understanding of how a market orientation leads to performance, the extant literature has overlooked the role of value-informed pricing in the relati

  12. The Role of Value-Informed Pricing in Market-Oriented Product Innovation Management

    NARCIS (Netherlands)

    Ingenbleek, P.T.M.; Frambach, R.T.; Verhallen, Th.M.M.

    2010-01-01

    Although the positive effect of a market orientation on new product success is widely accepted and the market orientation literature has increased its understanding of how a market orientation leads to performance, the extant literature has overlooked the role of value-informed pricing in the

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

    Science.gov (United States)

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

    2012-06-01

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

  14. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher interact

  15. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Hernandez, M.A.; Gardebroek, C.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher inter

  16. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2013-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher interact

  17. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Hernandez, M.A.; Gardebroek, C.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. The estimation results indicate a higher

  18. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2012-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

  19. Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets

    NARCIS (Netherlands)

    Gardebroek, C.; Hernandez, M.A.

    2013-01-01

    This paper examines volatility transmission in oil, ethanol and corn prices in the United States between 1997 and 2011. We follow a multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. Preliminary results indicate a higher

  20. Fish market prices drive overfishing of the ‘big ones’

    Directory of Open Access Journals (Sweden)

    Athanassios C. Tsikliras

    2014-11-01

    Full Text Available The relationship between fish market price and body size has not been explored much in fisheries science. Here, the mean market prices and fish body size were collected in order to examine the hypothesis that large fish, both among- and within-species, are being selectively targeted by fisheries because they may yield greater profit. Trophic levels, vulnerability to fishing and global landings were also collected because these variables may also be related to the market fish price. These relationships were examined using generalized additive models (GAM, which showed that, among species, fish market price was positively dependent on maximum total length (P = 0.0024 and negatively on landings (P = 0.0006, whereas it was independent of trophic level (P > 0.05 and vulnerability to fishing (P > 0.05. When the fish price vs. size relationship was tested within-species, large individuals were consistently attaining higher market prices compared to their medium and small-sized counterparts. We conclude that the selective removal of the larger fish, which is driven by their market price and to a lesser extent by their availability, may contribute to their overfishing.

  1. The Questionable Economic Case for Value-Based Drug Pricing in Market Health Systems.

    Science.gov (United States)

    Pauly, Mark V

    2017-02-01

    This article investigates the economic theory and interpretation of the concept of "value-based pricing" for new breakthrough drugs with no close substitutes in a context (such as the United States) in which a drug firm with market power sells its product to various buyers. The interpretation is different from that in a country that evaluates medicines for a single public health insurance plan or a set of heavily regulated plans. It is shown that there will not ordinarily be a single value-based price but rather a schedule of prices with different volumes of buyers at each price. Hence, it is incorrect to term a particular price the value-based price, or to argue that the profit-maximizing monopoly price is too high relative to some hypothesized value-based price. When effectiveness of treatment or value of health is heterogeneous, the profit-maximizing price can be higher than that associated with assumed values of quality-adjusted life-years. If the firm sets a price higher than the value-based price for a set of potential buyers, the optimal strategy of the buyers is to decline to purchase that drug. The profit-maximizing price will come closer to a unique value-based price if demand is less heterogeneous. Copyright © 2017 International Society for Pharmacoeconomics and Outcomes Research (ISPOR). Published by Elsevier Inc. All rights reserved.

  2. PRICING ELECTRIC POWER UNDER A HYBRID WHOLESALE MECHANISM: EVALUATING THE TURKISH ELECTRICITY MARKET

    Directory of Open Access Journals (Sweden)

    Hatice Karahan

    2013-01-01

    Full Text Available During the restructuring process, Turkish electricity sector has gone through significant changes both in wholesale and retail markets. In this framework, the Market Financial Settlement Mechanism established for handling market imbalances has become a spot market in time. So, it can be claimed that the wholesale electricity market in Turkey is a hybrid mechanism composed of bilateral contracts and the balancing market. On the other hand, the main target of liberalization program is providing consumers with affordable electric power. Hence, this study attempts to explore the link between retail tariffs for ineligible consumers and prices in the two wholesale mechanisms, in the period after the launch of the day-ahead market. Findings suggest that regulated wholesale prices are more effective in the determination of end-user prices, whereas unregulated ones might have a price reduction effect in case the free market dominates. However, the volatility in spot market prices implies that the sector would better continue with the hybrid mechanism for quite some time.

  3. An Analysis of Colombian Power Market Price Behavior from an Industrial Organization Perspective

    Directory of Open Access Journals (Sweden)

    Ona Duarte Venslauskas

    2015-12-01

    Full Text Available We analyze the behavior of spot prices in the Colombian wholesale power market, using a series of models derived from industrial organization theory.  We first create a Cournot-based model that simulates the strategic behavior of the market-leader power generators, which we use to estimate two industrial organization variables, the Index of Residual Demand and the Herfindahl-Hirschman Index (HHI.  We use these variables to create VAR models that estimate spot prices and power market impulse-response relationships.  The results from these models show that hydroelectric generators can use their water storage capability strategically to affect off-peak prices primarily, while the thermal generators can manage their capacity strategically to affect on-peak prices.  In addition, shocks to the Index of Residual Capacity and to the HHI cause spot price fluctuations, which can be interpreted as the generators´ strategic response to these shocks.

  4. The impact of advertising on price and practice volume. A case study of dental markets.

    Science.gov (United States)

    Kwon, I W; Safranski, S R; Kim, J H

    1993-02-01

    Advertising is often considered a catalyst which stimulates competition by communicating the important attributes (information) of goods and services to consumers. Theoretically, advertising makes demand responsive to strategic price differences. This advertisement-induced price elasticity puts competitive pressure on the providers' pricing strategy. It has been assumed that this effect also exists in the health care market. This study investigates the impact that the advertising of services has on the price and demand behaviour in the dental care market. The sampling frame includes 1,326 dentists, 558 (44.3%) of whom have advertised their services. The statistical results seem to dispute the claim that advertising lowers the consumer's price and increases the advertising dentist's market share.

  5. Analysis of the temporal properties of price shock sequences in crude oil markets

    Science.gov (United States)

    Yuan, Ying; Zhuang, Xin-tian; Liu, Zhi-ying; Huang, Wei-qiang

    2014-01-01

    As one of the fundamental energy sources and important chemical raw materials, crude oil is crucially important to every country. Especially, the price shock of crude oil will bring about hidden dangers in energy security and economic security. Therefore, investigating the dynamics of frequent price shocks of crude oil markets seems to be crucial and necessary. In order to make the conclusions more reliable and valid, we use two different representations of the price shocks (inter-event times and series of counts) to study the temporal properties of price shock sequences in crude oil markets, such as coefficient of variation, Allan Factor, Fano Factors, Rescaled Range analysis and Detrended Fluctuation Analysis. We find evidence that the time dynamics of the price shock sequences can be considered as a fractal process with a high degree of time-clusterization of the events. It could give us some useful information to better understand the nature and dynamics of crude oil markets.

  6. Influence of the World Futures Markets of Corn upon the Prices in Ukraine

    Directory of Open Access Journals (Sweden)

    Roslyakov Artem A.

    2013-12-01

    Full Text Available The goal of the article lies in the study of interrelation between the world futures markets of corn and physical market of corn in Ukraine. Analysing, systemising and generalising information about the world market of corn, the article draws conclusions on a high level of integration of Ukraine into the pricing system in the world markets of the agrarian products. In the result of the study the article reveals a high level of correlation between the prices in the Ukrainian market of corn and the prices in the world reference futures markets of corn. The article identifies a causal relationship between the markets, which testifies to a necessity of taking into account development of the pricing situation in these markets for precise forecasting. Prospects of further studies in this direction could be studies of the basis between physical and futures markets and influence of state regulation of the grain market in Ukraine upon its degree of correlation with the world reference markets.

  7. Agricultural and oil commodities: price transmission and market integration between US and Italy

    Directory of Open Access Journals (Sweden)

    Franco Rosa

    2014-08-01

    Full Text Available Purpose of this article it to get some evidences of market interaction between United States and Italy using the time series analysis of spot prices spanning from January 1999 to May 2012 for crude oil and three ag-commodities: wheat, corn and soybean. These crops have been selected for their relevance in ag-commodity exchanges between US and Italy markets. The integration between US and Italy agricultural markets is hypothesized for the consistent volume of crop traded between these two countries while the price transmission is related to the leading price signals of the CBT (Chicago Board of Trade. The integration between oil and ag-commodity markets is suggested both by the large use of energy intensive inputs, (fertilizer, seed, machinery in production of these ag-commodities, and their use in biofuel production. The results suggest: a for US market the evidence of market integration between crude oil and US ag-commodities; b for Italy the integration with US ag-commodity markets and less evidence of integration with the oil market. These results are valuable information both for the agents and policy makers contributing to improve the information accuracy to predict the price movements used by marketing operators for their strategies and policy makers to set up policies to re-establish conditions of market efficiency and allocate these ag-commodities in alternative market channels.

  8. Impact of Stock Market Structure on Intertrade Time and Price Dynamics

    CERN Document Server

    Yuen, A; Yuen, Ainslie; Ivanov, Plamen Ch.

    2005-01-01

    The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market structure on stock prices may be obscured by exogenous factors such as demand and supply, we hypothesize that modulation of the flow of transactions due to market operations may carry a stronger imprint of the internal market mechanism. We analyse times between consecutive transactions (ITT) for NYSE and NASDAQ stocks, and we relate the dynamical properties of the ITT with those of the corresponding price fluctuations. We find a robust scale-invariant temporal organisation in the ITT of stocks which is independent of individual company characteristics and industry sector, but which depends on market structure. We find that stocks registered on the NASDAQ exhibit stronger correlations in their transaction timing within a trading day, compared with NYSE stocks. Further, we find tha...

  9. Optimal pricing and promotional effort control policies for a new product growth in segmented market

    Directory of Open Access Journals (Sweden)

    Jha P.C.

    2015-01-01

    Full Text Available Market segmentation enables the marketers to understand and serve the customers more effectively thereby improving company’s competitive position. In this paper, we study the impact of price and promotion efforts on evolution of sales intensity in segmented market to obtain the optimal price and promotion effort policies. Evolution of sales rate for each segment is developed under the assumption that marketer may choose both differentiated as well as mass market promotion effort to influence the uncaptured market potential. An optimal control model is formulated and a solution method using Maximum Principle has been discussed. The model is extended to incorporate budget constraint. Model applicability is illustrated by a numerical example. P.C. Jha, P. Manik, K. Chaudhary, R. Cambini / Optimal Pricing and Promotional 2 Since the discrete time data is available, the formulated model is discretized. For solving the discrete model, differential evolution algorithm is used.

  10. Learning from Prices, Liquidity Spillovers, and Market Segmentation

    OpenAIRE

    Giovanni Cespa; Thierry Focault

    2011-01-01

    We describe a new mechanism that explains the transmission of liquidity shocks from one security to another (“liquidity spillovers”). Dealers use prices of other securities as a source of information. As prices of less liquid securities convey less precise information, a drop in liquidity for one security raises the uncertainty for dealers in other securities, thereby affecting their liquidity. The direction of liquidity spillovers is positive if the fraction of dealers with price information...

  11. Learning from Prices, Liquidity Spillovers, and Market Segmentation

    OpenAIRE

    Giovanni Cespa; Thierry Focault

    2011-01-01

    We describe a new mechanism that explains the transmission of liquidity shocks from one security to another ("liquidity spillovers"). Dealers use prices of other securities as a source of information. As prices of less liquid securities convey less precise information, a drop in liquidity for one security raises the uncertainty for dealers in other securities, thereby affecting their liquidity. The direction of liquidity spillovers is positive if the fraction of dealers with price information...

  12. Price regulation and generic competition in the pharmaceutical market

    OpenAIRE

    Dalen, Dag Morten; Strøm, Steinar; Haabeth, Tonje

    2009-01-01

    In March 2003 the Norwegian government implemented yardstick based price regulation schemes on a selection of drugs experiencing generic competition. The retail price cap, termed “index price”, on a drug (chemical substance) was set equal to the average of the three lowest producer prices on that drug, plus a fixed wholesale and retail margin. This is supposed to lower barriers of entry for generic drugs and to trigger price competition. Using monthly data over the period 1998-2004 for the 6 ...

  13. Oil Price Shocks and Stock Markets in BRICs

    Directory of Open Access Journals (Sweden)

    Ono, Shigeki

    2011-06-01

    Full Text Available This paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Russia, those of Brazil do not show any significant responses. In addition, statistically significant asymmetric effects of oil price increases and decreases are observed in India. The analysis of variance decomposition shows that the contribution of oil price shocks to volatility in real stock returns is relatively large and statistically significant for China and Russia.

  14. Profiling the high frequency wine consumer by price segmentation in the US market

    OpenAIRE

    Liz Thach; Janeen Olsen

    2015-01-01

    Heavy users of consumer products are important to marketers as a profitable target segment. This is equally true in the wine industry, but with the added precaution of encouraging responsible consumption. This study examines the attributes and behaviors of 681 high frequency (heavy-user) wine consumers in the US, based on a price segmentation of High, Moderate, and Low Spenders. For this study, price segmentation was defined as the price typically paid for a bottle of wine for home consumptio...

  15. The Dynamics of Prices and Market Shares Over the Product Life Cycle

    OpenAIRE

    Birger Wernerfelt

    1985-01-01

    We analyze a duopoly through a differential game, in which the players set prices as functions of time. Under reasonable assumptions, we find that prices first decline, then increase. The market share of the biggest firm grows initially but decreases later. It is demonstrated that a firm may growth maximize early, but never late, in the product life cycle. Finally we show that only the low price firm will pay for informative advertising, whereas both firms will pay for persuasive advertising,...

  16. Grain price and volatility transmission from international to domestic markets in developing countries

    OpenAIRE

    Ceballos, Francisco; Hernandez, Manuel A.; Minot,Nicholas; Robles, Miguel

    2015-01-01

    Understanding the sources of domestic food price volatility in developing countries and the extent to which it is transmitted from international to domestic markets is critical to help design better global, regional, and domestic policies to cope with excessive food price volatility and to protect the most vulnerable groups. This paper examines price and volatility transmission from major grain commodities to 41 domestic food products across 27 countries in Africa, Latin America, and South As...

  17. MARKET-STRUCTURE DETERMINANTS OF NATIONAL BRAND-PRIVATE LABEL PRICE DIFFERENCES OF MANUFACTURED FOOD PRODUCTS

    OpenAIRE

    Connor, John M.; Peterson, Everett B.

    1991-01-01

    This paper estimates the relationships between market structure and the Lerner index of monopoly constructed from price data on processed food products sold through grocery stores. A theoretical model of a differentiated oligopoly specifies two determinants of price-cost margins: the Herfindahl-Hirschman index of seller concentration adjusted for the elasticity of demand and the industry advertising-to-sales ratio. The results indicate that the three principal determinants of price-cost margi...

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

    National Research Council Canada - National Science Library

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

    2014-01-01

    ... 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...

  19. Unusual Market Activity Announcements: A Study of Price Manipulation on the Indonesian Stock Exchange

    Directory of Open Access Journals (Sweden)

    Mamduh M. Hanafi

    2010-05-01

    Full Text Available We investigate stocks involved in the Unusual Market Activity (UMA Announcements. The Indonesian Stock Exchange occasionally issues UMA announcements when it suspects that there are unusual price increases (positive UMAs or price decreases (negative UMAs, as well as unusual increases in trading volumes. We believe that UMA announcements signal a high probability that stocks are being manipulated. We find no differences in fundamentals and trading variables between stocks in the UMA announcements and those not in the UMA announcements. Any stock is vulnerable to market manipulation. Stocks in the UMA announcements do not exhibit reversal patterns, suggesting that price effect is permanent. UMAs seem to convey relevant information, which is most likely in the form of insider type of information. Keywords: emerging market; price manipulation; unusual market activity announcement.

  20. PRICING POLICY AND MARKETING STRATEGIES AS A PART OF COMPETITIVE ADVANTAGE OF RETAILS STORES IN THE SLOVAK REPUBLIC

    OpenAIRE

    Jaroslava Gburová; Róbert Štefko; Radovan Baèík

    2013-01-01

    The paper deals with price and marketing pricing strategies of retail chain stores in the Slovak Republic. The aim of this paper is to highlight the perception of the impact of economic recession in the retail chain stores. To determine the most used marketing pricing strategies has been used analysis of variance ANOVA. The global finance crisis does not have influence to selection and implementation of pricing strategy, which is used by branches of chain stores marketing management of in are...

  1. The effect of ethanol policies on the vertical price transmission in corn and food markets

    NARCIS (Netherlands)

    Drabik, D.; Ciaian, P.; Pokrivcak, J.

    2016-01-01

    This paper analyzes the impact of ethanol policies on price transmission along the food supply chain. We consider the US corn sector and its vertical links with food and ethanol (energy) markets. We find that ethanol is a source of imperfect price transmission in the food supply chain. Ethanol, howe

  2. Biofuels and Vertical Price Transmission: The Case of the US Corn, Ethanol, and Food Markets

    NARCIS (Netherlands)

    Drabik, D.; Ciaian, P.; Pokrivcak, J.

    2014-01-01

    This is the first paper to analyze the impact of biofuels on the price transmission along the food chain. We analyze the U.S. corn sector and its vertical links with food and ethanol (energy) markets. We find that biofuels affect the price transmission elasticity in the food chain compared to a no b

  3. Tracking the market: dynamic pricing and learning in a changing environment

    NARCIS (Netherlands)

    Boer, den Arnoud V.

    2015-01-01

    Dynamic pricing of commodities without knowing the exact relation between price and demand is a much-studied problem. Most existing studies assume that the parameters describing the market are constant during the selling period. This severely reduces their practical applicability, since, in reality,

  4. Price effects of changing quantities supplied at the integrated european fish market

    DEFF Research Database (Denmark)

    Nielsen, Max; Smit, Jos; Guillen, Jordi

    2012-01-01

    This article analyses the effect that changes in the quantities supplied from EU fish stocks have on fish prices. As opposed to earlier studies, this one is European- wide, taking international market integration into account. Average own-price flexibilities for fresh captured fish are found...

  5. Price and Volatility Transmission and Market Power in the German Fresh Pork Supply Chain

    NARCIS (Netherlands)

    Assefa, Tsion Taye; Meuwissen, Miranda P.M.; Gardebroek, Koos; Oude Lansink, Alfons G.J.M.

    2017-01-01

    We investigate the relationship between the transmission of price volatility and market power in the German fresh pork supply chain. We use a theoretical model underpinning this relationship followed by an empirical application that uses monthly farm, slaughterhouse and retail pork price data for

  6. 78 FR 46799 - Use of Market Economy Input Prices in Nonmarket Economy Proceedings

    Science.gov (United States)

    2013-08-02

    ... International Trade Administration 19 CFR Part 351 RIN 0625-XC001 Use of Market Economy Input Prices in Nonmarket Economy Proceedings AGENCY: Import Administration, International Trade Administration, Department... its regulation which states that the Department normally will use the price that a nonmarket...

  7. A comparative examination of currency risk pricing and market integration in the stock markets of Nigeria and South Africa

    Directory of Open Access Journals (Sweden)

    Odongo Kodongo

    2012-07-01

    Full Text Available We examine the pricing of currency risk and market integration in the equity markets of Nigeria and South Africa. Using the Generalized Method of Moments with a multi-beta asset pricing model and firm-level data, we find that currency risk is partly unconditionally priced in South Africa's stock market, with this market being largely integrated with the world equity markets. Conversely, currency risk is not priced in Nigeria's equity market, which also shows no evidence of integration with the world equity markets. Interestingly, a portfolio analysis of firms reveals a size based return sensitivity to both world equity markets and exchange rate volatility across the two countries. Therefore, while general results suggest that Nigeria, rather than South Africa, would provide greater diversification benefits to international investors with little or no worry about hedging unconditional exchange rate risk, that view must be nuanced when considering large size firms which are consistently sensitive to the two factors across both countries.

  8. ANALYSIS OF THE EFFECT OF MARKET STABILITY FACTORS ON THE CHANGES IN SHARE PRICE

    OpenAIRE

    Виктор Геннадьевич Семенов

    2013-01-01

    According to fundamental analysis, share price tends to its intrinsic value. An appreciably large body of research has been devoted to foreign stock markets; meanwhile, the Russian stock market has been studied insufficiently. The hypothesis of fundamental analysis of the Russian stock market was tested in this paper. The effect of market stability factors (P/E; P/B; P/CF; P/D) on changes in share prices was studied. The data from the financial reports on IFRS – GAAP and the data on share pri...

  9. Correlation of coming limit price with order book in stock markets

    CERN Document Server

    Maskawa, J

    2007-01-01

    We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price according to a power-law, and it isn't randomly drawn from the distribution, but has a strong correlation with the size of cumulative unexecuted limit orders on the price. It was also found that the limit price, on the coarse-grained price scale, tends to gather around the price which has a large size of cumulative unexecuted limit orders.

  10. Correlation of coming limit price with order book in stock markets

    Science.gov (United States)

    Maskawa, Jun-ichi

    2007-09-01

    We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which is the centralized order book market of London Stock Exchange. As a result, the limit price is broadly distributed around the best price according to a power-law, and it is not randomly drawn from the distribution, but has a strong correlation with the size of cumulative unexecuted limit orders on the price. It was also found that the limit price, on the coarse-grained price scale, tends to gather around the price which has a large size of cumulative unexecuted limit orders.

  11. Pricing decision research for TPL considering different logistics service level influencing the market demand

    OpenAIRE

    Wei Li; Xuehui He; Kai Nie

    2013-01-01

    Purpose: With the rapid development of economy and the support of government policy, the development of the logistics industry has become a new economic growth engine. As we all know, the reasonable price of logistics service is the most critical factor for logistics enterprises to win market share and make profit. At the same time, the service level is one of the most important factors which will influence the size of the market share. Therefore, this paper constructs a pricing model conside...

  12. CATTLE RANCHING PRODUCTION AND MARKETING STRATEGIES UNDER COMBINED PRICE AND WEATHER RISKS

    OpenAIRE

    Ethridge, Don E.; Zhang, Ping; Dahl, Bill E.; Ervin, R. Terry; Rushemeza, Justin

    1990-01-01

    A procedure using linear programming and Bayesian analysis for incorporating risks associated with cattle prices and forage yields was developed for maximizing net ranch income in the Southern Plains of Texas. Risk-efficient production/marketing (buy/sell) strategies included strategies which assume normal and low cattle prices and low and normal forage production. Only one of the enterprises in the risk-efficient strategies constituted a traditional marketing approach of spring buying and fa...

  13. Impact of Stock Market Structure on Intertrade Time and Price Dynamics

    Science.gov (United States)

    Yuen, Ainslie; Ivanov, Plamen Ch.

    2005-08-01

    The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market structure on stock prices may be obscured by exogenous factors such as demand and supply, we hypothesize that modulation of the flow of transactions due to market operations may carry a stronger imprint of the internal market mechanism. We analyse times between consecutive transactions (ITT) for NYSE and NASDAQ stocks, and we relate the dynamical properties of the ITT with those of the corresponding price fluctuations. We find a robust scale-invariant temporal organisation in the ITT of stocks which is independent of individual company characteristics and industry sector, but which depends on market structure. We find that stocks registered on the NASDAQ exhibit stronger correlations in their transaction timing within a trading day, compared with NYSE stocks. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing within a trading day, after the move, suggesting influences of market structure. Surprisingly, we also observe that stronger power-law correlations in the ITT are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of ITT and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ, we demonstrate that the higher correlations we find in ITT for NASDAQ stocks are matched by higher correlations in absolute price returns and by higher volatility, suggesting that market structure may affect price behaviour through information contained in transaction timing.

  14. Price Discrimination with Asymmetric Firms: The Case of the U.S. Carbonated Soft Drinks Market

    OpenAIRE

    Liu, Yizao; Shen, Shu

    2012-01-01

    This paper investigates the relationship between price discrimination and vertical product differentiation, using National Brands and Private Labels in the Carbonated Soft Drink market as a case study. We decompose prices difference into quantity dis- count and cost difference across packagings and recover marginal cost by a structural demand model of consumer preference and firm behavior. Our results suggest that in the carbonated soft drinks market, both national brands and private labels o...

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

    Energy Technology Data Exchange (ETDEWEB)

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

    2010-07-15

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

  16. Investigating Market Integration and Price Transmission of Different Rice Qualities in Iran

    Directory of Open Access Journals (Sweden)

    Amir Hossein Chizari

    2013-12-01

    Full Text Available Rice production in most of Asian countries has been increased more rapidly than population and this has been led to increase in supply and proportionately decrease in the real price of rice in world and domestic markets. Furthermore, together with growth in production and national gross income of the country per-capita income has been increased and also demand for rice at national and international level quality has been increased. In this case studying the market conditions of different qualities of rice including marketing margins, causative relations among the prices, market integrations in long term and finally price transferring and market integration in short term is the important consequence that can help policymakers and planners in their decision makings on research, production, distribution and marketing of rice strategic product. So, using the statistics from Jihad Agriculture Organization of Guilan Province in case of the price of rice qualities (items including Sadri momtaz (S1, Sadri darge yek (S2, Sadri mamooli (S3 and Khazar (K1 during 1999-2009 market conditions of different qualities of rice was studied. Results show that impulses in wholesale prices in Khazar rice rapidly influence on-farm prices, however, in case of other rice qualities the rate and speed of this influence is low. But in wholesale-retail market for Sadri quality rice impulses influence strongly in wholesale price and this shows intense integration of these two rice markets in Iran. It is suggested that according to the different quality of rice verities, support policy design and decision making process assigned separately

  17. Market interdependence among commodity prices based on information transmission on the Internet

    Science.gov (United States)

    Ji, Qiang; Guo, Jian-Feng

    2015-05-01

    Human behaviour on the Internet has become a synchro-projection of real society. In this paper, we introduce the public concern derived from query volumes on the Web to empirically analyse the influence of information on commodity markets (e.g., crude oil, heating oil, corn and gold) using multivariate GARCH models based on dynamic conditional correlations. The analysis found that the changes of public concern on the Internet can well depict the changes of market prices, as the former has significant Granger causality effects on market prices. The findings indicate that the information of external shocks to commodity markets could be transmitted quickly, and commodity markets easily absorb the public concern of the information-sensitive traders. Finally, the conditional correlation among commodity prices varies dramatically over time.

  18. The Increasing Influence of Oil Prices on the Canadian Stock Market

    OpenAIRE

    Shahriar Hasan; Mohammad Mahbobi

    2013-01-01

    This paper examines the influence of oil prices on Canadian stock market using the cause-effect relationship between oil prices and the TSX index. Additionally, the relationship between the Canadian to US Dollar exchange rate and the TSX index was investigated. Results show that in the last three years, the impact of oil prices on the TSX index has become much stronger than that of the preceding 18 years. Additionally, the importance of the exchange rate compared to oil market in predicting t...

  19. Concentration and drug prices in the retail market for malaria treatment in rural Tanzania.

    Science.gov (United States)

    Goodman, Catherine; Kachur, S Patrick; Abdulla, Salim; Bloland, Peter; Mills, Anne

    2009-06-01

    The impact of market concentration has been little studied in markets for ambulatory care in the developing world, where the retail sector often accounts for a high proportion of treatments. This study begins to address this gap through an analysis of the consumer market for malaria treatment in rural areas of three districts in Tanzania. We developed methods for investigating market definition, sales volumes and concentration, and used these to explore the relationship between antimalarial retail prices and competition.The market was strongly geographically segmented and highly concentrated in terms of antimalarial sales. Antimalarial prices were positively associated with market concentration. High antimalarial prices were likely to be an important factor in the low proportion of care-seekers obtaining appropriate treatment.Retail sector distribution of subsidised antimalarials has been proposed to increase the coverage of effective treatment, but this analysis indicates that local market power may prevent such subsidies from being passed on to rural customers. Policymakers should consider the potential to maintain lower retail prices by decreasing concentration among antimalarial providers and recommending retail price levels. Copyright (c) 2009 John Wiley & Sons, Ltd.

  20. Non-Price Competition in Credit Card Markets: Evidence from an Emerging Economy

    OpenAIRE

    G. Gülsün Akın; Ahmet Faruk Aysan; Gazi Ishak Kara; Levent Yildiran

    2009-01-01

    Credit card rates have been shown to be very high and non-responsive to the changes in the costs of funds. The failure of price competition led to a shift of interests from price to non-price competition in these markets. Credit card issuers create switching costs for their customers by providing non-price benefits. These benefits are either direct benefits that depend on credit card usage or indirect benefits that arise from the convenience and quality of the general services of the issuer b...

  1. Liquefied natural gas (LNG): market tendencies and pricing; Tendencias do mercado de GNL e sua precificacao

    Energy Technology Data Exchange (ETDEWEB)

    Almeida, Jose Ricardo Uchoa Cavalcanti [Universidade Federal do Rio de Janeiro (UFRJ), RJ (Brazil). Coordenacao dos Programas de Pos-graduacao de Engenharia (COPPE). Programa de Planejamento Energetico]. E-mail: ricardo.uchoa@petrobras.com.br

    2006-07-01

    This paper presents the value chain of the LNG, the historic of his commercialization and pricing, and the tendencies of this market and the variables which will influence the long term pricing formation. These variables will make the LNG to converge for a target-price roundly US$ 5.50 to US$7.00 the MBtu excluding the restriction occurrence supply at the balance supply x demand, or a petroleum scaling price over the US$ 60.00 by Bbl presently practiced.

  2. Market, trading and coal price; Marches, trading et prix du charbon

    Energy Technology Data Exchange (ETDEWEB)

    Muller, J.C.; Cornot-Gandolphe, S.; Labrunie, L.; Lemoine, St. [ATIC Services, 75 - Paris(France); Vandijck, M. [Belgian Bunkering Considar Trading Nv (Belgium)

    2006-09-15

    The coal world experienced a true upheaval in the past five years World coal consumption went up 28 % between 2000 and 2005, as a result of the strong growth in Chinese demand. The growth should continue in the coming years: electrical plant builders' orders are mainly for coal. The regained interest in coal is based on the constraints experienced by competing energies (increase in oil and natural gas prices, geopolitical uncertainties, supply difficulties) and by the abundant reserves of coal in the world and the competitiveness of its price. The strong growth in world coal demand comes with a change in rules governing steam coal trading. While long term bilateral agreements were most common until the late nineties, there has been a true revolution in coal marketing since 2000: spot contracts, stock exchange emergence and futures contracts, price indexes. In a few years, the steam coal market has become a true commodities market, overtaking many more goods. The price of coal has also gone through strong variations since 2003. Whereas the price had been stable for decades, in 2004 the strong increase in China' s demand for coal and iron ore resulting in transport shortage, caused a strong increase in CAF coal prices. Since then, prices have gone down, but remain higher than the Eighties and Nineties levels. In spite of the increase, coal remains available at more competitive prices than its competing energies. (authors)

  3. Analysis of relationships between hourly electricity price and load in deregulated real-time power markets

    Energy Technology Data Exchange (ETDEWEB)

    Lo, K.L.; Wu, Y.K. [University of Strathclyde, Glasgow (United Kingdom). Power Systems Research Group

    2004-07-01

    Risk management in the electric power industry involves measuring the risk for all instruments owned by a company. The value of many of these instruments depends directly on electricity prices. In theory, the wholesale price in a real-time market should reflect the short-run marginal cost. However, most markets are not perfectly competitive, therefore by understanding the degree of correlation between price and physical drivers, electric traders and consumers can manage their risk more effectively and efficiently. Market data from two power-pool architectures, both pre-2003 ISO-NE and Australia's NEM, have been studied. The dynamic character of electricity price is mean-reverting, and consists of intra-day and weekly variations, seasonal fluctuations, and instant jumps. Parts of them are affected by load demands. Hourly signals on both price and load are divided into deterministic and random components with a discrete Fourier transform algorithm. Next, the real-time price-load relationship for periodic and random signals is examined. In addition, time-varying volatility models are constructed on random price and random load with the GARCH model, and the correlation between them analysed. Volatility plays a critical role on evaluating option pricing and risk management. (author)

  4. Short Term Price Forecasting in Electricity Market Considering the Effect of Wind Units\\\\\\' Generation

    Directory of Open Access Journals (Sweden)

    H. Taherian

    2014-05-01

    Full Text Available The price signal in a competitive electricity market has a major importance in all planning and commissioning activities. Also, the electricity price has a non-deterministic nature and is affected by various parameters in short and long terms. Active players in electricity market need accurate and effective price forecasting for risk management. With the increased use of renewable energies, especially wind energy, the electricity price is being affected by this new parameter, as the intermittent nature of wind generation has further complicated the process of instantaneous balancing of power system demand against power generation. In this paper, using the Nord Pool electricity market data, the effect of wind units' generation on price forecasting is studied. The main idea is based on presenting an intelligent model for forecasting the Market Clearing Price through the use of a multilayer perceptron neural network based on hybrid genetic model and Imperialist Competitive algorithm. This hybrid model has a better accuracy, compared to the conventional neural networks (based on gradient-based optimization algorithms, and has the ability of converging towards the absolute optimum. The results verify the high accuracy of this model in short term electricity price forecasting.

  5. Demonstration of Market-Based Real-Time Electricity Pricing on a Congested Feeder

    DEFF Research Database (Denmark)

    Larsen, Emil Mahler; Pinson, Pierre; le Ray, Guillaume

    2015-01-01

    Congestion management can delay grid reinforcements needed due to the growth of distributed technologies like photovoltaics and electric vehicles. This paper presents a method of congestion management for low voltage feeders using indirect control from the smart grid demonstration EcoGrid EU, where...... five minute electricity pricing is sent to demand. A method for forecasting demand and generating prices in a market framework is presented, and a novel mechanism to ensure prices are fair to customers who can and cannot participate is developed. The proposed market is currently being used to send...... prices to 1900 houses, with a virtual feeder of 28 houses receiving congestion pricing. Simulations are used to calculate the cost from using this congestion management method, while demonstration results indicate that congestion can be managed successfully....

  6. Land Market and Price of the Agricultural Land after the End of the Transitional Period

    Directory of Open Access Journals (Sweden)

    Dirgasová Katarína

    2016-11-01

    Full Text Available After the end of the transition period for the purchase of the agricultural land by foreigners, the legislation regulating the acquisition of the agricultural land was adopted for the purpose of harmonization of the Slovak legislation with the legislation of the European Union. The Law no. 140/2014 Coll. on the acquisition of ownership to the agricultural land and amending and supplementing determines the subjects that are legitimated to acquire the ownership to the agricultural land. In addition, due to the creation of the Register of Offers of the Agricultural Land, the legislation allows the landowner to set a price on the sale of the agricultural land. In Slovakia, apart from the administrative prices and the market prices, there is a new type of prices, so-called „supply price“. The aim of the paper is to sum up the impact of the current legislation on the land market and the prices of agricultural land.

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

    Directory of Open Access Journals (Sweden)

    Plamen Ch Ivanov

    Full Text Available 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

  8. 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

  9. Noteworthy: oil markets: Saudis abandon WTI price as benchmark

    OpenAIRE

    Jackson Thies

    2010-01-01

    Saudi Arabia's state-owned oil company no longer uses West Texas Intermediate (WTI) crude oil as its pricing benchmark. Saudi Aramco, the third largest U.S. oil supplier, switched to the Argus Sour Crude Index (ASCI) in January.

  10. Animal Carcass Pricing Grid. Evidences from the Romanian Pigmeat Market

    Directory of Open Access Journals (Sweden)

    Savescu Roxana

    2015-07-01

    Full Text Available Until the introduction of SEUROP system, price negotiation between pig producers and slaughterhouses was based on two subjective criteria: animal weight and visual inspection of the quality of pigs. To ensure producers a fair payment, European Union created the possibility of binding the price on two objective factors: carcass weight and carcass composition. This paper describes the pricing mechanism developed by Romania in order to respond to European Union requirements for ensuring a fair payment to pig producers. It raises the attention on the difficulties encountered by the producers in understanding the way the commercial value of a pig carcass is calculated in case the selling price is negotiated on a flat rate basis or on a lean content basis (per kg of carcass weight or per kg of live weight.

  11. Noteworthy: oil markets: Saudis abandon WTI price as benchmark

    OpenAIRE

    Jackson Thies

    2010-01-01

    Saudi Arabia's state-owned oil company no longer uses West Texas Intermediate (WTI) crude oil as its pricing benchmark. Saudi Aramco, the third largest U.S. oil supplier, switched to the Argus Sour Crude Index (ASCI) in January.

  12. Industrial customer response to wholesale prices in the restructured Texas electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Zarnikau, J. [Frontier Associates, Austin, TX (United States); The University of Texas at Austin, (United States). LBJ School of Public Affairs; Landreth, G.; Hallett, I. [The University of Texas at Austin, (United States). LBJ School of Public Affairs; Kumbhakar, S.C. [State University of New York at Binghamton, (United States)

    2007-09-15

    This paper estimates the demand responsiveness of the 20 largest industrial energy consumers in the Houston area to wholesale price signals in the restructured Electric Reliability Council of Texas (ERCOT) market. Statistical analysis of their load patterns employing a Symmetric Generalized McFadden cost function model suggests that ERCOT achieved limited success in establishing a market that facilitates demand response from the largest industrial energy consumers in the Houston area to wholesale price signals in its second year of retail competition. The muted price response is at least partially because energy consumers who opt to offer their ''interruptibility'' to the market as an ancillary service are constrained in their ability to respond to wholesale energy prices. (author)

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

    Directory of Open Access Journals (Sweden)

    Vitor Gonçalves de Azevedo

    2016-01-01

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

  14. Pricing behaviour of nonprofit insurers in a weakly competitive social health insurance market.

    Science.gov (United States)

    Douven, Rudy C H M; Schut, Frederik T

    2011-03-01

    In this paper we examine the pricing behaviour of nonprofit health insurers in the Dutch social health insurance market. Since for-profit insurers were not allowed in this market, potential spillover effects from the presence of for-profit insurers on the behaviour of nonprofit insurers were absent. Using a panel data set for all health insurers operating in the Dutch social health insurance market over the period 1996-2004, we estimate a premium model to determine which factors explain the price setting behaviour of nonprofit health insurers. We find that financial stability rather than profit maximisation offers the best explanation for health plan pricing behaviour. In the presence of weak price competition, health insurers did not set premiums to maximize profits. Nevertheless, our findings suggest that regulations on financial reserves are needed to restrict premiums. Copyright © 2011 Elsevier B.V. All rights reserved.

  15. 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.

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

    Science.gov (United States)

    Naimzada, Ahmad; Pireddu, Marina

    2015-08-01

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

  17. Pricing and Hedging Quanto Options in Energy Markets

    DEFF Research Database (Denmark)

    Benth, Fred Espen; Lange, Nina; Myklebust, Tor Åge

    approach we derive a closed form option pricing formula for energy quanto options, under the assumption that the underlying assets are log-normally distributed. Our approach encompasses several interesting cases, such as geometric Brownian motions and multifactor spot models. We also derive delta and gamma...... expressions for hedging. Furthermore, we illustrate the use of our model by an empirical pricing exercise using NYMEX traded natural gas futures and CME traded Heating Degree Days futures for New York....

  18. Electronic Markets Selection in Supply Chain with Uncertain Demand and Uncertain Price

    Directory of Open Access Journals (Sweden)

    Fengmei Yang

    2015-01-01

    Full Text Available In recent years, more and more companies start online operation. Electronic market becomes a key component of some companies’ strategy. Supply chain management is another key component of the strategy as being adopted by an increasing number of companies. There are many interactions between electronic market and supply chain. One of the key questions is to select one type of electronic market from the view of supply chain. This paper develops some models to explore the issue of selection between public electronic market and private electronic market in three scenarios where electronic market is used for buying, for selling, and for both selling and buying, respectively. In a public electronic market, neither the supplier nor the retailer is the owner of the electronic market. However, in a private electronic market, there is an owner that is either the supplier or the retailer. Besides demand uncertainty, we take into account the price uncertainty in electronic market. We explore the conditions under which the agent of supply chain selects one certain type of electronic market by comparing expected profits of supply chain members in different scenarios. Some sensitivity analyses are conducted to explore the impact of the customer demand, electronic market retail price, and e-market use fee on the selection of electronic market. Finally, some interesting managerial and academic insights are obtained.

  19. NordREG report on the price peaks in the Nordic wholesale market during winter 2009-2010. Final report

    Energy Technology Data Exchange (ETDEWEB)

    2011-01-15

    In winter 2009-2010, prices peaked on three days. The high prices that were experienced in the majority of the Nord Pool Spot price areas initiated a study on the reasons that led to the price spikes and on the possible measures to develop the Nordic market arrangements to avoid such situations in the future. The analysis of the winter 2009-2010 events revealed that there were a number of primary causes for the occurrence of the price peaks and no single individual cause could be pinpointed to bear the key responsibility. The fact that the weather was cold all over the Nordic area in conjunction with the low availability for the Swedish nuclear generation capacity, however, could be indicated as the key underlying causes. The analysis also showed that the way the Nordic transmission capacity is allocated can be listed as an additional factor complementing to the occurrence of the price peaks. Thus, NordREG concluded that a review of the methods of calculating and allocating transmission capacity for the market should be carried out. As a part of this, an analysis that addresses the delimitation of bidding areas and maintenance planning of the transmission network infrastructure should be prepared as well. The flexibility on the demand side has not been very large in the Nordic region. However, the background study prepared by Gaia Consulting showed that even small degree of increased price elasticity could substantially cut the price peaks. This could be seen as an improvement potential of the trading system reflecting the present inability of the market participants to react on the price signals the market place provides. Therefore, NordREG sees that facilitating the appearance of a real price elastic behaviour of the users of electricity can be regarded as one of the key fixes for the problem. Furthermore, NordREG proposes that a consultancy study on how to promote demand flexibility in the Nordic market in a coherent way should be prepared. A further area for

  20. Marketing cigarettes when all else is unavailable: evidence of discounting in price-sensitive neighbourhoods.

    Science.gov (United States)

    Burton, Suzan; Williams, Kelly; Fry, Rae; Chapman, Kathy; Soulos, Greg; Tang, Anita; Walsberger, Scott; Egger, Sam

    2014-05-01

    Since price is both a key determinant of smoking and one of the few remaining marketing strategies available in countries without point-of-sale tobacco display, this study examines cigarette price variations in the Australian market and assesses whether those variations are consistent with price being used to increase or maintain smoking among price-sensitive groups. An audit of 1739 tobacco retailers was used to collect variations in the price of the best-selling Australian cigarette brand, as well as record retailer compliance with tobacco retailing legislation. We examined variation in pricing across outlet type, demographic variations (socioeconomic level, % in the area under 18 and % born in Australia), remoteness and retailer compliance with tobacco retailing legislation. Multipacks were offered by 27.8% of retailers, with the average pack price in a twin pack $1.32 (or 7.3%) cheaper than a single pack. Prices were significantly lower in some outlet types, in lower socioeconomic postcodes and in those with a higher percentage of people under 18. In contrast with other consumer goods, prices were lower (although not significantly so) outside major cities. The provision of substantial multi-pack discounts and lower prices in postcodes with a higher proportion of price-sensitive smokers (young people and those from lower socioeconomic groups) is consistent with targeted discounts being used as a tobacco marketing strategy. The results support policy interventions to counter selective discounts and to require disclosure of trade-based discounts. Published by the BMJ Publishing Group Limited. For permission to use (where not already granted under a licence) please go to http://group.bmj.com/group/rights-licensing/permissions.

  1. Specialized advertising and price competition in vertically differentiated markets

    National Research Council Canada - National Science Library

    Esteban, Lola; Hernández, José M

    2011-01-01

    .... We find that the transition from uniform advertising to targeted advertising can turn a pure vertically differentiated market into a hybrid market which incorporates some features of a monopoly, thus...

  2. Price Wars in Two-Sided Markets : The Case of the UK Quality Newspapers

    NARCIS (Netherlands)

    Behringer, S.; Filistrucchi, L.

    2009-01-01

    This paper investigates the price war in the UK quality newspaper industry in the 1990s. We build a model of the newspaper market which encompasses demand for differentiated products on both, the readers and advertisers side of the market, and profi…t maximization by four competing oligopolistic edi

  3. Do Vietnamese upland farmers benefit from high world market prices for maize?

    NARCIS (Netherlands)

    Luckmann, J.; Ihle, R.; Kleinwechter, U.; Grethe, H.

    2015-01-01

    For rural households in the north of Vietnam, maize cropping is the main source of income. In the face of the world market price increases of the recent past, we analyze the regional market chain of this commodity qualitatively and econometrically investigating to what extent smallholder farmers in

  4. Do Vietnamese upland farmers benefit from high world market prices for maize?

    NARCIS (Netherlands)

    Luckmann, J.; Ihle, R.; Kleinwechter, U.; Grethe, H.

    2015-01-01

    For rural households in the north of Vietnam, maize cropping is the main source of income. In the face of the world market price increases of the recent past, we analyze the regional market chain of this commodity qualitatively and econometrically investigating to what extent smallholder farmers in

  5. Deconstructing Solar Photovoltaic Pricing: The Role of Market Structure, Technology, and Policy

    Energy Technology Data Exchange (ETDEWEB)

    Gillingham, Kenneth [Yale Univ., New Haven, CT (United States); Deng, Hao [Yale Univ., New Haven, CT (United States); Wiser, Ryan [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Darghouth, Naim [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Nemet, Gregory [Univ. of Wisconsin, Madison, WI (United States); Barbose, Galen [Lawrence Berkeley National Lab. (LBNL), Berkeley, CA (United States); Rai, Varun [Univ. of Texas, Austin, TX (United States); Dong, C. G. [Univ. of Texas, Austin, TX (United States)

    2014-12-15

    Solar photovoltaic (PV) system prices in the United States display considerable heterogeneity both across geographic locations and within a given location. Such heterogeneity may arise due to state and federal policies, differences in market structure, and other factors that influence demand and costs. This paper examines the relative importance of such factors on equilibrium solar PV system prices in the United States using a detailed dataset of roughly 100,000 recent residential and small commercial installations. As expected, we find that PV system prices differ based on characteristics of the systems. More interestingly, we find evidence suggesting that search costs and imperfect competition affect solar PV pricing. Installer density substantially lowers prices, while regions with relatively generous financial incentives for solar PV are associated with higher prices.

  6. Crude Oil Spot Price Forecasting Based on Multiple Crude Oil Markets and Timeframes

    Directory of Open Access Journals (Sweden)

    Shangkun Deng

    2014-04-01

    Full Text Available This study proposes a multiple kernel learning (MKL-based regression model for crude oil spot price forecasting and trading. We used a well-known trend-following technical analysis indicator, the moving average convergence and divergence (MACD indicator, for extracting features from original spot prices. Additionally, we factored in the possibility that movements of target crude oil prices may be related to other important crude oil markets besides the target market for the prediction time horizon since traders may find price movement information within other relevant crude oil markets useful. We also considered multiple timeframes in this study since trends may differ across different timeframes and, in fact, traders may use their own timeframes. Therefore, for forecasting target crude oil prices, this study emphasizes on features pertaining to other important crude oil markets and different timeframes in addition to features of the target crude oil market and target timeframe. Moreover, the MKL framework has been used to fuse information extracted from different sources and timeframes of the same data source. Experimental results show that out-of-sample forecasting using the MKL method is superior to benchmark methods in terms of root mean square error (RMSE and average percentage profit (APP. They also show that the information from multiple timeframes is useful for prediction, but that from another crude oil market is not.

  7. Elasticity of spatial price transmission of the corn price market in Brazil: a study for Mato Grosso

    Directory of Open Access Journals (Sweden)

    Geraldo Costa Junior

    2016-07-01

    Full Text Available The present study aims at analyzing corn, which, due to its leadership in the grain market in terms of global production and its versatile use, has increased its importance in terms of food security and as a source of renewable energy. In Brazil, the state of Mato Grosso, which, besides its productive representativeness, has expanded its integration with the external market of grains, stands out. In this context, the goal of this study is to analyze the price transmission process between the corn producing areas in Mato Grosso and the foreign market for the period January 2009 - April 2015. For this purpose, the theoretical framework of the Law of One Price (LOP was used and the methodology of the Granger causality test and the vector error correction model (VECM estimation was applied. The obtained results point towards the existence of a one-way causal relationship in the Granger sense from Paranaguá towards the corn markets of Mato Grosso. Regarding the cointegration tests, only the regions of Canarana, Lucas do Rio Verde and Sapezal were found to have a long-term relationship with Paranaguá. On the other hand, the comparison between the production areas in Mato Grosso shows that there is a cointegration relationship between them, indicating an integrated corn market.

  8. Exploiting Flexibility in Coupled Electricity and Natural Gas Markets: A Price-Based Approach

    DEFF Research Database (Denmark)

    Ordoudis, Christos; Delikaraoglou, Stefanos; Pinson, Pierre

    2017-01-01

    . Considering a market-based coupling of these systems, we introduce a decision support tool that increases market efficiency in the current setup where day-ahead and balancing markets are cleared sequentially. The proposed approach relies on the optimal adjustment of natural gas price to modify the scheduling...... of power plants and reveals the necessary flexibility to handle stochastic renewable production. An essential property of this price-based approach is that it guarantees no financial imbalance (deficit or surplus) for the system operator at the day-ahead stage. Our analysis shows that the proposed...... mechanism reduces the expected system cost and efficiently accommodates high shares of renewables....

  9. Stock Market Market Crash of 2008: an empirical study of the deviation of share prices from company fundamentals

    OpenAIRE

    Kaizoji, Taisei; Miyano, Michiko

    2016-01-01

    The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large database containing the balance sheets and share prices of 7,796 worldwide companies for the period 2004 through 2013. We develop a panel regression model using three financial indicators--dividends per share, cash flow per share, and book value per share--as explanatory variables for share price. We then estimate in...

  10. Price-Taker Offering Strategy in Electricity Pay-as-Bid Markets

    DEFF Research Database (Denmark)

    Mazzi, Nicolò; Kazempour, Jalal; Pinson, Pierre

    2017-01-01

    operating region of such units can be modeled using a mixed-integer linear programming approach, and the trading problem as a linear programming problem. However, the existing models mostly assume a uniform pricing scheme in all market stages, while several European balancing markets (e.g., in Germany...... and Italy) are settled under a pay-as-bid pricing scheme. The existing tools for solving the trading problem in pay-as-bid electricity markets rely on non-linear optimization models, which, combined with the unit commitment constraints, result in a mixed-integer non-linear programming problem. In contrast......, we provide a linear formulation for that trading problem. Then, we extend the proposed approach by formulating a two-stage stochastic problem for optimal offering in a two-settlement electricity market with a pay-as-bid pricing scheme at the balancing stage. The resulting model is mixed...

  11. The formation of share market prices under heterogeneous beliefs and common knowledge

    CERN Document Server

    Biondi, Yuri; Galam, Serge

    2011-01-01

    Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share Exchange over time. Our model relaxes that heroic assumption of one unique "true value" and deals with the formation of share market prices through the dynamic formation of individual and social opinions (or beliefs) based upon a fundamental signal of economic performance and position of the firm, the forecast revision by heterogeneous individual investors, and their social mood or sentiment about the ongoing state of the market pricing process. Market clearing price formation is then featured by individual and group dynamics that make its collective dimension irreducible to its individual level. This dynamic holistic approach can be applied to better understand the market exuberance generated by the Share Exchange over time.

  12. Endogenous Price Bubbles in a Multi-Agent System of the Housing Market.

    Science.gov (United States)

    Kouwenberg, Roy; Zwinkels, Remco C J

    2015-01-01

    Economic history shows a large number of boom-bust cycles, with the U.S. real estate market as one of the latest examples. Classical economic models have not been able to provide a full explanation for this type of market dynamics. Therefore, we analyze home prices in the U.S. using an alternative approach, a multi-agent complex system. Instead of the classical assumptions of agent rationality and market efficiency, agents in the model are heterogeneous, adaptive, and boundedly rational. We estimate the multi-agent system with historical house prices for the U.S. market. The model fits the data well and a deterministic version of the model can endogenously produce boom-and-bust cycles on the basis of the estimated coefficients. This implies that trading between agents themselves can create major price swings in absence of fundamental news.

  13. Endogenous Price Bubbles in a Multi-Agent System of the Housing Market.

    Directory of Open Access Journals (Sweden)

    Roy Kouwenberg

    Full Text Available Economic history shows a large number of boom-bust cycles, with the U.S. real estate market as one of the latest examples. Classical economic models have not been able to provide a full explanation for this type of market dynamics. Therefore, we analyze home prices in the U.S. using an alternative approach, a multi-agent complex system. Instead of the classical assumptions of agent rationality and market efficiency, agents in the model are heterogeneous, adaptive, and boundedly rational. We estimate the multi-agent system with historical house prices for the U.S. market. The model fits the data well and a deterministic version of the model can endogenously produce boom-and-bust cycles on the basis of the estimated coefficients. This implies that trading between agents themselves can create major price swings in absence of fundamental news.

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

    DEFF Research Database (Denmark)

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

    2009-01-01

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

  15. The law of one price in global natural gas markets. A threshold cointegration analysis

    Energy Technology Data Exchange (ETDEWEB)

    Nick, Sebastian; Tischler, Benjamin

    2014-11-15

    The US and UK markets for natural gas are connected by arbitrage activity in the form of shifting trade volumes of liquefied natural gas (LNG). We empirically investigate the degree of integration between the US and the UK gas markets by using a threshold cointegration approach that is in accordance with the law of one price and explicitly accounts for transaction costs. Our empirical results reveal a high degree of market integration for the period 2000-2008. Although US and UK gas prices seemed to have decoupled between 2009 and 2012, we still find a certain degree of integration pointing towards significant regional price arbitrage. However, high threshold estimates in the latter period indicate impediments to arbitrage that are by far surpassing the LNG transport costs difference between the US and UK gas market.

  16. Formation of share market prices under heterogeneous beliefs and common knowledge

    Science.gov (United States)

    Biondi, Yuri; Giannoccolo, Pierpaolo; Galam, Serge

    2012-11-01

    Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share Exchange over time. Our model relaxes that heroic assumption of one unique “true value” and deals with the formation of share market prices through the dynamic formation of individual and social opinions (or beliefs) based upon a fundamental signal of economic performance and position of the firm, the forecast revision by heterogeneous individual investors, and their social mood or sentiment about the ongoing state of the market pricing process. Market clearing price formation is then featured by individual and group dynamics that make its collective dimension irreducible to its individual level. This dynamic holistic approach can be applied to better understand the market exuberance generated by the Share Exchange over time.

  17. Endogenous Price Bubbles in a Multi-Agent System of the Housing Market

    Science.gov (United States)

    2015-01-01

    Economic history shows a large number of boom-bust cycles, with the U.S. real estate market as one of the latest examples. Classical economic models have not been able to provide a full explanation for this type of market dynamics. Therefore, we analyze home prices in the U.S. using an alternative approach, a multi-agent complex system. Instead of the classical assumptions of agent rationality and market efficiency, agents in the model are heterogeneous, adaptive, and boundedly rational. We estimate the multi-agent system with historical house prices for the U.S. market. The model fits the data well and a deterministic version of the model can endogenously produce boom-and-bust cycles on the basis of the estimated coefficients. This implies that trading between agents themselves can create major price swings in absence of fundamental news. PMID:26107740

  18. Price Uncertainty and Optimal Hedging in the Agricultural Market

    Directory of Open Access Journals (Sweden)

    Nicolae ISTUDOR

    2014-06-01

    Full Text Available The increased volatility of the agricultural prices has detrimental effects on the economic welfare and raises concerns regarding poverty and malnutrition at a global level. Financial risk management can be an efficient solution for limiting the effects of international agricultural price volatility. The paper analyzes the behavior of the U.S. wheat and corn prices, emphasizing their highly volatile and unpredictable nature. Given the existence of the basis risk, the estimation of the optimal hedge ratio is needed in order to provide an efficient hedging strategy against price risks. The role of public authorities in this context can consist in promoting education in the fields of hedging and understanding the agricultural price volatility risk. We estimate static and time varying optimal hedge ratios for wheat and corn through several methods. Based on the out of sample hedging effectiveness given by the variance reduction, the methods are compared and the results show that the time varying hedge ratios estimated through rolling window OLS and GARCH methods outperform the static counterparts.

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

    Directory of Open Access Journals (Sweden)

    H. Sherafatmand

    2016-10-01

    Full Text Available Introduction: Agricultural prices are one of the most important tools for resource allocation in an economy. Evidence suggests that, agricultural prices in comparison with other goods prices have more volatility. If these volatility leads to asymmetric price transmission, this subject will be very important. In other words, if changes in the market price are not absolutely transferred between levels, asymmetric price transmission has occurred, which is leading to increased marketing margin. Price transmission in different market levels related to the marketing efficiency, which also affected the welfare of producers and consumers. Dates, among all horticultural crops, with a share of 10% of the planted area in our country, after the pistachios and grapes were located in the third highest level, and with 6.5 percent of the total horticulture products after grapes, apples and oranges, are in the fourth highest level. Iran Dates from global production share is 14% in 2012. Despite of important Dates, Dates producers, suffer from volatility and low price of this product. Dates owners considerable expenses for crop production, including purchasing, supply of fertilizers and pesticides, irrigation (water and electricity costs and the cost of labor in planting and harvesting spent, but in most cases they not only benefit from production, but also sell it below cost. According to the phenomena that Dates owners are not marketed through cooperatives, so farmers are the victims and intermediaries benefited. In such an environment, the marketing of dates, have a significant impact on how prices transmitted. In policy debates, asymmetric price transmission is a phenomenon that arises from imperfect competition in the market and it would be imposing additional costs to consumers. Having this information will help policy makers to adopt the correct policies. Materials and Methods: To achieve the aims of this study which determines the mechanism of price

  20. Impact of Oil Price Shocks and Exchange Rate Volatility on Stock Market Behavior in Nigeria

    Directory of Open Access Journals (Sweden)

    Adedoyin I. Lawal

    2016-09-01

    Full Text Available The impact of exchange rate and oil prices fluctuation on the stock market has been a subject of hot debate among researchers. This study examined the impact of both the exchange rate volatility and oil price volatility on stock market volatility in Nigeria, so as to guide policy formulation based on the fact that the nation’s economy was foreign induced and mono-cultured with heavy dependence on oil. EGARCH estimation techniques were employed to examine if either the volatility in exchange rate, oil price volatility or both experts on stock market volatility in Nigeria. The result shows that share price volatility is induced by both the exchange rate volatility and oil price volatility. Thus, it is recommended that policymakers should pursue policies that tend to stabilize the exchange rate regime on the one hand, and guarantee the net oil exporting position for the economy, that market practitioners should formulate portfolio strategies in such a way that volatility in both exchange rates and oil price will be factored in time when investment decisions are being made.

  1. Globalization And Time Varying Prices Of Market And Foreign Exchange Risks: Canadian Evidence

    OpenAIRE

    Sarath Abeysekera; Sergiy Rakhmayil

    2011-01-01

    The paper empirically examines the relationship between stock returns, exchange rate, and market risks for the Canadian stock market operating in an increasingly global environment. Time varying prices of market and currency risks and corresponding risk premia are estimated. We investigate how estimated risk premia in different industry sectors are affected by macroeconomic events associated with globalization. We find that magnitude of shocks is greater, and risk premia at the times of econo...

  2. Non-price competition in credit card markets through bundling and bank level benefits

    OpenAIRE

    Akin, Guzin Gulsun; Aysan, Ahmet Faruk; Kara, Gazi Ishak; Yildiran, Levent

    2008-01-01

    The attempts to explain the high and sticky credit card rates have given rise to a vast literature on credit card markets. This paper endeavors to explain the rates in the Turkish market using measures of non-price competition. In this market, issuers compete monopolistically by differentiating their credit card products. The fact that credit cards and all other banking services are perceived as a bundle by consumers allows banks to deploy also bank level characteristics to differentiate thei...

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

    Energy Technology Data Exchange (ETDEWEB)

    1994-04-07

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

  4. ANALYSIS OF THE EFFECT OF MARKET STABILITY FACTORS ON THE CHANGES IN SHARE PRICE

    Directory of Open Access Journals (Sweden)

    Виктор Геннадьевич Семенов

    2013-09-01

    Full Text Available According to fundamental analysis, share price tends to its intrinsic value. An appreciably large body of research has been devoted to foreign stock markets; meanwhile, the Russian stock market has been studied insufficiently. The hypothesis of fundamental analysis of the Russian stock market was tested in this paper. The effect of market stability factors (P/E; P/B; P/CF; P/D on changes in share prices was studied. The data from the financial reports on IFRS – GAAP and the data on share prices of 54 companies over the period of 2003–2013 were used. The results give grounds for claiming that the postulates of fundamental analysis cannot be used for the Russian stock market: the market stability factors do not correlate with the changes in share prices. Next, the possible reasons for this speculative behavior of the Russian stock market were considered. The methods for analyzing the reports and the financial and economic situation in order to determine the company value were proposed in this paper.DOI: http://dx.doi.org/10.12731/2218-7405-2013-9-5

  5. The price impact asymmetry of institutional trading in the Chinese stock market

    Science.gov (United States)

    Ren, Fei; Zhong, Li-Xin

    2012-04-01

    The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in the Chinese stock market in 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the dependence of the price impact asymmetry on the market condition. For most of the stocks, institutional sales have a larger price impact than institutional purchases, and a larger impact of institutional purchases exists only in a few stocks with primarily increasing tendencies. We further study the mean return of trades surrounding institutional transactions, and find that the asymmetric behavior also exists before and after institutional transactions. A new variable is proposed to investigate the order book structure, and it can partially explain the price impact of institutional transactions. A linear regression for the price impact of institutional transactions further confirms our finding that institutional sales primarily have a larger price impact than institutional purchases in the bearish year 2003.

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

    Science.gov (United States)

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

    2013-04-01

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

  7. Housing Prices and General Economic Conditions: An Analysis of Chinese New Dwelling Market

    Institute of Scientific and Technical Information of China (English)

    LIU Hongyu; SHEN Yue

    2005-01-01

    This paper presents an investigation of the interaction between housing prices and general economic conditions in China for the period of 1986-2002. The empirical results indicate that housing prices in China are predictable by market fundamentals, which could explain most of the variations in housing prices. The results of Granger causality tests confirm that unemployment rate, total population, changes in construction costs, changes in the consumer price index (CPI) are all Granger causalities of housing prices, with feedback effects observed to affect the vacancy rate of new dwellings, changes in CPI, and changes in per capita disposable income of urban households. Studies with impulse response functions further illustrate these relationships in terms of the degree of the impact on housing prices from the determinants and the feedbacks. The findings indicate that there is a long-term equilibrium relationship between housing prices and market fundamentals in China and it is the identified fundamentals that drive housing prices up, rather than a bubble.

  8. Credit Market Distortions, Asset Prices And Monetary Policy

    DEFF Research Database (Denmark)

    Pfajfar, Damjan; Santoro, Emiliano

    2014-01-01

    We study the conditions that ensure rational expectations equilibrium (REE) determinacy and expectational stability (E-stability) in a standard sticky-price model augmented with the cost channel. We allow for varying degrees of pass-through of the policy rate to bank-lending rates. Strong cost-si...... and/or firm profitability. The negative reaction of real activity and asset prices to inflationary shocks adds a negative force to inflation responses that counteracts the borrowing cost effect and prevents expectations of higher inflation from becoming self-fulfilling...

  9. Application of Derivatives Market for Controlling Risks of Commodity Prices

    Directory of Open Access Journals (Sweden)

    Rasuolė Drazdauskienė

    2015-05-01

    Full Text Available The issue of raw milk procurement cost level and fluctuation which inhibits strengthening negotiating positions of dairy product fabricants and probability of them staying competitive in the European Union, is examined. Scientific literature that analyzes risks of staple prices is overviewed in the article. The paper provides statistical data representing the situation of Lithuania in contrast with European Union rates. Global usage of prospective transactions and their possible influence on price regulation are analyzed. After examining statistical data and academic literature, conclusions are provided.

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

    Institute of Scientific and Technical Information of China (English)

    云天铨

    2001-01-01

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

  11. New Directions in Price Test for Market Definition

    OpenAIRE

    Zipitria, Leandro

    2010-01-01

    The appropriate definition of the relevant market is the main task in competition cases. But this definition, and its application, has proved difficult in abuse of dominance cases, mainly because of the cellophane fallacy. I offer new interpretations for the cointegration test and its vector error correction representation, in antitrust market definition. Then I apply them to define the beer market in Uruguay as an example.

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

    Energy Technology Data Exchange (ETDEWEB)

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

    2001-12-01

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

  13. Pricing the Option to Surrender in Incomplete Markets

    DEFF Research Database (Denmark)

    Consiglio, Andrea; De Giovanni, Domenico

    that encompasses the most known sources of incompleteness. We show that the surrender option, joined with a wide range of claims embedded in insurance contracts, can be priced through our tool, and deliver hedging portfolios to mitigate the risk arising from their positions. We provide extensive empirical analysis...

  14. Pricing and Hedging of Derivatives in Contagious Markets

    DEFF Research Database (Denmark)

    Kokholm, Thomas

    2016-01-01

    a stochastic volatility component to the dynamics. It is important to take the contagion effect into account if derivatives written on a basket of assets are to be priced or hedged. Due to the affine model specification the joint characteristic function of the log-returns is known analytically, and for two...

  15. Credit market distortions, asset prices and monetary policy

    NARCIS (Netherlands)

    Pfajfar, D.; Santoro, E.

    2014-01-01

    We study the conditions that ensure rational expectations equilibrium (REE) determinacy and expectational stability (E-stability) in a standard sticky-price model augmented with the cost channel. We allow for varying degrees of pass-through of the policy rate to bank-lending rates. Strong cost-side

  16. Novel pricing model for spectrum leasing in secondary spectrum market

    Institute of Scientific and Technical Information of China (English)

    WANG Lei; XU Xing-kun; XU Wen-jun; HE Zhi-qiang; LIN Jia-ru

    2010-01-01

    According to the property rights model of cognitive radio,primary users who own the spectral resource have the right to lease or trade part of it to secondary users in exchange for appropriate profit. In this paper,an implementation of this framework is investigated,where a primary link can lease the owned spectrum to secondary nodes in exchange for cooperation (relaying). A novel pricing model is proposed that enables the trading between spectrum and cooperation. Based on the demand of secondary nodes,the primary link attempts to maximize its quality of service (QoS) by setting the price of spectrum. Taking the price asked by primary link,the secondary nodes aim to obtain most profits by deciding the amount of spectrum to buy and then pay for it by cooperative transmission. The investigated model is conveniently cast in the framework of seller/buyer (Stackelberg) games. Analysis and numerical results show that our pricing model is effective and practical for spectrum leasing based on trading spectral resource for cooperation.

  17. Credit Market Distortions, Asset Prices and Monetary Policy

    NARCIS (Netherlands)

    Pfajfar, D.; Santoro, E.

    2012-01-01

    Abstract: We study the conditions that ensure rational expectations equilibrium (REE) determinacy and expectational stability (E-stability) in a standard sticky-price model augmented with the cost channel. We allow for varying degrees of pass-through of the policy rate to bank-lending rates. Strong

  18. Credit Market Distortions, Asset Prices and Monetary Policy

    NARCIS (Netherlands)

    Pfajfar, D.; Santoro, E.

    2012-01-01

    Abstract: We study the conditions that ensure rational expectations equilibrium (REE) determinacy and expectational stability (E-stability) in a standard sticky-price model augmented with the cost channel. We allow for varying degrees of passthrough of the policy rate to bank-lending rates. Strong

  19. Credit market distortions, asset prices and monetary policy

    NARCIS (Netherlands)

    Pfajfar, D.; Santoro, E.

    2014-01-01

    We study the conditions that ensure rational expectations equilibrium (REE) determinacy and expectational stability (E-stability) in a standard sticky-price model augmented with the cost channel. We allow for varying degrees of pass-through of the policy rate to bank-lending rates. Strong cost-side

  20. On the market value of information commodities. III. Demand price

    NARCIS (Netherlands)

    Mowshowitz, A. (Abbe)

    1992-01-01

    textabstractThe derived‐demand price of an information commodity depends on the commodity's cost impact on a user's production process. We model an arbitrary production process as a collection of interrelated tasks which can be represented in the form of a production digraph. The nodes of the digrap

  1. The response of stock prices to dividend news on the Ghana stock market: An empirical assessment

    Directory of Open Access Journals (Sweden)

    Gideon Boako

    2015-04-01

    Full Text Available An important assumption of the signaling hypothesis is that dividend change announcements are positively correlated with share price reactions and future changes in earnings. However, Miller and Modigliani (1961sustains that, dividend policy is irrelevant in arriving at a firm value, if the capital market is perfect. The purpose of this paper is to assess the potency of the dividend irrelevance theory on the Ghana stock market by using the Johansen-Juselius cointegration methodology on daily data of dividends, earnings and stock prices from January 2011 to December 2013. The results establish that equity prices in Ghana are not in sync with dividend announcements. However, the incorporation of earnings in the cointegration model provides varying result. The findings indicate that equity price change movements in Ghana are not responsive to dividend news.

  2. Marketing environment dynamics and implications for pricing strategies: the case of home health care.

    Science.gov (United States)

    Ponsford, B J; Barlow, D

    1999-01-01

    This research reviews the factors affecting the pricing or rate schedules of home health care agencies. A large number of factors affect costs and thus rate structures. The major factors include reimbursement structures with accompanying discount structures, administrative burdens, and risks. Channel issues include bargaining power, competition, and size. Staffing issues affect pricing and product through the provider level, productivity, and quality outcomes. Physician and patient issues include quality concerns and choices. These factors are discussed in light of overall marketing strategy and the interaction of pricing with other marketing controllables such as product, place/distribution, and promotion. Economic and accounting principles are also reviewed with consideration to understanding direct and indirect costs in order to enable negotiators to effectively price health care services.

  3. Launch prices for new pharmaceuticals in the heavily regulated and subsidized Spanish market, 1995-2007.

    Science.gov (United States)

    Puig-Junoy, Jaume; López-Valcárcel, Beatriz González

    2014-06-01

    This paper provides empirical evidence on the explanatory factors affecting introductory prices of new pharmaceuticals in a heavily regulated and highly subsidized market. We collect a data set consisting of all new chemical entities launched in Spain between 1997 and 2005, and model launch prices following an extended version of previous economic models. We found that, unlike in the US and Sweden, therapeutically "innovative" products are not overpriced relative to "imitative" ones after having controlled for other factors. Price setting is mainly used as a mechanism to adjust for inflation independently of the degree of innovation. The drugs that enter through the centralized EMA approval procedure are overpriced, which may be a consequence of market globalization and international price setting.

  4. Information-driven trade and price-volume relationship in artificial stock markets

    Science.gov (United States)

    Liu, Xinghua; Liu, Xin; Liang, Xiaobei

    2015-07-01

    The positive relation between stock price changes and trading volume (price-volume relationship) as a stylized fact has attracted significant interest among finance researchers and investment practitioners. However, until now, consensus has not been reached regarding the causes of the relationship based on real market data because extracting valuable variables (such as information-driven trade volume) from real data is difficult. This lack of general consensus motivates us to develop a simple agent-based computational artificial stock market where extracting the necessary variables is easy. Based on this model and its artificial data, our tests have found that the aggressive trading style of informed agents can produce a price-volume relationship. Therefore, the information spreading process is not a necessary condition for producing price-volume relationship.

  5. Derivative markets, speculation and oil prices; Marches derives, speculation et prix du petrole

    Energy Technology Data Exchange (ETDEWEB)

    Babusiaux, D. [Institut Francais du Petrole - IFP School, 92 - Rueil Malmaison (France); Lasserre, F. [Recherche matieres premieres, Societe Generale (France); Pierru, A. [Institut Francais du Petrole - IFP, Energies nouvelles, 92 - Rueil Malmaison (France)

    2010-09-15

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

  6. The influence of prices on market participation decisions of poultry ...

    African Journals Online (AJOL)

    user

    Interestingly, a negative correlation exists between the number of chicken sold and distance to the market. .... Review of Agricultural Economics 31 (1): 103-121. Akinola, L.A.F. and .... symposium Sunset Hotel, Kisumu 22-23 April, 2009. Muthee, A.M ... Indigenous Poultry in Kenya – a Market Approach [Available online.

  7. Market mood, adaptive beliefs and asset price dynamics

    Energy Technology Data Exchange (ETDEWEB)

    Dieci, Roberto [Dipartimento di Matematica per le Scienze Economiche e Sociali, University of Bologna, Bologna (Italy)]. E-mail: rdieci@rimini.unibo.it; Foroni, Ilaria [Dipartimento di Metodi Quantitativi per le Scienze Economiche e Aziendali, University of Milano ' Bicocca' , Milan (Italy); Gardini, Laura [Istituto di Scienze Economiche, University of Urbino, Urbino (Italy); He Xuezhong [School of Finance and Economics, University of Technology, Sydney (Australia)

    2006-08-15

    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.

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

    DEFF Research Database (Denmark)

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

    2011-01-01

    , which can improve market efficiency, and a welfare gain is obtained. An important limitation for demand response is events of several consecutive hours with extreme values. The analysis in this paper is a summary and update of some of the issues covered by the EU RESPOND project. It shows that extreme...... not only on the electricity wholesale prices, but also on the development of the market. Hourly market data are available from the website of Danish TSO from 1999. In this paper these data are analysed for the period 2004–2010. Electricity generators and customers may respond to hourly price variations...... events were few, and the current infrastructure and market organisation have been able to handle the amount of wind power installed so far. This recommends that geographical bidding area for the wholesale electricity market reflects external transmission constraints caused by wind power....

  9. Empirical testing of alternative price spread models in the South African maize market

    OpenAIRE

    Faminow, Merle D.; Laubscher, J. M.

    1991-01-01

    Reduced-form price spread models have been recently utilized by Wohlgenant and Mullen, and Thompson and Lyon to evaluate the economic factors affecting the marketing margins for agricultural products. Drawing on Gardner, Heien, Buse and Brandow, Waugh, Tomek and Robinson, and others they specify alternative retail-farm price spread models and attempt to determine which best fit the data in the context of underlying theoretical rationale. This paper continues in the spirit of Wohlgenant and Mu...

  10. Market organization and animal genetic resource management: a revealed preference analysis of sheep pricing.

    Science.gov (United States)

    Tindano, K; Moula, N; Leroy, P; Traoré, A; Antoine-Moussiaux, N

    2017-10-01

    Farm animal genetic resources are threatened worldwide. Participation in markets, while representing a crucial way out of poverty for many smallholders, affects genetic management choices with associated sustainability concerns. This paper proposes a contextualized study of the interactions between markets and animal genetic resources management, in the case of sheep markets in Ouagadougou, Burkina Faso. It focusses on the organization of marketing chains and the valuation of genetic characteristics by value chain actors. Marketing chain characterization was tackled through semi-structured interviews with 25 exporters and 15 butchers, both specialized in sheep. Moreover, revealed preference methods were applied to analyse the impact of animals' attributes on market pricing. Data were collected from 338 transactions during three different periods: Eid al-Adha, Christmas and New Year period, and a neutral period. The neutral period is understood as a period not close to any event likely to influence the demand for sheep. The results show that physical characteristics such as live weight, height at withers and coat colour have a strong influence on the animals' prices. Live weight has also had an increasing marginal impact on price. The different markets (local butcher, feasts, export market, sacrifices) represent distinct demands for genetic characteristics, entailing interesting consequences for animal genetic resource management. Any breeding programme should therefore take this diversity into account to allow this sector to contribute better to a sustainable development of the country.

  11. Is the Internet making markets more efficient? The evidence according to price indicators in Spain

    Directory of Open Access Journals (Sweden)

    Ferran Sabate

    2009-04-01

    Full Text Available It has been theorized that low search costs associated with e-commerce imply greater levels of efficiency relative to the conventional retail channels. Multiple empirical studies confirm this hypothesis concerning price level, although the evidence is mixed relative to price dispersion. This article empirically compares the efficiency of the Internet with the conventional retail channel through 4 price indicators for the CD market. The results, based on 1,603 prices collected in Spain, are surprising. The conventional channel shows greater efficiency for both posted and final prices. These findings together with the coincident results of other reviewed studies would suggest key factors related to the development of e-commerce. Implications of the study and future considerations are discussed.

  12. Mood and the Market: Can Press Reports of Investors' Mood Predict Stock Prices?

    Science.gov (United States)

    Scherbaum, Charles A.; Kammeyer-Mueller, John D.

    2013-01-01

    We examined whether press reports on the collective mood of investors can predict changes in stock prices. We collected data on the use of emotion words in newspaper reports on traders' affect, coded these emotion words according to their location on an affective circumplex in terms of pleasantness and activation level, and created indices of collective mood for each trading day. Then, by using time series analyses, we examined whether these mood indices, depicting investors' emotion on a given trading day, could predict the next day's opening price of the stock market. The strongest findings showed that activated pleasant mood predicted increases in NASDAQ prices, while activated unpleasant mood predicted decreases in NASDAQ prices. We conclude that both valence and activation levels of collective mood are important in predicting trend continuation in stock prices. PMID:24015202

  13. High Generic Drug Prices and Market Competition: A Retrospective Cohort Study.

    Science.gov (United States)

    Dave, Chintan V; Kesselheim, Aaron S; Fox, Erin R; Qiu, Peihua; Hartzema, Abraham

    2017-08-01

    Prices for some generic drugs have increased in recent years, adversely affecting patients who rely on them. To determine the association between market competition levels and the change in generic drug prices in the United States. Retrospective cohort study. Prescription claims from commercial health plans between 2008 and 2013. The 5.5 years of data were divided into 11 study periods of 6 months each. The Herfindahl-Hirschman Index (HHI)-calculated by summing the squares of individual manufacturers' market shares, with higher values indicating a less competitive market-and average drug prices were estimated for the generic drugs in each period. The HHI value estimated in the baseline period (first half of 2008) was modeled as a fixed covariate. Models estimated price changes over time by level of competition, adjusting for drug shortages, market size, and dosage forms. From 1.08 billion prescription claims, a cohort of 1120 generic drugs was identified. After adjustment, drugs with quadropoly (HHI value of 2500, indicating relatively high levels of competition), duopoly (HHI value of 5000), near-monopoly (HHI value of 8000), and monopoly (HHI value of 10 000) levels of baseline competition were associated with price changes of -31.7% (95% CI, -34.4% to -28.9%), -11.8% (CI, -18.6% to -4.4%), 20.1% (CI, 5.5% to 36.6%), and 47.4% (CI, 25.4% to 73.2%), respectively, over the study period. Study findings may not be generalizable to drugs that became generic after 2008. Market competition levels were associated with a change in generic drug prices. Such measurements may be helpful in identifying older prescription drugs at higher risk for price change in the future. None.

  14. Study on Stochastic Optimal Electric Power Procurement Strategies with Uncertain Market Prices

    Science.gov (United States)

    Sakchai, Siripatanakulkhajorn; Saisho, Yuichi; Fujii, Yasumasa; Yamaji, Kenji

    The player in deregulated electricity markets can be categorized into three groups of GENCO (Generator Companies), TRNASCO (Transmission Companies), DISCO (Distribution Companies). This research focuses on the role of Distribution Companies, which purchase electricity from market at randomly fluctuating prices, and provide it to their customers at given fixed prices. Therefore Distribution companies have to take the risk stemming from price fluctuation of electricity instead of the customers. This entails the necessity to develop a certain method to make an optimal strategy for electricity procurement. In such a circumstance, this research has the purpose for proposing the mathematical method based on stochastic dynamic programming to evaluate the value of a long-term bilateral contract of electricity trade, and also a project of combination of the bilateral contract and power generation with their own generators for procuring electric power in deregulated market.

  15. Horizontal Price Transmission in Agricultural Markets: Fundamental Concepts and Open Empirical Issues

    Directory of Open Access Journals (Sweden)

    Giulia Listorti

    2012-05-01

    Full Text Available Following the dramatic changes experienced by the prices of agricultural commodities in 2007-2008, the analysis of horizontal price transmission mechanisms in agricultural markets has attracted renewed interest. In particular, this has led to the emergence of new challenges for the empirical analysis. How to model the increasing volatility and non linear behaviour of prices, to assess the impact of the policy responses to market turbulence, and how to account for the increasing interconnections between agricultural and non-agricultural commodity markets are amongst the most investigated issues. Building on a common analytical framework, this paper discusses and reviews the most recent methodological developments and empirical contributions in the field.

  16. Price-supply flexibility of wheat market in the Czech Republic

    Directory of Open Access Journals (Sweden)

    Pavel Syrovátka

    2013-01-01

    Full Text Available The paper explores of the price-supply flexibility of the Czech commodity market for food quality wheat in the period 1995–2011. For this analysis, inversion definition of the supply function was applied. The model of the inverse supply function in the Czech wheat market was based on the double log-linear construction. The parameters of the given supply model were estimated using OLS-HAC method. The developed regression model of the supply function was statistically tested. Ordinary and dynamic price flexibility of the wheat supply on the Czech commodity market was determined in relation to the parameters of the developed econometric model. In accordance with the estimations, the ordinary price-supply flexibility achieved +0.3492% and the dynamic price-supply flexibility of the first order was –0.2210%. Within the interpretation of both estimated coefficients of the price-supply flexibility, the multi-factor nature of the commodity supply function must be respected. Moreover, it is important to distinguish the short-term and long-term period within the evaluation of the price-supply flexibility.

  17. A STUDY OF THE EFFECT OF INFORMATION FLOWSON PRICE VOLATILITY IN CHINA'S STOCK MARKET

    Institute of Scientific and Technical Information of China (English)

    YuePan; ShinongWu

    2004-01-01

    By using GARCH and EGARCH models, the authors examine the relationship between price volatility and new information flow, represented by trading volume, and past information flow, represented by the ARCH effect, in the Shanghai Stock Market for the three different periods from July 1998 to December 2002: the soft period, the bull period, and the bear period. The empirical results show that: (1) there exists a 'leverage effect' in the stock market; that is, negative news had a greater impact on stock price volatility than did positive news in the soft period and bear period, but in the bull period the 'leverage effect' behaves differently; (2) there is a significantly positive relationship between trading volume and stock price volatility, and such a relationship is even more significant in the bear period; (3) it turns out that in the three periods, the relationships between stock price volatility and information flow, both past and new, are not the same; that is, in both the soft and bull periods, both the ARCH effect, reflecting 'past information flow', and trading volume,reflecting 'new information flow', explain price volatility simultaneously, but in the bear period, the ARCH effect is substantially reduced. These findings provide key evidence for understanding, explaining, and tracking the characteristics of price volatility and the changing rules of the stock market in China more comprehensively.

  18. Does Reference Pricing Drive Out Generic Competition in Pharmaceutical Markets? Evidence from a Policy Reform

    OpenAIRE

    Kurt R. Brekke; Canta, Chiara; Straume, Odd Rune

    2015-01-01

    In this paper we study the impact of reference pricing (RP) on entry of generic firms in the pharmaceutical market. For given prices, RP increases generic firms' expected profit, but since RP also stimulates price competition, the impact on generic entry is theoretically ambiguous. In order to empirically test the effects of RP, we exploit a policy reform in Norway in 2005 that exposed a subset of drugs to RP. Having detailed product-level data for a wide set of substances from 2003 to 2013,...

  19. The impact of competition on quality and prices in the English care homes market.

    Science.gov (United States)

    Forder, Julien; Allan, Stephen

    2014-03-01

    This study assesses the impact of competition on quality and price in the English care/nursing homes market. Considering the key institutional features, we use a theoretical model to assess the conditions under which further competition could increase or reduce quality. A dataset comprising the population of 10,000 care homes was used. We constructed distance/travel-time weighted competition measures. Instrumental variable estimations, used to account for the endogeneity of competition, showed quality and price were reduced by greater competition. Further analyses suggested that the negative quality effect worked through the effect on price - higher competition reduces revenue which pushes down quality.

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

    Directory of Open Access Journals (Sweden)

    Hanlei Hu

    2017-01-01

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

  1. Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets

    OpenAIRE

    Buguk, Cumhur; Hudson, Darren; Hanson, Terrill R.

    2003-01-01

    Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model was used to test univariate volatility spillovers for prices in the supply chain. Strong price volatility spillover from feeding material (corn, soybeans, menhaden) to catfish feed and farm- and wholesale-leve...

  2. Opportunities for Price Manipulation by Aggregators in Electricity Markets

    CERN Document Server

    Ruhi, Navid Azizan; Chen, Niangjun; Wierman, Adam

    2016-01-01

    Aggregators are playing an increasingly crucial role in the integration of renewable generation in power systems. However, the intermittent nature of renewable generation makes market interactions of aggregators difficult to monitor and regulate, raising concerns about potential market manipulation by aggregators. In this paper, we study this issue by quantifying the profit an aggregator can obtain through strategic curtailment of generation in an electricity market. We show that, while the problem of maximizing the benefit from curtailment is hard in general, efficient algorithms exist when the topology of the network is radial (acyclic). Further, we highlight that significant increases in profit are possible via strategic curtailment in practical settings.

  3. Cement Industry Overview and Market Price Forecasting In Azerbaijan

    OpenAIRE

    2016-01-01

    Global economic situation and energy resources’ prices influence local economic trends, investment of capital, status of financial institutions and cement industry in Azerbaijan in whole. These trends influence demand and activities of cement business communities which start to optimize expenses and find new priority decisions in business. Moreover some independent economic analysts refer to forecasts that since 2016 yearly demand will increase 4-5% in Azerbaijan. Objectives are to forecast c...

  4. Market Mechanisms with Non-Price-Taking Agents

    CERN Document Server

    Kakhbod, Ali

    2011-01-01

    The paper develops a decentralized resource allocation mechanism for allocating divisible goods with capacity constraints to non-price-taking agents with general concave utilities. The proposed mechanism is always budget balanced, individually rational, and it converges to an optimal solution of the corresponding centralized problem. Such a mechanism is very useful in a network with general topology and no auctioneer where the agents/users want different type of services (multidimensional-demand types).

  5. Chicago's water market: Dynamics of demand, prices and scarcity rents

    Science.gov (United States)

    Ipe, V.C.; Bhagwat, S.B.

    2002-01-01

    Chicago and its suburbs are experiencing an increasing demand for water from a growing population and economy and may experience water scarcity in the near future. The Chicago metropolitan area has nearly depleted its groundwater resources to a point where interstate conflicts with Wisconsin could accompany an increased reliance on those sources. Further, the withdrawals from Lake Michigan is limited by the Supreme Court decree. The growing demand and indications of possible scarcity suggest a need to reexamine the pricing policies and the dynamics of demand. The study analyses the demand for water and develops estimates of scarcity rents for water in Chicago. The price and income elasticities computed at the means are -0.002 and 0.0002 respectively. The estimated scarcity rents ranges from $0.98 to $1.17 per thousand gallons. The results indicate that the current prices do not fully account for the scarcity rents and suggest a current rate with in the range $1.53 to $1.72 per thousand gallons.

  6. 7 CFR 5.2 - Marketing season average price data.

    Science.gov (United States)

    2010-01-01

    ..., type 21; Kentucky-Tennessee fire-cured, types 22-23; burley, type 31; dark air-cured, types 35-36; sun... market Artichokes, asparagus, snap beans, broccoli, cabbage, cantaloupe, carrots, cauliflower,...

  7. Pricing-to-market or hysteresis? An empirical investigation of German exports

    OpenAIRE

    Penkova, Emilia

    2005-01-01

    The paper initiates a new area of research: both concepts of hysteresis and pricing-to-market are simultaneously investigated in relation to German exports into Belgium, France, Italy, UK, Spain and Sweden over the period 1975 to 1994 at 4-digit ISIC level. There is abundant empirical evidence that German exports price-to-market. Part of this observed limited exchange rate pass-through, however, might be due to hysteresis as well. A dynamic panel estimation is undertaken, a new concept 'prici...

  8. Development of Market Prices of Agricultural Land within the Conditions of the EU

    Directory of Open Access Journals (Sweden)

    D. Pletichová

    2013-09-01

    Full Text Available Market prices of agricultural land in the world have increased significantly in recent years. Important factors in regard to this trend are not only the fact that land is a basic, irreplaceable resource for the production of food and natural resources of each country, but also the fact that it is generally perceived as a favorable holder of capital, not succumbing to the effects of inflation. Market prices of agricultural land and the rent level in individual EU member countries are affected by historical development, the size structure of agricultural businesses, legislation, regulation of the land market, natural conditions and the intensity of agricultural production (e.g. the Netherlands. Market prices of agricultural land in the Czech Republic are monitored by the Czech Statistical Office (CSO, Institute for Agricultural Economics and Information (IAEI and Ministry of Agriculture (MoA, but output of the data base is not comparable within a time series 1993-2012, as institutions work with differing methodology. On the basis of the description of prices of agricultural land and regression analysis, the hypothesis that the market price of agricultural land for agricultural use in the Czech Republic is affected primarily by its quality was not confirmed. The official (administrative price is only an orientational and subsidiary tool for the determination of the market price. The development of the agricultural land market in the Czech Republic was affected by the privatization of land after 2000. According to an estimate (of the author, after the completion of privatization, and also in view of changes in tax policy, the prices of transacted land for agricultural use can decline within 3 years (2014 by up to 30%. It is probable that the demand will be focused on transactions with land for speculative and investment purposes, as, according to world trends, the average increase in value of investments in land in a time of economic crisis is

  9. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets

    DEFF Research Database (Denmark)

    Lunde, Asger; Timmermann, Allan

    2004-01-01

    This article studies time series dependence in the direction of stock prices by modeling the (instantaneous) probability that a bull or bear market terminates as a function of its age and a set of underlying state variables, such as interest rates. A random walk model is rejected both for bull...... and bear markets. Although it . ts the data better, a generalized autoregressive conditional heteroscedasticity model is also found to be inconsistent with the very long bull markets observed in the data. The strongest effect of increasing interest rates is found to be a lower bear market hazard rate...

  10. Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets

    DEFF Research Database (Denmark)

    Lunde, Asger; Timmermann, Allan

    2004-01-01

    This article studies time series dependence in the direction of stock prices by modeling the (instantaneous) probability that a bull or bear market terminates as a function of its age and a set of underlying state variables, such as interest rates. A random walk model is rejected both for bull...... and bear markets. Although it . ts the data better, a generalized autoregressive conditional heteroscedasticity model is also found to be inconsistent with the very long bull markets observed in the data. The strongest effect of increasing interest rates is found to be a lower bear market hazard rate...

  11. Cross-correlations between price and volume in Chinese gold markets

    Science.gov (United States)

    Ruan, Qingsong; Jiang, Wei; Ma, Guofeng

    2016-06-01

    We apply the multifractal detrended cross-correlation analysis (MF-DCCA) method to investigate the cross-correlation behaviors between price and volume in Chinese gold spot and futures markets. Qualitatively, we find that the price and volume series are significantly cross-correlated using the cross-correlation test statistics Qcc(m) and the ρDCCA coefficients. Quantitatively, by employing the MF-DCCA analysis, we find that there is a power-law cross-correlation and significant multifractal features between price and volume in gold spot and futures markets. Furthermore, by comparing the multifractality of the original series to the shuffled and surrogated series, we find that, for the gold spot market, the main contribution of multifractality is fat-tail distribution; for the gold futures market, both long-range correlations and fat-tail distributions play important roles in the contribution of multifractality. Finally, by employing the method of rolling windows, we undertake further investigation into the time-varying features of the cross-correlations between price and volume. We find that for both spot and futures markets, the cross-correlations are anti-persistent in general. In the short term, the cross-correlation shows obvious fluctuations due to exogenous shocks while, in the long term, the relationship tends to be at a metastable level due to the dynamic mechanism.

  12. Comparing Generic Drug Markets in Europe and the United States: Prices, Volumes, and Spending.

    Science.gov (United States)

    Wouters, Olivier J; Kanavos, Panos G; McKEE, Martin

    2017-09-01

    Policy Points: Our study indicates that there are opportunities for cost savings in generic drug markets in Europe and the United States. Regulators should make it easier for generic drugs to reach the market. Regulators and payers should apply measures to stimulate price competition among generic drugmakers and to increase generic drug use. To meaningfully evaluate policy options, it is important to analyze historical context and understand why similar initiatives failed previously. Rising drug prices are putting pressure on health care budgets. Policymakers are assessing how they can save money through generic drugs. We compared generic drug prices and market shares in 13 European countries, using data from 2013, to assess the amount of variation that exists between countries. To place these results in context, we reviewed evidence from recent studies on the prices and use of generics in Europe and the United States. We also surveyed peer-reviewed studies, gray literature, and books published since 2000 to (1) outline existing generic drug policies in European countries and the United States; (2) identify ways to increase generic drug use and to promote price competition among generic drug companies; and (3) explore barriers to implementing reform of generic drug policies, using a historical example from the United States as a case study. The prices and market shares of generics vary widely across Europe. For example, prices charged by manufacturers in Switzerland are, on average, more than 2.5 times those in Germany and more than 6 times those in the United Kingdom, based on the results of a commonly used price index. The proportion of prescriptions filled with generics ranges from 17% in Switzerland to 83% in the United Kingdom. By comparison, the United States has historically had low generic drug prices and high rates of generic drug use (84% in 2013), but has in recent years experienced sharp price increases for some off-patent products. There are policy

  13. The evolving price of household LED lamps: Recent trends and historical comparisons for the US market

    Energy Technology Data Exchange (ETDEWEB)

    Gerke, Brian F.; Ngo, Allison T.; Alstone, Andrea L.; Fisseha, Kibret S.

    2014-10-14

    In recent years, household LED light bulbs (LED A lamps) have undergone a dramatic price decline. Since late 2011, we have been collecting data, on a weekly basis, for retail offerings of LED A lamps on the Internet. The resulting data set allows us to track the recent price decline in detail. LED A lamp prices declined roughly exponentially with time in 2011-2014, with decline rates of 28percent to 44percent per year depending on lumen output, and with higher-lumen lamps exhibiting more rapid price declines. By combining the Internet price data with publicly available lamp shipments indices for the US market, it is also possible to correlate LED A lamp prices against cumulative production, yielding an experience curve for LED A lamps. In 2012-2013, LED A lamp prices declined by 20-25percent for each doubling in cumulative shipments. Similar analysis of historical data for other lighting technologies reveals that LED prices have fallen significantly more rapidly with cumulative production than did their technological predecessors, which exhibited a historical decline of 14-15percent per doubling of production.

  14. Interdependencies between Biofuel, Fuel and Food Prices: The Case of the Brazilian Ethanol Market

    Directory of Open Access Journals (Sweden)

    Deborah Bentivoglio

    2016-06-01

    Full Text Available Brazil is currently the world’s largest sugar producer and exporter, as well as the world’s largest producer and consumer of sugarcane ethanol as a transportation fuel. The growth of this market originates from a combination of government policies and technological change, in both the sugarcane ethanol processing sector and the manufacture of flex-fuel vehicles. In recent years however, ethanol production has been questioned due to its possible impact on food prices. The present paper aims to explore the impact of Brazilian ethanol prices on sugar and gasoline prices. The relationships between a times series of these prices are investigated using a Vector Error Correction Model (VECM, supported by Granger Causality tests. In addition, Impulse Response Functions (IRFs and Forecast Error Variance Decompositions (FEVD are computed in order to investigate the dynamic interrelationships within these series. Our results suggest that ethanol prices are affected by both food and fuel prices, but that there is no strong evidence that changes in ethanol prices have an impact on food prices.

  15. Customer Strategies for Responding to Day-Ahead Market HourlyElectricity Pricing

    Energy Technology Data Exchange (ETDEWEB)

    Goldman, Chuck; Hopper, Nicole; Bharvirkar, Ranjit; Neenan,Bernie; Boisvert, Dick; Cappers, Peter; Pratt, Donna; Butkins, Kim

    2005-08-25

    Real-time pricing (RTP) has been advocated as an economically efficient means to send price signals to customers to promote demand response (DR) (Borenstein 2002, Borenstein 2005, Ruff 2002). However, limited information exists that can be used to judge how effectively RTP actually induces DR, particularly in the context of restructured electricity markets. This report describes the second phase of a study of how large, non-residential customers' adapted to default-service day-ahead hourly pricing. The customers are located in upstate New York and served under Niagara Mohawk, A National Grid Company (NMPC)'s SC-3A rate class. The SC-3A tariff is a type of RTP that provides firm, day-ahead notice of hourly varying prices indexed to New York Independent System Operator (NYISO) day-ahead market prices. The study was funded by the California Energy Commission (CEC)'s PIER program through the Demand Response Research Center (DRRC). NMPC's is the first and longest-running default-service RTP tariff implemented in the context of retail competition. The mix of NMPC's large customers exposed to day-ahead hourly prices is roughly 30% industrial, 25% commercial and 45% institutional. They have faced periods of high prices during the study period (2000-2004), thereby providing an opportunity to assess their response to volatile hourly prices. The nature of the SC-3A default service attracted competitive retailers offering a wide array of pricing and hedging options, and customers could also participate in demand response programs implemented by NYISO. The first phase of this study examined SC-3A customers' satisfaction, hedging choices and price response through in-depth customer market research and a Constant Elasticity of Substitution (CES) demand model (Goldman et al. 2004). This second phase was undertaken to answer questions that remained unresolved and to quantify price response to a higher level of granularity. We accomplished these

  16. Exponential model for option prices: Application to the Brazilian market

    Science.gov (United States)

    Ramos, Antônio M. T.; Carvalho, J. A.; Vasconcelos, G. L.

    2016-03-01

    In this paper we report an empirical analysis of the Ibovespa index of the São Paulo Stock Exchange and its respective option contracts. We compare the empirical data on the Ibovespa options with two option pricing models, namely the standard Black-Scholes model and an empirical model that assumes that the returns are exponentially distributed. It is found that at times near the option expiration date the exponential model performs better than the Black-Scholes model, in the sense that it fits the empirical data better than does the latter model.

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

    Energy Technology Data Exchange (ETDEWEB)

    Perdiguero Garcia, Jordi, E-mail: jordi.perdiguero@ub.ed [Universitat de Barcelona, Dept. Politica Economica. Grup de Recerca en Governs i Mercats (GiM), Institut de Recerca en Economia Aplicada IREA, Avda. Diagonal 690 (08034), Barcelona (Spain)

    2010-04-15

    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.

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

    Energy Technology Data Exchange (ETDEWEB)

    Perdiguero Garcia, Jordi [Universitat de Barcelona, Dept. Politica Economica. Grup de Recerca en Governs i Mercats (GiM), Institut de Recerca en Economia Aplicada IREA, Avda. Diagonal 690 (08034), Barcelona (Spain)

    2010-04-15

    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)

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

    NARCIS (Netherlands)

    Richstein, J.C.; Chappin, E.J.L.; De Vries, L.J.

    2014-01-01

    The recent low CO2 prices in the European Union Emission Trading Scheme (EU ETS) have triggered a discussion whether the EU ETS needs to be adjusted. We study the effects of CO2 price floors and a price ceiling on the dynamic investment pathway of two interlinked electricity markets (loosely based o

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

    NARCIS (Netherlands)

    Richstein, J.C.; Chappin, E.J.L.; De Vries, L.J.

    2014-01-01

    The recent low CO2 prices in the European Union Emission Trading Scheme (EU ETS) have triggered a discussion whether the EU ETS needs to be adjusted. We study the effects of CO2 price floors and a price ceiling on the dynamic investment pathway of two interlinked electricity markets (loosely based

  1. THE AGENT-BASED MODEL OF REGULATION OF RETAIL PRICES ON THE MARKET OF PETROLEUM PRODUCTS

    OpenAIRE

    Leonid Galchynsky; Andrij Svydenko; Iryna Veremenko

    2011-01-01

    This article provides model of the retail gasoline market as multi-agent systems. The main factors, which affecting on the retail price of gasoline were determined. The authors found that using the agent approach, which takes into consideration the coalitions in the market, in particular, tacit collusion, it is possible to describe the behaviour of players correctly. An description of agent behaviour models and algorithms specific agent were done.

  2. Recent developments in marketing and pricing systems for agricultural export commodities in sub-Saharan Africa

    OpenAIRE

    Varangis, Panos; Takamasa AKIYAMA; Thigpen, Elton

    1990-01-01

    This paper documents the difficulties various countries in sub - Saharan Africa have had with marketing and pricing systems, and shows how these systems have been caused or exacerbated by government controls. It documents the steps several countries have taken toward relaxing those controls and allowing more participation by private enterprise. Some general conclusions are drawn about the kinds of changes in parastatal marketing organizations that most effectively improve their ability to mar...

  3. The Failure of Price Competition In The Turkish Credit Card Market

    OpenAIRE

    Akin, Guzin Gulsun; Aysan, Ahmet Faruk; Kara, Gazi Ishak; Yildiran, Levent

    2008-01-01

    The failure of competition and the consequent high and sticky interest rates in credit card markets have been the subject of a considerable amount of debate and research lately. This paper presents the first regression testing for the existence of price competition in a credit card market to be estimated free of dynamic panel bias using recent quarterly data from Turkey. The estimation reveals that even though the effect of the cost of funds on credit card rates is statistically significant, ...

  4. Testing the Law of One Price under Nonlinearity for Egg Market of Selected Provinces of Iran

    Directory of Open Access Journals (Sweden)

    M. Ghahremanzadeh

    2016-05-01

    Full Text Available Introduction: Regarding to the ever-increasing consumption of egg and consequently enhancement of its production during recent years, consideration to this output's market integration has special importance. Considering the fact that information on market integration may provide specific evidence as to the competitiveness of market, the effectiveness of arbitrage and the efficiency of pricing could be, likewise, useful to guide subsequent interventions aimed at improving the performance of market. In this context, in present study, validity of Law of One Price (LOP will be tested in the egg market and among selected provinces. Materials and Methods: Nonlinearity naturally extracted from local market due to existence of transportation and other transaction costs, so common cointegration test results are not suitable for market integration. In this study, at first, for being sure that series follow nonlinear behavior, Luukkonen et al. (1988 and BDS nonlinearity tests were used. Then for testing Law of One price in the egg market, nonlinear unit root test proposed by Emmanouilides and Fousekis (2012, which is an auxiliary regression for ESTAR model, was used. The data are daily retail prices of egg with the sample period ranging from April 2006 to march 2014 for north-west provinces of Iran including West Azerbaijan, East Azerbaijan, Ardebil, Tehran and Zanjan, which were obtained from State Live Stock Affairs Logistics Incorporated Company. Results and Discussion: Based on the DF-GLS unit root test, the null hypothesis of unit root for egg price differentials was rejected. So, all series of price differentials are stationary. In the next step nonlinearity of price differentials of egg between two provinces was examined. In BDS test, at the beginning, an ARMA model was estimated then the test was carried out to the residual of estimated model with embedding dimension (m 2-8 and the dimensional distance (ε chosen equals to 0.5 and 2 times of

  5. Pricing of American Put Option under a Jump Diffusion Process with Stochastic Volatility in an Incomplete Market

    Directory of Open Access Journals (Sweden)

    Shuang Li

    2014-01-01

    Full Text Available We study the pricing of American options in an incomplete market in which the dynamics of the underlying risky asset is driven by a jump diffusion process with stochastic volatility. By employing a risk-minimization criterion, we obtain the Radon-Nikodym derivative for the minimal martingale measure and consequently a linear complementarity problem (LCP for American option price. An iterative method is then established to solve the LCP problem for American put option price. Our numerical results show that the model and numerical scheme are robust in capturing the feature of incomplete finance market, particularly the influence of market volatility on the price of American options.

  6. Evaluation Periods and Asset Prices in a Market Experiment

    NARCIS (Netherlands)

    Gneezy, U.; Kapteyn, A.; Potters, J.J.M.

    2002-01-01

    We test whether the frequency of feedback information about the performance of an investment portfolio and the flexibility with which the investor can change it influence her risk attitude in markets.In line with the prediction of Myopic Loss Aversion (Benartzi and Thaler, 1995), we find that more i

  7. Evaluation Periods and Asset Prices in a Market Experiment

    NARCIS (Netherlands)

    Gneezy, U.; Kapteyn, A.; Potters, J.J.M.

    2002-01-01

    We test whether the frequency of feedback information about the performance of an investment portfolio and the flexibility with which the investor can change it influence her risk attitude in markets.In line with the prediction of Myopic Loss Aversion (Benartzi and Thaler, 1995), we find that more

  8. User-Aware Electricity Price Optimization for the Competitive Market

    Directory of Open Access Journals (Sweden)

    Allegra De Filippo

    2017-09-01

    Full Text Available Demand response mechanisms and load control in the electricity market represent an important area of research at the international level: the trend towards competition and market liberalization has led to the development of methodologies and tools to support energy providers. Demand side management helps energy suppliers to reduce the peak demand and remodel load profiles. This work is intended to support energy suppliers and policy makers in developing strategies to act on the behavior of energy consumers, with the aim to make a more efficient use of energy. We develop a non-linear optimization model for the dynamics of the electricity market, which can be used to obtain tariff recommendations or for setting the goals of a sensibilization campaign. The model comes in two variants: a stochastic version, designed for residential electricity consumption, and a deterministic version, suitable for large electricity users (e.g., public buildings, industrial users. We have tested our model on data from the Italian energy market and performed an extensive analysis of different scenarios. We also tested the optimization model in a real setting in the context of the FP7 DAREED project (http://www.dareed.eu/, where the model has been employed to provide tariff recommendations or to help the identification of goals for local policies.

  9. On the market value of information commodities. II. Supply price

    NARCIS (Netherlands)

    Mowshowitz, A. (Abbe)

    1992-01-01

    textabstractInformation commodities make use of storage, processing, and communication capabilities in varying degrees to acquire market value. We have identified five major value‐adding dimensions of information commodities: (1) kernel; (2) storage; (3) processing; (4) distribution; and (5)

  10. Pricing Asian options in financial markets using Mellin transforms

    Directory of Open Access Journals (Sweden)

    Indranil SenGupta

    2014-11-01

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

  11. Optimization models and techniques for implementation and pricing of electricity markets

    Science.gov (United States)

    Madrigal Martinez, Marcelino

    Vertically integrated electric power systems extensively use optimization models and solution techniques to guide their optimal operation and planning. The advent of electric power systems re-structuring has created needs for new optimization tools and the revision of the inherited ones from the vertical integration era into the market environment. This thesis presents further developments on the use of optimization models and techniques for implementation and pricing of primary electricity markets. New models, solution approaches, and price setting alternatives are proposed. Three different modeling groups are studied. The first modeling group considers simplified continuous and discrete models for power pool auctions driven by central-cost minimization. The direct solution of the dual problems, and the use of a Branch-and-Bound algorithm to solve the primal, allows to identify the effects of disequilibrium, and different price setting alternatives over the existence of multiple solutions. It is shown that particular pricing rules worsen the conflict of interest that arise when multiple solutions exist under disequilibrium. A price-setting alternative based on dual variables is shown to diminish such conflict. The second modeling group considers the unit commitment problem. An interior-point/cutting-plane method is proposed for the solution of the dual problem. The new method has better convergence characteristics and does not suffer from the parameter tuning drawback as previous methods The robustness characteristics of the interior-point/cutting-plane method, combined with a non-uniform price setting alternative, show that the conflict of interest is diminished when multiple near optimal solutions exist. The non-uniform price setting alternative is compared to a classic average pricing rule. The last modeling group concerns to a new type of linear network-constrained clearing system models for daily markets for power and spinning reserve. A new model and

  12. THE PROCESS OF SHORT-TERM AND LONG-TERM PRICE INTEGRATION IN THE BENIN MAIZE MARKET

    NARCIS (Netherlands)

    LUTZ, C; VANTILBURG, A; VANDERKAMP, BJ

    1995-01-01

    This paper reviews the methodology used to study the price integration process in spatially separated spot markets, and applies if to the Benin maize market. An Autoregressive Distributed Lag Model is derived to take into account the sluggishness of price adjustments. Hypothesis testing concerns sta

  13. Application of the ant colony search algorithm to reactive power pricing in an open electricity market

    Energy Technology Data Exchange (ETDEWEB)

    Ketabi, Abbas; Alibabaee, Ahmad [Department of Electrical Engineering, University of Kashan, Kashan (Iran); Feuillet, R. [Laboratoire d' Electrotechnique de Grenoble, INPG/ENSIEG, 38402 Saint Martin d' Heres, Cedex (France)

    2010-07-15

    Reactive power management is essential to transfer real energy and support power system security. Developing an accurate and feasible method for reactive power pricing is important in the electricity market. In conventional optimal power flow models the production cost of reactive power was ignored. In this paper, the production cost of reactive power and investment cost of capacitor banks were included into the objective function of the OPF problem. Then, using ant colony search algorithm, the optimal problem was solved. Marginal price theory was used for calculation of the cost of active and reactive power at each bus in competitive electric markets. Application of the proposed method on IEEE 14-bus system confirms its validity and effectiveness. Results from several case studies show clearly the effects of various factors on reactive power price. (author)

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

    Energy Technology Data Exchange (ETDEWEB)

    Marzo, Massimiliano [University of Bologna, Department of Economics, 2, Piazza Scaravilli, 40126 Bologna, BO (Italy); Zagaglia, Paolo [Department of Economics, Stockholm University, Universitetsvaegen 10A, 106-91 Stockholm (Sweden)

    2008-09-15

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

  15. Chaotic behavior of price in the power markets with pay-as-bid payment mechanism

    Energy Technology Data Exchange (ETDEWEB)

    Bigdeli, N. [Linear Systems Control Lab., EE Department, Imam Khomeini International University, Qazvin (Iran, Islamic Republic of)], E-mail: bigdeli@ee.sharif.edu; Afshar, K. [Electrical Machinery Lab., EE Department, Imam Khomeini International University, Qazvin (Iran, Islamic Republic of)], E-mail: k_afshar@ee.sharif.edu

    2009-11-30

    Price forecasting in the current deregulated power markets is an important requirement for deriving proper bidding strategy and profit maximization of producers. On the other hand, the energy price in the power market experiences lots of fluctuations which may affect the accuracy of the price forecasting seriously. Seeking for predictability, in this paper, the characteristics of these fluctuations are investigated through time series analysis methods. The results of analyses are representative of the existence of a deterministic chaos in the system with a mimic predictability. Besides, it is observed that because of existing the seasonality and non-stationarity in the system dynamics, a fixed model cannot perform properly even in case of normalized input data, but the developed models should be updated regularly.

  16. Profiling the high frequency wine consumer by price segmentation in the US market

    Directory of Open Access Journals (Sweden)

    Liz Thach

    2015-06-01

    Full Text Available Heavy users of consumer products are important to marketers as a profitable target segment. This is equally true in the wine industry, but with the added precaution of encouraging responsible consumption. This study examines the attributes and behaviors of 681 high frequency (heavy-user wine consumers in the US, based on a price segmentation of High, Moderate, and Low Spenders. For this study, price segmentation was defined as the price typically paid for a bottle of wine for home consumption. Significant differences were discovered based on gender, age, income, wine involvement, shopping channel, ecommerce/social media usage and other key areas. Implications for marketing managers as well as areas of future research are described.

  17. Reviewing progress in PJM's capacity market structure via the new reliability pricing model

    Energy Technology Data Exchange (ETDEWEB)

    Sener, Adil Caner; Kimball, Stefan

    2007-12-15

    The Reliability Pricing Model introduces significant changes to the capacity market structure of PJM. The main feature of the RPM design is a downward-sloping demand curve, which replaces the highly volatile vertical demand curve. The authors review the latest RPM structure, results of the auctions, and the future course of the implementation process. (author)

  18. Price and volatility transmissions between natural gas, fertilizer, and corn markets

    NARCIS (Netherlands)

    Etienne, Xiaoli Liao; Trujillo-Barrera, Andrés; Wiggins, Seth

    2016-01-01

    Purpose – The purpose of this paper is to investigate the price and volatility transmission between natural gas, fertilizer (ammonia), and corn markets, an issue that has been traditionally ignored in the literature despite its significant importance. Design/methodology/approach – The authors

  19. The Effect of Pricing and Advertising on Customer Retention in a Liberalizing Market

    NARCIS (Netherlands)

    Polo, Yolanda; Javier Sese, F.; Verhoef, Peter C.

    2011-01-01

    This study investigates the drivers of customer retention in a liberalizing market. The authors address key, retention issues that allow them to contribute to existing retention research in several critical ways. They (1) examine the effects of pricing and mass advertising, (2) account for (new

  20. Markup pricing in the context of a violent conflict: differentiated apples in Hebron wholesale market

    NARCIS (Netherlands)

    Ihle, R.; Finkelshstain, I.; Rubin, O.D.

    2014-01-01

    We investigate whether hostile international relations in the framework of the ongoing Israeli-Palestinian conflict has an effect on pricing and consumption patterns of different varieties of apples marketed in Palestine. For this purpose, we employ a discrete choice equilibrium model with product d